项目投资决策中折现率的选择

项目投资是否可行需要根据决策评价指标来判断,而评价指标的计算离不开折现率,其高低对决策结果起着关键性作用.所以,要正确选择折现率,提高决策质量.     

WTO financial services commitments: Determinants and impact on financial stability

The paper investigates the factors that have influenced WTO members to take on their chosen level of liberalization commitments in the framework of liberalization of trade in financial services and the impact of such commitments on financial sector stability. The most important factors are economic growth, current account, trends in banking sector development, policy restrictiveness, and peer-group effects. The econometric evidence suggests that more liberal commitments may be associated with greater vulnerability to currency and banking crises—most likely a short-term effect, which should be mitigated with time through increased market efficiency and better resource allocation.     

An optimization approach to business buyer choice sets: How many suppliers should be included?

In many new or repeat purchasing situations, business buyers must decide how many suppliers to consider (a “choice set”) in determining which supplier(s) to actually buy from or contract with. This paper develops an optimization approach to determining the size of the choice set, taking into consideration buyer utility and search and evaluation costs. A theoretical model is developed for both one-time and repeat purchase situations. The model is estimated using empirical data received from bids received for procurement auctions. In these auctions, suppliers provide bids for steel pipe based on two product attributes (price and delivery time). Model sensitivity to small changes in parameters is also tested.     

Country of origin labeling for complex supply chains: the case for labeling the location of different supply chain links

We investigate the value of a country of origin label (COOL) that separately identifies the geographic location of different stages in a food product's supply chain. We estimate the willingness‐to‐pay (WTP) of U.S. consumers for a packaged cereal product where the key grain ingredient may be grown in one country and processed in a second country (multicountry supply chain) and compare it to equivalent products that have both stages located in a single country. We find consumer WTP for products with single‐country and multicountry supply chains are statistically different, meaning that simplifying a multicountry label by listing only the country where the ingredients are grown or only the country where the ingredients are processed can result in different consumer values. We also find that for countries with a poor quality reputation, consumers respond more negatively when that country has the “last touch” than when that country's involvement is limited to upstream supply chain links.     

An Empirical Investigation of Composite Product Choice

Prior ingredient branding research has examined the influence of “stated” factors such as fit between partner brands on composite product (e.g., Tide with Downy fabric softener) attitudes. This research focuses on choice of composite products, and addresses three managerially relevant questions: Which consumer segments are more likely to adopt the composite product? Will the choice of the composite product have positive or negative reciprocal effects on partner brands? Will the introduction of the composite product benefit the primary or the secondary brand more? The authors use a brand choice model to investigate the “revealed” choice of complements-based composite products. Study results indicate that (i) despite high fit between the composite product and the primary brand, consumer segments may have different choice likelihoods for these products, whereas prior research suggests equal likelihood; (ii) the choice of a composite product may not provide a positive reciprocal effect to the secondary brand; and (iii) the introduction of a composite product may benefit the primary brand more than the secondary brand, whereas prior research suggests a symmetrical benefit for the partner brands. Finally, the finding that introducing a composite product may not cannibalize the sale of the primary brand extends the ingredient branding literature, which has been silent on this issue.     

Integrating corporate ownership and pension fund structures: A general equilibrium approach

This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that disappears with the introduction of sufficient risk aversion; (ii) the inability of policy makers to manage an economy with multiple firms yields a mixed equilibrium, where bonds are observed in both taxable and tax-deferred accounts; and (iii) the Pareto-efficient pension plan comprises of a defined benefit plan.     

Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach

This paper investigates the informational efficiency hypothesis in the short and long term for four major commodity markets (oil, gas, electricity, and coal) from January 1997 to January 2016. Unlike previous studies, we provide a more concise comparative analysis by focusing on different classes of commodities for a large sample, including 5 developed and 3 emerging regions and covering 46 countries. We apply different parametric and non-parametric econometric tests. Our study provides two interesting findings. First, we show that commodity markets are informationally inefficient in the short term. Our portfolio simulations highlight that commodities might provide “good” investment opportunities, but those opportunities vary according to commodity class and regions. Second, we show that most commodity markets become informationally efficient in the long term, thereby reducing investors' interest for the duration. Thus, commodity markets might be used to hedge investor’s portfolios, particularly for speculators and chartists in the short term, while these investments might not be appealing in these markets in the long term.     

Forecast combinations under structural break uncertainty

This paper proposes two new weighting schemes that average forecasts based on different estimation windows in order to account for possible structural change. The first scheme weights the forecasts according to the values of reversed ordered CUSUM (ROC) test statistics, while the second weighting method simply assigns heavier weights to forecasts that use more recent information. Simulation results show that, when structural breaks are present, forecasts based on the first weighting scheme outperform those based on a procedure that simply uses ROC tests to choose and forecast from a single post-break estimation window. Combination forecasts based on our second weighting scheme outperform equally weighted combination forecasts. An empirical application based on a NAIRU Phillips curve model for the G7 countries illustrates these findings, and also shows that combination forecasts can outperform the random walk forecasting model.     

The consumption–investment decision of a prospect theory household: A two-period model

This study extends the literature on portfolio choice under prospect theory preferences by introducing a two-period life cycle model, where the sufficiently loss averse household decides on optimal consumption and investment in a portfolio with one risk-free and one risky asset. The optimal solution depends primarily on whether the household’s present value of the consumption reference levels is below, equal to, or above the present value of its endowment income. Reference levels below the endowment income are associated with the self-enhancement motive. In this case, the household avoids relative losses in consumption in any present or future state of nature (good or bad). As a result the degree of loss aversion does not directly affect optimal consumption and risk taking activity. Reference levels equal to the endowment income are associated with the belonging motive. An example would be a household comparing to others that belong to the same social class. In this case the household’s optimal consumption is the reference consumption and the household will not invest in the risky asset. Finally, reference levels above the endowment income are associated with the self-improvement motive (or high aspirations). For such high reference levels, households cannot avoid experiencing a relative loss in consumption, either now or in the future. As a result, loss aversion directly affects consumption and risky investment.     

Valuation of ecosystem services provided by irrigated rice agriculture in Thailand: a choice experiment considering attribute nonattendance

This research investigates how the public of a middle‐income country, Thailand, values ecosystem services associated with irrigated rice agriculture using a choice experiment. The results show a significant willingness to pay for services such as drought mitigation, water quality and the environment and maintenance of rural lifestyles and rice landscapes. The iterative procedure developed to fully analyze the incidence of attribute nonattendance (ANA) improved the model fit when compared with a multinomial logit model or an ANA model with potentially only one attribute ignored at a time (ANA‐1). Moreover, the inferred probability of the class of respondents having attended all attributes was 45%, compared to 9% with ANA‐1 model. However, it also suggests that 55% of the respondents made their choices by considering only two of the five attributes. Finally, this research also suggests that failing to consider ANA does not change the public ranking of scenarios contrasted by the services they would provide but would overestimate the WTP for these scenarios.