市场参与者机构化视角下的上市公司AH股价格差异的实证研究

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Description
同一间中国上市公司的具有相同权利的普通股在中国内地A股市场和香港市场的交易价格会长期有持续的交易价差。本文试图在大陆和香港资本市场通过建立各种交易联通的机制的背景下,结合中国资本市场机构投资者参与程度提高的事实,通过机构投资者收益归因的12个因子分析来解释为何AH股产生不同价格的奇异现象。相较过往的学术文献,本文优化了研究对象和时间窗口,并且引入了事件分析和针对机构投资者的网上问卷调查。 笔者通过问卷调查,多元回归分析以及事件分析等不同研究,发现流动性仍然是机构投资者最为关注的决定AH股价差的因素。这一发现似乎与机构投资者的坚持长期持股的传统印象并不吻合,但近年随着指数投资,交易所上市基金(ETF)等对于底层资产流动性要求越发提高的投资产品越来越流行,机构投资者关注流动性,把交易流动性作为投资组合风险管理甚至选股的数量化因子也非常常见。但令人欣慰的是,上市公司本身的经营基本面情况,比如股权回报比率,公司的增长率都对于AH股的价差有显著影响,另外笔者列入多元回归分析的上市公司的公司治理因素,除了股息派发率以外,对于AH股的价差也有显著影响。本文的发现也进一步解释了另一个奇异现象:虽然H股长久以来对于对应的A股都是折价交易,但是在任何时段总有某些上市公司的AH股价差小于整体AH股价差,个别公司甚至会发生H股对于A股有所溢价这样的情况。
Date Created
2023
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A study of the piano works by Anatol Lyadov

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Description
As one of the composers living in an era filled with innovations, Anatol Konstantinovich Lyadov (1855-1914) has been relatively ignored by scholars and pianists to date. He is an unusual composer with multiple characteristics: solitary but expressive, talented but indolent.

As one of the composers living in an era filled with innovations, Anatol Konstantinovich Lyadov (1855-1914) has been relatively ignored by scholars and pianists to date. He is an unusual composer with multiple characteristics: solitary but expressive, talented but indolent. His compositional style never lacked critics—especially with respect to his persistent preference of miniatures. Nonetheless, his piano works embody the breathtaking beauty of the composer’s independent musical ideas and colorful musical language. Compared with the flourishing, dazzling, and nationalized music from other composers living in the same era, these light, flowing musical pieces from Lyadov have irreplaceable value.

Through the study of these small-scale piano works, one finds important connections with the music of other renowned composers (e.g. Chopin and Scriabin), and the employment of traditional aspects such as Russian folk tones and fairy tales. Stylistically, Lyadov was a representative of 19th-century Romanticism; however, his compositional style changed during his late period (after 1900), presenting a unique use of dissonance.

The scholarly research on Lyadov’s piano works remains limited. Most of the related resources can be found only in the Russian music literature. No in-depth study or dissertation on the complete piano works of Lyadov could be located, and therefore my research paper is intended to provide useful information to piano performers and teachers, hopefully encouraging more study and performance of Lyadov’s piano works. Despite their lyrical melodies and deep emotion, these works are thus far relatively unpopular and unknown, with only a few played occasionally as encore pieces.
Date Created
2018
Agent

Network Effects in NBA Teams: Observations and Algorithms

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Description
The game held by National Basketball Association (NBA) is the most popular basketball event on earth. Each year, tons of statistical data are generated from this industry. Meanwhile, managing teams, sports media, and scientists are digging deep into the data

The game held by National Basketball Association (NBA) is the most popular basketball event on earth. Each year, tons of statistical data are generated from this industry. Meanwhile, managing teams, sports media, and scientists are digging deep into the data ocean. Recent research literature is reviewed with respect to whether NBA teams could be analyzed as connected networks. However, it becomes very time-consuming, if not impossible, for human labor to capture every detail of game events on court of large amount. In this study, an alternative method is proposed to parse public resources from NBA related websites to build degenerated game-wise flow graphs. Then, three different statistical techniques are tested to observe the network properties of such offensive strategy in terms of Home-Away team manner. In addition, a new algorithm is developed to infer real game ball distribution networks at the player level under low-rank constraints. The ball-passing degree matrix of one game is recovered to the optimal solution of low-rank ball transition network by constructing a convex operator. The experimental results on real NBA data demonstrate the effectiveness of the proposed algorithm.
Date Created
2017
Agent

Piano extravaganza

Date Created
2014-04-14
Agent