实物期权视角的CAPM有效性检验

实物期权对资产定价的非线性影响会导致本质为线性定价的CAPM模型失效.本文以沪深A股2000-2014年间1503家上市公司为样本,利用市值规模、账面市值比、资本支出和总资产回报四个企业特征变量作为实物期权的代理变量,分别对个股贝塔和预期超额收益率进行实物期权调整,给出了经实物期权调整后CAPM有效的证据;而且,较之市值规模和账面市值比,资本支出和总资产回报更加能够反映实物期权对CAPM有效性的影响.此外,实物期权调整对CAPM有效性的影响对处于生命周期早期阶段的企业、高科技行业以及对股权分置改革和次贷危机后的子样本更为明显.     

The US Dollar/Euro Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises

The paper investigates the determinants of the US dollar/euro within the framework of the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate by conditioning on Fama–French and Carhart risk factors, which directly measures changing market expectations about the economic outlook, on new financial condition indexes and macroeconomic variables. The macro‐finance augmented econometric model has a remarkable in‐sample and out‐of‐sample predictive ability, largely outperforming a standard autoregressive specification. We also document a stable relationship between the US dollar/euro Carhart momentum conditional correlation (CCW) and the euro area business cycle. CCW signals a progressive weakening in economic conditions since June 2014, consistent with the scattered recovery from the sovereign debt crisis and the new Greek solvency crisis exploded in late spring/early summer 2015. Copyright © 2016 John Wiley & Sons, Ltd.     

Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR

In this paper, we first extract factors from a monthly dataset of 130 macroeconomic and financial variables. These extracted factors are then used to construct a factor‐augmented qualitative vector autoregressive (FA‐Qual VAR) model to forecast industrial production growth, inflation, the Federal funds rate, and the term spread based on a pseudo out‐of‐sample recursive forecasting exercise over an out‐of‐sample period of 1980:1 to 2014:12, using an in‐sample period of 1960:1 to 1979:12. Short‐, medium‐, and long‐run horizons of 1, 6, 12, and 24 months ahead are considered. The forecast from the FA‐Qual VAR is compared with that of a standard VAR model, a Qual VAR model, and a factor‐augmented VAR (FAVAR). In general, we observe that the FA‐Qual VAR tends to perform significantly better than the VAR, Qual VAR and FAVAR (barring some exceptions relative to the latter). In addition, we find that the Qual VARs are also well equipped in forecasting probability of recessions when compared to probit models.     

Multiple paths to aquatic specialisation in four species of Central American Anolis lizards

Aquatic anoles present an interesting ecomorphological puzzle. On the one hand, the link between habitat use and morphology is well established as convergent within the Caribbean anole radiation. On the other hand, aquatic anoles do not appear to form an ecomorphological group – rather, it appears that there may be several ways to adapt to aquatic habitats. We explore this issue by examining the ecology, morphology and performance of four species of Central American aquatic anoles belonging to two different lineages. Overall, we find that aquatic anoles overlap in multiple ecological and morphological dimensions. However, we do find some differences in substrate use, claw and limb morphology, and bite force that distinguish Anolis aquaticus from the other three species (A. lionotus, A. oxylophus and A. poecilopus). Our results suggest that A. aquaticus is adapted to climb on boulders, whereas the other species utilise vegetation in streamside habitats.     

Making the abstract concrete: The role of norms and values in experimental modeling

Experimental modeling is the construction of theoretical models hand in hand with experimental activity. As explained in Section 1, experimental modeling starts with claims about phenomena that use abstract concepts, concepts whose conditions of realization are not yet specified; and it ends with a concrete model of the phenomenon, a model that can be tested against data. This paper argues that this process from abstract concepts to concrete models involves judgments of relevance, which are irreducibly normative. In Section 2, we show, on the basis of several case studies, how these judgments contribute to the determination of the conditions of realization of the abstract concepts and, at the same time, of the quantities that characterize the phenomenon under study. Then, in Section 3, we compare this view on modeling with other approaches that also have acknowledged the role of relevance judgments in science. To conclude, in Section 4, we discuss the possibility of a plurality of relevance judgments and introduce a distinction between locally and generally relevant factors.     

有机/无机杂化材料与多功能纤维研究进展

有机/无机杂化材料能够实现有机高分子材料与无机材料在纳米或分子水平上的复合,在发挥各自组分特性的同时,体现出特有的协同效应,如新性能、多功能.该原理同样适用于有机/有机杂化体系.随着产业用纤维材料的不断发展,其应用领域也随之拓展,开发新型高分子材料,实现纤维的多功能化成为研究热点.根据纤维多功能化的发展需求,结合有机/无机杂化机理,在分子水平上设计构筑杂化功能材料,采用结构设计、界面构筑的方法建立杂化功能材料与成纤高聚物杂化体系.以成纤高分子的结构设计及凝聚态控制、纳米纤维和低维纳米材料的结构可控制备及其功能化复合为例,简要介绍了有机/无机杂化原理在纤维多功能化方面的研究进展,最后提出了多功能化有机/无机杂化纤维的展望.     

The saws of sawflies: exploring the morphology of the ovipositor in Tenthredinoidea (Insecta: Hymenoptera), with emphasis on Nematinae

The variation in ovipositor sculpture and additional features of the ovipositor apparatus in Tenthredinoidea is explored. Two outgroups and 85 species of tenthredinoids were examined, the emphasis of the taxon sampling being on Nematinae. Twenty-four morphological characters where scored and the data set was analysed under different weighting conditions. The topologies derived from analysing the character set in TNT are poorly resolved and highly unstable when analytical settings are changed. Only a few clades, the Tenthredinoidea s. str., the Diprionidae, the Cimbicidae and the Argidae + Pergidae are consistently retrieved. The functional implications of the variation in ovipositor morphology within Tenthredinidae is discussed in relation to the qualities of the host plant, e.g. the hardness and the depth of penetration in plant tissue.     

三家子矿6-2煤层瓦斯地质规律研究

通过对南票三家子煤矿瓦斯地质资料的分析,并结合煤层瓦斯含量的现场测定和实验室测试,探讨了断层、构造凹地、煤层围岩、含煤岩系沉积环境以及岩浆侵入等地质因素对6-2煤层瓦斯赋存、分布的影响;夯析了各因素与瓦斯含量的关系,即断层、岩浆侵入破坏了煤体的结构,构造凹地引起的压性应力导致6-2煤层区域性渗透率下降,这些因素对瓦斯的逸散均起了阻碍的作用,因此是影响瓦斯赋存的主控因素。绘制出瓦斯含量等值线图,进而为采掘布置和瓦斯防治工作提供了理论依据。     

功能薄膜材料的环境协调性制备技术研究进展

在对环境协调性制备技术进行了概述的基础上,对目前最有希望的几种功能薄膜材料环境协调性制备技术分别进行了介绍,特别重点介绍了软溶液工艺技术的优势和发展趋势。针对上述功能薄膜材料的环境协调性制备技术的不足之处,对今后的发展方向提出了展望。     

浅析河南省城市化的制约因素及对策

从人口流动机制、产业基础、基础设施建设、相关制度安排等方面,探讨了制约河南省城市化水平提高的不利因素,并对其的改进对策和措施进行了论述。