Exploring the sources of financial performance in Chinese banks: A comparative analysis of different types of banks

Since significantly organizational difference in Chinese banks, this study makes an attempt to investigate whether there exist some differences of the financial performance and its decomposed components for Chinese banks. We employ the decomposition of profit change model introduced by Grifell-Tatje and Lovell (2015, P215) and normalized price definition of Balk (2018) to develop a normalized profit change decomposition model which can well deal with the firms’ scale difference. This model also decomposes the normalized profit into the technical efficiency effect, technical effect, size effect, price and quantity margin effect, and price recovery effect. For the empirical evidence, we find that although there is an increase of profit gains, the profit growth rate decline by year. Furthermore, the productivity is not the main factor to expand profits, quantity margin effect also makes peer contributions. Finally, the productivity effect and its decomposed components present different functions in different kinds of Chinese banks.     

市盈率的因素分析

市盈率是每股市价与其收益的比率,是股票单位收益的价格.因其概念简单,操作方便,市盈率成为广大投资者判断股票价值的常用工具之一.本文基于稳定股利增长贴现模型,推导出市盈率内在价值的基本模型,对影响市盈率的三大根本因素--预期股利、投资回报率和股息增长率进行了扩展研究,找出了影响市盈率的十大因素及其影响方式.     

Issues in measuring a monthly house price index in New Zealand

The sale price appraisal ratio (SPAR) method, which takes the ratios of the current house prices and their previous assessed values to construct an index, has been applied in New Zealand since the 1960s. This paper uses housing market transaction data for 12 cities in New Zealand (1994–2004) to develop monthly SPAR house price indices. These indices were subjected to a variety of statistical tests and benchmarked against the comparable monthly quality controlled weighted repeat sales indices. Finally, the paper provides some useful suggestions for future research based on the SPAR index and other alternative house price indices, such as the assessed value (AV) method.     

Aggregation in Input–Output Models: Prices and Quantities

This paper develops a joint theory of aggregation of input–output quantity and price models. The main emphasis is on the problem of aggregation of industries in the models. While aggregation of quantity models is a familiar topic in economic literature, the aggregation of price models is a largely unexplored subject. Here, however, quantity and price models are considered as two parts of a single, composite flow model. This understanding implies that each result in the quantity model has dual counterpart in the price model and vice versa. Through consistent use of this duality principle, significant results are developed for both model types, and a number of well-known results can be stated in a simpler way. Specifically, a number of conditions for perfect aggregation of final demands, primary inputs and industries in price models as well as quantity models are formulated. On this basis a new indicator of aggregation bias is suggested. The indicator can be decomposed into the contributions of each detailed industry, enabling the user to identify atypical industries in each group. Furthermore, the indicator can be computed even with no knowledge of the coefficients of the detailed models.     

成本差异计算分析方法刍议

结合成本管理的实际情况，利用统计指数分析原理。对传统的成本差异分析内容与方法进行了分析、调整与完善。将变动成本差异与固定制造成本差异分析方法归一，同时将实际开支总额与标准开支总额之间的差额作为总差异．其分支差异有三个差异，即产量差异、用量差异和价格差异。在完善绝对数分析的基础上。补充了相对数分析内容。     

Eliminating chain drift in price indexes based on scanner data

The use of scanner data in the CPI makes it possible to compile superlative price indexes at detailed aggregation levels since prices and quantities are available. A potential drawback is the high attrition rate of items. The usual solution to handle this problem, high-frequency chaining, can create drift in the index series due to price and quantity bouncing arising from sales. Ivancic, Diewert and Fox (2009) have recently proposed an approach that provides drift free, superlative-type indexes through adapting multilateral index number theory. In this paper we apply their proposal to seven product groups and find promising results. We compare the results with those obtained by using the Dutch method to deal with supermarket scanner data.     

Cost and productivity

This study develops an analytical model capable of decomposing both intertemporal and multilateral cost variation. It begins by attributing cost variation to a price effect and a quantity effect. Then the quantity effect is decomposed into a productivity effect and an activity effect. The productivity effect in turn decomposes into a cost efficiency effect and, in the intertemporal context, a technical change effect. This paper also shows how the intertemporal and multilateral cost decompositions can be implemented, using linear programming techniques. These techniques offer certain advantages over conventional econometric techniques whenever a substantial portion of cost variation is due to variation in cost efficiency. The two cost decompositions are illustrated with a pair of benchmarking exercises based on a panel of 93 US electric power generating companies, in which variation in cost efficiency does play a key role. Copyright © 2000 John Wiley & Sons, Ltd.     

Axiomatic properties of geo-logarithmic price indices

In the axiomatic approach to composite index numbers, a list of properties is given that both price and quantity indices should satisfy in order to ensure consistent comparisons. Usually, the price index is selected first and its cofactor is consequently adopted as the (implicit) quantity index. Unfortunately, even if the price index has good axiomatic properties, its cofactor need not, so the implicit quantity comparison may be axiomatically inconsistent. In this paper, we give a comprehensive study of a family of price indices sharing good axiomatic properties (proportionality, commensurability, and homogeneity) together with their cofactors. This family, called geo-logarithmic, is relevant also because of the empirical circumstance that all known price indices sharing such properties with their cofactors belong to it or can be obtained from geo-logarithmic index numbers through simple transformations. Thus, the geo-logarithmic family seems to play a central role when the joint consistency of price and quantity comparisons is concerned.     

A remark on the fiscal theory of price determination

The fiscal theory of price determination asserts that the price level is determined by the ratio of nominal public debt to the present value of real primary surpluses. To show its fragility, we describe a simple monetary economy with an infinitely lived real productive asset. Under the hypotheses of the fiscal theory, speculative bubbles occur at equilibrium, thus leading to an indeterminate price level.     

Scanner data, time aggregation and the construction of price indexes

We examine the impact of time aggregation on price change estimates for 19 supermarket item categories using scanner data. Time aggregation choices lead to a difference in price change estimates for chained indexes which ranged from 0.28% to 29.73% for a superlative index and an incredible 14.88%-46,463.71% for a non-superlative index. Traditional index number theory appears to break down with weekly data, even for superlative indexes. Monthly and (in some cases) quarterly time aggregation were insufficient to eliminate downward drift in superlative indexes. To eliminate drift, a novel adaptation of a multilateral index number method is proposed.     

A remark on the fiscal theory of price determination

The fiscal theory of price determination asserts that the price level is determined by the ratio of nominal public debt to the present value of real primary surpluses. To show its fragility, we describe a simple monetary economy with an infinitely lived real productive asset. Under the hypotheses of the fiscal theory, speculative bubbles occur at equilibrium, thus leading to an indeterminate price level.     

Price uncertainty and the effect of capital costs in a point in-point out inventory investment

This paper analyzes a point in-point out inventory investment under price uncertainty. The optimal quantity is determined by maximizing the expected value of the investor's risk preference function, which is a function of profit. Using an exponential risk preference function, the adjustment in the optimal quantity stemming from a change in the interest rate is investigated. The main conclusion is that the sign of the adjustment depends both on how profit is expressed and on the type of price distribution applied. Contrary to what is assumed in conventional managerial control practices, a rise in the interest rate might lead to an increase in the optimal quantity when present value serves as a measure of profit.     

Looking across borders: A test of spatial policy interdependence using local government efficiency ratings

Spatial patterns in (local) government taxation and spending decisions have received a lot of attention. Still, the focus on taxation or expenditure levels in previous studies may be incomplete. Indeed, (rational) individuals are likely to consider the level of spending on (or taxation for) public goods provision simultaneously with how much public goods they actually receive—thus assessing the ‘price/quantity’ of government policies. Therefore, the present paper argues that incumbents may want their ‘price/quantity’ ratio to be close to that in neighbouring regions. Analysing Flemish local governments' efficiency ratings for the year 2000 (which relate total spending to the quantity of locally provided public goods), we confirm the existence of neighbourhood effects in local government policies.     

The demand for energy in Canadian manufacturing: An example of the estimation of production structures with many inputs

A model is presented for the estimation of production structures with many inputs when aggregation into a small number of aggregate inputs is undesirable. The procedure utilized is one of two-stage optimization, valid under the assumption of homothetic separability. A unique feature is the use of duality theory to integrate the two stages through the generation in the first stage of an instrumental variable for the aggregate price index of the separable disaggregated factors. The conceptual model is then applied to an analysis of the demand for energy in Canadian manufacturing, in which six energy components are explicitly included in the set of factors of production.     

Urban crime and the price of heroin

This paper investigates the relationship between a price index for retail heroin and monthly crimes reported to police. A time series model is presented and estimated whose estimable parameters include the price elasticity of demand for heroin and the elasticity of crime with respect to price. Based on data for Detroit, it is estimated that a 50% increase in the price would result in a 14% increase in the total property crime and a 13% decrease in the quantity of heroin consumed. The largest effects would be on burglaries and robberies in poor nonwhite neighborhoods.     

Divisia price and quantity indices: 80 years after

This paper reviews and extends the theory of price and quantity indices which are defined as line integrals, the two types being those of Divisia and Montgomery. The properties of these indices are systematically explored, whereby in particular attention is paid to the path-(in)dependency issue. Two sections discuss the problem of how to approximate the line integral indices when only data at discrete points of time are available. It appears that every bilateral index can be conceived as the outcome of a line integral index over a particular curve in price–quantity space. The classical position is that chained bilateral indices are rationalized by Divisia indices. This rationalization is only interesting when the Divisia indices themselves possess a proper foundation in economic theory. The final sections are therefore devoted to the role played by the Divisia indices in micro-economic theory.     

预期行为在我国股价指数中的EGARCH检验

影响股市整体价格走势的因素都要通过股票交易活动来实现,具体表现为股票交易笔数、总成交量和总成交额等。本文运用EGARCH模型对该问题分析,发现我国股市受预期行为影响明显,表现在上证综合指数与前期的平均单笔成交量和平均单笔成交额具有明显的关系。     

High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables

Recurrent ⿿black swans⿿ financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high quantile (HQ) extreme value theory (EVT) models of DPOT (Duration-based Peak Over Threshold) and quasi-PORT (peaks over random threshold), to estimate the Value-at-Risk with very small probability values for an adequately long and major financial time series to obtain a reasonable number of violations for backtesting. We also compare these models and other alternative strategies through an out-of-sample accuracy investigation to determine their relative performance within the HQ context. Policy implications relevant to estimation of risk for extreme events are also provided.     

Why elementary price index number formulas differ: Evidence on price dispersion

Most countries use either the Dutot or Jevons index number formula for the compilation of their consumer price index at the elementary level of aggregation. The difference between the formulas is shown to be accounted for by changes in price dispersion. In turn, some of this difference is shown to be explained by product heterogeneity. Scanner data on television sets (TVs) are used to calculate Dutot and Jevons indexes. The difference between them is successfully explained in terms of changes in price dispersion and much reduced using an hedonic, heterogeneity-controlled Dutot index.     

拍卖中信息披露的方式对于市场供给影响研究

本文运用古诺模型来分析两个寡头分销商分别投向市场的货物供给数量,运用关联价值模型来分析拍卖,拍卖方式采用一级密封价格拍卖和二级密封价格拍卖,由于两种拍卖规程的不同,导致信息披露方式的不同,从而影响两个寡头分销商的最大供给数量。