定向增发股票解禁期市场反应的实证研究

定向增发作为上市公司募集资金的新渠道,近年来规模迅速扩大。以往对其某时段市场反应的实证研究或是集中于从董事会预案至增发实施这一阶段,或是集中于股改限售股解禁阶段,而对限售股解禁期的研究甚少。采用事件研究法对定向增发股票在解禁期的市场表现进行了描述性统计,并分析了实施定向增发上市公司的股利政策、大股东行为方式以及股市周期对解禁期股价走势的影响,以求对投资者的投资行为给予指导。     

Likelihood-based estimation for Gaussian MRFs

Markov random fields (MRFs) express spatial dependence through conditional distributions, although their stochastic behavior is defined by their joint distribution. These joint distributions are typically difficult to obtain in closed form, the problem being a normalizing constant that is a function of unknown parameters. The Gaussian MRF (or conditional autoregressive model) is one case where the normalizing constant is available in closed form; however, when sample sizes are moderate to large (thousands to tens of thousands), and beyond, its computation can be problematic. Because the conditional autoregressive (CAR) model is often used for spatial-data modeling, we develop likelihood-inference methodology for this model in situations where the sample size is too large for its normalizing constant to be computed directly. In particular, we use simulation methodology to obtain maximum likelihood estimators of mean, variance, and spatial-depencence parameters (including their asymptotic variances and covariances) of CAR models.     

The effects of a workplace intervention on employees’ cortisol awakening response

Work-related stressors are known to adversely affect employees’ stress physiology, including the cortisol awakening response (CAR) – or the spike in cortisol levels shortly after people wake up that aids in mobilizing energy. A flat or blunted CAR has been linked to chronic stress and burnout. This daily diary study tested the effects of a workplace intervention on employed parents’ CAR. Specifically, we tested whether the effects of the intervention on CAR were moderated by the type of days (workday versus non-work day). Data came from 94 employed parents from an information technology firm who participated in the baseline and 12-month diurnal cortisol components of the Work, Family, and Health Study, a group-randomized field experiment. The workplace intervention was designed to reduce work-family conflict (WFC) and implemented after the baseline data collection. Diurnal salivary cortisol was collected on 4 days at both baseline and 12 months. Multilevel modeling revealed that the intervention significantly increased employees’ CAR at 12 months on non-workdays, but this was not evident on workdays or for employees in the usual practice condition. The results provide evidence that the intervention was effective in enhancing employees’ biological stress physiology particularly during opportunities for recovery that are more likely to occur on non-work days.     

商业银行资本充足率的信息甄别与选择

对商业银行资本充足率的要求已经成为银行监管体系的核心。目前,世界上许多国家和地区都在遵守《巴塞尔协议》规定的资本充足率不低于8%的标准,但这个统一标准忽视了个体差异,显得不尽合理。与现有文献的分析角度不同,本文重点研究了监管部门制定该标准的信息甄别问题,并指出监管部门的监管水平与最低资本充足率要求之间存在一定的替代关系。基于数理模型推导,本文又利用数值分析的方法,对模型的结果给出直观的经济解释。最后文中对一百多个国家和地区的实证分析结果也支持了本文模型的推断。     

国际银行资本管理模式的演变对我国的启示

在国际金融监管越来越重视节约成本、提高效率的大趋势下 ,银行资本充足率管理方式正在从利用库克比率向利用银行内部风险管理模型 CAR转变。面对这一国际潮流 ,必须尽快改革我国落后的金融监管体制 ,创造利用 CAR模型进行监管的条件 ,实现与国际金融监管模式接轨     

VLSI／ULSI可靠性的监测与模拟

论述分析了现代ＶＬＳＩ／ＵＬＳＩ电路可靠性监测与模拟技术的研究进展、应用趋势以及相关的新型监测分析技术，并讨论了其研究设计与发展方向。     

Optimal Whitening and Decorrelation

Whitening, or sphering, is a common preprocessing step in statistical analysis to transform random variables to orthogonality. However, due to rotational freedom there are infinitely many possible whitening procedures. Consequently, there is a diverse range of sphering methods in use, for example, based on principal component analysis (PCA), Cholesky matrix decomposition, and zero-phase component analysis (ZCA), among others. Here, we provide an overview of the underlying theory and discuss five natural whitening procedures. Subsequently, we demonstrate that investigating the cross-covariance and the cross-correlation matrix between sphered and original variables allows to break the rotational invariance and to identify optimal whitening transformations. As a result we recommend two particular approaches: ZCA-cor whitening to produce sphered variables that are maximally similar to the original variables, and PCA-cor whitening to obtain sphered variables that maximally compress the original variables.     

我国证券市场过度反应后短期行为研究

本文通过平均收益率计算方法,系统地比较了沪市和深市短期过度反应行为及其后的累积超额收益率变化特征。本文的研究认为:当股票发生负向的异常波动时,沪深两市都表现出明显的过度反应现象,但是如果考虑交易成本,则累积超额收益没有经济意义;而在股票发生正向异常波动后,过度反应现象不显著;统计检验结果和回归模型结果都证明了我国证券市场不存在明显的"1月效应"或者"2月效应"(也称做"新年效应"),而是存在明显的"3月效应"和"12月效应"。股票在发生正向的异常波动时,沪深两市事件日的波动幅度与其后的累积超额收益的波动幅度没有明显的相关关系,而在发生负向的异常波动时,两市均在第5天后表现出明显的强相关特性。     

An optimal investment and risk control policy for a bank under exponential utility

Motivated by the Basel Capital Accord Requirement (CAR), we analyze a risk control portfolio selection problem under exponential utility when a banker faces both Brownian and jump risks. The banker's risk process and the dynamics of the risky asset process are modeled as jump-diffusion processes. Assuming that the constraint set of all trading strategies is in a closed set, we study the terminal utility optimization problem via the backward stochastic differential equation (BSDE) under risk regulation paradigm. We construct the BSDE by means of the martingale optimality principle, giving conditions for the corresponding generator to be well defined in order to derive the bounds on the candidate optimal strategy. We then construct an internal model for the bank under Basel III CAR, which is formulated from the total risk-weighted assets (TRWA's) and bank capital. The results obtained from this model can be adopted within the banking sector when setting up asset investment strategies and advanced risk management models, as advocated by the Basel III Accord.     

Selection of the neighborhood structure for space-time Markov random field models

A space-time, univariate dataset is assumed to have been sampled from a 3-dimensional Markov Random Field where the data dependence structure is modeled through pairwise interaction parameters. The likelihood function depends upon (1) an undirected, 3-dimensional graph, where edges connect observation points, and (2) the parameter dimension that captures possible space-time anisotropy of data interaction. Automatic model selection to discriminate both the graph and the model dimension is suggested on the basis of a penalized Pseudo-likelihood function. In most cases, the procedure can be implemented using standard statistical packages capable of GLM estimation. Weak consistency of the criterion is shown to hold under mild and easily verifiable sufficient conditions. Its performance in small samples is studied providing simulation results.