双因素可转债定价的非参数方法(离散情形)——基于新的鞅方法

本文基于利率随机过程,通过非参数核估计法,建立了非参数利率期限结构动态模型来研究公司的可转债定价问题;然后,利用公司股票的历史收益率,将Canonical方法引入到可转债定价求解过程中,并由最大化熵原理得到其Canonical风险中性概率分布;最后,根据等价鞅测度定价原理得出可转债的价格。     

ARE UK SHARE PRICES TOO HIGH? FUNDAMENTAL VALUE OR NEW ERA

Since the mid-1990s the dividend yield reached and largely remained at a historically low level, even accounting for the stock market correction in the early 2000s. This appears to suggest that prices are overvalued. However, alternative valuation models based upon comparing bond and equity yields suggest that, if anything, prices are undervalued. This paper seeks to provide answers to this seeming paradox. Preliminary results suggest non-stationarity of the dividend yield and bond yield–equity yield differential, although the yield ratio is possibly stationary, casting doubt on mean reversion. Evidence from structural breakpoint testing suggests that all measures have been subjected to several mean level shifts throughout the sample period, and notably within the last decade, such that each series now fluctuates around a mean level lower than that experienced previously. Thus, the lower dividend yield and lower bond–equity ratio do not necessarily imply equity mispricing but that concepts of pre-existing normal levels no longer apply. In explaining why higher equity prices are supported, we note that the last decade has seen a period of historically low and stable inflation and interest rates. Further, there is a strong positive relationship between inflation and the dividend yield. This more stable economic environment has led to more accurate valuation of stocks and lower required rates of return, thus supporting higher prices.     

An econometric analysis of willingness-to-pay for sustainable development: A case study of the Vol?ji Potok landscape area

When the market for a certain good is competitive enough, economic activities can be studied by the market pricing mechanism. Because this is usually not feasible in case of environmental goods with embodied natural and cultural heritage, particular methods for economic valuation of such goods have to be applied. The present article represents the economic valuation of the Landscape Development and Protection Area of Vol?ji Potok, which is an important Slovenian cultural landscape area with internationally recognized qualities. For this purpose we combined classical contingent valuation with a closed-version of discrete choice method, where the protest responses have been removed. By using econometric analysis we obtained the value of willingness-to-pay and established its determinants. We also made an attempt to control for different biases that arise in such analyses. At last, we used the adjusted average individual value of willingness-to-pay to calculate the aggregate willingness-to-pay. The present analysis represents one of the very few applications of the method to Central and Eastern European countries.     

狠抓重油深度加工 提高企业综合效益

由于国家控制原油加工总量,企业必须寻求对策来提高经济效益。以金陵石化公司为例,一方面该公司加强生产及经营管理,保证重油加工量;另一方面对装置进行扩容改造,提高重油深度加工能力。     

云南粮食产量对ENSO振动的响应

利用１９５２－１９９８年南方涛动指数（ＳＯＩ）、气温、降水及云南粮食单产量资料,综合分析、研究后得出：（１）云南粮食产量呈现微小状起伏的准“Ｓ”型上升趋势（２）云南粮食产量与ＥＮＳＯ振荡存在显著共振相关关系。受ＥＮＳＯ影响,云南粮食产量出现５．２年和４．３３年周期性变化,且ＥＮＳＯ分别超前０．４１２年和０．０２４年振动。（３）ＥＮＳＯ主要通过引起气温变化造成粮食产量的高低波动。     

A contingent claim analysis of a rate-setting financial intermediary

Realizing that a financial intermediary's lending, treated as an investment opportunity, is like a financial call option clarifies the role of uncertainty. We argue that the portfolio-theoretic approach and the firm-theoretic approach have important linkages that can be used to demonstrate the contingent claim analysis of a rate-setting financial intermediary. Borrower-intermediary-lender relationships between the portfolio-theoretic combined volatilities and the firm-theoretic rate-setting modes under the Black-Scholes valuation are investigated, and the conclusions depend upon the portfolio composition redistribution effect. The effect of changes in the open market security rates on the loan rate and deposit rate settings depend on the borrower-intermediary-lender relationship, portfolio risk, and management of rate-setting strategy. Moreover, movements in open market security rates are not necessarily transmitted to the loan lender and deposit absorber.     

An Analysis of Seasoned Equity Offerings by Equity REITs, 1991 to 1995

This article examines the valuation effect around the filing and offer dates of seasoned equity offerings by Equity REITs over the period 1991 to 1995. Based on a much larger sample, our finding of a significantly negative reaction to filing announcements corroborates the evidence in Howe and Shilling (1988). Our analyses indicate that the valuation effect is impacted more by the information content of the filing than any tax-based explanations. We find a significantly negative valuation effect on the offer day as well. The effect persists even after adjustment of returns by the bid-ask bounce induced by excessive selling of shares in the secondary market by institutional investors to take advantage of offer price discounts. While we attribute the result partly to order flow imbalance around the offer day, this finding is inconsistent with extant literature merits and further investigation.     

石脑油裂解参数的考察和研究

石脑油裂解制乙烯在目前的乙烯工业中有着非常重要的地位。裂解过程中停留时间、裂解温度、水油比及温度分布等因素对乙烯的收率有着很大的影响。通过实验得到了石脑油的最佳操作条件,使乙烯的收率得到提高,为工业装置提供参考数据。     

民营上市公司盈余管理问题研究

本文以我国民营上市公司为样本,运用管理后盈余分布法检验出我国民营上市公司是否为了达到避免亏损、配股、增发的目的,存在着盈余管理行为,再用修正的Jones模型估算出盈余管理量后对净资产收益率做修正,并用修正的净资产收益率做分析时,发现其图形符合平滑性的假设。     

Modeling Recreation Site Choice: Do Hypothetical Choices Reflect Actual Behavior?

We examine the ability of revealed preference (RP), site-specific stated preference (SP), transferred SP, and joint RP–SP models to predict aggregate and individual recreation site choice in a holdout sample. For two statistical comparisons, the RP model provided the most accurate predictions of individual choices. However, the transferred SP model, applied directly or estimated jointly with the RP data, performed best in three aggregate and one individual prediction test. These findings suggest that data from well-designed and conducted SP surveys from one site can be combined with site-specific RP data from another site to generate improved models of recreation site choice.