Walks, No. 2, in P. Gootner (ed.), The Random Character of Stock Market
中国市场条件下前景理论的实证分析
西安电子科技大学学报（社会科学版）
Journal of Xidian University(Social Science Edition)
May.2011 Vol.21 No.3
■ 经济学
中国市场条件下前景理论的实证分析
张海峰，张 维，邹高峰，熊 熊
（天津大学 管理与经济学部，天津 300072）
了修正，将参考点引入到效用函数中，数学上呈现出“反 S 型”，在经济意义上表现为面对损失时风
险厌恶，而面对赢利时风险喜好[5]。其实，对于传统预期效用理论的修正，Kahneman 和 Tversky 提出
的前景理论（Prospect Theory，以下简称 PT）也具有相当的影响力，此理论有效突破了 EUT，更好地
文风华等则采用egarch模型提取到达市场上的信息流作为财富改变的代理变量利用两阶段幂效用价值函数对十个国家股票市场综合指数的日收益率实证研究表明价值函数均呈现反s型与多数心理实验中个体决策者表现出s型迥然有别lpost和levy使用多种随机占优标准在市场集结层面上支持对损失的风险厌恶和对盈利的风险喜好的效用函可见目前对于投资者的决策偏好特征存在不一致的结论因此进一步捕捉我国证券市场投资者的决策偏好结构确实具有重要的理论和实践意义
x
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Dr2 (x) = ∫ax Fr (u)du = ∫ax Dr1 (u)du
生与死的平稳线性响应随机漫步动力学异常持续时间
生与死的平稳线性响应随机漫步动力学异常持续时间*作者：Igor Goychuk†物理学和天文学研究所，波茨坦大学，Karl-Liebknecht-Str. 24/25, 14476 Potsdam-Golm, 德国（2014年2月18日收到;修订后的手稿收到日期：2014年4月25日）摘要：稳态响应的线性理论系统热平衡来往,需要找到平衡副调制函数的非微扰响应系统。
研究系统的响应表现出异常缓慢动力学通常基于连续时间随机漫步描述与不同的平均等待时间。
大部分文献异常响应包含线性响应函数像一个从这样一个CTRW Cole-Cole计算理论和应用系统热平衡。
这里我们显示在一个非常简单的和一般模型,系统与不同的平均等待时间在热平衡不在固定的反应,按照最近的一些研究。
没有固定的响应(或渴望零非平稳re-sponse老化实验)确认与发散CTRW意味着等待时间作为底层物理弛豫机制,但拒绝它。
我们表明,没有固定的反应密切相关相应的动力学变量的遍历性的破坏。
作为一个重要的新结果,我们得到一个广义Cole-Cole响应在遍历CTRW动力学与有限的等待时间。
此外,我们提供一个物理上合理解释起源和广泛存在的1 / f噪声在凝聚态遍历动态接近正常,而不是强烈的偏差。
PACS代码：05.40.-a, 05.10.Gg, 77.22.-d关键词：随机漫步,异常反应和放松、平稳性、老化,1 / f噪声1、简介所有主要的物理起源异常响应函数,包括Cole-Cole响应中所谓的快或—放松在复杂的液体和眼镜。
后者是相对较快(持久微微毫秒,即使它遵循幂律),和相应的反应很快就会变得静止的时间尺度上观察。
紧随其后的是—放松,这通常是被Kohlrausch-Williams-Watts延伸型指数函数依赖,或更好的Cole-Davidson放松法。
—放松延伸104−106秒在典型的老化实验,,直到达到平稳响应机制。
固定反应需要计算固定自相关函数(ACF)。
英文资料
An Analysis of the Irrational ChineseStock MarketY uan Bing1 IntroductionThrough two decades of development, the Chinese stock market has become an important part of capital markets in China. However, to compare with other relatively mature market such as U.S.A, UK and Japan, it is hardly surprising that the Chinese stock market is just like a huge casino which is full of opportunistic investors. Even worse, an increasing number of people with little investment knowledge enter the stock market, which makes the stock market more massive and uncertain. As a result, the stock market often has dramatic rises and falls in a relatively short time that has become a bottleneck of development of the stock market. A lot of research has been done in the stock market’s technical level to explain this phenomenon. However, the researcher will focus exclusively on the behavior of investors and the special social environment and culture in China the factors which influence people decision to invest in stocks.2 Background and Reasons2.1 The wealth gap in ChinaChinese economics have a dramatic increasing in three decades years. As a result of this, the wealth gap also is becoming wider. He (2009) did a survey report of the wealth gap problem in China. According to her survey, around 80.24% of 1496 respondents believed that the Chinese wealth gap is wide. This shows that the gap between rich and poor in China is reallybig that has a high social identity. To see the rich people who have high quality lives, poor people are always looking for the way to get rich quickly. A bloom of the Chinese stock market just gives them a hope.2.2 The status of Chinese's stock marketAccording to the Monthly Bulletin of Statistics of Shanghai exchange in May of 2011, the number of shareholders accounts is 84,281,000. 83,895,000 of them are individual investors which occupy 99.5% of the total while institutional investors only have 386,100 with around 0.5%. That is to say, in China, most investors are individual. Therefore, these individual investors’ behaviors play a significant role in the behavior of the Chinese stock market.Lots of evidences show that the Chinese stock market is irrational. Researchers studied the Turnover Ratio of the Chinese stock market and individual stocks respectively. In terms of market turnover, researcher found that the Turnover Ratio of the Chinese stock market (Shanghai Stock Exchange and Shenzhen Stock Exchange) is higher than other Exchanges in the world. They compared seven stock exchanges Turnover Ratio which include NYSE, NASDAQ, Tokyo, London, Hong Kong, Shanghai and Shenzhen between 1992 and 2001. The data shows that Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE) got the highest turnover ratio every year and it is much higher than other stock exchanges. They also pointed out that in mature rational stock market, the Turnover Ratio should be about 30%. If it is much higher than this number, that shows the stock market is occupied by irrational components. Statistics from the China Securities Regulatory Commission (2009), in 2007, the Turnover Ratio reached 1062.04% in SZSE and 953.16% in SHSE. That means investors in the Chinese stock market hold stocks just for a short time, and they always change the stocks, this is one of the irrational behaviors.Zhao (2003) concentrates on the relevance between stock market price and its intrinsic value. He pointed out that on average, market price of stock in Mainland Chinese is much higher than its value estimate and that the market price for ST class stock is even higher. This evidence clearly shows that the investors do not care about the intrinsic value of stocks, they only focus on getting profits from stocks price changing.2.3 Standard Finance: The Efficient Market Hypothesis (EMH)There are two main branches in finance that can be used to analyze the stock market: standard finance and behavioral finance. Efficient Market Hypothesis (EMH) is one of the most important theories within standard finance since the 1960s which was established by Fama (1965). Nichols (1993) and Ricciardi (2004) gave the main idea that the Efficient Market Hypothesis is that due to the financial markets are totally efficient, investors can process information immediately and the prices are decided by all existing information.There are two keys in the hypothesis: one is that investors are completely rational and the other one is that rational investors just depend on information to trade rather than their intuitions. That is to say, the investors will not be influenced by their psychological factors and cultural background. However, the standard finance has been developed into a theoretical system, which is built on rigorous mathematical theory. In other words, if it be used in irrational stock market such as the Chinese stock market, the actual effect will be greatly reduced because of its assumptions. In fact, no one can be totally rational in stock market. For example, people may get wrong information sometime that will influence them to make judgment. To summarize, the models and paradigms of EMH are limited in rational analysis framework and ignore the analysis and decision-making of actual market participants. With more and more abnormal phenomenon discovering, it is difficult to use standard finance s uch as EMH theory to analyze the actual situation. On this basis, the behavioral finance has become more and more popular.2.4 Behavioral FinanceB ehavioral finance is relative to EMH because it focuses on investors’ behaviors and how they make final decision. Diametrically opposed to the EMH, the behavioral finance considers that investors do not completely rational. Firstly, in the cognitive process, the people who based on sensation, perception, memory, thinking and language have the cognitive biases. Secondly, in the emotional process, the investors will have the emotional bias because of their own preferences, personality, beliefs and emotions. Finally, investors make investment decisions through these two processes that generate differences of people who are processing the same information. Schick (1990, p.19) said that:For investors, there is probably a direct link between the cognitive biases and mental errorsassociated with behavioral finance and the topic of information overload. Although Schick (1990)’s research supported this statement of behavioral finance, the lack of quantitative research reduces the reliability and scientific rigor. It is also the weaknesses of the financial behavior.2.4.1 OverconfidenceShefrin(2000) identified the overconfidence as a kind of overestimation the probability of uncertain events behavior. His research in psychology found that if people claim that he or she feels 90% confident in doing something, the probability of success has only about 70% generally. Also, overconfidence is shown in self-evaluation. People often unrealistically optimistically evaluate themselves (Greenwald, 1980). That is to say, people may always think they can do better than peers. For example, an average of 22-years-old American students sample test showed that when assessing the safety of their driving, 82% of them believed that they are in the top 30% group (Svenson, 1981).In the stock market, because of overconfidence, people may think they can make money in investment so they invest recklessly. Moreover, when overconfident investors are filtering market information, they only focus on information which can enhance self-confidence but ignore information which may harm their self-confidence. Therefore, a bias will be produced through processing information that may make mistakes.2.4.2 Loss AversionIn Odean’s(1998) research, he found that in economic activities, people always put how to avoid the loss in the first place; then, earnings. The research showed that the amount of loss caused twice as much negative effect as the same amount of revenue. So it could be concluded that the impact of loss is more powerful effect much more than the impact of earnings. However, this research just focuses on western people but not Chinese people. How Chinese people feel when they are facing the loss and the earnings is still unknown.To summarize, the standard finance focuses on analyzing the data to explain a number market phenomenon while behavioral finance stand the perspective of individual s’ action in market. Thus, the latter is more useful in analysis of an irrational stock market than the former.However, although these theories have been successfully applied in relatively mature stock markets; what extent these theories can apply to the Chinese market is still in a question.2.5 Cross–Cultural Differences in Risk PerceptionHowever, behavioral finance still can not to fully explain such a huge different performance between the Chinese stock market and other relatively mature markets. Recently, although factors of culture in risk management research area are becoming increasingly important, only a few researches did in-depth analysis. Weber & Hsee (1998) did the experiment in four countries to prove people who come from different culture have different risk preferences. The result demonstrates that Chinese people like higher risk than other three countries (U.S.A, German and Poland). They also found that people who come from the same country just have a little difference of risk preferences while people who come from different countries have much more difference in result. Hsee & Weber (1999) propose cushion on hypothesis. They argue that because Chinese people can get support from their families easier than American, they show more preference in risk. However, they do not show any evidence about this hypothesis and the explanation is not detailed.3Results and AnalysisAn interview was conducted online by using chatting software (QQ). The interviewees entered the stock market between 1990 and 2010. The minimum one entered the stock market just for six months while the longest one entered the market for 21 years.All respondents were confident and full of hopes at beginning of entering the stock market, which can be called optimistic entering the market. According to Shefrin (2000)’s research which is about the overconfidence, people might show the characteristic of optimism in their abilities and expectation. The researcher will classify of the optimistic entering the stock market in three types. One of them is interests’temptation. The second one is people are impacted by peers groups. The third one is curiosity and fashion.3.1 I nterests’ temptationMiss E is the earliest one of interviewee who entered the stock market, in 1990. She said: “onthe someday of October 1990, I occasionally heard this new thing which is the stock market from my friend who worked in securities firm. On the second day, I just used all of my salary savings- 5000 Yuan to open an account because I was so exciting when my friend told me how easily make money from the stock market.” Others who entered the stock market are also as the same reason. After respondent Mr. A got a master’s degree, he worked for a newspaper company. Because of the low salary, in May of 2005, he put his 3 years salary savings- 20,000 Yuan into the stock market because “my friend made money from the market”, he said. The respondent Mr. H recalled: “in 1991, it was the first expansion of the Shenzhen stock market. Many companies issued shares. I heard every one made money if they bought the new stocks. So I joined them in the next expansion of the Shenzhen stock market in 1992.”These examples demonstrate that interviewees entered the stock market when it was a bull market. By “easily making mone y” effect, they excitedly start to invest the stock market despite of the knowledge shortage. Because the lack of investment knowledge, they even do not know the risk existing but only know investing in the stock market can make money quickly as according to their words: “Just know nothing about the stock market but know to make money quickly.” As a result, they bought the stock market by following others.3.2 HerdingThe interviewee Miss D entered the stock market because she couldn’t find a suitable job after her family moving to Shanghai from Qingdao so she became a housewife. All of her four close friends were investing stocks at that time and one of them has 10 years experience in investment. She called her “veteran” although this “veteran” was in loss status. “Because they always talked the stock market, shared experience. If I do not try, it is hard to communicate with them.” D said. So she invested in the stock market and listen to her friends’recommendations to choose stocks. Chinese people like to observe others such as friends, workmates and families then follow their actions if people found that many others are doing the same thing such as investment that might be irrational behavior because people do not exactly know what they should do but just following others.When interviewees were asked about earnings from the stock market, 4 of 6 people are losing money so far. B has already lost about 60% of his investment funds so far. He complained: “I always sell the increasing stock too early but try to hold a decreasing stock until it rises back.As a result, when I was making money, it is just a little; when I was losing money, it usually huge because some decreasing stock would decrease more and more.” The interview C who has lost around 20% of his funds so far has this feeling as well. This can be explained by the Loss Aversion theory (Odean, 1998). In the stock market, because people hate to face the determined loss (selling stocks when the price is below the buying point), they probably would hold the decreasing stock until it start profiting then sell it. However, the stock might decrease more and more that will make more loss. So the loss aversion also is an irrational behavior for Chinese investors.4 SuggestionsFirstly, the investment education should be highlighted in the stock market. To establish a compulsory education system before allowing people entering the stock market is an effective way to improve the quality of investors. Secondly, because of the low function of stock brokers in China and huge number of Chinese investors, the independent personal investment consultant firms which can give individual investors suggestions and information of the stocks would benefit the investors. Also, the media can not only publicize successful examples in the stock market, but also need warm the public that there are high risks in the stock market to make people who are overconfidence clam down.。
行为金融学的理论框架
行为金融学的理论框架行为金融学的理论框架 200607自1980年代以来，行为金融学逐渐受到重视，此研究领域相关理论的起源有二：一方面是因为许多实证研究发现传统理论无法解释的异常现象；另一方面则是和Kahneman and Tverskey（1979，以下简称为KT）所发表的展望理论有关。
本文试图针对展望理论与其他相关理论作详尽的介绍。
文章的这一部分只是作者预期的最后成稿的一个基础，希望在接下来的一段时间之内给出展望理论的相关研究结果，和行为金融学的其他理论发展。
一、展望理论（一）理论发展KT（1979）指出传统预期效用理论无法完全描述个人在不确定情况下的决策行为。
他们以大学教授和学生为基础进行问卷调查，发现大部分受访者的回答显示许多偏好违反传统预期效用理论的现象，并据此提出另一种经济行为的模型，称为展望理论。
KT将这些违反传统预期效用理论的部分归纳出下列三个效应来说明：⑴确定性效应（certainty effect）此效应是指相对与不确定的结局（outcome）来说，个人对于结果确定的结局会过度重视。
KT设计了两个问题来说明确定效应。
第一个问题是，假设有两个赌局：第一个赌局有33％的机会得到2,500元，66%的机会得到2,400元，另外1％的机会什么也没有，第二个督军是确定得到2,400，问卷的结果显示有82％的受访者选择第二个赌局。
第二个问题也假设有两个赌局：第一个赌局有33％的机会得到2,500元，67％的机会什么也没有。
第二个赌局有34％的机会得到2,400元，66％的机会什么也没有。
问卷的结果显示有83％的受访者选择第一个赌局。
比较以上两个问题可知，根据预期效用理论，第一个问题的偏好为?u(2,400)>0.33u(2,500)+0.66u(2,400)或0.34u(2,400)>0.33u(2,500)，其中u(.)为效用函数。
第二个问题的偏好却是0.34u(2,400)<u(2,500)，这明显地违反预期效用理论。
中国股票市场价格波动的模型分析
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美国公司法证券法历年经典论文列表
美国是世界上公司法、证券法研究最为发达的国家之一，在美国法学期刊（Law Review & Journals）上每年发表400多篇以公司法和证券法为主题的论文。
自1994年开始，美国的公司法学者每年会投票从中遴选出10篇左右重要的论文，重印于Corporate Practice Commentator，至2008年，已经评选了15年，计177篇论文入选。
以下是每年入选的论文列表：2008年（以第一作者姓名音序为序）：1.Anabtawi, Iman and Lynn Stout. Fiduciary duties for activist shareholders. 60 Stan. L. Rev. 1255-1308 (2008).2.Brummer, Chris. Corporate law preemption in an age of global capital markets. 81 S. Cal. L. Rev. 1067-1114 (2008).3.Choi, Stephen and Marcel Kahan. The market penalty for mutual fund scandals. 87 B.U. L. Rev. 1021-1057 (2007).4.Choi, Stephen J. and Jill E. Fisch. On beyond CalPERS: Survey evidence on the developing role of public pension funds in corporate governance. 61 V and. L. Rev. 315-354 (2008).5.Cox, James D., Randall S. Thoma s and Lynn Bai. There are plaintiffs and…there are plaintiffs: An empirical analysis of securities class action settlements. 61 V and. L. Rev. 355-386 (2008).6.Henderson, M. Todd. Paying CEOs in bankruptcy: Executive compensation when agency costs are low. 101 Nw. U. L. Rev. 1543-1618 (2007).7.Hu, Henry T.C. and Bernard Black. Equity and debt decoupling and empty voting II: Importance and extensions. 156 U. Pa. L. Rev. 625-739 (2008).8.Kahan, Marcel and Edward Rock. The hanging chads of corporate voting. 96 Geo. L.J. 1227-1281 (2008).9.Strine, Leo E., Jr. Toward common sense and common ground? Reflections on the shared interests of managers and labor in a more rational system of corporate governance. 33 J. Corp. L. 1-20 (2007).10.Subramanian, Guhan. Go-shops vs. no-shops in private equity deals: Evidence and implications.63 Bus. Law. 729-760 (2008).2007年：1.Baker, Tom and Sean J. Griffith. The Missing Monitor in Corporate Governance: The Directors’ & Officers’ Liability Insurer. 95 Geo. L.J. 1795-1842 (2007).2.Bebchuk, Lucian A. The Myth of the Shareholder Franchise. 93 V a. L. Rev. 675-732 (2007).3.Choi, Stephen J. and Robert B. Thompson. Securities Litigation and Its Lawyers: Changes During the First Decade After the PSLRA. 106 Colum. L. Rev. 1489-1533 (2006).4.Coffee, John C., Jr. Reforming the Securities Class Action: An Essay on Deterrence and Its Implementation. 106 Colum. L. Rev. 1534-1586 (2006).5.Cox, James D. and Randall S. Thomas. Does the Plaintiff Matter? An Empirical Analysis of Lead Plaintiffs in Securities Class Actions. 106 Colum. L. Rev. 1587-1640 (2006).6.Eisenberg, Theodore and Geoffrey Miller. Ex Ante Choice of Law and Forum: An Empirical Analysis of Corporate Merger Agreements. 59 V and. L. Rev. 1975-2013 (2006).7.Gordon, Jeffrey N. The Rise of Independent Directors in the United States, 1950-2005: Of Shareholder V alue and Stock Market Prices. 59 Stan. L. Rev. 1465-1568 (2007).8.Kahan, Marcel and Edward B. Rock. Hedge Funds in Corporate Governance and Corporate Control. 155 U. Pa. L. Rev. 1021-1093 (2007).ngevoort, Donald C. The Social Construction of Sarbanes-Oxley. 105 Mich. L. Rev. 1817-1855 (2007).10.Roe, Mark J. Legal Origins, Politics, and Modern Stock Markets. 120 Harv. L. Rev. 460-527 (2006).11.Subramanian, Guhan. Post-Siliconix Freeze-outs: Theory and Evidence. 36 J. Legal Stud. 1-26 (2007). (NOTE: This is an earlier working draft. The published article is not freely available, and at SLW we generally respect the intellectual property rights of others.)2006年：1.Bainbridge, Stephen M. Director Primacy and Shareholder Disempowerment. 119 Harv. L. Rev. 1735-1758 (2006).2.Bebchuk, Lucian A. Letting Shareholders Set the Rules. 119 Harv. L. Rev. 1784-1813 (2006).3.Black, Bernard, Brian Cheffins and Michael Klausner. Outside Director Liability. 58 Stan. L. Rev. 1055-1159 (2006).4.Choi, Stephen J., Jill E. Fisch and A.C. Pritchard. Do Institutions Matter? The Impact of the Lead Plaintiff Provision of the Private Securities Litigation Reform Act. 835.Cox, James D. and Randall S. Thomas. Letting Billions Slip Through Y our Fingers: Empirical Evidence and Legal Implications of the Failure of Financial Institutions to Participate in Securities Class Action Settlements. 58 Stan. L. Rev. 411-454 (2005).6.Gilson, Ronald J. Controlling Shareholders and Corporate Governance: Complicating the Comparative Taxonomy. 119 Harv. L. Rev. 1641-1679 (2006).7.Goshen , Zohar and Gideon Parchomovsky. The Essential Role of Securities Regulation. 55 Duke L.J. 711-782 (2006).8.Hansmann, Henry, Reinier Kraakman and Richard Squire. Law and the Rise of the Firm. 119 Harv. L. Rev. 1333-1403 (2006).9.Hu, Henry T. C. and Bernard Black. Empty V oting and Hidden (Morphable) Ownership: Taxonomy, Implications, and Reforms. 61 Bus. Law. 1011-1070 (2006).10.Kahan, Marcel. The Demand for Corporate Law: Statutory Flexibility, Judicial Quality, or Takeover Protection? 22 J. L. Econ. & Org. 340-365 (2006).11.Kahan, Marcel and Edward Rock. Symbiotic Federalism and the Structure of Corporate Law.58 V and. L. Rev. 1573-1622 (2005).12.Smith, D. Gordon. The Exit Structure of V enture Capital. 53 UCLA L. Rev. 315-356 (2005).2005年：1.Bebchuk, Lucian Arye. The case for increasing shareholder power. 118 Harv. L. Rev. 833-914 (2005).2.Bratton, William W. The new dividend puzzle. 93 Geo. L.J. 845-895 (2005).3.Elhauge, Einer. Sacrificing corporate profits in the public interest. 80 N.Y.U. L. Rev. 733-869 (2005).4.Johnson, . Corporate officers and the business judgment rule. 60 Bus. Law. 439-469 (2005).haupt, Curtis J. In the shadow of Delaware? The rise of hostile takeovers in Japan. 105 Colum. L. Rev. 2171-2216 (2005).6.Ribstein, Larry E. Are partners fiduciaries? 2005 U. Ill. L. Rev. 209-251.7.Roe, Mark J. Delaware?s politics. 118 Harv. L. Rev. 2491-2543 (2005).8.Romano, Roberta. The Sarbanes-Oxley Act and the making of quack corporate governance. 114 Y ale L.J. 1521-1611 (2005).9.Subramanian, Guhan. Fixing freezeouts. 115 Y ale L.J. 2-70 (2005).10.Thompson, Robert B. and Randall S. Thomas. The public and private faces of derivative lawsuits. 57 V and. L. Rev. 1747-1793 (2004).11.Weiss, Elliott J. and J. White. File early, then free ride: How Delaware law (mis)shapes shareholder class actions. 57 V and. L. Rev. 1797-1881 (2004).2004年：1Arlen, Jennifer and Eric Talley. Unregulable defenses and the perils of shareholder choice. 152 U. Pa. L. Rev. 577-666 (2003).2.Bainbridge, Stephen M. The business judgment rule as abstention doctrine. 57 V and. L. Rev. 83-130 (2004).3.Bebchuk, Lucian Arye and Alma Cohen. Firms' decisions where to incorporate. 46 J.L. & Econ. 383-425 (2003).4.Blair, Margaret M. Locking in capital: what corporate law achieved for business organizers in the nineteenth century. 51 UCLA L. Rev. 387-455 (2003).5.Gilson, Ronald J. and Jeffrey N. Gordon. Controlling shareholders. 152 U. Pa. L. Rev. 785-843 (2003).6.Roe, Mark J. Delaware 's competition. 117 Harv. L. Rev. 588-646 (2003).7.Sale, Hillary A. Delaware 's good faith. 89 Cornell L. Rev. 456-495 (2004).8.Stout, Lynn A. The mechanisms of market inefficiency: an introduction to the new finance. 28 J. Corp. L. 635-669 (2003).9.Subramanian, Guhan. Bargaining in the shadow of takeover defenses. 113 Y ale L.J. 621-686 (2003).10.Subramanian, Guhan. The disappearing Delaware effect. 20 J.L. Econ. & Org. 32-59 (2004)11.Thompson, Robert B. and Randall S. Thomas. The new look of shareholder litigation: acquisition-oriented class actions. 57 V and. L. Rev. 133-209 (2004).2003年：1.A yres, Ian and Stephen Choi. Internalizing outsider trading. 101 Mich. L. Rev. 313-408 (2002).2.Bainbridge, Stephen M. Director primacy: The means and ends of corporate governance. 97 Nw. U. L. Rev. 547-606 (2003).3.Bebchuk, Lucian, Alma Cohen and Allen Ferrell. Does the evidence favor state competition in corporate law? 90 Cal. L. Rev. 1775-1821 (2002).4.Bebchuk, Lucian Arye, John C. Coates IV and Guhan Subramanian. The Powerful Antitakeover Force of Staggered Boards: Further findings and a reply to symposium participants. 55 Stan. L. Rev. 885-917 (2002).5.Choi, Stephen J. and Jill E. Fisch. How to fix Wall Street: A voucher financing proposal for securities intermediaries. 113 Y ale L.J. 269-346 (2003).6.Daines, Robert. The incorporation choices of IPO firms. 77 N.Y.U. L. Rev.1559-1611 (2002).7.Gilson, Ronald J. and David M. Schizer. Understanding venture capital structure: A taxexplanation for convertible preferred stock. 116 Harv. L. Rev. 874-916 (2003).8.Kahan, Marcel and Ehud Kamar. The myth of state competition in corporate law. 55 Stan. L. Rev. 679-749 (2002).ngevoort, Donald C. Taming the animal spirits of the stock markets: A behavioral approach to securities regulation. 97 Nw. U. L. Rev. 135-188 (2002).10.Pritchard, A.C. Justice Lewis F. Powell, Jr., and the counterrevolution in the federal securities laws. 52 Duke L.J. 841-949 (2003).11.Thompson, Robert B. and Hillary A. Sale. Securities fraud as corporate governance: Reflections upon federalism. 56 V and. L. Rev. 859-910 (2003).2002年：1.Allen, William T., Jack B. Jacobs and Leo E. Strine, Jr. Function over Form: A Reassessment of Standards of Review in Delaware Corporation Law. 26 Del. J. Corp. L. 859-895 (2001) and 56 Bus. Law. 1287 (2001).2.A yres, Ian and Joe Bankman. Substitutes for Insider Trading. 54 Stan. L. Rev. 235-254 (2001).3.Bebchuk, Lucian Arye, Jesse M. Fried and David I. Walker. Managerial Power and Rent Extraction in the Design of Executive Compensation. 69 U. Chi. L. Rev. 751-846 (2002).4.Bebchuk, Lucian Arye, John C. Coates IV and Guhan Subramanian. The Powerful Antitakeover Force of Staggered Boards: Theory, Evidence, and Policy. 54 Stan. L. Rev. 887-951 (2002).5.Black, Bernard and Reinier Kraakman. Delaware’s Takeover Law: The Uncertain Search for Hidden V alue. 96 Nw. U. L. Rev. 521-566 (2002).6.Bratton, William M. Enron and the Dark Side of Shareholder V alue. 76 Tul. L. Rev. 1275-1361 (2002).7.Coates, John C. IV. Explaining V ariation in Takeover Defenses: Blame the Lawyers. 89 Cal. L. Rev. 1301-1421 (2001).8.Kahan, Marcel and Edward B. Rock. How I Learned to Stop Worrying and Love the Pill: Adaptive Responses to Takeover Law. 69 U. Chi. L. Rev. 871-915 (2002).9.Kahan, Marcel. Rethinking Corporate Bonds: The Trade-off Between Individual and Collective Rights. 77 N.Y.U. L. Rev. 1040-1089 (2002).10.Roe, Mark J. Corporate Law’s Limits. 31 J. Legal Stud. 233-271 (2002).11.Thompson, Robert B. and D. Gordon Smith. Toward a New Theory of the Shareholder Role: "Sacred Space" in Corporate Takeovers. 80 Tex. L. Rev. 261-326 (2001).2001年：1.Black, Bernard S. The legal and institutional preconditions for strong securities markets. 48 UCLA L. Rev. 781-855 (2001).2.Coates, John C. IV. Takeover defenses in the shadow of the pill: a critique of the scientific evidence. 79 Tex. L. Rev. 271-382 (2000).3.Coates, John C. IV and Guhan Subramanian. A buy-side model of M&A lockups: theory and evidence. 53 Stan. L. Rev. 307-396 (2000).4.Coffee, John C., Jr. The rise of dispersed ownership: the roles of law and the state in the separation of ownership and control. 111 Y ale L.J. 1-82 (2001).5.Choi, Stephen J. The unfounded fear of Regulation S: empirical evidence on offshore securities offerings. 50 Duke L.J. 663-751 (2000).6.Daines, Robert and Michael Klausner. Do IPO charters maximize firm value? Antitakeover protection in IPOs. 17 J.L. Econ. & Org. 83-120 (2001).7.Hansmann, Henry and Reinier Kraakman. The essential role of organizational law. 110 Y ale L.J. 387-440 (2000).ngevoort, Donald C. The human nature of corporate boards: law, norms, and the unintended consequences of independence and accountability. 89 Geo. L.J. 797-832 (2001).9.Mahoney, Paul G. The political economy of the Securities Act of 1933. 30 J. Legal Stud. 1-31 (2001).10.Roe, Mark J. Political preconditions to separating ownership from corporate control. 53 Stan. L. Rev. 539-606 (2000).11.Romano, Roberta. Less is more: making institutional investor activism a valuable mechanism of corporate governance. 18 Y ale J. on Reg. 174-251 (2001).2000年：1.Bratton, William W. and Joseph A. McCahery. Comparative Corporate Governance and the Theory of the Firm: The Case Against Global Cross Reference. 38 Colum. J. Transnat’l L. 213-297 (1999).2.Coates, John C. IV. Empirical Evidence on Structural Takeover Defenses: Where Do We Stand?54 U. Miami L. Rev. 783-797 (2000).3.Coffee, John C., Jr. Privatization and Corporate Governance: The Lessons from Securities Market Failure. 25 J. Corp. L. 1-39 (1999).4.Fisch, Jill E. The Peculiar Role of the Delaware Courts in the Competition for Corporate Charters. 68 U. Cin. L. Rev. 1061-1100 (2000).5.Fox, Merritt B. Retained Mandatory Securities Disclosure: Why Issuer Choice Is Not Investor Empowerment. 85 V a. L. Rev. 1335-1419 (1999).6.Fried, Jesse M. Insider Signaling and Insider Trading with Repurchase Tender Offers. 67 U. Chi. L. Rev. 421-477 (2000).7.Gulati, G. Mitu, William A. Klein and Eric M. Zolt. Connected Contracts. 47 UCLA L. Rev. 887-948 (2000).8.Hu, Henry T.C. Faith and Magic: Investor Beliefs and Government Neutrality. 78 Tex. L. Rev. 777-884 (2000).9.Moll, Douglas K. Shareholder Oppression in Close Corporations: The Unanswered Question of Perspective. 53 V and. L. Rev. 749-827 (2000).10.Schizer, David M. Executives and Hedging: The Fragile Legal Foundation of Incentive Compatibility. 100 Colum. L. Rev. 440-504 (2000).11.Smith, Thomas A. The Efficient Norm for Corporate Law: A Neotraditional Interpretation of Fiduciary Duty. 98 Mich. L. Rev. 214-268 (1999).12.Thomas, Randall S. and Kenneth J. Martin. The Determinants of Shareholder V oting on Stock Option Plans. 35 Wake Forest L. Rev. 31-81 (2000).13.Thompson, Robert B. Preemption and Federalism in Corporate Governance: Protecting Shareholder Rights to V ote, Sell, and Sue. 62 Law & Contemp. Probs. 215-242 (1999).1999年（以第一作者姓名音序为序）：1.Bankman, Joseph and Ronald J. Gilson. Why Start-ups? 51 Stan. L. Rev. 289-308 (1999).2.Bhagat, Sanjai and Bernard Black. The Uncertain Relationship Between Board Composition and Firm Performance. 54 Bus. Law. 921-963 (1999).3.Blair, Margaret M. and Lynn A. Stout. A Team Production Theory of Corporate Law. 85 V a. L. Rev. 247-328 (1999).4.Coates, John C., IV. “Fair V alue” As an A voidable Rule of Corporate Law: Minority Discounts in Conflict Transactions. 147 U. Pa. L. Rev. 1251-1359 (1999).5.Coffee, John C., Jr. The Future as History: The Prospects for Global Convergence in Corporate Governance and Its Implications. 93 Nw. U. L. Rev. 641-707 (1999).6.Eisenberg, Melvin A. Corporate Law and Social Norms. 99 Colum. L. Rev. 1253-1292 (1999).7.Hamermesh, Lawrence A. Corporate Democracy and Stockholder-Adopted By-laws: Taking Back the Street? 73 Tul. L. Rev. 409-495 (1998).8.Krawiec, Kimberly D. Derivatives, Corporate Hedging, and Shareholder Wealth: Modigliani-Miller Forty Y ears Later. 1998 U. Ill. L. Rev. 1039-1104.ngevoort, Donald C. Rereading Cady, Roberts: The Ideology and Practice of Insider Trading Regulation. 99 Colum. L. Rev. 1319-1343 (1999).ngevoort, Donald C. Half-Truths: Protecting Mistaken Inferences By Investors and Others.52 Stan. L. Rev. 87-125 (1999).11.Talley, Eric. Turning Servile Opportunities to Gold: A Strategic Analysis of the Corporate Opportunities Doctrine. 108 Y ale L.J. 277-375 (1998).12.Williams, Cynthia A. The Securities and Exchange Commission and Corporate Social Transparency. 112 Harv. L. Rev. 1197-1311 (1999).1998年：1.Carney, William J., The Production of Corporate Law, 71 S. Cal. L. Rev. 715-780 (1998).2.Choi, Stephen, Market Lessons for Gatekeepers, 92 Nw. U. L. Rev. 916-966 (1998).3.Coffee, John C., Jr., Brave New World?: The Impact(s) of the Internet on Modern Securities Regulation. 52 Bus. Law. 1195-1233 (1997).ngevoort, Donald C., Organized Illusions: A Behavioral Theory of Why Corporations Mislead Stock Market Investors (and Cause Other Social Harms). 146 U. Pa. L. Rev. 101-172 (1997).ngevoort, Donald C., The Epistemology of Corporate-Securities Lawyering: Beliefs, Biases and Organizational Behavior. 63 Brook. L. Rev. 629-676 (1997).6.Mann, Ronald J. The Role of Secured Credit in Small-Business Lending. 86 Geo. L.J. 1-44 (1997).haupt, Curtis J., Property Rights in Firms. 84 V a. L. Rev. 1145-1194 (1998).8.Rock, Edward B., Saints and Sinners: How Does Delaware Corporate Law Work? 44 UCLA L. Rev. 1009-1107 (1997).9.Romano, Roberta, Empowering Investors: A Market Approach to Securities Regulation. 107 Y ale L.J. 2359-2430 (1998).10.Schwab, Stewart J. and Randall S. Thomas, Realigning Corporate Governance: Shareholder Activism by Labor Unions. 96 Mich. L. Rev. 1018-1094 (1998).11.Skeel, David A., Jr., An Evolutionary Theory of Corporate Law and Corporate Bankruptcy. 51 V and. L. Rev. 1325-1398 (1998).12.Thomas, Randall S. and Martin, Kenneth J., Should Labor Be Allowed to Make Shareholder Proposals? 73 Wash. L. Rev. 41-80 (1998).1997年：1.Alexander, Janet Cooper, Rethinking Damages in Securities Class Actions, 48 Stan. L. Rev. 1487-1537 (1996).2.Arlen, Jennifer and Kraakman, Reinier, Controlling Corporate Misconduct: An Analysis of Corporate Liability Regimes, 72 N.Y.U. L. Rev. 687-779 (1997).3.Brudney, Victor, Contract and Fiduciary Duty in Corporate Law, 38 B.C. L. Rev. 595-665 (1997).4.Carney, William J., The Political Economy of Competition for Corporate Charters, 26 J. Legal Stud. 303-329 (1997).5.Choi, Stephen J., Company Registration: Toward a Status-Based Antifraud Regime, 64 U. Chi. L. Rev. 567-651 (1997).6.Fox, Merritt B., Securities Disclosure in a Globalizing Market: Who Should Regulate Whom. 95 Mich. L. Rev. 2498-2632 (1997).7.Kahan, Marcel and Klausner, Michael, Lockups and the Market for Corporate Control, 48 Stan. L. Rev. 1539-1571 (1996).8.Mahoney, Paul G., The Exchange as Regulator, 83 V a. L. Rev. 1453-1500 (1997).haupt, Curtis J., The Market for Innovation in the United States and Japan: V enture Capital and the Comparative Corporate Governance Debate, 91 Nw. U.L. Rev. 865-898 (1997).10.Skeel, David A., Jr., The Unanimity Norm in Delaware Corporate Law, 83 V a. L. Rev. 127-175 (1997).1996年：1.Black, Bernard and Reinier Kraakman A Self-Enforcing Model of Corporate Law, 109 Harv. L. Rev. 1911 (1996)2.Gilson, Ronald J. Corporate Governance and Economic Efficiency: When Do Institutions Matter?, 74 Wash. U. L.Q. 327 (1996)3. Hu, Henry T.C. Hedging Expectations: "Derivative Reality" and the Law and Finance of the Corporate Objective, 21 J. Corp. L. 3 (1995)4.Kahan, Marcel & Michael Klausner Path Dependence in Corporate Contracting: Increasing Returns, Herd Behavior and Cognitive Biases, 74 Wash. U. L.Q. 347 (1996)5.Kitch, Edmund W. The Theory and Practice of Securities Disclosure, 61 Brooklyn L. Rev. 763 (1995)ngevoort, Donald C. Selling Hope, Selling Risk: Some Lessons for Law From Behavioral Economics About Stockbrokers and Sophisticated Customers, 84 Cal. L. Rev. 627 (1996)7.Lin, Laura The Effectiveness of Outside Directors as a Corporate Governance Mechanism: Theories and Evidence, 90 Nw. U.L. Rev. 898 (1996)lstein, Ira M. The Professional Board, 50 Bus. Law 1427 (1995)9.Thompson, Robert B. Exit, Liquidity, and Majority Rule: Appraisal's Role in Corporate Law, 84 Geo. L.J. 1 (1995)10.Triantis, George G. and Daniels, Ronald J. The Role of Debt in Interactive Corporate Governance. 83 Cal. L. Rev. 1073 (1995)1995年：公司法：1.Arlen, Jennifer and Deborah M. Weiss A Political Theory of Corporate Taxation,. 105 Y ale L.J. 325-391 (1995).2.Elson, Charles M. The Duty of Care, Compensation, and Stock Ownership, 63 U. Cin. L. Rev. 649 (1995).3.Hu, Henry T.C. Heeding Expectations: "Derivative Reality" and the Law and Finance of the Corporate Objective, 73 Tex. L. Rev. 985-1040 (1995).4.Kahan, Marcel The Qualified Case Against Mandatory Terms in Bonds, 89 Nw. U.L. Rev. 565-622 (1995).5.Klausner, Michael Corporations, Corporate Law, and Networks of Contracts, 81 V a. L. Rev. 757-852 (1995).6.Mitchell, Lawrence E. Cooperation and Constraint in the Modern Corporation: An Inquiry Into the Causes of Corporate Immorality, 73 Tex. L. Rev. 477-537 (1995).7.Siegel, Mary Back to the Future: Appraisal Rights in the Twenty-First Century, 32 Harv. J. on Legis. 79-143 (1995).证券法：1.Grundfest, Joseph A. Why Disimply? 108 Harv. L. Rev. 727-747 (1995).2.Lev, Baruch and Meiring de V illiers Stock Price Crashes and 10b-5 Damages: A Legal Economic, and Policy Analysis, 47 Stan. L. Rev. 7-37 (1994).3.Mahoney, Paul G. Mandatory Disclosure as a Solution to Agency Problems, 62 U. Chi. L. Rev. 1047-1112 (1995).4.Seligman, Joel The Merits Do Matter, 108 Harv. L. Rev. 438 (1994).5.Seligman, Joel The Obsolescence of Wall Street: A Contextual Approach to the Evolving Structure of Federal Securities Regulation, 93 Mich. L. Rev. 649-702 (1995).6.Stout, Lynn A. Are Stock Markets Costly Casinos? Disagreement, Mark Failure, and Securities Regulation, 81 V a. L. Rev. 611 (1995).7.Weiss, Elliott J. and John S. Beckerman Let the Money Do the Monitoring: How Institutional Investors Can Reduce Agency Costs in Securities Class Actions, 104 Y ale L.J. 2053-2127 (1995).1994年：公司法：1.Fraidin, Stephen and Hanson, Jon D. Toward Unlocking Lockups, 103 Y ale L.J. 1739-1834 (1994)2.Gordon, Jeffrey N. Institutions as Relational Investors: A New Look at Cumulative V oting, 94 Colum. L. Rev. 124-192 (1994)3.Karpoff, Jonathan M., and Lott, John R., Jr. The Reputational Penalty Firms Bear From Committing Criminal Fraud, 36 J.L. & Econ. 757-802 (1993)4.Kraakman, Reiner, Park, Hyun, and Shavell, Steven When Are Shareholder Suits in Shareholder Interests?, 82 Geo. L.J. 1733-1775 (1994)5.Mitchell, Lawrence E. Fairness and Trust in Corporate Law, 43 Duke L.J. 425- 491 (1993)6.Oesterle, Dale A. and Palmiter, Alan R. Judicial Schizophrenia in Shareholder V oting Cases, 79 Iowa L. Rev. 485-583 (1994)7. Pound, John The Rise of the Political Model of Corporate Governance and Corporate Control, 68 N.Y.U. L. Rev. 1003-1071 (1993)8.Skeel, David A., Jr. Rethinking the Line Between Corporate Law and Corporate Bankruptcy, 72 Tex. L. Rev. 471-557 (1994)9.Thompson, Robert B. Unpacking Limited Liability: Direct and V icarious Liability of Corporate Participants for Torts of the Enterprise, 47 V and. L. Rev. 1-41 (1994)证券法：1.Alexander, Janet Cooper The V alue of Bad News in Securities Class Actions, 41 UCLA L.Rev. 1421-1469 (1994)2.Bainbridge, Stephen M. Insider Trading Under the Restatement of the Law Governing Lawyers, 19 J. Corp. L. 1-40 (1993)3.Black, Bernard S. and Coffee, John C. Jr. Hail Britannia?: Institutional Investor Behavior Under Limited Regulation, 92 Mich. L. Rev. 1997-2087 (1994)4.Booth, Richard A. The Efficient Market, portfolio Theory, and the Downward Sloping Demand Hypothesis, 68 N.Y.U. L. Rev. 1187-1212 (1993)5.Coffee, John C., Jr. The SEC and the Institutional Investor: A Half-Time Report, 15 Cardozo L. Rev 837-907 (1994)6.Fox, Merritt B. Insider Trading Deterrence V ersus Managerial Incentives: A Unified Theory of Section 16(b), 92 Mich. L. Rev. 2088-2203 (1994)7.Grundfest, Joseph A. Disimplying Private Rights of Action Under the Federal Securities Laws: The Commission's Authority, 107 Harv. L. Rev. 961-1024 (1994)8.Macey, Jonathan R. Administrative Agency Obsolescence and Interest Group Formation: A Case Study of the SEC at Sixty, 15 Cardozo L. Rev. 909-949 (1994)9.Rock, Edward B. Controlling the Dark Side of Relational Investing, 15 Cardozo L. Rev. 987-1031 (1994)。
特质偏度是否被定价?
特质偏度是否被定价？郑振龙;王磊;王路跖【期刊名称】《管理科学学报》【年(卷),期】2013(016)005【摘要】This paper discusses,empirically,on the relationship between the expected return and the expected idiosyncratic skewness in Chinese A-share equity market.Series of expected idiosyncratic skewness of each stock are taken from cross section regression models,and Fama-MacBeth regressions are adopted to test the relationship between the expected return and the expected idiosyncratic skewness.The empirical result suggests that there is a significant negative relationship betweenthem,even when controlling for liquidity,co-skewness,co-kurtosis andother factors.This paper also retests the "the idiosyncratic volatility puzzle",and find that,after controlling for expected idiosyncratic skewness,the negative relationship between idiosyncratic volatility and expected return no longer holds,thus confirming the fact that expected idiosyncratic skewness contains a fraction of the information of idiosyncratic volatility.Finally,the robustness test by separating samples of big firms and small firms supports the above conclusion again.%研究了中国A股市场上特质偏度和预期收益率的关系.结合中国市场的实际,采用横截面回归方法提取预期特质偏度,随后运用Fama-MacBeth方法来验证预期收益率和预期特质偏度之间的关系.实证结果表明二者之间存在显著的负向关系,在控制了流动性因子、协偏度和协峰度等变量的影响之后该结论仍然成立.同时,还对“特质波动率之谜”进行了重新检验,结果发现,在控制了预期特质偏度之后,滞后的特质波动率与预期收益率之间的负相关关系不再显著,从而证实了预期特质偏度中含有一部分特质波动率的信息.最后,在区分了大、小公司的子样本中进行的稳健性检验也支持上述结论.【总页数】12页(P1-12)【作者】郑振龙;王磊;王路跖【作者单位】厦门大学经济学院,厦门361005;厦门大学经济学院,厦门361005;厦门大学经济学院,厦门361005【正文语种】中文【中图分类】F830.91;F832.5【相关文献】1.特质风险能够被定价吗?——基于“特质波动之谜”现象的文献评述 [J], 花冯涛;汪洋2.股价特质性波动视角下我国是否应放开回转交易制度?——基于A/B股分行业的准自然实验证据 [J], 李竹薇; 付媛; 颜胜男3.利好信息冲击是否加剧了个股特质风险? [J], 王春峰;吴颐瑶;房振明4.利好信息冲击是否加剧了个股特质风险? [J], 王春峰;吴颐瑶;房振明5.Variance Gamma过程与股票期权定价中的波动率偏度的纠正 [J], 奚炜因版权原因，仅展示原文概要，查看原文内容请购买。
金融时间序列分析英文试题(芝加哥大学) (3)
Graduate School of Business,University of ChicagoBusiness41202,Spring Quarter2005,Mr.Ruey S.TsaySolutions to MidtermAll tests are based on the5%significance level.Problem A:(30pts)Answer briefly the following questions.1.For problems1to6,consider the daily log return,in percentages,of the S&P500composite index from January1996to December31,2004for2267data points.Sum-mary statistics of the percentage log returns from SCA and Splus are attached.See Page 1of the attached output.Is the mean of percentage log returns significantly different from zero?Why?A:t-ratio=1.187<1.96.Thus,the mean return is not significantly different from zero.2.Suppose one invested$1dollar on the S&P500index at the very beginning of1996andheld the investment until the end of2004.What was the value of the investment at the market closing on December31,2004?A:total log return=0.0299*2267/100=0.67783so that the value=exp(0.67783)≈1.97.3.Test the null hypothesis that the skewness of the log returns is zero.Draw your conclu-sion.A:t-ratio=−0.0939/0.0514=−1.83<1.96so that the skewness is no signifiacnt different from zero.4.Given that the last percentage log return was−0.134(i.e.T=December31,2004),which is the corresponding simple return?A:R t=exp(−0.134/100)−1=−0.001339=.1339%.5.Are the log return serially correlated?You may use Q(10)of the series to answer thequestion.A:Q(10)=13.9with p-value0.178so that there is no serial correlation.6.Is there any ARCH effect in the log return series?You may use Q(12)of the squaredseries to answer the question.A:Yes,Q(12)of squared return is large at490(in SCA)and has a p-value of0.0from Splus.7.Give two empirical features of daily log returns of afinancial asset.A:Any two of(a)high kurtosis,(b)volatility clustering,(3)skew to left.18.What is the purpose of studying kurtosis of an asset return series?A:Understanding the tail behavior(or risk)of the return.9.Describe two applications of studying sample autocorrelation function(ACF)of an assetreturn series.A:(a)To test serial correlations in the return series,(b)to identify MA order.10.Describe two methods that can be used to identify the order of an AR model.A:(a)PACF,(b)Criterion functions such as AIC or BIC.11.Consider the AR(1)model(1−0.9B)r t=0.2+a t,where{a t}is an independent andidentically distributed random variables with mean zero and variance1.0.What is the half-life of the series?A:Half-life=ln(0.5)/ln(0.9)=6.58time units.12.Suppose that the log return r t of an asset follows the model below:r t=0.02+a t,a t=σt t,σ2t=0.116+0.42a2t−1.Let p t be the log price of the asset at time t and p T( )be the -step ahead forecast of the log price at the forecast origin T.Then,what is the value of p T( )as increases?A:0.02is the slope of time trend so that p T( )→∞as increases.13.For problems13-14,consider quarterly series of U.S.unit labor cost from1947to2004.The data were seasonally adjusted and obtained from the Federal Reserve Bank of St Louis.Let x t=(1−B)ULC t be thefirst-differenced series of the data at time t.The model(1−0.371B2)x t=0.265+(1+0.171B4)a t,σa=0.5998,fits the data reasonably well.Under thefitted model,what is the mean of x t,i.e.E(x t) =?A:E(x t)=0.265/(1−0.371)=0.421.14.Does the model imply that there exist business cycles in the unit labor cost?Why? A:No,because the two roots are real.From1−0.371x2,we have x=±1/ (0.371).15.Give two weaknesses of the GARCH-type of models for modeling asset volatility.A:Any two of(a)symmetric response to past positive and negative returns,(b)restric-tive,(c)providing no explanation of volatility clustering,(d)no adaptive in forecasting.2Problem B.(20pts)This problem is concerned with the analysis of quarterly earnings per share of the Procter&Gamble(PG)Company from1992to thefirst quarter of2003 for45data points.The data were obtained from First Call.Log transformation was taken to stabilize the variability of the puter output is attached;p.2-6of output. Due to strong seasonal pattern,which results in models that are close to being non-invertible, we analyze the seasonally differenced series in Splus.Let x t be the logarithm of quarterly earnings per share and w t=(1−B4)x t.Thus,SCA uses x t and Splus uses w t.1.(5points)Because ACF of the log earnings shows strong seasonal pattern,the seasonaldifference(1−B4)is taken.The ACF of the seasonally differenced data indicates no further differencing is necessary.Write down thefitted model for the x t series(not the differenced w t).A:(1−0.47B)(1−B4)x t=0.0508+(1−0.307B4)a t,σa=0.0502.2.(4points)Is the AR coefficient of thefitted model statistically significant?Why?A:Yes,the t-ratio is3.26,which is greater than the critical value1.96.3.(4points)Is there any serial correlation in the residuals of thefitted model?Use Q(12)of the ACF of residuals to answer the question.[Hint:for a chi-square distribution with m degrees of freedom,the expected value is m.]A:Q(12)=8.8which is less than E(χ210)=10so that p-value>0.05.4.(4points)Let T=45be the forecast origin.What are the1-step and2-step aheadforecasts of thefitted model(after taking anti-log transformation)?A:x45(1)=0.912and x45(2)=3.95(from SCA).For Splus,x45(1)=exp(0.0087−.1743)=0.847,x45(2)=exp(−.012479+1.278152)=3.55.5.(3points)Give an interpretation of the estimated constant0.0508of thefitted modelfor x t.A;Slope of time trend.3and the S&P500index from January1999to December2004with sample size T=1508.We employ the market model:r t=α+βr m,t+e t,where r t and r m,t are Wal-Mart stock return and S&P500index return,respectively.Splus output is attached;page6of output.Answer the following questions.1.(4points)Write down thefitted market model.A:r t=0.0205+0.9606r m,t+e t.2.(4points)The Ljung-Box statistics of the ACF of residuals show some minor serialcorrelations,but the ACFs are relatively small so we ignore the serial correlations and perform the ARCH effect test.Is there an ARCH effect in the residuals of thefitted market model?A:Yes,archTest gives a p-value about0.0.3.(4points)We employ a GARCH(1,1)model(called“m2”in the output).Write downthefitted ment on thefitted model.A:Let r t and r m,t be the Wal-Mart stock return and S&P500index return,respectively.The model isr t=0.9386r m,t+a t=0.9386+σt t, t∼t6.41σ2t=−4.29×10−5+0.0377a2t−1+0.963σ2t−1.The negative estimate ofα0does not make sense,but it is statistically not different from0.Also,theˆα1+ˆβ1≈1so that thefitted model indicates an IGARCH(1,1)model without the constant.4.(6points)Further analysis indicates that an EGARCH(2,1)modelfits the data better.There are two leverage effect parameters.Are these two effects statistically significant?Why?You may test the effect individually.A:Examine the t-ratio of the two leverage parameter estimates.For Lev(1),the t-atio is−2.129.For Lev(2),the t-ratio is−1.847.In both cases,the p-values are less tha0.05so that they are both significant.[It you use two-sided tests,then Lev(2)is notsignificant.]5.(2points)What are the1-step ahead forecasts for the return and its volatility of Wal-Mart stock at the forecast origin T=1508using the EGARCH model.A:zero for return and0.7082for volatility.4from January1995to December2004with2519observations.Splus output is attached;page 8of output.Answer the following questions.The ACFs of the returns are small so that the mean equation consists of a constant term only.1.(5points)Consider thefitted GARCH(1,1)model.The volatility equation isσ2t=0.042+0.049a2t−1+0.944σ2t−1.Letηt=a2t−σ2t.Rewrite the prior volatility equation in an ARMA form for the{a2t} series.A:a2t=0.042+0.993a2t−1+ηt−0.944ηt−1.2.(5points)Write down thefitted EGARCH(1,1)model with leverage effect(both meanand volatility equations and the parameter of the conditional distribution used).A:The model isr t=0.04918+a t=0.04918+σt t, t∼t6.68ln(σ2t)=−0.06316+0.1033(|a t−1|−0.5464a t−1σt−1)+0.989ln(σ2t−1).3.(4points)Test the hypotheses H o:v=5vs H a:v=5,where v is the degrees offreedom of the conditional Student t distribution.Draw your conclusion.[Hint:you may use the usual t-ratio test.]A;t-ratio=6.684−5=2.62>1.96.Thus,reject H o:v=5.4.(5points)To better understand the leverage effect,use thefitted EGARCH(1,1)modelto calculate the ratioσ2t( =−3)2t ,where t denotes the iid sequence of the innovationsdefined in class.A:From thefitetd volatility equation,we haveσ2t=exp(−0.06316)(σ2t−1).989exp(0.1033| t−1|−0.0564 t−1). Therefore,σ2t( =−3)σ2t( =3)=exp(−0.0564(−3))exp(−0.0564(3))=exp(0.0564×6)=1.403.5.(4points)Used thefitted EGARCH model and T=2519as the forecast origin.Whatare the1-step ahead forecasts of log return and volatility?A:Forecast of log return is0.0492and forecast of volatility is1.184.6.(4points)Write down the mean equation of thefitted GARCH-M model for the data.A:r t=0.058+0.00629σ2t+a t.7.(3points)Based on the GARCH-M model,is the risk premium statistically significant?Why?A:No,the t-ratio is0.453with p-value=0.65(two-sided).5。
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