Search results

1 – 3 of 3
Book part
Publication date: 21 November 2014

Chi Wan and Zhijie Xiao

This paper analyzes the roles of idiosyncratic risk and firm-level conditional skewness in determining cross-sectional returns. It is shown that the traditional EGARCH estimates…

Abstract

This paper analyzes the roles of idiosyncratic risk and firm-level conditional skewness in determining cross-sectional returns. It is shown that the traditional EGARCH estimates of conditional idiosyncratic volatility may bring significant finite sample estimation bias in the presence of non-Gaussianity. We propose a new estimator that has more robust sampling performance than the EGARCH MLE in the presence of heavy-tail or skewed innovations. Our cross-sectional portfolio analysis demonstrates that the idiosyncratic volatility puzzle documented by Ang, Hodrick, Xiang, and Zhang (2006) exists intertemporally. We conduct further analysis to solve the puzzle. We show that two factors idiosyncratic variance and individual conditional skewness play important roles in determining cross-sectional returns. A new concept, the “expected windfall,” is introduced as an alternate measure of conditional return skewness. After controlling for these two additional factors, we solve the major piece of this puzzle: Our cross-sectional regression tests identify a positive relationship between conditional idiosyncratic volatility and expected returns for over 99% of the total market capitalization of the NYSE, NASDAQ, and AMEX stock exchanges.

Details

Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

Keywords

Book part
Publication date: 1 January 2006

David Metcalf and Jianwei Li

China has, apparently, more trade union members than the rest of the world put together, but the unions are subservient to the Party-state. The theme of the paper is the gap…

Abstract

China has, apparently, more trade union members than the rest of the world put together, but the unions are subservient to the Party-state. The theme of the paper is the gap between rhetoric and reality. Issues analysed include union structure, membership, representation, and the interaction between unions and the Party-state. We suggest that Chinese unions inhabit an Alice in Wonderland dream world and that they are virtually impotent when it comes to representing workers. Because the Party-state recognises that such frailty may lead to instability it has passed new laws promoting collective contracts and established new tripartite institutions to mediate and arbitrate disputes. While such laws are welcome they are largely hollow: collective contracts are very different from collective bargaining and the incidence of cases dealt with by the tripartite institutions is tiny. Much supporting evidence is presented drawing on detailed case studies undertaken in Hainan Province (the largest and one of the oldest special economic zones) in 2004 and 2005. The need for more effective representation is appreciated by some All China Federation of Trade Unions (ACFTU) officials, but it seems a long way off, so unions in China will continue to echo the White Queen: “The rule is, jam tomorrow and jam yesterday – but never jam today” and, alas, tomorrow never comes.

Details

Advances in Industrial & Labor Relations
Type: Book
ISBN: 978-1-84950-470-6

Book part
Publication date: 2 September 2009

Yusheng Peng

Using the 1995 Third Industrial Census data in China, I explore the impact of inward FDI on the productivity performance of domestic SOEs. Multilevel analyses of city- and…

Abstract

Using the 1995 Third Industrial Census data in China, I explore the impact of inward FDI on the productivity performance of domestic SOEs. Multilevel analyses of city- and firm-level data show that presence of FDI-related firms (sanzi qiye) in a city significantly improves the total factor productivity of SOEs that are located in the same city but not affiliated with FDI. I interpret the effects as not only technology spillovers but also as FDI-induced institutional innovations and reforms.

Details

Work and Organizationsin China Afterthirty Years of Transition
Type: Book
ISBN: 978-1-84855-730-7

Access

Year

Content type

Book part (3)
1 – 3 of 3