“Panelizing” Repeated Cross Sections

This paper considers the implementation of a non-stationary, heterogeneous Markov model for the analysis of binary dependent variables in a time series of repeated cross-sectional (RCS) surveys. The model offers the opportunity to estimate entry and exit transition probabilities and to examine the effects of time-constant and time-varying covariates on the hazards. We show how maximum likelihood estimates of the parameters can be obtained by Fishers method-of-scoring and how to estimate both fixed and time-varying covariate effects. The model is exemplified with an analysis of the labor force participation decision of Dutch and West German women using ISSP (and other) data from 10 annual Dutch surveys conducted between 1987 and 1996 and 7 annual West German surveys conducted between 1988 and 1994. Some open problems concerning the application of the model are discussed.     

Investing in Socially Responsible Companies is a must for Public Pension Funds – Because there is no Better Alternative

>With assets of over US$1.0 trillion and growing, public pension funds in the United States have become a major force in the private sector through their holding of equity positions in large publicly traded corporations. More recently, these funds have been expanding their investment strategy by considering a corporations long-term risks on issues such as environmental protection, sustainability, and good corporate citizenship, and how these factors impact a companys long-term performance. Conventional wisdom argues that the fiduciary responsibility of the pension funds trustees must be solely focused on their beneficiaries and, therefore, their investment criteria must be based strictly on narrowly defined financial measures. It is also asserted that well-established financial measurements of corporate performance already include long-term risk assessment through discounted present value of future flow of earnings. Consequently, all other criteria are contrary to the best interest of the pension funds beneficiaries. In this paper, we assert that, contrary to conventional wisdom, pension funds, and for that matter other mutual funds, must be concerned with the long-term survival and growth of corporations. These measures are generally referred to socially responsible investing (SRI) and when applied to corporations, it is termed socially responsible corporate conduct (SRCC). We demonstrate that current measurement of future risk assessment invariably understates, and quite often completely overlooks, these long-term risks because of the inherent bias towards short-run on the part of financial intermediaries whose compensation depends greatly on short-term results. Furthermore, there is ample evidence to suggest that these intermediaries have been engaging in self-serving practices and thus failing in their duties to serve their clients, i.e. pension funds, best interests. Because of their large holdings in the total market as well as individual companies, these funds cannot easily divest from poorly performing companies without destabilizing the companies stock and overall markets. Hence, they must opt for a strategy of emphasizing investment criteria that encourage companies to take into account long-term aspects of their operations in terms of their impact on environment, sustainability, and community welfare, to name a few. We argue that an exclusionary, and even a primary, focus on short-term financial criteria is no longer a viable option. It also calls for the pension funds to encourage greater transparency and accountability of the entire corporate sector through improved corporate governance. Thus socially responsible investing practices are not merely discretionary and desirable activities; they are a necessary imperative, which both the corporations and public pension funds, and other large institutional holders, will ignore at serious peril to themselves. Finally, the paper considers some of the recent developments where corporations have been responding to these challenges and how their actions might be strengthened through greater disclosure and transparency of corporate activities. It also makes recommendations for the pension funds to support further research in creating new measurement standards that further refine the concept of socially responsible investing as a necessary ingredient of long-term corporate survival and growth in the context of a changing economic, environmental and socio-political dynamic.     

具有干扰估计和双硬件限幅器的光CDMA直接检测接收机

提出了一种应用干扰估计和双硬件限幅器的光CDMA的直接检测技术。在提出的系统中,当硬件限幅器的输出为“0”时,系统的输出为“0”;当硬件限幅器的输出为“1”时,系统估计这个“1”到底是干扰还是传输的信号。仿真结果表明,该系统有效地减小了多用户干扰的影响。     

Earnings Announcements: Good News for Institutional Investors and Short Sellers

In this paper, we consider the trading behavior of institutional investors and short sellers around earnings announcements. The results suggest that institutional investors, and to a lesser extent short sellers, successfully anticipate earnings news. In the period immediately after the earnings announcement, both types of traders are active in the market and trade in response to the earnings announcement. In particular, short sellers are quick to increase their short positions when a company releases bad news. Institutional traders also trade in response to the news; however, they take longer to react.     

Short Sale Constraints and Dispersion of Opinion: Evidence from the Indian Equity Market

Short sale constraints can inflate market prices, as bearish investors cannot act on their market views. The paper uses data from the Indian equity market to test whether opinion dispersion leads to higher overpricing when short sales are prohibited. The Indian equity market provides a natural testing environment, as short sales were banned between 2001 and 2008. The empirical results offer supportive evidence of the relation between opinion dispersion and overpricing in a market with short sale constraints.     

采用数据扩展技术在OFDM系统中实现不等错误保护传输

本文提出了采用数据扩展技术在正交频分复用(OFDM)系统中实现不等错误保护(UEP)传输的自适应调制算法.利用原始数据符号传输特性相同的特点,分别研究了以提高信道容量为目标,功率一定,最大化传输速率的不等错误保护UEP算法;以及以用户需求为目标,传输速率一定,最小化总功率的不等错误保护UEP算法.这两种算法均可根据待传输数据的要求,保证不同优先级数据的不同传输质量和不同传输速率.仿真结果表明,最大化传输速率UEP算法可以在速率最大化的同时,保证传输质量要求;最小化总功率UEP算法可以在最小化发射功率的前提下,保证传输质量要求.与传统OFDM系统中相应算法的比较结果可以看出,采用数据扩展技术可以大大降低算法复杂度,减少有关调制参数信息的传输,在实现UEP时,在性能和复杂度之间具有较好的折中,具有较高的实际应用价值.     

区域战略性新兴产业选择研究

本文重点关注＂区域性、战略性和新兴性＂三个特征,区域战略性新兴产业选择应坚持国家意志与区域特征相结合、定量分析与定性分析相结合、增长潜力与关联带动相结合以及技术创新与持续发展相结合的四个原则。基于以上原则,构建出＂区域战略性新兴产业选择五力模型＂,即包含产业惯性力、产业发展力、产业带动力、产业创新力和产业持续力的＂五力＂因素,具体分解出包括14个指标的选择指标体系。依据以上选择指标体系,本文综合运用层次分析法（AHP）和Del-phi法,建立起一个主客观方法相结合的区域战略性新兴产业选择模型。     

PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging short sterling options. Using high‐frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging short sterling options positions using short sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model. Copyright © 2012 John Wiley & Sons, Ltd.     

循环农业产业链的运行规律及动力机制研究

以循环农业模式体系构成研究为切入点,首先系统地阐述了循环农业产业链的内涵及空间结构,总结循环农业产业链的三种网络形式及特征;其次,探寻纵向闭合产业链条内的产业关联及链条结构,提出了循环农业产业链由外循环及内循环两条物质循环路径流程构成;再次,结合国内相关研究成果,以及循环农业体系产业创新与价值增值的特点,提出推动循环农业产业链的动力机制包括:以价格机制、竞争机制为核心的内源动力机制,以及以政策制度、技术创新、市场建设、人才培养为重点的外源动力机制。