基于股市动量策略的实证研究

寻找能够在股市中长期稳定获得超额收益的投资策略一直是投资界和学术界关切的热点,超短期追涨策略一直也被实务界视为赢利法宝,为实证超短期追涨策略的获利性,本文以形成期涨幅指标及实务性的视角来构造沪深A股的动量策略,结果表明中国股票市场短期内不具有"强者恒强"的收益特征,否定了中国股市超短期"追涨杀跌"交易策略的有效性.     

基于条件风险价值的投资组合优化模型

采用R T Rockafellar和S Uryasev的一种优化算法，构造了一个以条件风险价值代替标准差度量风险的投资组合优化模型．选择沪、深股市6种股票构成一个投资组合，用Matlab软体对模型进行优化计算，得到了该投资组合的有效前沿和投资权重，并与用传统的均值方差模型的计算结果进行了比较．结果表明，这2个模型优化得到的有效前沿非常相近，与国外研究获得的有效前沿图形也非常相似，但这2个模型优化得到的投资权重却有较大差异．     

“羊群效应”与股票收益分布的厚尾特性

本文在介绍金融市场中的羊群效应和投资性资本收益分布的厚尾特性的基础上,运用概率论中的随机图理论,构造出一个随机性羊群效应模型。该模型能较好地刻画投资主体之间的微观联系机制,并很好地解释股票收益的厚尾特性     

行为分布组合投资决策方法

投资组合理论是一个兼具应用性和理论性的重要问题。投资组合选择（Portfolio Seleetion）简言之就是将财富分配到不同的资产中，以达到分散风险，提高收益的目的。一方面，投资组合理论具有很强的应用性，可以帮助投资者做出的投资决策；另一方面，投资组合理论也具有很强的理论意义，通过研究投资者的投资决策，可以分析当每个投资者都采取了最优投资决策且市场出清，即金融市场处于均衡状态时的各种性质。随着国内金融改革和经济全球一体化进程的加快，加内金融业面临越来越多的风险和挑战。     

CVaR有界限制下的风险资本配置

在关于金融市场的Black—Scholes的设定下，研究了风险度量——条件风险价值(CVaR)的一些性质，并且在关于CVaR具有有限界限的条件下，讨论了使得投资组合期望收益最大化的最优投资组合的求解问题．     

连续复利型E-V风险下的证券投资模型

针对证券投资收益按连续复利计算的情形，研究E－V风险下的证券的组合投资模型，并给出了计算最优投资比例系数的方法。     

中国股市"规模效应"的实证综述及原因分析

探讨了我国股市“规模效应”的存在与否及其原因．通过回顾文献,概括了国际学术界对于成熟股票市场“规模效应”的证明和各种解释．综述国内学者不同时期、不同样本所做的实证研究,得出结论,中国股票市场也存在“规模效应”．针对我国股票市场的特殊背景,本文对我国股票市场“规模效应”的成因进行了探讨．     

基于价格动量和交易量实证研究

价格动量和交易量是股票运行的两个基本特征．股票收益和交易量联合决定市场动态的过程．因此将成交量和收益率一起共同构造一个二元变量来进行统计、分析、实证是一个重要的思想．文中通过对沪市全部A股的三个不同时段．构造了关于价格动量和交易量的二元变量进行实证．揭示了价格动量和交易量的信息意义，并探讨了基于价格动量和交易量之上的投资组合策略．     

基于资金和管理投入的两资源配置风险投资组合

利用Markowitz投资组合原理,提出了将管理投入和资金投入作为配置资源纳入风险投资组合决策的思想.将风险投资家对风险企业的管理投入视为与风险企业收益密切相关的因素，构造出指数型管理投入收益影响函数. 基于在一定的风险下最大化风险投资组合收益的原则,建立了管理投入和资金投入两资源配置风险投资组合决策的一般模型.基于风险企业彼此不相关假设，构造出简化的组合风险企业风险函数,建立了具有两资源配置约束的风险投资组合决策应用模型.     

聚类分析在开放式基金绩效研究中的应用

聚类分析在基金绩效的研究方面有很大的挖掘空间．为研究基金的绩效,从基金的规模发展、收益如何及成长性3个层面进行了考察,选取了2008年1月到2．008年6月共24周的数据,其中任意选取30只基金,以其周收益率为基本数据计算并建立了6个指标．通过Q聚类分析方法,分析了这30只基金在整个股市大幅下跌的表现情况．以此来判断基金的绩效,来帮助投资者做出较为准确的投资．     

中介机构声誉与IPO公司“业绩变脸”

着眼于中介机构声誉这一视角,运用2010-2012年在沪深A股上市的非金融企业样本,分析IPO公司上市后业绩下滑现象。研究结果表明,在我国证券市场,IPO公司上市当年存在明显的"业绩变脸"现象;整体而言,承销商声誉机制效应并不显著。承销收入占主营业务收入比重较高的承销商,其承销的公司"业绩变脸"的可能性更大;选择大型会计师事务所与支付较高会计师事务所报酬的IPO公司,"业绩变脸"的可能性更大。     

The impact of initial public offering lockup expirations on liquidity: Evidence from Chinese stock market

Previous empirical evidence on the liquidity effect to the lockup expiration is mixed. A sample from Chinese listed firms is adopted and contributes to better understand this effect in emerging markets. The spread and illiquidity significantly increases around lockup expiration in China. Furthermore, the liquidity reaction to firms’ disclosure quality is explicitly related. The results confirm that higher disclosure quality is significantly associated with lower abnormal spread and illiquidity impact. The effect of lockup expiration shares on liquidity proxies differs in firm disclosure quality. Identifying the factors affecting liquidity around such events may help regulators develop policies to provide investors with greater confidence in their investments.     

Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk (VaR) measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory (EVT) is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution (GPD), and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE (Hill) at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.     

Executive Stock Option, Mediation of Agency Costs and Allocation of Power in Levered Firms

The relationship between options and agency costs in levered firms is studied by modeling the effect of executive stock options on the manager‘s investment strategy in levered firms. Stock options do not necessarily aggravate agency costs in levered finns. The corporate governance affects agency costs greatly. If debt-holders were entitled to design executive stock options together with stockholders, by allocating power properly between stockholders and debt-holders, firm value could be enhanced greatly. The following way of allocating power between the two parties is proposed: the exercise price should be the weighted average of the stockholders‘ and debtholders‘ suggested exercise prices. The weight allocated to debt-holders is positively related to the amount of debts that debt-holders lend to stockholders.     

BP算法的改进及其在股票价格预测中的应用

为加速BP算法的收敛,提出了一种物理意义明确、体现人脑优选本质的新的激励函数,通过动态调整此激励函数的参数并结合已有的一些BP改进算法,用之进行股票价格的预测,得到了满意的结果。同时,股票价格的可预测性也从另一角度证明了我国不成熟股票市场的非有效性。只要预测模型选取恰当,可获得超过市场平均盈利水平的收益。     

Performance of price limits: Evidence from cross-listed stocks in China

Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits. This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.     

用神经网络方法预测股票短期走势

在技术分析基础上，建立了神经网络的股票短期走势预测模型，对深圳和上海股票市场中的几种股票价格走势进行预测，取得了满意的结果。同时，还对神经网络的输入参数（开盘价、收盘价、最高价、最低价和成交量）的不同组合产生的预测结果进行了对比分析。     

1952—2010年中国公路资本存量的估算

资本存量是国家财富的重要实现形式,公路在资本总量中占据重要地位,科学核算公路资本存量具有重要作用。通过分析比较已有的研究成果,根据公路资产特点,对公路资本存量估算过程中重要指标进行细致的选择和处理,利用公路行业统计资料和国民经济核算历史资料,采用永续盘存法对中国公路资本存量进行了重新估算,为相关实证研究提供了比较全面和准确的数据支持。     

The coordination mechanism of supply chain finance based on tripartite game theory

Supply chain finance (SCF) is concerned because of its service efficiency for the real economy. Beside the bank, some enterprises have provided the SCF service. E-commerce platform firms develop small and micro loan system in China. A given small enterprise can apply for a loan through its platform. Based on the latest SCF developments and the relevant literature, this study focuses on the coordination mechanism of SCF. We construct a game theory model including supplier, retailer and financial service provider to analyze the decision making of them. We find the optimal solution to the supplier, retailer and financial service provider.