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关键词： IMF-supported structural reforms   stock market efficiency   Asian crisis   global financial crisis  

摘要： We investigate the impact of the IMF-supported structural reform program in the 1997 Asian crisis on stock market efficiency using the before-after, with-without and event study approaches by applying a time-varying parameter model to eight Asian stock markets. All the supported countries, including Indonesia and Korea, but not Thailand, experienced significantly improved market efficiency after the implementation of the program, implying a positive effect of the program according to the before-after approach. Among the nonsupported countries, China, Taiwan and Malaysia did not improve efficiency (however, Hong Kong and Singapore did) after the start of the crisis, providing some evidence of a positive effect according to the with-without approach. The Thailand, Indonesia and Korean markets showed positive abnormal returns on the days or days following policy announcements in this IMF-supported program, indicating positive effects of the policy according to the event study approach. These findings suggest that the IMF program was successful during the 1997 Asian financial crisis and that it was helpful in resolving the recent global financial crisis.

关键词： Event studies   Information technology   Investments   Poland   Transition economies  

摘要： This study examines stock market reactions to announcements of information technology investments in Poland, an emerging market and transition economy. Based on 66 announcements by companies traded at the Warsaw Stock Exchange in the period 2002-2009, our study confirms some previously published results from studies conducted primarily in highly developed markets, but also shows that specific characteristics of announcements play a more important role than has been commonly assumed. Our results indicate that investors in Poland react more positively if systems are acquired from global rather than local vendors. Announcements about completed projects are more positively received than announcements about planned or in-progress projects. Furthermore, announcements in Polish, targeted at existing shareholders, are more likely to be received positively than similar announcements released in English, targeting global investors. (C) 2012 Elsevier B.V. All rights reserved.

关键词： American depository receipts   International investing   International diversification   Stock market timing   Initial public offerings  

摘要： The initial short-term (21-day) and long-term (3-year) excess returns for foreign initial public offering (IPO) and seasoned equity offering (SEO) American depository receipts (ADRs) listed on the New York stock exchange from 1990 to 2009 are tested to determine differences in performance based on type of issue and date of issue for the decades of the 1990s and the 2000s. The overall sample outperformed the S& P 500 Index by over 5 % after the first 3 years of trading;however, SEO ADRs outperformed IPO ADRs by nearly 19 % (relative to the market index). Breaking IPO and SEO ADR returns down by decade of issue shows that those listed in the 2000s for both samples drastically outperformed those listed in the 1990s in the long term. Both samples of ADRs listed in the 2000s also significantly outperformed the S& P 500 index in the first 36 months of trading. In the short-term results, for the first 21 days of trading, the SEO ADRs significantly outperformed the market by 2.1 %, while IPO ADRs outperformed by 0.97 % (though not significant).

关键词： Executive stock options   Risk aversion   Undiversification   Predictability   FAS123R  

摘要： Executive Stock Options (ESOs) are modified American options that cannot be valued using standard methods. With a few exceptions, the literature has discussed the ESO fair value by assuming unpredictable stock returns which are not supported by the available empirical evidence. In this paper we obtain the fair value of American ESOs when stock returns are predictable and, specifically, driven by the trending Ornstein-Uhlenbeck process of Lo and Wang (1995). We solve the executive's portfolio allocation problem for a simple buy-and-hold strategy when his wealth can be distributed between a risk-free asset and a market portfolio. This problem is jointly solved with the executive's optimal exercise policy. We find that executives tend to wait longer the higher the predictability, independently of the composition of executive's asset menu. We have also analyzed the implications under the FAS123R proposals for the ESO fair value and found that, even for low autocorrelations, there is a meaningful mispricing when unpredictable returns are erroneously assumed. (C) 2012 Elsevier B.V. All rights reserved.

关键词： Financial Statement Analysis   Value   Growth   Price-to-Earnings   Risk   Mispricing  

摘要： The purpose of this paper is two-fold. First, to determine whether there is value premium in our sample of Canadian non-interlisted and interlisted stocks for the period May 1, 1985-April 30, 2010. Second, to examine whether an additional screening to the first step of the value investing process can be employed to separate the good value stocks from the bad ones. For both non-interlisted and interlisted stocks, we document a consistently strong value premium over the sample period, which persists in both bull and bear markets, as well as in recessions and recoveries for non- interlisted stocks, but less so for interlisted stocks. We show that the value premium is not driven by a few outliers, but it is pervasive. Interlisted stocks have a higher value premium than non-interlisted stocks. The other difference between interlisted and non-interlisted firms is with regards to stock liquidity, debt to equity and market cap metrics, as well as to the fact that a typical size effect does not exist for interlisted stocks. We are able to construct a composite score indicator (SCORE), combining various fundamental and market metrics, which enables us to predict future stock returns and separate the winners from the losers among value stocks. Results are stronger for interlisted than non- interlisted stocks. It is not clear, however, whether the SCORE indicator performance is linked to risk as evidence is inconclusive.

关键词： 资本流动   国际贸易   国内物价   冲击效应  

摘要： 在开放经济条件下,国际资本流动和国际贸易与国内物价的联系越来越密切。文章根据不同的汇率机制和宏观经济环境,分四个阶段研究了1994—2011年国际资本流动和国际贸易对国内物价的冲击效应。研究发现,在不同的汇率机制和宏观经济环境下,国际资本流动和国际贸易对国内物价的冲击程度不同。整体上,国际资本流动对物价的冲击相对于国际贸易呈现增大的趋势。因此,在制定宏观经济政策时,除了要考虑国际资本流动和国际贸易对物价的影响外,还要考虑当时的汇率机制和宏观经济环境。

关键词： 农产品市场   小麦   后期   国内   宏观经济环境   影响因素   投放时间   收购价格  

摘要： 后期小麦市场的影响因素①政策预期。明年小麦的政策收购价格和今年产托市小麦投放时间以及拍卖底价调整情况，将对小麦市场产生较大的影响。②经济形势。需密切关注宏观经济环境的变化对内需的影响以及政府出台的相关经济政策。③相关农产品市场。

关键词： 需求驱动   宏观经济环境   终端消费   全球产量   中西部   北半球   油脂   注意力  

摘要： 随着美中西部大豆提前收割，占全球产量半数以上的北半球大豆集中上市，油脂阶段性供应充裕大局落定，市场逐渐将注意力转向中国等需求国家。然而，受累内外交困的宏观经济环境，国内油脂终端消费屡屡呈现旺季不旺的特征。加之国家对食用油提价的政策性调控，油厂及贸易商承接动能亦受到限制。眼下告别“双节”小长假，距离春节的消费高峰期存在一段空档期，油脂或延续弱势调整，逐步释放季节胜压力。

关键词： 现值计量   未来现金流量   折现率  

摘要： 现值计量是能够为信息决策者提供未来现金流量信息的计量属性,更加符合现代会计的目标。文章简单介绍了会计中现值计量的内涵,分析了影响现值计量结果的主要因素,着重阐述了现值计量应用于会计实务中的重要意义,并就如何加强现值计量的作用提出了简单的措施,希望能对现值计量的研究起到一定的作用。

关键词： 汇率变化   经济环境分析   贸易收支   人民币   贬值   日元   宏观   国际收支  

摘要： 引言 目前研究汇率变化影响国际收支的文献很多，结论也不尽相同。究其原因，很多分析为了研究的使得，