Who benefits more from international diversification?

This paper investigates the relative magnitude of the international diversification benefits for the domestic investors in various countries. The constraints of short-sales, over-weighting investments, and investing region are considered. The empirical results suggest that local investors in the less developed countries, particularly in East Asia and Latin America, comparatively benefit more from both regional and global diversification. This finding holds even though the international market has become more integrated so that the diversification benefits have decreased over the past two decades. The results are useful for asset management professionals to determine target markets to promote the business of national/international funds.     

Pension Plan Funding,Technology Choice,and the Equity Risk Premium

In this paper, the impact of Lazear contracts with defined‐benefit pensions on aggregate technology composition and the aggregate risk premium is examined. In the presence of capital market constraints affecting workers, defined‐benefit pensions bias the economy towards risk‐free production. Leveraging the risky technology relaxes the constraints and results in more risky production and a fall in the aggregate risk premium. This effect holds with risky debt and low pension shortfall risk but breaks down with high pension shortfall risk. A key prediction is that as Lazear contracts become less common, risky production will increase and the aggregate risk premium will fall.     

Optimal Timing of Foreign Direct Investment Under Uncertainty

Foreign-trade zone (FTZ) use by international marketers vrovides them with the mlential to gain cost savings and increak operating efficiencies. However, no empirical research has yet been conducted to examine whether operating cost efficiency is better for international marketers using FTZs (FTZ firms) than those not using FTZs (non-FTZ firms). The operating cost efficiency of FTZ and non-FIZ firms is examined through a comparison of their cost structures. Using translog production functions, the surprising results in this paper suggest that FTZ firms tend to be less efficient than non-FTZ firms. Some possible explanations for this result are advanced, and public policy implications are discussed.     

Time to wealth goals in capital accumulation

This paper considers the problem of investment of capital in risky assets in a dynamic capital market in continuous time. The model controls risk, and in particular the risk associated with errors in the estimation of asset returns. The framework for investment risk is a geometric Brownian motion model for asset prices, with random rates of return. The information filtration process and the capital allocation decisions are considered separately. The filtration is based on a Bayesian model for asset prices, and an (empirical) Bayes estimator for current price dynamics is developed from the price history. Given the conditional price dynamics, investors allocate wealth to achieve their financial goals efficiently over time. The price updating and wealth reallocations occur when control limits on the wealth process are attained. A Bayesian fractional Kelly strategy is optimal at each rebalancing, assuming that the risky assets are jointly lognormal distributed. The strategy minimizes the expected time to the upper wealth limit while maintaining a high probability of reaching that goal before falling to a lower wealth limit. The fractional Kelly strategy is a blend of the log-optimal portfolio and cash and is equivalently represented by a negative power utility function, under the multivariate lognormal distribution assumption. By rebalancing when control limits are reached, the wealth goals approach provides greater control over downside risk and upside growth. The wealth goals approach with random rebalancing times is compared to the expected utility approach with fixed rebalancing times in an asset allocation problem involving stocks, bonds, and cash.     

论优化设计与工程建设投资控制

论述了优化设计对投资控制的影响，针对优化设计运用困难原因，提出了搞好优化设计控制项目投资的几点建议。     

外部融资、投资、未来业绩和股票报酬

不同融资类型对未来经营业绩有不同反映。无论是未来一年盈利还是长期盈利,权益融资与债务融资对未来经营业绩都有较大的不利影响。外部融资与经营净资产之间存在一定相关性。经营净资产的变化减少了融资对未来盈利的影响,但不能区别不同融资类型的影响差异。融资类型对盈利影响的相关系数极不相同。市场不仅高估了融资企业的未来盈利能力,而且发出了结果是错误的信号。     

经济体制转轨时期的投资波动及其启示

本文采用实证方法， 将我国改革开放前后不同历史时期投资波动状态加以比较， 以充分、可靠、翔实的数据资料证明， 进入经济体制转轨时期， 我国的投资运行已呈现较为适度、平稳状态。并侧重从理论上分析了经济体制转轨时期投资波动新变化的原因和从中得到的启示。     

再论人力资本化条件下的会计变革

本文认为,在人力资源资本化的背景下,人力资本投资体系的建立并逐步完善已成趋势。与此同时,客观上要求会计改革与之相适应,在会计对象的定位、会计主体的构成、会计要素的拓展、投资价值的计量、投资收益的分配及其权益的积累等方面,科学地变革会计核算体系。     

Endogenous growth cycles in an overlapping generations model with investment gestation lags

Summary. A simple overlapping generations model with investment gestation lags is constructed. The model shows that, if the technology is of the AK type with capital-deepening externalities, the existence of investment gestation lags always generates permanent cyclical fluctuations in the economic growth rate. The mean growth rate is shown to be positive if the external effect is strong. The model also shows that, if the production technology takes the Cobb-Douglas form, there exists a unique steady state in which the economy exhibits neither cyclical fluctuations nor long-run growth.Received: 3 July 2003, Revised: 3 December 2003, JEL Classification Numbers: E32, B13. Correspondence to: Akiomi KitagawaAkiomi Kitagawa, Akihisa Shibata: The authors would like to thank Yasushi Iwamoto, Kazuo Mino, an anonymous referee and seminar participants at the Macroeconomics Workshop for their helpful comments and suggestions. Financial support from the Ministry of Education, Culture, Sports, Science and Technology of Japan is gratefully acknowledged.     

Flexibility and specialization in question; birth,growth and death rates of Cambridge new technology-based firms 1988–92

Insight into the investment behaviour of firms is central in understanding economic dynamics. A critical question, however, is whether firms provide sufficiently reliable data to enable them to make plausible forecasts at the meso (regional or sectoral) level. This paper analyses Dutch investment forecasts at different levels of aggregation. The central research question is whether entrepreneurs, individually or as a group, make systematic errors in their investment forecasts. A statistical test reveals that investment forecasts are not biased at the aggregated (regional and sectoral) level. At the micro level, however, there is a significant bias. Hence, using aggregated (regional and sectoral) data to test the lack of bias (unbiasedness) of forecasts may lead to the wrong conclusions. Moreover, aggregated investment forecasts may then be an inappropriate source for policy recommendations, despite their seemingly high reliability. This finding may in principle be valid for many European countries, since data collection on investment is organized in similar ways throughout Europe.