In this paper, we investigate the performance of tactical asset allocation on technical trading rules controlling for data snooping bias. By using reality check (RC), superior predictive ability (SPA) test and their extensions, and false discovery rate (FDR), we find that none of 15376 technical trading rules at monthly frequency outperforms buy-and-hold (B&H) strategy in terms of 1/N portfolio. In addition, we also investigate the performance of tactical asset allocation in terms of other usual portfolio strategies: minimum variance portfolio (MVP), tangency portfolio (TP), equally weighted risk contribution portfolio (ERCP), most diversified portfolio (MDP), Volatility timing portfolio (VTP) and Reward-to-risk timing portfolio (RRTP). Our empirical study shows that no tactical asset allocation strategies on technical trading rules outperform B&H benchmark. Our findings call into question the value of tactical asset allocation on technical trading rules.

The well-documented negative association between idiosyncratic volatility (IV) and stock returns is puzzling if investors are risk-averse. We show that this anomaly is also prominent in the Chinese stock market. We attempt to explain the IV anomaly by using the key theories suggested by the literature, such as the lottery effect, arbitrage asymmetry, prospect theory, return reversals and more. None of these competing theories is able to justify the IV anomaly in China. Given that the Chinese stock market possesses both short selling constraints and heterogeneous beliefs, we employ resale option theory as a way to explain the IV puzzle. We find that the resale option value is consistently related to the IV effect in China, and that the explanatory power of the resale option value for the IV anomaly survives a range of robustness tests.

Using a series of advanced tests from White's (2000) “Reality Check” to correct for data-snooping bias, we assess the out-of-sample performance of various portfolio strategies relative to the naive 1/N rule. When we analyze 16 basic portfolio strategies, 126 learning strategies, and nearly 2,000 extended strategies, we find that some strategies outperform the 1/N rule in conventional tests that do not account for data-snooping bias. However, after we use the new tests that control for such bias, we find that none or very few of these strategies outperform the 1/N rule. Thus, our finding underscores the necessity to control for data-snooping bias when making asset allocation decisions.

围绕投资组合实证中估计误差的研究形成了大量的资产配置模型,但这些模型有效性的研究都忽视了数据窥查效应的影响.本文创造性将真实性检验和高级预测检验及其扩展方法对其进行了数据窥查检验,首先通过参数的变动构造了4653个投资组合模型池,选取了常用的等权重策略为基准策略,运用了均值、夏普系数和确定性等价三种比较准则,分别利用了中国股票市场的周度和日度数据进行了实证,研究结果表明资产配置中存在着数据窥查问题,在调整数据窥查效应后,在整体阶段和早期期阶段中均不存在显著战胜简单等权重策略的配置模型,通过模拟也进一步证实了真实检验等方法能剔除资产配置模型中数据窥查效应.

本文在标准的均值—方差模型框架下,以改善估计误差为主线,选取经典的样本外MV模型和其他15种具有代表性的资产配置模型,运用六组中国资本市场数据进行对比研究.结果表明,增加估计窗口会减少估计误差,11种非卖空限制策略表现优于样本外MV模型,卖空限制模型优于非卖空限制模型.同时,本文选取了简单的等权重(EW)策略作为基准策略,发现估计误差对资产配置产生了严重影响,导致几乎没有模型的确定性等价收益(Certainty Equivalent return,CEQ)一致优于EW策略.为进一步了解估计窗口长度和卖空限制对估计误差的影响,本文以证监会分类的13个行业数据为例进行模拟,结果表明,当估计窗口从60个月增加到600个月时,非卖空限制模型的CEQ大幅提高(除EW策略外),但是,当估计窗口达到600个月后,增加估计窗口对估计误差的改善效果在减少;相对于非卖空策略,卖空限制策略在估计窗口较短时对估计误差改善程度较大,当估计窗口达到480个月后,CEQ大致保持不变,说明当估计窗口达到一定临界值后,卖空限制会抑制投资组合模型的配置效果.最后,本文根据这些实证结果提出了相应的完善资本市场的政策建议.

Using a series of advanced tests from White’s (2000) “Reality Check” to correct for data-snooping bias, we assess the out-of-sample performance of various portfolio strategies relative to the naive 1/N rule. When we analyze 16 basic portfolio strategies, 126 learning strategies, and nearly 2,000 extended strategies, we find that some strategies outperform the 1/N rule in conventional tests that do not account for data-snooping bias. However, after we use the new tests that control for such bias, we find that none or very few of these strategies outperform the 1/N rule. Thus, our finding underscores the necessity to control for data-snooping bias when making asset allocation decisions.

The discount behavior and volatility on exchange-traded funds(ETFs)trading in Chinese markets were investigated from both theoretical and empirical perspectives.A theoretical model with heterogeneous beliefs and short-sale constraints was established to explain discounts on ETFs and their volatilities. The theoretical model conjures that ETFs in Chinese markets are more likely to trade at a discount relative to western developed markets and the volatility of an ETF is greater than that of its NAV.In addition, empirical results based on daily data from February,2005to December,2012validates the theory proposed.

通过并购来获取技术和知识是企业提高核心竞争力的重要手段,医药行业是知识密集型行业,专利数量是衡量一个医药企业是否具有竞争力的重要指标.文章以医药行业上市公司并购前后的专利增量作为研发绩效指标,以是否发生技术并购、并购企业规模、并购次数、现有专利水平、研发强度为自变量,对2006-2009年的面板数据进行了回归分析.实证结果认为:技术并购对研发绩效有正面作用,而其它目的的并购对研发绩效有负面作用.

In this paper, we develop a theoretical model to explain the well-established empirical regularities that have been documented in the literature on closed-end funds (CEFs). In the presence of heterogeneous beliefs and short-sale constraints, both the CEF price and the price of the assets that it holds can be decomposed into two parts: fundamental value and the value of the re-sale option. Generally, the value of the re-sale option of trading a CEF is smaller than that of trading the assets that it holds, and so a CEF typically sells at a discount relative to its net asset value (NAV). We develop a number of testable hypotheses based on the theoretical model concerning CEF discounts, the volatility of belief differences, diversification, the co-movement of the discount across CEFs, the excess volatility of CEF returns, and the returns on small stocks. We test these hypotheses using data on the Chinese CEF market and find that there is considerable support for the theoretical model.

The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus, the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum‐variance hedging generates can be significantly lower than the reduction in standard deviation. In this study, we provide a new, semi‐parametric method of estimating minimum‐VaR and minimum‐CVaR hedge ratios based on the Cornish‐Fisher expansion of the quantile of the hedged portfolio return distribution. Using spot and futures returns for the FTSE 100, FTSE 250, and FTSE Small Cap equity indices, the Euro/US Dollar exchange rate, and Brent crude oil, we find that the semiparametric approach is superior to the standard minimum‐variance approach, and to the nonparametric approach of Harris and Shen (2006). In particular, it provides a greater reduction in both negative skewness and excess kurtosis, and consequently generates hedge portfolios that in most cases have lower VaR and CVaR. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:780–794, 2010

Investment opportunity is an option to the enterprise.This option can increase the value of the enterprise.However,the exercise timing will affect the value of this option.While debt financing will bring overinvestment problem,more complicated financing behavior can alleviate the problem.Based on the Mauer-Sarkar model,the conclusion is drawn that proper financing behavior can increase the value of the real option.

A new approach has been proposed to give explanations to closed-end fund puzzle. The price of an asset can be decomposed into two parts: fundamental value and speculative value. Speculative value can be viewed as an American option value and comes from heterogeneous beliefs between investors. Generally, speculative value of trading closed-end funds is less than that of trading stocks, so discounts on closed-end fund NAVs occur. Empirical study shows that the new approach gives well explanations to closed-end fund puzzle in Chinese markets.

本文运用博弈论的观点,建立了项目经理与技术人员之间一个两阶段的动态博弈模型,分析了项目管理中项目经理在科研管理当中因使用了过度的控制权,从而抑制了技术人员的努力程度,导致了研发效率的低效率,并提出了相应的解决思路.

本文利用权证及其标的证券的日成交量信息,在O′Hara等人(2002)的基本框架下建立了区分基于公共信息交易和私有信息交易的理论模型,提出了衡量权证交易相对信息不对称性程度的指标。并以实际数据对理论模型的合理性进行了实证检验,结果表明模型与我国权证市场上的投机行为表现基本一致。

This paper investigates seasonality in the Chinese stock markets. We find that there is a distinct seasonal pattern in investor behaviour that is reflected not only returns, but in all aspects of trading activity. In particular, there is evidence of a strong weekend effect with returns, volatility and turnover all significantly higher than average on Fridays, and significantly lower than average on Mondays. We also find a very significant Spring Festival holiday effect. For the other three holidays during which the Chinese stock markets are closed (New Year’s Day, Labour Day and National Day) there is little evidence of significant seasonality. We also find only very weak evidence of monthly seasonality, after controlling for holiday effects.

This paper shows the relationship between capital structure and product market, and there is a balance between the tax shield from bearing debt and current product price which is closely correlated with firm's profitability. Industries with low competitive product markets should have a relatively stable capital structure. And lower competition in product markets mean higher profitability, so higher optimal debt level.

This paper analyzes different incentive functions of the four financial modes,such as short-term equity,long-term equity,short-term debt and long-term debt.The authors compare the agency costs brought by different financing modes using Matlab,and conclude that financing modes such as long-term equity and debt can alleviate the underinvestment problem.By comparing the agency cost of the different financing modes,the authors believe that the characteristics of innovation will affect the choice of incentive mechanism.

Using annual data from 75 technology companies listed in Shanghai and Shenzhen Stock Market,it analyzes the factors which affect the debt-equity ratio.The conclusion is that: The total debt-equity ratio decreases with fixed assets,non-debt tax shield and profitability,increases with asset scale and growth capacity.However,long term debt-equity ratio increases with fixed asset,scale and management shareholding.

A new approach about estimation of term structure are used in the paper to estimate,India and Chinese bond markets.Empirical results show that the market price of interest rate risk in China is zero,but not zero in U.S,India and Japan.Empirical results also show that speculation on Chinese bond market is more severe than on U.S and Japanese bond markets.