This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative ab...This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative abnormal returns and the unexpected earning as the main dependent and independent variables. The evidences show that： （1） There is a strong returns-to-earnings relation for banks; （2） The liquidity risk has information content beyond earnings changes in the returns-to-earnings relation. This probably due to the reason that managers of banks find the level of liquidity that fulfilled the need of investors and at the same time earns good profits for the banks.展开更多
An adaptive local smoothing method for nonpaxametric conditional quantile regression models is considered in this paper. Theoretical properties of the procedure are examined. The proposed method is fully adaptive in t...An adaptive local smoothing method for nonpaxametric conditional quantile regression models is considered in this paper. Theoretical properties of the procedure are examined. The proposed method is fully adaptive in the sense that no prior information about the structure of the model is assumed. The fully adaptive feature not only allows varying bandwidths to accommodate jumps or instantaneous slope changes, but also al- lows the algorithm to be spatially adaptive. Under general conditions, precise risk bounds for homogeneous and heterogeneous cases of the underlying conditional quantile curves are established. An automatic selection algo- rithm for locally adaptive bandwidths is also given, which is applicable to higher dimensional cases. Simulation studies and data analysis confirm that the proposed methodology works well.展开更多
文摘This study aims to find the effect of financial risks, price risks and market risks on the Earning Response Coefficients （ERC） for China Commercial Banks. The research methodologies use the traditional cumulative abnormal returns and the unexpected earning as the main dependent and independent variables. The evidences show that： （1） There is a strong returns-to-earnings relation for banks; （2） The liquidity risk has information content beyond earnings changes in the returns-to-earnings relation. This probably due to the reason that managers of banks find the level of liquidity that fulfilled the need of investors and at the same time earns good profits for the banks.
基金supported by the major research projects of Philosophy and Social Science of the Chinese Ministry of Education(Grant No.15JZD015)National Natural Science Foundation of China(Grant No.11271368)+9 种基金the major program of Beijing Philosophy and Social Science Foundation of China(Grant No.15ZDA17)project of Ministry of Education supported by the Specialized Research Fund for the Doctoral Program of Higher Education of China(Grant No.20130004110007)the Key Program of National Philosophy and Social Science Foundation Grant(Grant No.13AZD064)the major project of Humanities Social Science Foundation of Ministry of Education(Grant No.15JJD910001)Renmin University of China,the Special Developing and Guiding Fund for Building World-Class Universities(Disciplines)(Grant No.15XNL008)China Statistical Research Project(Grant No.2016LD03)the Fund of the Key Research Center of Humanities and Social Sciences in the general Colleges and Universities of Xinjiang Uygur Autonomous RegionGeneral Research Fund of Hong Kong Special Administrative Region Research Grants Council General Research Fund(Grant Nos.14300514 and 14325612)Hong Kong Special Administrative Region-Research Grants Council Collaborative Research Fund(Grant No.City U8/CRG/12G)the Theme-Based Research Scheme of Hong Kong Special Administrative Region-Research Grants Council Theme Based Scheme(Grant No.T32-101/15-R)
文摘An adaptive local smoothing method for nonpaxametric conditional quantile regression models is considered in this paper. Theoretical properties of the procedure are examined. The proposed method is fully adaptive in the sense that no prior information about the structure of the model is assumed. The fully adaptive feature not only allows varying bandwidths to accommodate jumps or instantaneous slope changes, but also al- lows the algorithm to be spatially adaptive. Under general conditions, precise risk bounds for homogeneous and heterogeneous cases of the underlying conditional quantile curves are established. An automatic selection algo- rithm for locally adaptive bandwidths is also given, which is applicable to higher dimensional cases. Simulation studies and data analysis confirm that the proposed methodology works well.
