This study examines the relationship between Environmental,Social,and Governance(ESG)factors and stock prices as well as investment performance.ESG factors have become increasingly relevant in investment decisions as ...This study examines the relationship between Environmental,Social,and Governance(ESG)factors and stock prices as well as investment performance.ESG factors have become increasingly relevant in investment decisions as investors prioritize companies with sustainable practices.Using a sample of publicly-traded companies,this research analyzes the impact of ESG factors on stock prices and investment returns.The findings suggest that companies with strong ESG performance tend to have higher stock prices and better investment performance than those with weak ESG performance.The study also highlights the significance of the individual components of ESG,such as environmental policies and corporate governance practices,on stock prices and investment returns.Overall,this research provides valuable insights for investors seeking to incorporate ESG factors into their investment decision-making processes.展开更多
Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distri...Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity.Interestingly,this paper determines that the number of accumulated lead–lag days between stock pairs meets the power-law distribution in both the U.S.and Chinese stock markets based on 10 years of trading data.Based on this finding this paper adopts the power-law distribution to formally define the lead–lag effect,detect stock pairs with the lead–lag effect,and then design a pure lead–lag investment strategy as well as enhancement investment strategies by integrating the lead–lag strategy into classic alpha-factor strategies.Tests conducted on 20 different alpha-factor strategies demonstrate that both perform better than the selected benchmark strategy and that the lead–lag strategy provides useful signals that significantly improve the performance of basic alpha-factor strategies.Our results therefore indicate that the lead–lag effect may provide effective information for designing more profitable investment strategies.展开更多
Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together...Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together with the three hypotheses of technological analysis, a novelty model of metering and evaluating the risk and return of stock investment is established. The major indicator of this model , risk-return ratio K, combines the characteristic indicators of risk and return. Regardless of the form of the risk-return probability density functions, this indicator K can always reflect the risk-return performances of the invested stocks clearly and accurately. How to use the model to make optimum investment and how to make portfolio combined with clustering analysis is also explained.展开更多
[Objectives]To analyze the changes in of forest carbon sink and forestry economic development,provide reference for relevant management decisions,ecological governance and resource and environment management,and promo...[Objectives]To analyze the changes in of forest carbon sink and forestry economic development,provide reference for relevant management decisions,ecological governance and resource and environment management,and promote the development of green low-carbon economy in China.[Methods]Based on the data of six forest resource inventories from 1989 to 2018 and related studies,the comprehensive evaluation model of forest carbon sink and forestry economic development,the coupling degree model of forest carbon sink and forestry economic development,and the coupling coordination degree model of forest carbon sink and forestry economic development were adopted.The coupling degree of forest carbon sink and forestry economic development from 1992 to 2018 was analyzed.Stepwise regression and ARIMA model were used to analyze the influencing factors and lagging characteristics of forest carbon sink.The coupling degree between forest carbon sink and forestry economic development in China from 2019 to 2030 was predicted by autoregression and ADF test.The coupling between forest carbon sink and forestry economic development in China and its long-term change characteristics were also discussed in this study.[Results](i)The investment of ecological construction and protection,the actual investment of forestry key ecological projects,GDP and the import of forest products had a significant impact on forest resources carbon stock.The total output value of forestry industry,the actually completed investment of forestry key ecological projects and the export volume of forest products had a significant impact on the forest carbon sink,and the actually completed investment of forestry key ecological projects has the greatest impact on the two.(ii)The impact of actually completed investment of forestry key ecological projects had a lag of 2 years on the forest resources carbon stock and a lag of 1 year on the forest carbon sink.When investing in forest carbon sink,it is necessary to make a good plan in advance,and do a good job in forest resources management and time optimization.(iii)From 1992 to 2018,the coupling degree of forest resources carbon stock,forest carbon sink and long-term development of forestry economy in China was gradually increasing.Although there were some fluctuations in the middle time,the coupling degree of forest resources carbon stock and the long-term development of forestry economy increased by 9.24%annually,and the degree of coupling coordination increased from"serious imbalance"in 1992 to"high-quality coordination"in 2018.From 1993 to 2018,the coupling degree of forest carbon sink and long-term development of forestry economy increased by 9.63%annually,slightly faster than the coupling coordination degree of forest resources carbon stock and long-term development of forestry economy.The coordination level also rose from level 2 in 1993 to level 10 in 2018.(iv)The prediction shows that the coupling coordination degree of forest resources carbon stock,forest carbon sink and the long-term development of forestry economy would increase from 2019 to 2030.The coupling coordination degree(D)values of both were close to 1,the coordination level was also 10 for a long time,and the degree of coupling coordination was also maintained at the"high-quality coordination"level for a long time.[Conclusions]Forest has multiple benefits of society,economy and ecology,and forest carbon sink is only a benefit output.The long-term coupling analysis of forest carbon sink and forestry economic development is a key point to multiple benefit analysis.The analysis shows that the spillover effect and co-evolution effect of forest carbon sink in China are significant.From 1992 to 2018,the coupling coordination degree of forest carbon sink and forestry economic development was gradually rising.The prediction analysis also indicate that the coupling coordination degree between the forest carbon sink and the long-term development of forestry economy will remain at the level of"high-quality coordination"for a long time from 2019 to 2030.Therefore,improving the level of forest management and maintaining the current trend of increasing forest resources are the key to achieving the goal of carbon peaking and carbon neutrality in China.展开更多
This study examines the association between corporate governance mechanisms (i.e., internal corporate governance, ownership structure, and external corporate govemance) and stock investment risk (i.e., idiosyncrati...This study examines the association between corporate governance mechanisms (i.e., internal corporate governance, ownership structure, and external corporate govemance) and stock investment risk (i.e., idiosyncratic risk, systematic risk, and total risk of non-financial listed firms in Thailand in 2007). The multiple regression analysis is employed to test the hypotheses, and the results suggest that firms with higher market power have lower systematic risk. It implies that firms with higher market power can reduce the unavoidable risk when compared with firms that have lower market power. Firms with more media coverage will have higher systematic risk, which indicates that firms which publish more news will have higher unavoidable risk. This research may be the first to provide the evidence of the association between corporate govemance mechanisms and stock investment risk. Interestingly still, this study has utilized the data of Thailand, which is an emerging market economy with a capital market structure different from those of the developed market economies, and the results of this study are anticipated to be applicable to other similar studies in other emerging market economies.展开更多
This paper deals with illiquidity measurement of stocks on Croatian Stock market. Illiquidity measures used in this paper are daily ratio of absolute stock return to its dollar volume (ILLIQ) and RCT (Relative change ...This paper deals with illiquidity measurement of stocks on Croatian Stock market. Illiquidity measures used in this paper are daily ratio of absolute stock return to its dollar volume (ILLIQ) and RCT (Relative change in turnover). Aim of this paper is to show that illiquidity measure RCT makes clear distinction between liquid and illiquid stocks that should be reflected through investment strategy where investment in RCT based illiquid portfolios outperforms investment in ILLIQ based portfolios and CROBEX index. Research was carried out on eighteen stocks from Zagreb Stock Exchange (ZSE) which are constituents of CROBEX index. Portfolios of liquid and portfolios of illiquid stocks based on results of illiquidity measurement were constructed. Behaviour in terms of return and volatility of these portfolios in following one-year period was observed. Results showed that portfolios formed using RCT as measure of illiquidity constantly outperformed CROBEX index and ILLIQ based portfolios. Returns of RCT based portfolios had lower standard deviation and were more stable than ILLIQ based portfolios in whole period. RCT as a measure of illiquidity produces valuable information on stock liquidity that can be exploited as investment strategy reflecting itself in larger expected returns of RCT portfolios in future period than expected returns of ILLIQ based portfolios and market.展开更多
Article 1With a view to promoting the healthy development of foreign invest-ment enterprises, protecting the legitimate rights and interests of investorsof the parties concerned and safeguarding the social and economi...Article 1With a view to promoting the healthy development of foreign invest-ment enterprises, protecting the legitimate rights and interests of investorsof the parties concerned and safeguarding the social and economic order,this set of regulations has been formulated in accordance with the Com-pany Law of the People’s Republic of China,Law of the People’s Republicof China on Chinese-Foreign Equity Joint Ventures,Law of the People’sRepublic of China of Foreign on Chinese-Foreign contractual Joint Ven-tures,Law of the people’s of China of Foreign Capital Enterprises,andother relevant laws and regulations.Article 2The alteration of investors’stock equity in foreign investment enter-prises as used hereof refers to the alteration of investors or theirshares(hereinafter referred to as the stock equity) of financialcontribution(inchiding the cooperative conditions offered) in Chinese-for-eign equity joint ventures,Chinese-foreign contractual joint ventures andforeign investment enterprises(hereinafter referred to as the enterprises).展开更多
Understanding the effects of land cover changes on ecosystem carbon stocks is essential for ecosystem management and envi- ronmental protection, particularly in the transboundary region that has undergone marked chang...Understanding the effects of land cover changes on ecosystem carbon stocks is essential for ecosystem management and envi- ronmental protection, particularly in the transboundary region that has undergone marked changes. This study aimed to examine the impacts of land cover changes on ecosystem carbon stocks in the transboundary Tureen River Basin (TTRB). We extracted the spatial information from Landsat Thematic Imager (TM) and Operational Land Imager (OLI) images for the years 1990 and 2015 and obtained convincing estimates of terrestrial biomass and soil carbon stocks with the INVEST model. The results showed that forestland, cropland and built-up land increased by 57.5, 429.7 and 128.9 km2, respectively, while grassland, wetland and barren land declined by 24.9, 548.0 and 43.0 km2, respectively in the TTRB from 1990 to 2015. The total carbon stocks encompassing aboveground, belowground, soil and litter layer carbon storage pools have declined from 831.48 Tg C in 1990 to 831.42 Tg C in 2015 due to land cover changes. In detail, the carbon stocks de- creased by 3.13 Tg C and 0.44 Tg C in Democratic People's Republic of Korea (North Korea) and Russia, respectively, while increased by 3.51 Tg C in China. Furthermore, economic development, and national policy accounted for most land cover changes in the TTRB. Our results imply that effective wetland and forestland protection policies among China, North Korea, and Russia are much needed for protecting the natural resources, promoting local ecosystem services and regional sustainable development in the transnational area.展开更多
In this paper, an empirical research on the system risks of the Shenzhen Stock Market using capital asset pricing model is conducted. The typical composition stocks on Shenzhen Stock Market in 1998 are taken as sample...In this paper, an empirical research on the system risks of the Shenzhen Stock Market using capital asset pricing model is conducted. The typical composition stocks on Shenzhen Stock Market in 1998 are taken as samples. Some quantitative analysis results are got, which can measure the risk of stock market.展开更多
文摘This study examines the relationship between Environmental,Social,and Governance(ESG)factors and stock prices as well as investment performance.ESG factors have become increasingly relevant in investment decisions as investors prioritize companies with sustainable practices.Using a sample of publicly-traded companies,this research analyzes the impact of ESG factors on stock prices and investment returns.The findings suggest that companies with strong ESG performance tend to have higher stock prices and better investment performance than those with weak ESG performance.The study also highlights the significance of the individual components of ESG,such as environmental policies and corporate governance practices,on stock prices and investment returns.Overall,this research provides valuable insights for investors seeking to incorporate ESG factors into their investment decision-making processes.
基金supported by the National Natural Science Foundation of China(72171059,71771041)the Fundamental Research Funds for the Central Universities(FRFCU5710000220)the Natural Science Foundation of Heilongjiang Province,China(No.YQ2020G003).
文摘Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity.Interestingly,this paper determines that the number of accumulated lead–lag days between stock pairs meets the power-law distribution in both the U.S.and Chinese stock markets based on 10 years of trading data.Based on this finding this paper adopts the power-law distribution to formally define the lead–lag effect,detect stock pairs with the lead–lag effect,and then design a pure lead–lag investment strategy as well as enhancement investment strategies by integrating the lead–lag strategy into classic alpha-factor strategies.Tests conducted on 20 different alpha-factor strategies demonstrate that both perform better than the selected benchmark strategy and that the lead–lag strategy provides useful signals that significantly improve the performance of basic alpha-factor strategies.Our results therefore indicate that the lead–lag effect may provide effective information for designing more profitable investment strategies.
文摘Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together with the three hypotheses of technological analysis, a novelty model of metering and evaluating the risk and return of stock investment is established. The major indicator of this model , risk-return ratio K, combines the characteristic indicators of risk and return. Regardless of the form of the risk-return probability density functions, this indicator K can always reflect the risk-return performances of the invested stocks clearly and accurately. How to use the model to make optimum investment and how to make portfolio combined with clustering analysis is also explained.
基金Supported by National Natural Science Foundation of China(72173011).
文摘[Objectives]To analyze the changes in of forest carbon sink and forestry economic development,provide reference for relevant management decisions,ecological governance and resource and environment management,and promote the development of green low-carbon economy in China.[Methods]Based on the data of six forest resource inventories from 1989 to 2018 and related studies,the comprehensive evaluation model of forest carbon sink and forestry economic development,the coupling degree model of forest carbon sink and forestry economic development,and the coupling coordination degree model of forest carbon sink and forestry economic development were adopted.The coupling degree of forest carbon sink and forestry economic development from 1992 to 2018 was analyzed.Stepwise regression and ARIMA model were used to analyze the influencing factors and lagging characteristics of forest carbon sink.The coupling degree between forest carbon sink and forestry economic development in China from 2019 to 2030 was predicted by autoregression and ADF test.The coupling between forest carbon sink and forestry economic development in China and its long-term change characteristics were also discussed in this study.[Results](i)The investment of ecological construction and protection,the actual investment of forestry key ecological projects,GDP and the import of forest products had a significant impact on forest resources carbon stock.The total output value of forestry industry,the actually completed investment of forestry key ecological projects and the export volume of forest products had a significant impact on the forest carbon sink,and the actually completed investment of forestry key ecological projects has the greatest impact on the two.(ii)The impact of actually completed investment of forestry key ecological projects had a lag of 2 years on the forest resources carbon stock and a lag of 1 year on the forest carbon sink.When investing in forest carbon sink,it is necessary to make a good plan in advance,and do a good job in forest resources management and time optimization.(iii)From 1992 to 2018,the coupling degree of forest resources carbon stock,forest carbon sink and long-term development of forestry economy in China was gradually increasing.Although there were some fluctuations in the middle time,the coupling degree of forest resources carbon stock and the long-term development of forestry economy increased by 9.24%annually,and the degree of coupling coordination increased from"serious imbalance"in 1992 to"high-quality coordination"in 2018.From 1993 to 2018,the coupling degree of forest carbon sink and long-term development of forestry economy increased by 9.63%annually,slightly faster than the coupling coordination degree of forest resources carbon stock and long-term development of forestry economy.The coordination level also rose from level 2 in 1993 to level 10 in 2018.(iv)The prediction shows that the coupling coordination degree of forest resources carbon stock,forest carbon sink and the long-term development of forestry economy would increase from 2019 to 2030.The coupling coordination degree(D)values of both were close to 1,the coordination level was also 10 for a long time,and the degree of coupling coordination was also maintained at the"high-quality coordination"level for a long time.[Conclusions]Forest has multiple benefits of society,economy and ecology,and forest carbon sink is only a benefit output.The long-term coupling analysis of forest carbon sink and forestry economic development is a key point to multiple benefit analysis.The analysis shows that the spillover effect and co-evolution effect of forest carbon sink in China are significant.From 1992 to 2018,the coupling coordination degree of forest carbon sink and forestry economic development was gradually rising.The prediction analysis also indicate that the coupling coordination degree between the forest carbon sink and the long-term development of forestry economy will remain at the level of"high-quality coordination"for a long time from 2019 to 2030.Therefore,improving the level of forest management and maintaining the current trend of increasing forest resources are the key to achieving the goal of carbon peaking and carbon neutrality in China.
文摘This study examines the association between corporate governance mechanisms (i.e., internal corporate governance, ownership structure, and external corporate govemance) and stock investment risk (i.e., idiosyncratic risk, systematic risk, and total risk of non-financial listed firms in Thailand in 2007). The multiple regression analysis is employed to test the hypotheses, and the results suggest that firms with higher market power have lower systematic risk. It implies that firms with higher market power can reduce the unavoidable risk when compared with firms that have lower market power. Firms with more media coverage will have higher systematic risk, which indicates that firms which publish more news will have higher unavoidable risk. This research may be the first to provide the evidence of the association between corporate govemance mechanisms and stock investment risk. Interestingly still, this study has utilized the data of Thailand, which is an emerging market economy with a capital market structure different from those of the developed market economies, and the results of this study are anticipated to be applicable to other similar studies in other emerging market economies.
文摘This paper deals with illiquidity measurement of stocks on Croatian Stock market. Illiquidity measures used in this paper are daily ratio of absolute stock return to its dollar volume (ILLIQ) and RCT (Relative change in turnover). Aim of this paper is to show that illiquidity measure RCT makes clear distinction between liquid and illiquid stocks that should be reflected through investment strategy where investment in RCT based illiquid portfolios outperforms investment in ILLIQ based portfolios and CROBEX index. Research was carried out on eighteen stocks from Zagreb Stock Exchange (ZSE) which are constituents of CROBEX index. Portfolios of liquid and portfolios of illiquid stocks based on results of illiquidity measurement were constructed. Behaviour in terms of return and volatility of these portfolios in following one-year period was observed. Results showed that portfolios formed using RCT as measure of illiquidity constantly outperformed CROBEX index and ILLIQ based portfolios. Returns of RCT based portfolios had lower standard deviation and were more stable than ILLIQ based portfolios in whole period. RCT as a measure of illiquidity produces valuable information on stock liquidity that can be exploited as investment strategy reflecting itself in larger expected returns of RCT portfolios in future period than expected returns of ILLIQ based portfolios and market.
文摘Article 1With a view to promoting the healthy development of foreign invest-ment enterprises, protecting the legitimate rights and interests of investorsof the parties concerned and safeguarding the social and economic order,this set of regulations has been formulated in accordance with the Com-pany Law of the People’s Republic of China,Law of the People’s Republicof China on Chinese-Foreign Equity Joint Ventures,Law of the People’sRepublic of China of Foreign on Chinese-Foreign contractual Joint Ven-tures,Law of the people’s of China of Foreign Capital Enterprises,andother relevant laws and regulations.Article 2The alteration of investors’stock equity in foreign investment enter-prises as used hereof refers to the alteration of investors or theirshares(hereinafter referred to as the stock equity) of financialcontribution(inchiding the cooperative conditions offered) in Chinese-for-eign equity joint ventures,Chinese-foreign contractual joint ventures andforeign investment enterprises(hereinafter referred to as the enterprises).
基金Under the auspices of the National Key Research and Development Project(No.2016YFA0602301)National Natural Science Foundation of China(No.41730643,41671219,41771109,31500400)
文摘Understanding the effects of land cover changes on ecosystem carbon stocks is essential for ecosystem management and envi- ronmental protection, particularly in the transboundary region that has undergone marked changes. This study aimed to examine the impacts of land cover changes on ecosystem carbon stocks in the transboundary Tureen River Basin (TTRB). We extracted the spatial information from Landsat Thematic Imager (TM) and Operational Land Imager (OLI) images for the years 1990 and 2015 and obtained convincing estimates of terrestrial biomass and soil carbon stocks with the INVEST model. The results showed that forestland, cropland and built-up land increased by 57.5, 429.7 and 128.9 km2, respectively, while grassland, wetland and barren land declined by 24.9, 548.0 and 43.0 km2, respectively in the TTRB from 1990 to 2015. The total carbon stocks encompassing aboveground, belowground, soil and litter layer carbon storage pools have declined from 831.48 Tg C in 1990 to 831.42 Tg C in 2015 due to land cover changes. In detail, the carbon stocks de- creased by 3.13 Tg C and 0.44 Tg C in Democratic People's Republic of Korea (North Korea) and Russia, respectively, while increased by 3.51 Tg C in China. Furthermore, economic development, and national policy accounted for most land cover changes in the TTRB. Our results imply that effective wetland and forestland protection policies among China, North Korea, and Russia are much needed for protecting the natural resources, promoting local ecosystem services and regional sustainable development in the transnational area.
文摘In this paper, an empirical research on the system risks of the Shenzhen Stock Market using capital asset pricing model is conducted. The typical composition stocks on Shenzhen Stock Market in 1998 are taken as samples. Some quantitative analysis results are got, which can measure the risk of stock market.