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Open-end Mutual Fund Analysis—Take ChinaAMC Large Cap Select Fund as Example 开放式共同基金分析——以华夏大盘股精选基金为例
Pub Date : 2019-10-27 DOI: 10.18686/fm.v4i2.1611
X. Yuan
ChinaAMC Large Cap Select Fund (fund code 000011) was created in 2004. Due to its good performances, it attracted a lot of investors’ attentions. First of all, its fund manager, China Asset Management Co., Ltd, is a prestigious brand as recognized by domestic and global investors. So it obtained a high acceptance from the public. Second, in the past 15 years, the growth rates of Large Cap Select Fund were always higher than SSE Composite Index, and the trend of growth was relative stable. In addition, its annualized returns were often higher than other companies in a similar industry.
华夏大盘股精选基金(基金代码000011)创建于2004年。由于其良好的业绩,吸引了众多投资者的关注。首先,其基金管理公司华夏资产管理有限公司是国内外投资者公认的知名品牌。因此,它得到了公众的高度认可。其次,在过去15年中,大盘股精选基金的增长率始终高于上证综指,且增长趋势相对稳定。此外,它的年化回报率往往高于同类行业的其他公司。
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引用次数: 0
An Empirical Test of the Theory of Efficient Markets of Stock Prices 股票价格有效市场理论的实证检验
Pub Date : 2018-09-14 DOI: 10.18686/FM.V3I2.1077
K. Bhattarai, Vasi Margariti
A structure of the statistical tests motivated by Cromwell, Labys&Terraza[23]has been used to build linear and nonlinear predictability models.Most importantly, the variance ratio test and that of AR-GARCH model is used to test the dual hypotheses of the random walk and efficiencyin stock markets. Whilein all or nothing condition of market efficiency, the variance ratio tests show weak signs of predictability and in contrast to the AR-GARCH model that shows strong signs of predictability. Testing efficiency over time shows that price-fluctuations between periods of predictability and unpredictability and theseare not correlated through indices. This study then contributes to the empirical evidence that the efficient market hypothesis should not be an all or nothing condition but be stated as a time varying condition where prices fluctuate between periods of efficiency and inefficiency. It is found that market microstructure can cause problems for certain measuring frequencies and a sufficiently risk averse investor may be happy to pay a premium to avoid any unforecastable asset price volatilities as inLeroy[11]andLucas[12]. Three random walk models also do not prevent questioning the validity of predictability of stock prices.
由Cromwell, Labys&Terraza[23]推动的统计检验结构已被用于建立线性和非线性可预测性模型。最重要的是,运用方差比检验和AR-GARCH模型检验了股票市场随机漫步和效率的双重假设。在市场效率的全有或全无条件下,方差比检验显示出较弱的可预测性迹象,而AR-GARCH模型显示出很强的可预测性迹象。随着时间的推移测试效率表明,在可预测和不可预测时期之间的价格波动,这些不通过指数相关。然后,本研究提供了经验证据,证明有效市场假说不应该是一个全有或全无的条件,而应该被表述为一个时间变化的条件,其中价格在效率和低效率之间波动。研究发现,市场微观结构可能会导致某些测量频率出现问题,并且像leroy[11]和lucas[12]那样,足够厌恶风险的投资者可能乐意支付溢价以避免任何不可预测的资产价格波动。三个随机漫步模型也不能阻止对股价可预测性有效性的质疑。
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引用次数: 9
Does the Rise of Housing Prices Impede Labor Supply? -Evidence from CGSS Data 房价上涨阻碍劳动力供给吗?-来自CGSS数据的证据
Pub Date : 2018-09-03 DOI: 10.18686/FM.V3I2.1116
Guangpu Yang, Jinhua Li
Abstract: Firstly, inspired by the theoretical mechanism of housing prices on consumption and savings, this paper summarizes three kinds of mechanisms of housing prices on labor supply in China: the wealth effect, the mortgage slave effect and the home mortgage effect and then empirically analyzes the influence and heterogeneity of housing prices on the quantity and quality of labor supply using Chinese General Social Survey (CGSS). Finally, to observe the difference of the influences of housing prices on labor supply of different groups, it distinguishes between households with and without houses, young and old groups. 
摘要:本文首先以房价对消费和储蓄的理论机制为启发,总结了中国房价对劳动力供给的三种机制:财富效应、房奴效应和住房抵押效应,然后利用中国综合社会调查(CGSS)实证分析了房价对劳动力供给数量和质量的影响及其异质性。最后,为了观察房价对不同群体劳动力供给影响的差异,对有房和无房家庭、青年和老年群体进行了区分。
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引用次数: 0
Can Capital Structure Affect the Financial Performance of Banks in Turkey? 资本结构会影响土耳其银行的财务绩效吗?
Pub Date : 2018-04-15 DOI: 10.18686/FM.V4I1.1103
Merve Tuncay
The aim of this study is to investigate the determinants of banks’ financial performance in terms of the capital structure. Annual financial statements of 11 banks traded in Borsa Istanbul are employed for the period of 2006-2016. Return on assets, return on equity and earnings per share are chosen for financial performance measures. The independent variables related to the capital structure are capital adequacy, equity-to-asset, and financial leverage ratios. In addition, macroeconomic variables and bank-specific variables are also considered as control variables for the analysis. The data are analyzed by the panel data regression analysis as it provides more informative finding and less multicollinearity among variables than time series and cross-sectional analyzes.The Hausman test results indicate that the random effects model is appropriate for the whole dependent variables. According to the findings; while equity-to-asset ratio affects return on assets positively, amongst the control variables specific to firms, firm size, asset quality and asset growth variables have significant effects on return on assets. It is found no significant effect of independent variables on return on equity, however, it is seen that asset quality has a negative and significant effect. Inflation and interest rates have a significant effect on both variables. Finally, it is seen that equity-to-asset ratio has a positive and significant effect on earnings per share. Only the effect of asset quality on earnings per share is found to be significant among the control variables. Findings of the study are consistent with the previous studies. In addition, the M&M views are not supported by the findings related to return on assets and earnings per share but the return on equity.
本研究的目的是调查银行的资本结构方面的财务绩效的决定因素。在Borsa Istanbul交易的11家银行的年度财务报表为2006-2016年期间。资产回报率、股本回报率和每股收益被选为财务绩效指标。与资本结构相关的自变量是资本充足率、权益资产比和财务杠杆率。此外,宏观经济变量和银行特定变量也被作为控制变量进行分析。与时间序列和横截面分析相比,面板数据回归分析提供了更多的信息发现和更少的变量之间的多重共线性,因此对数据进行了分析。Hausman检验结果表明,随机效应模型适用于所有因变量。根据调查结果;股权资产比对资产收益率有正向影响,而在企业特有的控制变量中,企业规模、资产质量和资产增长变量对资产收益率有显著影响。自变量对净资产收益率的影响不显著,而资产质量对净资产收益率的影响为负且显著。通货膨胀和利率对这两个变量都有显著影响。最后,可以看出权益资产比率对每股收益有显著的正向影响。在控制变量中,只有资产质量对每股收益的影响是显著的。本研究的结果与以往的研究结果一致。此外,与资产回报率和每股收益相关的调查结果不支持并购观点,而是支持股本回报率。
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引用次数: 2
TAA Properly Defined 正确定义TAA
Pub Date : 2018-04-15 DOI: 10.18686/FM.V4I1.1097
Robert A. Brown
Tactical Asset Allocation (TAA) has generally been misspecified, oversold, and subsequently underdelivered. Nevertheless, TAA offers a series of highly attractive investment attributes when adviser/client expectations are properly set and the strategy is appropriately positioned as a portion of a comprehensive investor solution. This article’s objective is three-fold. First, to identify the attractive investment attributes of TAA relative to passive buy & hold. Second, to quantify or parameterize these relative advantages so that users can better assess the relevance of TAA for their own specific needs. Third, this article’s last objective is to describe the give-ups or tradeoffs associated with TAA, so that it can be properly understood, communicated, and therefore applied to the correct portion of an investor’s aggregate portfolio.
战术资产配置(TAA)通常被错误地指定,被过度出售,随后交付不足。然而,当顾问/客户的期望被适当设定,并且该策略被适当地定位为全面投资者解决方案的一部分时,TAA提供了一系列极具吸引力的投资属性。本文的目标有三个方面。首先,确定TAA相对于被动买入和持有的有吸引力的投资属性。第二,量化或参数化这些相对优势,以便用户能够更好地评估TAA与他们自己的具体需求的相关性。第三,本文的最后一个目标是描述与TAA相关的放弃或权衡,以便能够正确理解、沟通,并因此应用于投资者总投资组合的正确部分。
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引用次数: 6
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