Why does the power law for stock price hold?

The aim of this paper is to explain why the power law for stock price holds. We first show that the complementary cumulative distributions of stock prices follow a power law using a large database assembled from the balance sheets and stock prices of a number of worldwide companies for the period 2004 through 2013. Secondly, we estimate company fundamentals from a simple cross-sectional regression model using three financial indicators-dividends per share, cash flow per share, and book value per share—as explanatory variables for stock price. Thirdly, we demonstrate that the complementary cumulative distributions of fundamentals follow a power law. We find that the power laws for stock prices and for fundamentals hold for the 10-year period of our study, and that the estimated values of the power law exponents are close to unity. Furthermore, we illustrate that the tail distribution of fundamentals closely matches the tail distribution of stock prices. On these grounds, we conclude that the power law for stock price is caused by the power law behavior of the fundamentals.     

The stock market's reaction to quality certification: Empirical evidence from Spain

The objective of this paper is to analyse the stock market's reaction to a company that is granted a quality certification (ISO 9000), and particularly when such an award is publicly announced. To do so, we carried out an event study, estimating the mean “abnormal” change in the stock prices of all of the firms that obtained quality certification, based on the ISO 9000 norms, while they were trading on the Spanish stock market between 1993 and 1999. The results show that the stock market reacts positively to such certification. This implies that quality certification can be considered as a useful tool for reducing the asymmetry in the information that circulates among buyers and sellers.     

Economic Order Quantities with Inflation

The classical EOQ formula assumes that all relevant costs and prices are constant. In this paper it is shown that with inflation the choice of the inventory carrying charge used in the EOQ formula depends on the company's pricing policy. If prices change independently of replenishment order timing the inventory charge should be low and independent of the inflation rate. However, when no "double ticketing" is permitted and the company uses a constant percentage mark up the carrying charge is high and depends on the inflation rate and the mark-up. Only if the company is allowed a fixed monetary margin is the classical result for carrying charge valid.     

基于跳扩散过程的可转换债券的定价

本文标的股票的方程采用跳扩散方程,首先规定一个跳跃的涨跌区间,这样就可以很快的找出跳跃点,我们根据跳跃点将股价聚类,然后把各个类看成是总体中抽取出来的一个样本,我们就可以估计出跳扩散方程中的所有参数.由于我们的标的股票的方程是含跳过程,因此无法找出完全保值的自融资策略,但我们可以根据风险最小化的原理给出可转换债券的价格,最后运用Monte Carlo模拟计算出了南京水运转债在0时刻的价格。     

Optimal management and inflation protection for defined contribution pension plans

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling inflation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives which are linked to inflation such as inflation linked bonds are traded on financial markets and appear to be of increasing popularity. The insurance company can use these products to hedge its own inflation risk. In this article we study how to optimally manage a pension fund taking positions in a money market account, a stock and an inflation linked bond, while financing investments through a continuous stochastic income stream such as the plan member’s contributions. We use the martingale method in order to compute an analytic expression for the optimal strategy and express it in terms of observable market variables.     

Assessing inflation risk in non-life insurance

Inflation risk is of high relevance in non-life insurers’ long-tail business and can have a major impact on claims reserving. In this paper, we empirically study claims inflation with focus on automobile liability insurance based on a data set provided by a large German non-life insurance company. The aim is to obtain empirical insight regarding the drivers of claims inflation risk and its impact on reserving. Toward this end, we use stepwise multiple regression analysis to identify relevant drivers based on economic indices related to health costs and consumer prices, amongst others. We further study the impact of (implicitly and explicitly) predicting calendar year inflation effects on claims reserves using stochastic inflation models. Our results show that drivers for claims inflation can considerably vary for different lines of business and emphasize the importance of explicitly dealing with (stochastic) claims inflation when calculating reserves.     

公司价值与财务信息的相关性:基于中国上市公司的研究

本文以778家上市公司1998—2002年5年间的3890个观测值为样本,研究了公司价值与财务信息的相关性。结果表明,ST、PT公司的价值测度与综合短期利润测度存在不显著的负相关关系;既发行A股又发行B股的上市公司的价值测度与综合短期利润测度在0.01水平下显著正相关性,利润测度提供了约2%的公司价值解释力;对于绝大多数的经营正常的A股公司,价值测度与综合短期利润测度在0.01水平下显著正相关性,利润测度提供了约18%的公司价值解释力。     

竞争型“以旧换再”闭环供应链策略选择及生产决策研究

针对两阶段闭环供应链系统,研究了古诺竞争型闭环供应链中的“以旧换再”策略选择问题。研究发现:(1)企业如何及何时实施“以旧换再”策略取决于自身及竞争企业的再制造水平。再制造水平不仅影响了企业的“以旧换再”数量,同时还会影响产品市场份额及利润。(2)“以旧换再”策略可以提高企业竞争力,增加企业产品市场份额和提高收益;(3)提高 “以旧换再”补贴及再制造产品接受度, 降低“二手市场”价格,均可以降低企业实施“以旧换再”策略和提高企业的“以旧换再”数量。     

基于GARCH方法研究非效率投资中金融冲击的影响机理

代理理论认为,在动荡和不确定环境下,管理者会做出偏离企业价值最大化的非效率投资行为。为探究金融冲击这个带有不确定色彩的因素,是否会恶化企业非效率投资行为,论文先是使用一个数学模型来说明金融冲击与非效率投资的可能关系,而后以GARCH方法的条件异方差来度量金融冲击的潜变量股市冲击、货币冲击和汇率冲击。最后,实证检验了这三个金融冲击潜变量和非效率投资的关系。研究发现:货币冲击和汇率冲击会显著提升非效率投资,而股市冲击能够显著降低非效率投资。进一步研究表明,货币冲击和汇率冲击会通过显著增加过度投资来加大非效率投资行为,而股市冲击则通过显著减少投资不足来达到降低非效率投资行为。     

石油价格波动与我国进口价格的动态关系研究——基于对油价冲击分解的结构VAR模型

以2000～2008年我国月度数据为研究样本,从油价冲击的正负冲击角度分析国际石油价格波动与我国进口价格之间的存在的动态传导关系,并对其产生的原因进行了讨论.首先采用结构VAR(SVAR)模型对我国进口价格受到的油价冲击进行结构分解,其次用移动平均形式的SVAR模型分析不同油价冲击对进口价格的影响.结果表明,油价上涨对进口价格有显著的正向拉动作用,同期经济需求上涨推动进口价格有较大涨幅;而油价下跌时进口价格跌幅较小,甚至与油价波动存在负相关关系,这主要是由经济需求增加造成的.因此,研究石油价格对进口价格水平的动态传导关系.要区分油价冲击形式,这一结论有助于政府部门针对油价正负冲击的不同影响来制定应对政策,确保经济的稳定发展.     

Competitive advantage through take-back of used products

Motivated by a recent antitrust ruling against Hill–Rom, one of the two dominant American suppliers of hospital beds, we develop a stylized model to investigate the consequences of used product take-back on firms, industry and customers. Our findings suggest that by taking back and reselling refurbished products, a manufacturer can increase both profit margins and sales––to the detriment of a non-interfering competitor. In our model, customers are always better off under product take-back, but it depends on the degree of competition, whether firms use the benefits of take-back primarily to increase their margins or to pass them on to the customers by lowering their prices. The first firm to offer take-back, in some cases, can deter its competitors from following this profitable strategy, especially if it has an existing advantage in terms of lower production cost or higher market share. Contrary to the claim of Hill–Rom's competitor, we find a “legitimate business justification” for Hill–Rom's reduction of new product prices.     

通货膨胀率与股票收益率关系——基于门槛回归模型的再检验

自费雪效应(假说)提出以来,通货膨胀率与股票收益率之间的关系引发了大量的争论,但二者之间的关系并无定论。本文利用门槛回归模型对通货膨胀率和股票收益率之间的关系进行的再检验,我们的研究发现:总体上,通货膨胀率和股票收益率表现为负相关,并且具有显著的门槛效应,当通货膨胀率较低或处于通货紧缩时,股票收益率和通货膨胀率之间存在不显著的负相关关系,而当通货膨胀率较高时,则表现为显著的负相关关系,呈现出明显的非对称性的特征,股票并不是抵御通货膨胀风险理想的保值品。此外,我们还对黄金类股票和黄金现货也进行了检验,研究表明,黄金现货与通货膨胀关系不显著,而黄金股收益率与沪深股市指数类似,与通货膨胀率具有显著的负相关关系,均非理想的抵御通胀保值品。     

产业链视角下结构性有色金属价格冲击的行业传导效应

本文基于产业链的新视角,采用2006年8月至2016年4月的月度数据,选择具有代表性的6个工业行业以构建反映有色金属产业链内在联系的SVAR模型,将国际有色金属价格冲击分解为供给冲击、经济需求冲击以及预防性需求冲击,考察这三种结构性冲击对我国有色金属产业链各环节产出的影响效应,并通过分解上中下游行业的通胀来源,探究国际有色金属价格冲击的主要传导路径。结果显示:供给冲击和预防性需求冲击推动的有色金属价格上涨与工业行业产出呈现负相关关系,而经济需求冲击带来的有色金属价格上涨与工业行业产出呈现同向变化;三种结构性冲击对我国工业行业通胀的影响有两条传导路径,供给冲击与预防性需求冲击带来的国际有色金属价格上涨会产生成本推动型通胀,并且冲击作用沿着产业链的上游往下游进行正向传导,而经济需求冲击带来的国际有色金属价格上涨会产生需求拉动型通胀,并且冲击作用沿着产业链下游往上游进行逆向传导。     

Parameter estimation of an agent‐based stock price model

The influence of the behavior and strategies of traders on stock price formation has attracted much interest. It is assumed that there is a positive correlation between the total net demand and the price change. A buy order is expected to increase the price, whereas a sell order is assumed to decrease it. We perform data analysis based on a recently proposed stochastic model for stock prices. The model involves long‐range dependence, self‐similarity, and no arbitrage principle, as observed in real data. The arrival times of orders, their quantity, and their duration are created by a Poisson random measure. The aggregation of the effect of all orders based on these parameters yields the log‐price process. By scaling the parameters, a fractional Brownian motion or a stable Levy process can be obtained in the limit. In this paper, our aim is twofold; first, to devise statistical methodology to estimate the model parameters with an application on high‐frequency price data, and second, to validate the model by simulations with the estimated parameters. We find that the statistical properties of agent level behavior are reflected on the stock price, and can affect the entire process. Moreover, the price model is suitable for prediction through simulations when the parameters are estimated from real data. The methods developed in the present paper can be applied to frequently traded stocks in general. Copyright © 2013 John Wiley & Sons, Ltd.     

Controlled predatory pricing in a multiperiod Stackelberg game: an MPEC approach

We analyze a multiperiod oligopolistic market where each period is a Stackelberg game between a leader firm and multiple follower firms. The leader chooses his production level first, taking into account the reaction of the followers. Then, the follower firms decide their production levels after observing the leader’s decision. The difference between the proposed model and other models discussed in literature is that the leader firm has the power to force the follower firms out of business by preventing them from achieving a target sales level in a given time period. The leader firm has an incentive to lower the market prices possibly lower than the Stackelberg equilibrium in order to push the followers to sell less and eventually go out of business. Intentionally lowering the market prices to force competitors to fail is known as predatory pricing, and is illegal under antitrust laws since it negatively affects consumer welfare. In this work, we show that there exists a predatory pricing strategy where the market price is above the average cost and consumer welfare is preserved. We develop a mixed integer nonlinear problem (MINLP) that models the multiperiod Stackelberg game. The MINLP problem is transformed to a mixed integer linear problem (MILP) by using binary variables and piecewise linearization. A cutting plane algorithm is used to solve the resulting MILP. The results show that firms can engage in predatory pricing even if the average market price is forced to remain higher than the average cost. Furthermore, we show that in order to protect the consumers, antitrust laws can control predatory pricing by setting rules on consumer welfare.     

Analysis of an industrial component commonality problem

We discuss a case study of an industrial production-marketing coordination problem involving component commonality. For the product line considered, the strategic goal of the company is to move from the current low volume market to a high volume market. The marketing department believes that this can be achieved by substantially lowering the end products’ prices. However, this requires a product redesign to lower production costs in order to maintain profit margins. The redesign decision involves grouping end products into families. All products within one family use the same version of some components. This paper fits in the stream of recent literature on component commonality where the focus has shifted from inventory cost savings to production and development cost savings. Further, we consider both costs and revenues, leading to a profit maximization approach. The price elasticity of demand determines the relationship between the price level and number of units sold. Consequently, we integrate information from different functional areas such as production, marketing and accounting. We formulate the problem as a net-present-value investment decision. We propose a mixed integer nonlinear optimization model to find the optimal commonality decision. The recommendation based on our analysis has been implemented in the company. In addition, the application allows us to experimentally validate some claims made in the literature and obtain managerial insights into the trade-offs.     

A pseudo-Bayesian model in financial decision making with implications to market volatility,under- and overreaction

This paper develops a model of weight assignments using a pseudo-Bayesian approach that reflects investors’ behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors’ conservative and representative heuristics are assigned to observations of the earning shocks of stock prices. Such weight assignments enable us to provide a quantitative link between some market anomalies and investors’ behavioral biases. The seriousness of an anomaly can be quantitatively assessed by investigating into its dependency on weights. New results other than the short-run underreaction and long-run overreaction can be derived and new hypotheses can be formed.     

股市波动性预测模型改进研究

本文从参数估计准则和收益率波动性的定量表达这两方面来探讨股市收益的波动性预测改进方法,并由此提出了以收益率偏差绝对值为代替偏差平方并利用非线性最小二乘法来估计参数的(A)GARCH-NLS模型。最后,我们以国泰君安指数、上证综指以及深证成指1998 1 5-2002 9 25的每日收盘价格为样本来考察各种合理替代所产生的模型对股市波动性的预测性能影响。结果发现,(A)GARCH-NLS模型对股市波动性的预测精确度有了较显著的提高。     

The impact of US macroeconomic news on the Polish stock market

This paper investigates the impact of US macroeconomic news announcements on the intraday returns of Warsaw Stock Exchange indices. The WSE is the largest and the most liquid stock market among the new European Union member countries. By means of an event study we examine the response of three indices, namely the WIG20, the mWIG40 and the sWGI80, describing the stock price behavior of the largest, medium-sized and small firms, respectively. The results of the empirical analysis show that the stock prices of the largest firms react in the first minute after a news release. This indicates the relatively high efficiency of the WSE. The response of smaller firms’ stock returns is slower but more persistent. The most influential are the announcements of Nonfarm Payrolls describing the US labor market. The indices of the WSE react similarly to good and bad news about the US economy.     

Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis

In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.