Securitization of economies has received much attention in urban and regional studies,as how the city economy has connected with the capital markets has been increasingly important for a city’s development.This study...Securitization of economies has received much attention in urban and regional studies,as how the city economy has connected with the capital markets has been increasingly important for a city’s development.This study develops a modified Buffett indicator,calculating the ratio of total market capitalization of listed companies to the gross domestic product(GDP)of the city in which these companies are headquartered,to measure city securitization rates(CSR).Drawing on this indicator,this study maps the CSR of all prefecture-and-above level cities in China.It is found that cities with high CSR in China are mainly financial centers and some resource-based cities,while most other cities’CSR are quite low.The regression results show that city’s innovation capacity and political status are positively and significantly associated with the CSR in China.In addition,being close to financial centers can significantly improve the CSR of cities in the eastern region of the country.With the growing financialization of societies,the modified Buffett indicator has a potential to explore the city economy from the perspective of its connection with capital markets in future research.展开更多
Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibilit...Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.展开更多
基金National Natural Science Foundation of China,No.42471195,No.42022006。
文摘Securitization of economies has received much attention in urban and regional studies,as how the city economy has connected with the capital markets has been increasingly important for a city’s development.This study develops a modified Buffett indicator,calculating the ratio of total market capitalization of listed companies to the gross domestic product(GDP)of the city in which these companies are headquartered,to measure city securitization rates(CSR).Drawing on this indicator,this study maps the CSR of all prefecture-and-above level cities in China.It is found that cities with high CSR in China are mainly financial centers and some resource-based cities,while most other cities’CSR are quite low.The regression results show that city’s innovation capacity and political status are positively and significantly associated with the CSR in China.In addition,being close to financial centers can significantly improve the CSR of cities in the eastern region of the country.With the growing financialization of societies,the modified Buffett indicator has a potential to explore the city economy from the perspective of its connection with capital markets in future research.
文摘Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.
