学科服务 更多>>

关键词： 量子场理论   利率期限结构   地方政府债远期利率   风险调整  

摘要： 本文利用量子场理论分别对代表无风险的国债远期利率期限结构和代表信用违约风险的利差远期利率期限结构采用二维欧几里德量子场建模,进而构建风险调整下的地方政府债远期利率期限结构.实证分析比较量子场理论下的新模型、量子场理论下的传统模型和传统金融两因子HJM模型的拟合效果,推导出新模型下地方政府债瞬时远期利率的更新过程,对地方政府债瞬时远期利率进行预测并做稳健性检验.研究结构表明:新模型的预测效果显著优于量子场理论下的传统模型和传统金融两因子HJM模型.

关键词： Lottery-type stocks   Turn-of-the-month effect   Earnings announcement   Seasoned equity offerings  

摘要： We show that retail investors' cyclical demand for lottery stocks, which tends to peak at the turn-of-the-month (ToM), has implications for firms' financial activities. Consistent with the notion that the peak in demand is driven by a propensity to gamble that is associated with inattention, we find underreaction to earnings news issued at the ToM by lottery-type firms located in areas with many gambling investors. Lottery-type firms are more likely to issue bad earnings news at ToM, thus benefiting from a less negative price reaction. Similarly, seasoned equity offerings (SEOs) by lottery-type firms are often strategically timed at the ToM, conceivably to take advantage of local retail investors' underreaction and thereby temper the typically negative immediate stock price reaction to the issuance news. Further suggestive of strategic exploitation of local investors peak in demand at the ToM period, lottery-type firms' SEOs at the ToM are also more likely to be offered via an accelerated method that saves the direct marketing costs associated with other offer methods.

关键词： Volatility   Co-movements   Dependency   Copulas   Latin America  

摘要： Purpose Risk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This study examines the dependence structures of volatility, related to co-movements and macroeconomic effects, among Latin American stock markets and the risk-return spectrum benefits in the Latin American market using time-varying returns and volatility forecasts within a multivariate structure. Design/methodology/approach The sample comprised the largest stock markets in Latin America during the period from January 2000 to December 2017 and copulas and multivariate models were applied. Findings The results indicated that the copula with the best fit for modeling the dependence structure of the markets was symmetric Joe-Clayton with time-varying parameters. The dependence volatility structure was higher in the positive (upper tail) than in the negative (lower tail) returns, which may indicate that the Latin American markets had diversification benefits during downturns. Evidence of market coupling was found during times of the global crisis (subprime crisis) in Latin America. The presence of monetary and temporal effects over the dependence structures suggests that investors may obtain gains in a multivariate structure with copula distributions. Originality/value The findings will be of interest to researchers and practitioners for several reasons. First, this study contributes to the growing literature on the relationship between market dependence and volatility. Second, it indicates that the Latin American markets may present diversification advantages during downturns. Third, it informs the influence of macroeconomic effects on Latin American markets. The models that included the nonnormal and asymmetric characteristics of the financial market yielded better results in terms of less information loss and data adherence.

关键词： 历史成本   现值   售后返还   会计处理  

摘要： 在新冠肺炎疫情蔓延的2020年,央行、银保监会对资金密集型的房地产行业监管日益严格,这必然要求房企必须从自身经营效率中寻求发展,导致出现了房企甚至不惜销售后分期返还部分房款的模式,本文就该模式下的会计处理进行了分析。

关键词： 航天产业   商业航天   冲击和影响   发展态势   不确定性   宏观经济环境   全球蔓延   新态势  

摘要： 自2020年初以来,新冠肺炎疫情在全球蔓延,国际秩序重塑的巨大不确定性突显,全球航天产业也正在被冲击和影响。后疫情时期,全球宏观经济环境呈现新特征,国际商业航天发展呈现新态势,我国商业航天产业进入发展新时期。

关键词： 百货零售业   股票   投资   财务比率   南京新百  

摘要： 2020年受新冠肺炎疫情影响,百货零售行业面临第一、二季度的市场寒冬,承受着巨大压力,但也积极响应国家政策,实施各项举措以获得更好发展。通过南京新百的发展现状、行业情况、宏观经济、主要财务指标来分析企业的情况,从而对其营运能力、盈利能力、偿债能力等方面进行评估,结合多方因素评估南京新百股票的投资价值,为投资者提供投资建议。

关键词： 主要经济指标   石油和化学工业   经济运行   产业供应链   石油和化工行业   宏观经济环境   持续恶化   集聚  

摘要： 2020年是极不平凡的一年。新冠疫情突发,全球经济急剧恶化,产业供应链遭受重挫。在党中央坚强领导下,石油和化工行业经济运行迅速终止了下滑局面,呈现稳定恢复态势。经济结构明显改善,增长动力不断集聚,市场逐步回暖,主要经济指标企稳向好。但是,油气开采业效益持续恶化;国际宏观经济环境依然严峻复杂。

关键词： 股债市场   风险溢价   收益率   误差修正模型   Granger因果检验  

摘要： 本文以股票市场整体收益率与债券市场收益率两者之差——风险溢价作为自变量,以未来120天、240天、360天的股票投资收益率作为因变量,对变量之间的关系进行了平稳性检验、协整分析,建立了误差修正模型(ECM),最后进行了Granger因果检验。结果表明股债市场风险溢价对未来股票投资收益率具有显著的正向促进作用,其对于中长期的正向促进作用的弹性明显高于短期;风险溢价是股票投资收益率的Granger原因。最后,根据研究结论给投资者提供了相关建议。

关键词： 企业投资   央行沟通   货币政策   货币政策时滞   利率渠道   信贷渠道  

摘要： 本文对比研究央行沟通对企业投资的短周期引导能力。结果显示:在短周期内由于传导时滞,利率渠道的货币政策难以引导企业增加投资;信贷渠道的货币政策对企业投资有一定的引导作用;央行沟通能够通过预期渠道引导企业投资,但单独实行央行沟通的引导作用仍然有限。如果在进行央行沟通的同时配合信贷政策影响企业持有现金,就可能在短周期引导企业增加投资。此外,企业财务杠杆会减弱央行沟通的效果,企业投资价值对央行沟通效果没有显著影响。

关键词： 股权分置改革股利政策代理理论  

摘要： 本文利用中国A股上市公司2003—2010年的数据研究了股权分置改革对上市公司股利政策的影响。由于每家公司完成股权分置改革的时间不尽相同,这就使得我们可以使用双重差分(DID)的方法来识别股权分置改革对上市公司股利政策的影响。研究发现,股权分置改革之后,国有上市公司显著减少了现金股利的发放;然而股权分置改革对于非国有上市公司的影响并不明显。我们认为,这是由于股权分置改革通过给予非流通股交易权从而减弱了大小股东之间的代理问题,而国有上市公司的代理问题在股权分置改革之前高于非国有上市公司。随后的稳健性检验也验证了之前的结论。本文的研究丰富了股权分置改革、代理问题和股利政策方面的文献,为股权分置改革对上市公司股利政策的影响提供了理论依据。