What is the best proxy for liquidity in the presence of extreme illiquidity?

This paper aims to indicate the best daily proxy for unobserved liquidity in the presence of extreme movements on the market. We apply copulas to investigate the dependence between benchmarks based on intraday prices and proxies based on daily data. We focus on the tail dependence between both types of measures. Our results show that when the market experiences extreme illiquidity, the Closing Quoted Spread (CQS) based on daily closing bid and ask prices is superior to other percent-cost low-frequency proxies. We find the highest tail dependence coefficients for CQS and either the Percent Effective Spread or the Percent Quoted Spread.     

工业品批发体系重构:一个文献述评

文章立足当前专职批发职能日趋分散、传统批发商面临萎缩和批发市场定位困惑等工业品批发体系现状以及由此引致的工业品流通问题,着重回顾了国内外与工业品批发体系相关的理论与实证研究,对相关问题的提出和理论基础进行系统地梳理和总结,为我国工业品批发体系重构问题提供理论与实践思考.     

Illiquidity transmission from spot to futures markets

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999). The model shows that spot market illiquidity does not translate one to one to the futures market but, rather, interacts with price risk, liquidity risk, and the risk aversion of the market maker. The model's predictions are tested empirically with data from the stock market and markets for single-stock futures and index futures. The results support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and futures markets.     

Non‐Tradable Share Reform,Liquidity, and Stock Returns in China

This article studies the influence of the non‐tradable share reform in the cross‐section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm‐specific illiquidity measures that reflect direct transaction costs, price impact and difficulties in trading immediacy, exhibit a positive and significant relationship with stock returns. These effects are particularly pronounced after the non‐tradable share reform. Furthermore, in the post‐reform era, portfolios with high illiquidity (i.e. high relative bid–ask spread, high Amihud illiquidity, low Amivest liquidity ratio) significantly outperform portfolios with low illiquidity, controlling for size, and book‐to‐market effects.     

中国出口企业的“生产率悖论”与“生产率陷阱”——基于2008年中国制造业企业数据实证分析

在Melitz提出从企业异质性角度分析生产率对出口影响以后,国内学者运用实证检验认为我国制造业企业出口存在"生产率悖论"即出口企业的生产率低于未出口企业,也检验得出出口企业存在"生产率陷阱",即出口对企业生产率具有阻碍作用。本文首先提出一个数理模型研究企业出口与生产率的相互联系,再运用2008年中国工业企业数据库实证检验"生产率悖论"与"生产率陷阱",并讨论它们存在的原因,为了使结论更加可靠,本文对出口企业与国内企业分别进行了全国、分行业、分省份的实证检验。最后在模型分析与实证检验的基础上提出我国出口制造业企业走出"生产率陷阱"的途径。     

“Why Don’t Consumers Care About CSR?”: A Qualitative Study Exploring the Role of CSR in Consumption Decisions

There is an unresolved paradox concerning the role of corporate social responsibility (CSR) in consumer behavior. On the one hand, consumers demand more and more CSR information from corporations. On the other hand, research indicates a considerable gap between consumers’ apparent interest in CSR and the limited role of CSR in purchase behavior. This article attempts to shed light on this paradox by drawing on qualitative data from in-depth interviews. The findings show that the evaluation of CSR initiatives is a complex and hierarchically structured process, during which consumers distinguish between core, central, and peripheral factors. This article describes these factors in detail and explains the complexity of consumers’ assessment of CSR. These insights then serve as a basis for discussing the theoretical and managerial implications of the research findings. To this end, the article contributes to a better understanding of the role of CSR in consumption decisions.     

Flight-to-liquidity: Evidence from China's stock market

In an order-driven and strictly regulated stock market, illiquidity risks' effects on asset pricing should be highlighted, particularly in such extreme market conditions as those in China. This paper utilizes panel data from China's stock market in an attempt to answer whether the illiquidity risk in various dimensions—including price impacts, the transaction speed, trading volume, transaction costs, and asymmetric information—can explain stock returns. We find that almost all dimensions of stock illiquidity are positively associated with excess stock returns. More importantly, smaller, less-liquid stocks suffer more liquidity costs, providing a strong evidence for “flight-to-liquidity.” Additionally, the transaction costs and asymmetric information, denoted by bid-ask spreads, robustly account for these illiquidity effects on stock pricing and differ from the findings in the U.S. market. We also find that the “flight-to-liquidity” can partially explain the idiosyncratic volatility puzzle, investors' gambling, and herding psychologies. This study provides substantial policy implications in regulation and portfolio management for emerging markets.     

有效的广告千人成本——新的理论思考与操作的方法

本文旨在从实际运用的角度,提出一个具有操作性,同时具有理论价值的广告效果评估体系。文中根据央视市场研究公司（CTR）的质化研究数据,建构了中国强势电视节目的广告印象分析模型,提出一个新的概念：有效的广告千人成本。作者对有效的广告千人成本的理论基础及测量进行了详细的解释,并对其实际运用进行了分析。     

关于当代悖论性的三个哲学论证

当代的悖论性可以从三个方面来把握：在时间上,当变化过于快速,且是为了资本获利而变成人为设计的东西时,变化就意味着停滞;在空间上,经济全球化本质上是世界同质化的过程,但同质性却以异质性的面目出现,异质性被用来服务于同质性,空间的悖论由此产生;面对时间和空间的悖论,我们需要乌托邦想象,但我们的乌托邦想象却要以反乌托邦的形式出现,这就是所谓乌托邦的悖论。不管是乌托邦还是反乌托邦,作为一种政治策略,它都是人们的经验和思想所不能缺少的一个维度。     

Is there an illiquidity premium in frontier markets?

We perform a comprehensive examination of the role of stock-level liquidity in the cross-section of frontier market stock returns. Using several popular liquidity measures and a battery of asset pricing tests, we investigate the illiquidity premium in 22 countries for the years 1991–2019. Contrary to typical relationships in developed and emerging markets, we find no evidence of illiquidity premium in frontier equities. Our findings support the hypothesis that for countries not fully integrated with the global economy, the diversification benefits offset the illiquidity, which, in turn, proves less important.     

Firm-level political risk and implied cost of equity capital

I find a strong positive association between firms' implied cost of equity capital and firm-level political risk. This effect is above and beyond the firm-level cost of equity implications of economywide political risk. Firm-level political risk contributes to elevating stock illiquidity, increases dispersion of analyst forecasts and dampens analyst coverage and these attributes, in turn, have positive cost of equity capital implications. Overall, the findings of this study suggest firm-level political risk has a non-trivial effect on increasing equity market illiquidity, increasing dispersion of earnings forecasts and decreasing analyst coverage thus increasing financing costs.     

RISK MEASURES: RATIONALITY AND DIVERSIFICATION

When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash‐subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle only implies (and it is implied by) quasiconvexity. For this reason, in this paper quasiconvex risk measures are studied. We provide a dual characterization of quasiconvex cash‐subadditive risk measures and we establish necessary and sufficient conditions for their law invariance. As a byproduct, we obtain an alternative characterization of the actuarial mean value premium principle.     

Market Participation and Share Prices

Share prices are analyzed in an overlapping generations model in which the generational size is random. This models stochastic fluctuations of market participants and can explain noninformational volatility of share prices. There exists a (stochastic) stationary equilibrium, which may be nonunique. In equilibrium, (a) the share price increases and (b) expected utility decreases with the generational size. A decline of this size below a critical level induces a crash: the stock price falls substantially, shares are undervalued, and investors' demand is restricted by illiquidity. Further, the model predicts the empirically observed positive correlation between volume of trade and absolute price changes.     

IMPACT OF TIME ILLIQUIDITY IN A MIXED MARKET WITHOUT FULL OBSERVATION

We study a problem of optimal investment/consumption over an infinite horizon in a market with two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the illiquid one can be traded only at discrete random times, corresponding to the jumps of a Poisson process with intensity λ, is observed at the trading dates, and is partially observed between two different trading dates. The problem is a nonstandard mixed discrete/continuous optimal control problem, which we solve by a dynamic programming approach. When the utility has a general form, we prove that the value function is the unique viscosity solution of the associated Hamilton–Jacobi–Bellman equation and characterize the optimal allocation in the illiquid asset. In the case of power utility, we establish the regularity of the value function needed to prove the verification theorem, providing the complete theoretical solution of the problem. This enables us to perform numerical simulations, so as to analyze the impact of time illiquidity and how this impact is affected by the degree of observation.     

Post-Partnership Strategies for Defining Corporate Responsibility: The Business Social Compliance Initiative

While cross-sectoral partnerships are frequently presented as a way to achieve sustainable development, some corporations that first tried using the strategy are now changing direction. Growing tired of what are, in their eyes, inefficient and unproductive cross-sectoral partnerships, firms are starting to form post-cross-sectoral partnerships (?post-partnerships’) open exclusively to corporations. This paper examines one such post-partnership project, the Business Social Compliance Initiative (BSCI), to analyse the possibility of post-partnerships establishing stable definitions of ?corporate responsibility’. We do this by creating a theoretical framework based on actor-network theory (ANT) and institutional theory. Using this framework, we show that post-partnerships suffer from the paradox of striving to marginalise those stakeholders whose support they need?for establishing stable definitions of ?corporate responsibility’. We conclude by discussing whether or not post-partnership strategies, despite this paradox, can be expected to establish stable definitions of ?corporate responsibility’.     

Explicating the privacy paradox: A qualitative inquiry of online shopping consumers

Online consumers often voice discontent and concern over their privacy and yet fail to take adequate precautions. Nor do they abstain from disclosing information. This study aims to explore this phenomenon which is known as the privacy paradox. Based on semi-structured interviews with online shopping consumers and thematic analysis of data, this paper illuminates the privacy paradox using three themes: psychological distance of privacy, perceived social contracts of privacy, and learned helplessness and privacy empowerment. Our findings contribute to the privacy paradox discourse and provide several implications for consumers, online retailers, and policymakers.     

Business and the Public Affairs of Slavery: A Discursive Approach of an Ethical Public Issue

This article aims at understanding how “ethical public issues” are created, and dealt within a public arena. Here, we view ethical public issues as social constructs, which are the results of issue framing contests. Such an approach will enable us to understand how ethical public issues emerge and are shaped by strategizing actors (including firms, NGOs, the media, and governments), in an attempt to impose their own definition and preferred solution to the issue. We also propose key factors which explain the success of a framing attempt, and evidence of such success. The empirical case of the labor conditions in West Africa’s cocoa industry is used to illustrate this theoretical framework and methodological approach.     

齐头并进：悖论式领导对员工创新行为的影响

基于悖论理论和社会学习理论,探讨了悖论式领导如何影响员工创新行为。通过对279份领导—员工配对数据进行分析发现：悖论式领导对员工创新行为有显著的积极影响;个体双元性在悖论式领导与员工创新行为之间起中介作用;员工悖论思维不仅调节了悖论式领导与个体双元性之间的关系,还进一步调节了悖论式领导通过个体双元性影响其创新行为的间接效应,即相对于悖论思维低的员工,悖论思维高的员工更有可能从悖论式领导行为获得有益影响,同时表现出高水平的探索活动和利用活动,进而创新行为也有所提升。结论丰富了有关悖论式领导的实证研究,同时,为将悖论理论引入组织实践奠定理论基础。     

从知识共享到知识和谐:一种知识管理观念

知识共享是知识管理的重要内容,强调将个人知识转化为组织知识,但知识共享存在悖论.文章提出规避知识共享悖论的一种全新理念--知识和谐.在分析组织知识和谐的理论特征和理论价值的基础上,指出组织知识和谐的实现途径,并围绕组织和个人两级主体,阐述了知识和谐的六种功能,给出知识和谐管理的基本框架.     

Network view of MNCs' socio-political behavior

While business networks and relationships in international and industrial marketing studies are explored extensively, relationships between firms and socio-political actors are rarely been studied. This paper addresses this gap and examines how MNCs manage their relationship with socio-political organizations. The study builds from the proposition that business firms, besides their actions in business market, have to manage their socio-political market. The study aims to develop a theoretical view that is based in business networks and contains the three concepts of legitimacy, commitment and trust. The proposition is that business firms behave proactively towards the actors in the socio-political environment which is related to their business goals. The three conceptual elements will enable us to understand more deeply the varieties in the firms' managerial behavior. Two cases test the concept in the model — those of Daewoo Motor Company (a South Korean MNC) and the Swedish MNC, Vattenfall. The study will contribute towards deeper understanding of socio-political market and how firms manage their socio-political relationships. The conclusions describe the theoretical and managerial implications.