International Financial Market＇s Integration and Modelling Returns of Risky Assets

The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.

Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?

Through the Economic-Value-Added(EVA)valuation model,the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of constant required return and constant return on equity.The equation of EVA valuation model has taken its shape under the assumption of constant required return and constant return on equity.However,a large body of empirical evidence indicates that required rate of return never remain constant.The EVA-valuation model formulated under constant required return cannot be implemented under the scenario of changing required return.In this study,we explored whether the EVA valuation model could be implemented under changing required return by making any changes in the model and found that it could be implemented under the scenario of changing required return by replacing the book value of the equity of the existing model with the present value of required earnings or normal market earnings.We further examined whether the explanatory ability of the EVA valuation model under the assumption of changing required return is better than that of the valuation model under the assumption of constant required return.Relative information content analyses were conducted by considering sample of the intrinsic value of equities determined by valuation models and the market value of equities of 69 large-cap,88 mid-cap,and 79 small-cap companies.The results showed that the EVA-based valuation model with changing normal market return outperformed the EVA-based valuation model with constant required return.

A perspective on recent methods on testing predictability of asset returns

This paper highlights some recent developments in testing predictability of asset returns with focuses on linear mean regressions, quantile regressions and nonlinear regression models. For these models, when predictors are highly persistent and their innovations are contemporarily correlated with dependent variable, the ordinary least squares estimator has a finite-sample bias, and its limiting distribution relies on some unknown nuisance parameter, which is not consistently estimable. Without correcting these issues, conventional test statistics are subject to a serious size distortion and generate a misleading conclusion in testing pre- dictability of asset returns in real applications. In the past two decades, sequential studies have contributed to this subject and proposed various kinds of solutions, including, but not limit to, the bias-correction procedures, the linear projection approach, the IVX filtering idea, the variable addition approaches, the weighted empirical likelihood method, and the double-weight robust approach. Particularly, to catch up with the fast-growing literature in the recent decade, we offer a selective overview of these methods. Finally, some future research topics, such as the econometric theory for predictive regressions with structural changes, and nonparametric predictive models, and predictive models under a more general data setting, are also discussed.

Conditional Quantile Polynomial Distributed Lag Model with an Application to Rubber Price Returns

Impacts of returns on assets are not instantaneously felt, since there is lag period. In this paper we consider the problem of developing a model for the conditional QPDL （quantile polynomial distributed lag） and investigate the influences of the conditioning variables on the location, scale and shape parameters of the QPDL model. As an economic application, we consider the production of rubber and its price returns ofSri Lanka. From the analysis we observed that the QPDL model applications were better estimators than the PDL （Polynomial Distributed Lag） models.

Italian Banking Sector and Value Creation

The finn value is the fundamental topic of corporate finance. The value creation is the aim of economic initiatives, strategies, corporate policies, and all business activities, including banking. It depends, among other things, on size, legal form, and business model. Therefore, this paper wants to demonstrate and explain the differences about the value created in the Italian banking sector, where there is much diversity regarding size, legal form, and business model. This paper estimated and compared the value of Italian listed companies from 2010 to 2012 and found the result： Banks create more value if they are big and operate in investment banking. Furthermore, it proved that legal form hasn＇t influenced performance and value of banks.

Working Capital Management and Firms’ Profitability: Evidence from Quoted Firms on the Nigerian Stock Exchange

Over the years, it appeared that firms failed to subject short-term investments to proper management thereby leading to either excessive or inadequate working capital which in turn affected their profitability. To empirically satisfy this, this paper examined working capital management and firms’ profitability in Nigeria quoted firms on Nigerian Stock Exchange (NSE). A panel data methodology was used with different regression estimators to analyze this relationship based on a balanced panel of 10 listed firms during the period 2008-2017. It was discovered that cash collection period and cash payment period exerted a negative impact on return on assets, though the impact was only significant for cash payment period on the ground of −0.064 (p = 0.000 −0.032 (p = 0.077 > 0.05). Also discovered was that both the current ratio and inventory period exerted a positive impact on return on assets, though the impact was only significant for current ratio on the ground of 8.172 (p = 0.000 0.05). The study concluded that working capital management affected firms’ profitability in Nigeria. Therefore it was recommended that while the shorter collection was maintained, payment to creditors should not be elongated so as to enjoy cash discount (if any) and that firms should be proactive in the management of raw materials in order to avoid idle resources that might negatively impact their financial performance.

An Evaluation of the Effect of Credit Risk Management （CRM） on the Profitability of Nigerian Banks

This paper assesses the effect of credit risk management （CRM） on the profitability of Nigerian banks with a view to discovering the extent to which default rate （DR）, cost per loan asset （CLA）, and capital adequacy ratio （CAR） influence return on asset （ROA） as a measure of banks＇ profitability. Data were generated from secondary sources, specifically, the annual reports and accounts of quoted banks from 2002 to 2011. Descriptive statistics, correlation, as well as random-effect generalized least square （GLS） regression techniques were utilized as tools of analysis in the study. The findings establish that CRM as measured by three independent variables has a significant positive effect on the profitability of Nigerian banks as indicated by the coefficient of determinations ＂R2 value＂ which shows the within and between values of 40.89% and 58.35% （which are impressive） while the overall R2 iS 43.91%, indicating that the variables considered in the model account for about 44% change in the dependent variable, that is, profitability. The study recommends that banks＇ management should be more scientific （application of risk evaluation techniques） in their credit risk assessment and management of loan portfolios in order to minimize the high incidence of non-performing loans and their negative effect on profitability.

The Impact of Turnover Ratios on Jordanian Services Sectors＇ Performance

Profitability ratios are a group of financial ratios that indicate how much profit a business is earning within a certain context, while asset utilization ratios indicate how efficient a business is in operating its assets to generate cash. The difference between profitability ratios and turnover ratios is the fact that turnovers are more specific. While profitability ratios measure overall performance in terms of profits, asset utilization ratios focus on specific measurements within the business） We conduct this study to verify the impact of turnover ratios on Jordanian services sectors＇ performance during the period from 2009 to 2012. The study showed that there is no significant impact of turnover ratios on Jordanian services sectors＇ profitability, and by testing the main and sub hypotheses, the study revealed that there is no significant impact of turnover ratios on Jordanian services sectors＇ return on assets （ROA）, there is no significant impact of working capital turnover on Jordanian services sectors＇ ROA, there is no significant impact of total asset turnover on Jordanian services sectors＇ ROA, and there is no significant impact of fixed asset turnover on Jordanian services sectors＇ ROA. Also, the study showed that there is no significant impact of turnover ratios on Jordanian services sectors＇ return on equity （ROE）, there is no significant impact of working capital turnover on Jordanian services sectors＇ ROE, there is no significant impact of total asset turnover on Jordanian services sectors＇ ROE, and there is no significant impact of fixed asset turnover on Jordanian services sectors＇ ROE. Moreover, the study concluded that the educational services sector has the lowest working capital turnover and healthcare services sector has the highest. In addition, we find that the hotels and tourism sector has the lowest total asset turnover ratio, while the utilities and energy sector has the highest and that the hotels and tourism sector has the lowest fixed asset turnover, while the utilities and energy sector has the highest. The transportation sector has the lowest ROA and technology and communication sector has the highest. Finally, we find that transportation sector has the lowest ROE and the technology and communication sector has the highest.

Optimal asset allocation strategies of university endowment funds

Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spending for beneficiaries and growth of the portfolio. In this paper, the author address these allocation constraints in a dynamic framework, in which minimum subsistence levels are introduced in the objective function and derive explicit formulas for the optimal portfolio strategy.

Harbin Bearing Shareholding Corporation,Ltd.

The Harbin Bearing Shareholding Corporation, Ltd., formerly the Harbin Bearing Factory, is a key enterprise in the bearing industry and one of the 500 topenterprises in the country. With 15,000 staff, the corporation has equipment and fixed assets worth RMB455 million. Annually, it produces 80 million sets of bearings in 5,500 specifications and nine categories. Its output value last year was RMB800 million with a profit and tax return of RMB110 million. HRB brand bearings produced by the corporation sell well in over 30 provinces and regions at home and 40 countries around the world.

Monetary Policy and Profitability of Commercial Banks in Uganda

Background: Economic theory suggests that monetary policy through interest rates affects bank profitability. There is limited empirical evidence on the relationship between monetary policy and profitability of commercial banks in Uganda. Objective: This study seeks to examine the effect of monetary policy on the profitability of commercial banks in Uganda. Methodology: The study adopts a causal relationship research design. Data, covering 9 years from 2010-2018, was collected from all the registered commercial banks which were in operation over the study period. Various monetary policy variables are included in the empirical model as predictor variables. Return on Assets is used as a measure of bank profitability. A dynamic two-step System Generalized Method of Moments panel estimator is applied to estimate the empirical model. Findings: Estimates show that monetary policy in terms of its link to the lending rate has a significant causal effect on Return on Assets, suggesting that interest rate changes predict bank profitability of commercial banks in Uganda. Further, results show that a rise in core inflation has a significant negative causal effect on the banks’ profitability and that there is a significant lagged effect of Return on Assets. The 91-day treasury bill rate and money supply were insignificant in predicting bank profitability. Originality: Unlike previous related studies which have focused on major advanced economies and a limited number of studies which have considered only a few developing countries like Nigeria and Kenya, the current study provides empirical evidence on the link between monetary policy and commercial bank profitability in Uganda. Practical Implications: Policy makers in the financial sector may use the study results as a basis of implementation of appropriate monetary policy actions that enhance the profitability of Uganda’s commercial banks. For instance, the central bank should promote low and stable core inflation in order to enhance bank profitability, and should ensure that the monetary policy transmission to interest rates is efficient.

Pricing European Options Based on a Logarithmic Truncated t-Distribution

The t-distribution has a “fat tail” feature, which is more suitable than the normal probability density function to describe the distribution characteristics of return on assets. The difficulty of using t-distribution to price European options is that a fat tail can lead to a deviation in one integral required for option pricing. We use a distribution called logarithmic truncated t-distribution to price European options. A risk neutral valuation method was used to obtain a European option pricing model with logarithmic truncated t-distribution.

Some Financial Problems in the Light of EMM Results:Asset Pricing and Efficient Portfolio Allocation

Discussing results in asset pricing and efficient portfolio allocation,we show that mixed success and errors in these results often follow from a lack of information about the asset return distribution and wrong assumptions about its properties.Some mistakes in asset pricing come from the assumption of symmetry in return distributions.Some errors in efficient portfolio allocation follow from Markowitz’s approach when applying it to portfolio optimization of skewed asset returns.The Extended Merton model(EMM),generating skewed return distributions,demonstrates that(i)in skewed asset returns,the variance is not an adequate measure of risks and(ii)positive skewness in the asset returns comes together with a high default probability.Thus,the maximization of the mean portfolio returns and skewness with controlled variance used in mainstream papers can critically increase portfolio risks.We present the new settings of the optimal portfolio allocation problem leading to less risky efficient portfolios than the solutions suggested in all previous papers.

气候风险对企业价值的影响

极端天气事件频发不但给全球经济增长与金融稳定带来了严峻挑战,而且实体企业也受到多维度的负向影响。科学度量并缓解气候风险对企业价值的负向冲击已成为企业风险管理的重要内容,亦是实现经济可持续发展的重要微观基础。该研究以2012—2022年中国A股上市公司为样本,通过文本分析法刻画企业面临的气候风险,运用固定效应模型实证检验了气候风险对企业价值的影响及其机制。研究发现:①气候风险对企业价值具有显著的负向影响,这一结论在经过一系列稳健性检验和处理内生性问题后依然稳健。②企业收益率和企业信用风险均是气候风险负向冲击企业价值的有效渠道,气候风险可通过降低企业的资产收益率以及增加企业的信用风险进而对企业价值产生负向影响。③气候风险对企业价值的负向影响因行业特性、区域位置和企业规模差异而具有异质性。气候风险对重污染行业企业、非东部地区企业以及中小型企业的负向影响更大,上述企业经营过程中更应注重气候风险所带来的负面影响。④企业绿色经营、提升风险管理与内控能力、机构投资者持股,有助于抑制气候风险对企业价值的不利影响。调节效应研究发现,企业ESG表现、企业风险管理能力、企业内部控制水平以及机构投资者持股比例对气候风险与企业价值之间的关系具有正向调节作用,显著抑制了气候风险对企业价值的负面影响。因此,企业应密切关注气候风险冲击,建立气候风险管理的长效机制,逐步强化对可持续发展理念的认知、提升风险管理与内控水平,多措并举加强对气候风险的管理。

基于改进超额收益法的企业数据资产价值评估

在大数据的时代背景下,数据资产已成为企业的战略性资源,企业也愈发重视数据资产的发展。但是,数据资产的评估尚在萌芽期,如何对数据资产进行准确的估值成为目前专家及学者们面临的重大问题。笔者通过对现有文献系统地梳理、总结,使用超额收益法、AHP和熵权法更加客观地计算企业数据资产过去创造的收益额,据此建立GM(1,1)模型预测数据资产未来的收益额,使用无形资产的回报率进行折现,最终得到企业数据资产的价值,并用实际案例进行解释说明。

“双碳”背景下气候情绪对四川矿产行业影响路径及风险研究

本文以“双碳”为背景,研究气候风险对四川省矿产上市公司的影响。首先,本文以2014—2022年东方财富网络数据为样本,采用朴素贝叶斯模型构建气候情绪指数。其次,采用多元模型进一步研究气候情绪对四川省上市矿产公司总资产报酬率的影响。实证结果表明:本文构建的气候情绪指数与四川矿产上市公司的总资产报酬率存在显著正向关系;气候风险对不同公司类型影响不同,气候情绪对大规模矿产公司的总资产报酬率有显著的促进作用,而对小规模矿产公司总资产报酬率不存在显著影响。因此,为了更好地应对气候变化风险,矿业企业应积极实施低碳战略,主动披露排放信息,提高品牌价值,为长期发展创造新的竞争优势。

借贷便利创新工具、资产收益率与商业银行信用风险

本文基于2014—2021年中国203家银行的非平衡面板数据,考察借贷便利创新工具对商业银行信用风险的影响。实证分析发现:借贷便利创新操作会显著增加商业银行信用风险,该结论在考虑内生性问题以及进行一系列稳健性检验后依然成立。异质性检验显示,这一政策效应在区域性商业银行、规模较小的商业银行中表现得更为明显。中介效应模型检验表明,借贷便利创新工具通过抑制商业银行资产收益率的渠道增加信用风险。调节效应模型检验结果说明,资本监管力度和银行家乐观度的提高均会减弱借贷便利创新工具对商业银行信用风险的加剧效应。该研究结论对于中央银行适时适量地进行借贷便利操作和商业银行信用风险管理防控具有借鉴意义。

基层医疗卫生机构经济运行状况分析

目的调查我国基层医疗卫生机构经济运行情况,分析不同类型及经济发展水平地区基层医疗卫生机构资产、收入与费用现状及分布特征。方法研究设计“全国基层医疗卫生机构经济运行情况调查问卷”,用方便抽样的方法收集2019-2021年我国基层医疗卫生机构经济运行相关数据,利用描述性、相关性和比较分析方法对所得数据进行分析。结果2019-2021年,基层医疗卫生机构的财政拨款收入增速大于医疗收入增速,公共卫生费用和人员费用占总费用的比例均呈逐年增加趋势,收入增速小于费用增速;新冠疫情期间,资产负债率、资产收益率等指标出现小幅波动。结论基层医疗卫生机构的经济运行存在区域发展不平衡的现象,收入结构有待优化,正财务杠杆效应不明显,管理人员专业性有待提高。

金融市场风险溢出对银行理财产品收益的效应研究

随着《关于规范金融机构资产管理业务的指导意见》的正式实施,银行理财产品在债券市场与货币市场的投资比重增大,分析投资者所承担的金融市场风险溢出效应,有利于投资者对银行理财产品进行选择。本文运用溢出指数法测度债券市场与货币市场风险溢出对银行理财产品收益率的效应或者风险贡献,并运用GARCH模型检验溢出指数法测度的有效性,继而就《关于规范金融机构资产管理业务的指导意见》实施前后的影响进行对比分析。研究表明:债券市场对银行理财产品投资收益有相对较大的风险溢出效应,货币市场的风险溢出效应相对较小,且债券市场变化对银行理财产品投资收益的影响存在滞后效应。《关于规范金融机构资产管理业务的指导意见》实施前后,债券市场、货币市场对银行理财产品投资收益的风险溢出效应呈现前高后低。《关于规范金融机构资产管理业务的指导意见》实施后,债券市场和货币市场对银行理财产品收益的风险溢出效应并没有因投资比重增加而显著增强。未来,银行理财产品投资者承担的风险主要来源于银行的投资管理。银行需要在债券市场进一步加强投资管理,以降低银行理财产品投资者的风险。

光伏电站建设项目内部基准收益率测算

内部基准收益率(简称基准收益率)是衡量资产价值与建设项目经济价值的重要参数,其取值受宏观经济情况,市场景气程度以及行业发展水平等因素影响,随时间呈动态变化,也因项目的不同而存在差别。光伏发电属于可再生能源发电中十分重要的部分,但由于该行业发展的年限较短,光伏电站建设项目的基准收益率尚缺乏针对行业特点的测算方法。融合资本资产定价模型(CAPM)和加权平均资本成本(WACC)方法,得到适用于项目的权益资本成本和适用于具体项目的基准收益率。并以某屋顶分布式光伏电站项目为例,计算得到该项目的基准收益率为4.50%,符合当前光伏项目4%~8%的基准收益率水平,说明采用该方法计算光伏发电项目的基准收益率是可行的。