Matching Items (11)

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Investment Style and Performance Attribution Analysis on Chinese A Share Market

Description

With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis.

With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis.

The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills.

The dissertation focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be assessed ex-ante; Transaction can be observed and modified during the investment process; and return attribution can be implemented to evaluate portfolio (managers), ex-post. Hence, these three elements make up a comprehensive and logical investment process.

Investment style is probably the most important factor in determining portfolio returns. However, Chinese investment managers are under constant pressure to follow the market trend and shift style accordingly. Therefore, accurately identifying and predicting each manager’s investment style proves critically valuable.

In addition, transaction data probably provides the most reliable source of information in observing and evaluating an investment manager’s style and strategy, in the middle of the investment process.

Despite the efficacy of traditional return attribution methodology, there are clear limitations. The current study proposes a novel return attribution methodology, by synthesizing major portfolio strategy components, such as risk exposure adjustment, sector rotation, stock selection, altogether. Our novel methodology reveals that investment managers do not obtain much abnormal returns through risk exposure adjustment or sector rotation. Instead, Chinese investment managers seem to enjoy most of their excess returns through stock selection.

In addition, we find several interesting patterns in Chinese A-share market: 1). There is a negative relationship between asset under management (AUM) and investment performance, beyond certain AUM threshold; 2). There are limited benefits from style switching in the long run; 3). Many investment managers use CSI 300 component stocks as portfolio ballast and speculate with CSI500 and Medium-and-Small board component stocks for excess returns; 4). There is no systematic negative relationship between portfolio turnover and investment performance; despite negative relationship within certain sub-samples and sectors; 5). It is plausible to construct out-performing portfolios with style index funds and ETFs.

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Created

Date Created
2016

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The Impact of Government Subsidy on R&D Input of Enterprises

Description

Although China’s economy has experienced fast growth over the years, it is also characterized by a lack of innovative products and slow development of advanced production technologies. A main reason for this problem is insufficient investments in research and development

Although China’s economy has experienced fast growth over the years, it is also characterized by a lack of innovative products and slow development of advanced production technologies. A main reason for this problem is insufficient investments in research and development (R&D) activities by Chinese firms. Because of the potential externality and free-rider effects, the economics literature has long suggested that the private sector tends to underinvest in R&D without governmental interventions. The weak protection of intellectual property rights in China makes the problem of underinvestment in R&D even worse. In this situation, it becomes increasingly important for the government to provide incentives such as subsidies on R&D investments, given that R&D investments are critical to the development of new technologies and the sustainable growth of the economy.

In this study I investigate how governmental subsidies on R&D influence Chinese firms’ R&D investments and performance. Specifically, I want to find out (1) whether governmental subsidies promote or hinder firms’ R&D investments, and (2) whether governmental subsidies have differential effects on financial performance across different types of firms. My goal is to better understand the effects of governmental subsidies on Chinese firms. To achieve this goal, I first conduct an extensive review of the relevant literature and then develop a conceptual model about the determinants of governmental subsidies on R&D in China. Next, I conduct empirical analysis using data collected from all the firms listed in the Shanghai Stock Changes and Shenzhen Stock Exchanges during the period of 2009 to 2012. Overall, my findings show that governmental subsidies on R&D have a positive impact on R&D investments by the listed firms. Meanwhile, I find that this positive impact varies significantly across different types of firms, particularly among firms that are still largely owned by the state. I conclude this study with a discussion of its implications for governmental policies on R&D investments.

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Created

Date Created
2015

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The Research of Improving State-backed Private Equity’s Competitiveness

Description

Accompanying with the development of economy system and the completion of legal framework, Chinese domestic PE industry not only transfused vigor and vividness to capital market, but also generated contribution to substantial economy with a rapid pace in recent decades.

Accompanying with the development of economy system and the completion of legal framework, Chinese domestic PE industry not only transfused vigor and vividness to capital market, but also generated contribution to substantial economy with a rapid pace in recent decades.

Depending on the first move advantage and an affinity with Chinese government, PE industry initially was led by state-owned enterprises. However, these non-market-oriented PE institutions confronted challenge from the perspective of culture, structure and mechanism and crises of outflow of human capital and lacking capability of sustainable development while private section and foreign capital enter the market.

Based on the figure of PE investment and the pattern of historical development in foreign and domestic market, this article specifically analyzed the history of state-backed PE industry‘s development and both advantage and disadvantage of state-backed PE institutions according to real cases intending to improve the competitive strength of state-backed enterprises and to promote a state-backed PE institutions to world-class enterprises through the application of a multi-dimensional stock equity structure, the advantage in accessibility of resource as state-backed enterprises, a market-oriented system and the ability of key staffs.

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Created

Date Created
2015

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Research on the Liquidity of China Treasury Futures Market

Description

Given the "New Nine Measures" for capital market reform, a policy document issued by the State Council of China, the development of markets for interest rate derivatives, such as treasury futures, becomes an increasingly important task. Several shortcomings of the

Given the "New Nine Measures" for capital market reform, a policy document issued by the State Council of China, the development of markets for interest rate derivatives, such as treasury futures, becomes an increasingly important task. Several shortcomings of the existing treasury futures market have been noted: including low market liquidity, singular investor composition, restrict contract terms, and low hedging demand.

This study contributes to a better understanding of the treasury futures market by analyzing changes in China treasury futures market regulations and their impact on market liquidity of treasury futures. Found that compared with the mature market, China treasury futures market exists liquidity shortage, the trading system, market structure and the division of regulatory are factors which influence the liquidity of China treasury futures market.

This study found that reducing transaction costs for further optimization of the width and depth of China treasury futures market are not obvious by using quantitative analysis method, expanding the smallest change price can optimize the market depth, reducing transaction costs and expanding smallest change price can optimize the immediacy, volume and hosting amount. In addition, the bond market will also influence the treasury futures market, the price fluctuations and the morphology of the yield curve of bond market have significant influence on width, depth and holdings of market.

The system of China treasury futures market needs to be optimized by expanding the smallest change price and reducing transaction costs. The market structure needs to be optimized by establishing unified bond market and enriching investor structure.

These findings have significant theoretical and practical implications. The study also provides policy recommendations for the design and establishment of treasury futures market to the regulatory agencies.

Contributors

Agent

Created

Date Created
2016

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The Source of Senior Management in the Branches of China’s City Commercial Bank: Internal Training or External Introduction

Description

China's city commercial banks were reorganized by the urban credit cooperatives in the same city in the 1990s. Although they are allowed to open branches outside the registered city, the location and the number of their branches have been strictly

China's city commercial banks were reorganized by the urban credit cooperatives in the same city in the 1990s. Although they are allowed to open branches outside the registered city, the location and the number of their branches have been strictly restricted. It is fatal to them to increase the competitiveness of their branches. Based on the diversity theory and its mechanism, in this study I examined the impact of source diversity of the senior management in the branches of the city commercial bank on the branches’ productivity and their asset yield. Invoking the resource-based theory and the social capital framework, the source diversity lead to the organization resources diversity and the organization knowledge diversity. The results demonstrate that the source diversity contribute to the branches’ competitiveness advantage. Both internal trained personnel and external introduction personnel are important for the branches’ top management team. But one of the two kinds of personnel is more suitable to their middle management team.

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Created

Date Created
2017

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商办类公寓产品价格影响因素及购买群体分析——以无锡地区为例

Description

随着商品房住宅市场调控政策大幅收紧,商办类公寓市场成为住房自住需求和投资需求共同关注对象,这有力地促进了商办类公寓市场发展。然而在公寓市场快速发展过程中也暴露出一些问题,比较突出的表现有:商办类公寓价格影响因素不明确使得公寓定价和高溢价产品开发方面缺乏科学决策依据;政府政策不稳定,公寓市场发展前景不明确,地方政府表现的态度各不相同,支持的地方政府允许个人购买公寓并享受学区资格,不支持的地方政府要求公寓只能售给单位。这些表现反映出商办类公寓市场发展过程中调控政策和运营策略亟待完善。本文以商办类公寓为研究对象,从宏观视角对商办类公寓价格影响因素进行分析,以及从微观视角对商办类公寓需求群体分析,从而为商办类公寓市场调控政策和公寓产品开发商运营策略建言献策。本文首先对影响房地产价格因素、客户群体分类分析和政府出台的商办类公寓政策进行了文献综述;其次对商办类公寓相关概念进行界定,梳理有关理论知识从而为后续分析奠定理论与方法基础;然后以无锡地区为例,从政策、运营和需求三个维度确定影响商办类公寓产品销售价格因素,构建商办类公寓价格回归模型并进行调整与分析,使用时序数据分析了无锡主要调控政策对于价格增长率的影响;进一步聚焦商办类购房群体,以无锡市某商办类公寓项目购房群体为样本运用二元Logit回归分析对该群体进行不同角度的分析;最后,针对商办类公寓市场现行调控政策进行反思并给出政策建议,针对采用“集中收购-整合-销售-租赁”模式的公寓产品开发商给出运营策略建议。
本研究成果能够为公寓开发商在收购商办类资产、目标客户营销方面提供指导意见。这有助于提高公寓运营商盈利能力、降低重资产投资风险,促进公寓市场的长足发展;能够指明公寓购房需求群体特点,该如何区分对待,从而为政府决策者出台更合理、灵活的公寓市场规范化政策提供参考建议,而不是通过简单“一刀切”式的行政手段去干预。

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Created

Date Created
2021

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科研用地楼宇交易价格影响因素研究

Description

2012年起,南京市委市政府主导实施以土地利用方式转变倒逼促进经济发展方式转型,出台政策条例推进原低效的纯工业用地向科研用地楼宇建设改变,拉开了南京科研用地性质的科研办公楼宇的发展序幕,后续更是直接审批科研用地项目发展总部经济或各类园区,用以促进鼓励相应产业的发展,这使得该类土地性质的楼宇有了进一步加速发展。如今全市的科研用地上已建成超过5000万平方的办公楼宇,客观来看,政策使得某些区域的城市化建设感观有了快速提升,对于政府鼓励的产业载体提供有快速提升,对于政府的城市更新和产业主导能力有极为明显的作用。这同时也形成了很多问题,如对于传统商办市场的影响,整体作为办公为使用功能的楼宇的市场格局的变化,总体供求关系的影响等。同时大体量的科研用地项目本身在交易环节面临交易价格低、销售速度慢、按揭贷款困难、产权证办理困难等诸多困境,在租赁环节面临去化周期长,租赁价格竞争激烈等问题。

通过对市场的观察,能够明显看出在同样办公的使用功能的前提下,科研用地交易价格远低于纯办公土地性质的办公用房,而且不同的科研用地的房产价格也有较为明显差异(即使在地段、硬件相似的前提下)。究其原因,主要存在于科研用地的诸多限制,即和纯粹的商办性质的楼宇相比,政府对于科研用地的楼宇规定了更多的限制条件,从产权的角度而言即产权的不完全因素。本研究通过南京科研用地楼宇产权不完全的现状这一现象,从产权的限制性因素出发,研究整体的产权不完全性对于交易价格的影响,进而拆分各个限制因素(不完全因素)对交易价格产生影响。

为研究调研科研楼宇市场的政策现状交易情况现状、政策中的哪些限制因素会对楼宇的交易价格产生影响、限制因素影响价格背后的传导机制如何等问题,研究者全面收集了政府出台的科研用地相关政策,深度访谈了6个科研项目开发者,并问卷调查了63组科研性质物业的购房客户,并以地段和硬件的可比性作为选择原则精选了五组纯办公土地性质的项目和不同限制条件的科研办公项目进行对比研究,对1023套科研办公、正常办公楼宇的实际成交价格的数据进行分析比较。

通过政策规定、土地出让合同、开发者访谈确定限制性因素,即不完全产权的因素;通过消费者购买认知,确定个因素在购买决策中的影响程度;运用相关性分析和回归分析对所获取的数据进行1023组数据进行分析研究,来探究不同因素对交易价格的影响。

研究发现:是否是科研用地、面积是否可以切分销售对交易价格有显著性的影响。可切分销售面积越小,交易价格越高。金融性和确权的不确定性也能够对价格产生强影响,购买主体限制对价格有弱影响,而交易比例限制和现售限制对价格无显著影响。对于限制因素影响价格背后的理论机制,研究发现科研用地政策中的限制因素首先影响市场流通中的有效需求,供需关系决定价格。

研究应用:1、科研用地政策激励作用是否兑现?从城市更新的角度来讲的的确起到非常大的作用;从产业引导来讲为企业提供了低成本的持有型研发办公的载体,或有补贴的低租金的办公空间;但对于部分科技型企业在没有考虑清楚的前提下,被动的投入了地产项目开发,消耗了资金和精力,未实现激励的初衷反而是适得其反。2、政府调控策略:可以通过间接控制自变量中的因素来实现,如面积可切分的大小、金融性和确权不确定性的改变可以有效调节项目的有效需求。3、开发者需对自己选定的项目的产权的不完全程度即限制条件有明确的结论对应关系的认知;购买者对于项目的不完全性进行适当的研究,以防出现和自身需求的错配关系。4、使用功能为办公的前提下,与纯办公相似的租金价格而更低的交易价格所带来的高回报率。回报率高为使用REITs金融工具解决问题提供了基础,而REITs的定价逻辑也一定会以使用价值实现拉动交易价值提升。这对于有大宗资产经营的持有者来说也许蕴含着巨大的机会。

关键词: 科研用地 不完全产权 市场流通 交易价格

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Agent

Created

Date Created
2020

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新三板挂牌企业融资偏好及融资效率研究

Description

本文选取当前在学界和业界关注度较高的“新三板”企业作为研究对象,从融资效率和融资偏好角度实证了新三板企业当前的运行状况,补充了资本结构和融资效率的研究文献。利用二元选择回归以及分位数回归方法,探究了内部融资、债务融资以及权益融资偏好的影响因素。本文发现:1)对于内部融资,企业资产负债率越低、经营能力越强、盈利能力越好、抵押品越少以及公司成长性高的企业更倾向于使用内部融资,资产负债率对内部融资的负面影响边际增大;2)对于债务融资,资产负债率越低、盈利能力越好、经营能力越强、抵押品越多、公司成长性高的企业更倾向于使用债务融资;3)对于权益融资,盈利能力较差、经营能力较弱的企业更倾向于使用权益融资,而资本结构以及公司成长性对权益融资没有影响。分位数回归也发现,盈利能力、现金状况、总资产周转率、资产流动性、非债务税盾、民营企业以及公司成长性等变量对权益融资的影响较为稳定,提示公司的特征变量对权益融资并没有明显的主导作用。在融资效率上,本文也发现:1)于2012年挂牌新三板的企业整体融资效率不高,DEA融资效率为有效的企业占比仅为10%左右;但融资效率在逐年持续改善,表现出一个较好的发展势头。并且,对于做市转让的企业来说,2014年由协议转让改为做市转让以后,融资相对有效的企业数量增长明显快于协议转让企业,表明采用做市转让的企业融资效率优于采用协议转让的企业。2)市场整体融资规模并未达到挂牌企业的需求,导致一半以上企业尚未达到最优的生产经营状态,仍需要资金来增加生产资料的投入,以扩大生产规模获取规模收益。对于做市转让的企业来说,在2014年由协议转让改为做市转让以后,规模报酬递增的企业数量占比下降更快,表明做市转让制度要比协议转让制度从融资效率角度更能满足新三板企业的融资需求。

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Agent

Created

Date Created
2019

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医疗器械产品差异度对市值的影响

Description

基于中国人口老龄化加速、目前人均医疗支出偏低和国内医疗器械企业以中低端产品

为主的局面,中国的医疗器械行业正面临着巨大的发展机遇,投融资活动将迎来爆发式增

长。 在此背景下, 医疗器械企业的估值研究对投融资双方都有较大的意义。

我们假设医疗器械公司的产品差异度对其公司的估值有正面影响。

产品差异度定义为:该产品区别于其他竞争性产品的独特性,由以下六个方面构成:

产品唯一性水平、先进性(器械类别、优秀国产医疗设备个数、产品的专利化程度)、利润

边际和其市场容量,并对此用 12 个指标做出了定量的估计。本研究主要的数据来源是上市

的医疗器械公司,因为这些公司的相关数据取得比较容易且数据客观性较强。我们使用一

般回归分析测量产品差异度与公司估值之间的关系。在得出正面的回归结果之后, 我们采

用双重差分分析(DID)方法,验证实际情形下新产品相关信息发布对公司股价波动的影响。

根据回归分析结果:

1、 “产生营收的产品唯一性水平”和“边际利润”与市值有显著相关性: 说明医疗器械

类企业确实是核心产品驱动发展的, 产品唯一性程度高(已剔除那些已逐渐被市场淘汰的

产品) 说明市场定价能力强, 边际利润率高,盈利能力强, 进而对公司估值形成正面影

响。

2、 “”净利润“和”“互联网概念”与市值也呈现显著相关性。净利润的相关性是显而易见

的。互联网概念的相关性体现了互联网+医疗成为近几年市场的风口。

iv

3、 其他一些指标未呈现明显的相关性,有可能是因为我们的数据量太少引起的, 也

有可能还有其他未在我们考虑范围内的因素导致的,也可能是因为中国目前的股票市场还

未到达半强式有效市场。这可能对其他行业的影响也是如此。

在后面进行的实证分析中, 除个别情况外,我们发现公司重磅新产品相关信息的发布

基本上对公司之后 1-30 个交易日的股价起到了较明显的推动作用。

关键词: 产品差异度 医疗器械行业 公司估值

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Agent

Created

Date Created
2018

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公共资源财政支出对私人银行客户数量增长和资产配置的影响——来自M银行的证据

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中国改革开放以来经济高速发展,一部分人群快速积累了大量财富,迫切需要专业机构对其财富进行有效管理,激发了中国私人银行市场的蓬勃发展。本文利用M银行全部私人银行网点的客户资产配置数据,以省级行政单位为划分,从核心公共资源供给角度出发,探究地区公共资源财政支出对私人银行客户数量增长和资产配置的影响。本文通过实证研究发现:(1)在人均公共安全财政支出较高、人均公共教育财政支出较低的地区,即公共安全资源相对匮乏、公共教育资源相对丰富的地区,私人银行客户规模增速较快;(2)在人均公共安全财政支出较高,即公共安全资源相对匮乏的地区,高净值人群会积极配置流动性良好的银行存款类产品和保险类产品,同时会减少配置高风险、高收益的理财类产品和基金类产品;(3)在人均公共医疗卫生财政支出较高,即公共医疗资源相对匮乏的地区,高净值人群会积极配置银行存款类产品,同时减少保险类产品和理财类产品的配置比例;(4)在人均公共教育财政支出较高,即公共教育资源相对匮乏的地区,高净值人群会积极配置银行保险类产品和理财类产品,同时减少存款类产品的配置比例。

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2021