E公司的预约定价研究

预约定价制是用来解决关联企业间转让定价问题的一种新制度,在借鉴国际经验的基础上,我国对实施预约定价也进行了一些尝试.本文通过对预约定价在企业中应用的案例研究,对公司实施预约定价提出了若干建设.     

On the positive fundamental value of money with short-sale constraints

This paper is concerned with the pricing of money in a framework with restrictions on trading, under an extension of the standard-asset pricing theory that recognizes both tangible and intangible returns. It is argued that the underlying motivations for demanding money give content to its fundamental value and the bubble component. This approach is illustrated by analyzing the case where no short-sales are allowed, as two examples from the literature are made used to assert that money is a pure pricing bubble. Owing to this setup exhibits technically incomplete financial markets, the fundamental value of money is not uniquely defined over the set of generalized state-price processes. Then, these examples are shown to comprise an extreme case, as money is a pure store of value for the state-prices chosen (i.e., it is a pricing bubble). Instead, the fundamental value of money can be positive for other state-prices, representing the role of money in the trading process. Therefore, money should not be considered the equivalent of a pure pricing bubble.      

Differential pricing when costs differ: a welfare analysis

This article analyzes the welfare effects of monopoly differential pricing in the important, but largely neglected, case where costs of service differ across consumer groups. Cost‐based differential pricing is shown to increase total welfare and consumer welfare relative to uniform pricing for broad classes of demand functions, even when total output falls or the output allocation between consumers worsens. We discuss why cost‐based differential pricing tends to be more beneficial for consumers than its demand‐based counterpart, third‐degree price discrimination. We also provide sufficient conditions for welfare‐improving differential pricing when costs and demands differ across consumer groups.     

Market proxies as factors in linear asset pricing models: Still living with the roll critique

A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that include the market return as a pricing factor in a traditional sense (i.e., whether the chosen model does or does not price a collection of risky assets) and ranking those models (i.e., determining which model performs best). The proposed measure is used in pricing portfolios reflecting the size, value, and momentum premia. The conditional CAPM of Jagannathan and Wang (1996) is found to best the performance of both the simple CAPM and the ICAPM of Petkova (2006). Moreover, it is discovered that winner stocks in a momentum portfolio may have higher market betas than loser stocks.     

An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets

Abstract

A model for pricing insurance and financial risks, based on recent developments in actuarial premium principles with elliptical distributions, is developed for application to incomplete markets and heavy-tailed distributions. The pricing model involves an application of a generalized variance premium principle from insurance pricing to the pricing of a portfolio of nontraded risks relative to a portfolio of traded risks. This pricing model for a portfolio of insurance or financial risks reflects preferences for features of the distributions other than mean and variance, including kurtosis. The model reduces to the Capital Asset Pricing Model for multinormal portfolios and to a form of the CAPM in the case where the traded and nontraded risks have the same elliptical distribution.     

Path-dependent game options: a lookback case

The game option, which is also known as Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the path-dependent game option where the payoff of the option depends on the maximum or minimum asset price over the life of the option (i.e., the game option with the lookback feature). We obtain the explicit pricing formula for the perpetual case and provide the integral expression of pricing formula under the finite horizon case. In addition, we derive optimal exercise strategies and continuation regions of options in both floating and fixed strike cases.     

债务展期金融契约视角下信用担保风险定价研究

通过把存款保险定价思路引入到信用担保风险定价领域,从信贷债务展期金融契约视角构建的信用担保风险定价模型及其数值求解方法,并进行的实证分析证明了基于债务展期金融契约视角下信用担保风险定价模型的科学性与应用前景.     

Option Pricing Bounds and the Elasticity of the Pricing Kernel

In this paper we use power functions as pricing kernels to derive option-pricing bounds. We derive option pricing bounds given the bounds of the elasticity of the true pricing kernel. The bounds of the elasticity of the true pricing kernel are closely related to the bounds of the representative investor's coefficient of relative risk aversion. This methodology produces a tighter upper call option bound than traditional approaches. As a special case we show how to use the Black–Scholes formula to obtain option pricing bounds under the assumption of lognormality.     

Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy

Abstract

In this paper we propose a new method for approximating the price of arithmetic Asian options in a Variance-Gamma (VG) economy, which is then applied to the problem of pricing equityindexed annuity contracts. The proposed procedure is an extension to the case of a VG-based model of the moment-matching method developed by Turnbull and Wakeman and Levy for the pricing of this class of path-dependent options in the traditional Black-Scholes setting. The accuracy of the approximation is analyzed against RQMC estimates for the case of ratchet equityindexed annuities with index averaging.     

对基于价值无差异的资产定价模型的实证检验——兼解释股权高溢价之谜

陈小悦和孙力强（2007）在价值无差异的基础上建立了一套全新的定价模型,本文采用股票市场的数据对该模型进行了实证检验,模型检验的同时也是对股权溢价之谜进行解释。研究结果表明,本文的定价模型在美国、中国内地和中国香港三个市场的检验都取得了良好的效果,即市场风险溢价均值都向模型的理论值收敛,实际风险溢价与理论值差异很小且不显著,采用该模型可以准确地描述股票市场组合收益率与风险的关系,并对股权溢价之谜做出合理的解释。     

Accounting Quality and Loan Pricing: The Effect of Cross-country Differences in Legal Enforcement

This study examines whether the strength of legal enforcement at the country level plays a role in the value-relevance of accounting quality for loan pricing determination, using an international sample of firms reporting under IFRS. The underlying hypothesis is that stronger vs. weaker enforcement should affect the informativeness of financial statements, due to their increased credibility, and thus results in a stronger influence of accounting quality on loan pricing, in case this information is considered more reliable by potential lenders. Evidence indicates that accounting quality is consequential for the determination of loan spread only in combination with the level of legal enforcement, and this only holds for the countries with stronger legal enforcement. This evidence indicates that financial statement quality information is value-relevant and has a significant impact on the determination of loan pricing only if this information is considered to be credible enough by loan providers in a country, and this is the case when legal enforcement is stronger.     

The role of market devices in addressing labour exploitation: An analysis of the Australian cleaning industry

This study examines how the risk of labour standards noncompliance can be rendered calculable and commensurable through a market device. We present a case study of the Cleaning Accountability Framework (CAF), an industry certification scheme, which seeks to address labour exploitation in the Australian contract cleaning industry. We pay particular attention to the central device of the certification scheme – the pricing schedule. We examine how the pricing schedule shaped the calculative space informing contracting parties during the procurement process. In doing so, the pricing schedule increased transparency around the potential risk of labour standards noncompliance. The nature of this transparency and the perceived objectivity of the pricing schedule acted to reshape the market for contract cleaning, resulting in a redistribution of accountability for labour exploitation. We also examine how the pricing schedule formed part of a wider framework of accountability, and how these mechanisms enabled strategic co-enforcement of labour standards compliance by supply chain stakeholders. Overall, our study indicates the potential for accounting practices to play a more active role in shaping how markets address modern slavery risks.     

Option arbitrage and strategy with large price changes

Arbitrage pricing theorems are derived for options on stocks with jumps as a well as local movements. The resulting valuation formulas depend on observable variables only. Closed-form valuation expressions are obtained in the case of large positive and negative jumps. These results translate into a simple algebra for characterizing the risk of arbitrage and investment portfolios. A continuous-time formulation of the infinite variance hypothesis leads to isomorphic pricing expressions.     

A Fair Pricing Approach to Weather Derivatives

This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth optimal portfolio, which is interpreted as a world stock index, is used as a benchmark or numeraire such that all benchmarked derivative price processes are martingales. No measure transformation is needed for the proposed fair pricing. For weather derivative payoffs that are independent of the value of the growth optimal portfolio, it is shown that the classical actuarial pricing methodology is a particular case of the fair pricing concept. A discrete time model is constructed to approximate historical weather characteristics. The fair prices of some particular weather derivatives are derived using historical and Gaussian residuals. The question of weather risk as diversifiable risk is also discussed. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: C16, G10, G13     

The Bakery: a cross-functional case study for introductory managerial accounting

This instructional case is designed to achieve four educational objectives: (1) to give students a more complete appreciation of the importance of considering accounting information along with marketing and economics-related information, avoiding a myopic focus on accounting data, (2) to give students practice in pricing, cost volume profit analysis (CVP) and outsourcing decisions, (3) to help students learn to build spreadsheets that are capable of what-if analysis, and (4) to provide an active learning experience that engages introductory accounting students. The Bakery is a non-profit organization whose primary function is to sell baked goods and beverages to students in a large campus residence hall complex. In completing the case, students utilize information provided about the costs and previous pricing structure of The Bakery, along with information they collect about competitors' product offerings, prices, and accompanying services, and their own knowledge of The Bakery's customers, college students and their parents, as a basis for making pricing decisions. Once they have completed the pricing analysis, students use the resulting variable costing income statement to perform CVP and to analyze a decision to potentially outsource The Bakery's operations.     

Overhead cost allocation changes in a transfer pricing tax compliant multinational enterprise

This paper addresses how overhead cost allocation system design in multinational enterprises (MNEs) is affected by transfer pricing tax regulation. Using a case study research strategy we find that the implementation of a transfer pricing tax compliance strategy gives rise to a number of changes to the overhead cost allocation system design. Findings suggests that a contingent relationship exists between overhead cost allocation and transfer pricing tax compliance. We argue that when seeking to understand and explain MNEs’ overhead cost allocation system design for intra-company services, the MNEs’ response to its tax regulatory environment is a significant explanatory variable.     

A generalization of the Hull and White formula with applications to option pricing approximation

By means of Malliavin calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the volatility and the noise driving the stock prices are correlated. This extension will allow us to describe the effect of correlation on option prices and to derive approximate option pricing formulas.A previous version of this paper has benefited from helpful comments by two anonymous referees.     

COST-VOLUME-PROFIT COMPLICATIONS USING A SIMPLIFIED FIRM

This paper assesses the problems of using a simplified firm of the typehggested by Sterling and Thomas (1979) to develop internal pricing and output levels generally and for cost-volume-profit calculations specifically. The particular choice of industry in this case makes more complicated the development of such internal accounting information. The paper specifies the unusual operating conditions that exist in this industry and the problems that these cause when deriving useful cost-volume-profit information for pricing and output decisions.     

Pricing Foreign Exchange Options Under Intervention by Absorption Modeling

We consider option pricing for a foreign exchange (FX) rate where interventions by an authority may take place when the rate approaches to a certain level at the down side. We formulate the forward FX model by a diffusion process which is stopped by a hitting time of an absorption boundary. Moreover, for a deterministic volatility case with a moving absorption whose level is described by an ordinary differential equation, we obtain closed-form formulas for prices of a European put option and a digital option, and Greeks of the put option. Furthermore, we show an extension of the pricing formula to the case where the intervention level is unknown. In numerical examples, we show option prices for different strikes for the absorption model and the extended model. We compare the model prices with the market prices for EURCHF options traded before January 2015 with the absorption model, and also show experiments of the extended model as an application to the pricing under uncertain views on the intervention.