A new test on the conditional capital asset pricing model

Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.

Site and Regional Trend Analysis of Precipitation in Central Macedonia, Greece

The purpose of this paper is to investigate the trend of precipitation in Kilkis region (Greece) at the site and regional level in various time scales. At the site level, the precipitation trend was analyzed using three tests: 1) Mann-Kendall, 2) Sen’s T and 3) Spearman while the trend slope was estimated using the Sen’s estimator. At a regional level, nonparametric spatial tests such as Regional Average Mann-Kendall (RAMK) and BECD’s (Bootstrap Empirical Cumulative Distributions) were elaborated with and without the effect of cross correlation. The trend of precipitation was noticed generally downward at annual time scale and statistically significant at 5% level of significance only in only one station. The results of the analysis of trends at the regional level showed in total the influence of cross correlation in the time series since the number of trends detected is reduced when cross correlation is preserved. Precipitation data from 12 stations were used. The study results benefit water resource management, drought mitigation, socio-economic development, and sustainable agricultural planning in the region.

Capital flows, economic growth and the real effective exchange rate: Evidence from China

This paper examines the Granger causal relationship between capital flows and economic growth in China over the period 1998Q1–2019Q2,allowing for real effective exchange rate(REER)effects.As parameter instability tests indicate structural changes,we use bootstrap rolling window causality tests,which suggest that the causal nexus between capital flows and GDP growth is time-varying.We find that the causal links between foreign direct investments(FDIs)and GDP growth are hardly affected by the REER,whereas the REER plays a more important role in affecting the causal connections between portfolio investments and other investments and GDP growth.Our results suggest that cumulative portfolio inflows and cumulative other investment inflows harm GDP growth,whereas cumulative portfolio outflows and cumula-tive other investment outflows positively affect GDP growth.

THE IMPACT OF WARRANTS INTRODUCTION:SIGN EFFECT OR MAGNITUDE EFFECT?

The data of warrants underlying stocks was selected for the sample period from August,2005 to December,2009.These data the authors collected did not include the announcement date of reform of non-tradable underlying shares,and was available from Shanghai and Shenzhen stock exchanges.The event study method is employed to test the magnitude effect based on the Wild bootstrap,which is performed on the abnormal return,the cumulative abnormal return,and the standardized cumulative abnormal return.Empirical results show no evidence of magnitude effect but sign effect after warrants introduction.The authors argue that this phenomenon is caused by the migration of radical agents from stock market to warrant market.