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This paper aims at providing a realistic method to measure liquidity risk of China's stock market and data base for China's stock market liquidity risk management. The construction of research model is based on VaR method and the analysis method is adopted to calculate the VaR. The total sample is 121 shares, which are selected according to industry and region. Empirical research results show that...
This study uses data envelopment analysis (DEA) to evaluate the operational efficiency of 50 Chinese open-end funds, and makes a comparative analysis of selected fundspsila operational efficiency according to the fund size, investment type and investment style from the perspective of the overall and division. The result showed that bond funds had the maximum and stable average efficiency, hybrid funds...
Literatures have discussed the effect of many variables, such as firm size, firm risk and industry features etc., on CEO pay-performance sensitivity. However, it is indicated that the fact of persistent low CEO pay-performance sensitivity is still not explained effectively. From the perspective of internal governance structure, the paper takes managerial discretion, a variable most comprehensively...
This article comparatively analyzes performance transition in two years that attributes to overseas technology-acquiring M&As carried out by listed companies in Shanghai and Shenzhen Stock Exchanges during 2000 to 2005. The result indicates, in the two years before and after M&As, those companies achieve a obvious rise in their net capital yield, main operating income growth rate and capital...
Based on the maximum entropy theory, this paper presents a new model for solving the large scale portfolio problem. Unlike Markowitzpsilas model, this new model is not based upon any probabilistic assumption on the distribution of stock data in the market, so it is more suitable for the solution of real problem. By some simplification, we derive a convex program model. It is with separable variables...
The theory of quadratic variation suggests that, realized volatility is an unbiased and highly efficient estimator of return volatility under suitable conditions. In this article, we compare the realized logarithmic volatilities models VAR-RV and AR-RV computed from high-frequency intra-period data with the traditional daily return evaluation models VAR-R and Daily-GARCH in China A-stock market. The...
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