基于SVM的房地产财务决策风险预测及敏感性分析

本文以房地产上市公司的财务数据为参考依据,结合相关性分析,筛选并建立影响财务风险的指标体系;利用支持向量机建立财务风险分析预测模型;并使用灰色关联理论对指标进行敏感性分析,从而得到影响财务风险最敏感的指标。     

基于量子三叉树的量子Black-Scholes期权定价

将量子概率引入到期权定价是最近几年一个新的研究趋势,也称为量子金融.为了期权定价更方便,文章建立了量子三叉树模型,同时利用量子概率建立了连续量子Black-Scholes(B-S)模型。实例应用和Matlab期权敏感性分析都验证了量子B-S优于经典B-S,从而为连续期权定价提供量子决策的途径。     

Making sustainable sourcing decisions: practical evidence from the automotive industry

Achieving environmental and sustainable performance within an organisation’s supply chain and manufacturing operations will be feasible if upstream supply partners have the same commitments in performing their operations in a sustainable manner. Given the debate above, we propose a comprehensive framework to address the sustainable supplier selection and order allocation (SSS&OA) problem. The framework developed is practical, that starts by using an audition check-list specific for each sustainability dimension (environmental, economic and social), from which the weighted values of its comprised criteria are obtained. The weighted scores of the selected sustainable suppliers are utilised by a proposed bi-objective order allocation model in order to make sourcing decisions. The strength of the proposed framework is its practical applicability to provide a solution for SSS&OA problems which is validated through a real-world application. Finally, research findings, theoretical and managerial insights and also directions for additional research are presented.     

Corporate Cash Holding in Asia

In this paper, we analyze the determinants of corporate saving in the form of changes in cash holdings for 11 Asian economies using firm‐level data from the Oriana Database for the 2002–2011 period. We find some evidence that cash flow has a positive impact on the change in cash holdings (i.e. that the cash flow sensitivity of cash is positive) and that the positive impact of cash flow on the change in cash holdings is larger and more significant in the case of smaller and presumably more constrained firms than in the case of larger and presumably less constrained firms in both developed and developing economies. Both of these findings corroborate the importance of financial constraints in Asian firms. In addition, we find that the cash flow sensitivity of cash declined after the global financial crisis and that Tobin's q has a positive impact on the change in cash holdings, especially in the case of larger and presumably unconstrained firms.     

Is insurance normal or inferior? -A regret theoretical approach-

This study considers how changes in wealth affect insurance demand when individuals suffer disutility from regret. Anticipated regret stems from a comparison between the ex-post maximum and actual wealth. We consider a situation wherein individuals maximize their expected utility incorporating anticipated regret. The wealth effect on insurance demand can be classified into the risk and the regret effects. These effects are determined by the properties of the utility function and the regret function. We show that insurance can be normal when individuals place weight on anticipated regret, even though the utility function exhibit decreasing absolute risk aversion. This result indicates that regret theory is a possible explanation to the wealth effect puzzle, in which insurance is normal from empirical observation, but it should be inferior by theoretical prediction under expected utility theory.     

Wall of cash: The investment-cash flow sensitivity when capital becomes abundant

In the mid 2000s the oil and gas industry was hit by what might be best described as a ‘wall of cash’ as oil prices successively reached new record levels and access to external financing improved greatly. In this article we investigate what this sudden abundance of liquidity implied for the investment-cash flow relationship, the interpretation of which continues to generate controversy in the literature. For financially constrained firms we find that the investment-cash flow sensitivity decreases in the abundance period (2005–2008), suggesting that the financing constraints became less binding in this period. For financially unconstrained firms the investment-cash flow sensitivity instead increases over time, suggesting that this relationship is driven by agency problems related to free cash flow. Our paper is the first in the investment-cash flow literature to bring evidence from a natural experiment in which there was an unexpected, exogenous, substantial, and persistent decrease in the cost of external financing.     

The time-to-maturity pattern of futures price sensitivity to news

This paper examines the effect time-to-maturity has on how sensitive futures prices are to news flows. Unscheduled daily news flows that relate to the underlying asset of a futures contract are related to the daily realized volatility of futures to calculate a price-news sensitivity ratio. The observed pattern follows an inverted U-shape relationship and has a bearing on whether the maturity effect will be noticeable in a futures contract. This paper also shows that by examining the peak-to-maturity of the price sensitivity to news pattern, it is possible to better identify which contracts are more likely to yield higher volatility.     

基于风险中性路径概率的三叉树期权定价模型

树方法是给经典期权进行定价的非常实用的数值方法,目前最流行的是二叉树模型。三叉树定价模型作为二叉树的一个扩展,其同样是在风险中性概率的基础上给经典期权进行定价,并且可以通过MATLAB实现。相比于二叉树而言,三叉树模型的定价结果具有更好的收敛性。除此之外,用三叉树模型对影响期权价格的一些因素进行敏感性分析,可以验证该模型的合理性。     

Disappearing investment-cash flow sensitivities: Earnings have not become a worse proxy for cash flow

According to a recent conjecture in the literature, earnings have become a poorer proxy for cash flow from operations over time. We find that since 1988, when cash flow statements started to be consistently reported in Compustat, the cash effectiveness of earnings has actually increased for a large sample of US manufacturing firms. This occurs despite the introduction of fair value accounting and increasing accounting accruals during the last three decades. Also contrary to the conjecture, using more comprehensive measures of cash flow does not restore the investment-cash flow sensitivity, which continues to be around 0.05 in more recent periods.     

房价与企业高管薪酬业绩敏感性

非房地产企业受房价上涨的吸引投资于房地产业务，虽然能给企业带来业绩增长，但这使得企业业绩很难衡量高管的努力程度，业绩质量也不高，根据高管薪酬的最优契约理论，企业业绩在高管薪酬契约中的使用权重会被降低。基于中国35个大中城市的房价数据以及中国非房地产业的上市公司数据，研究发现：高房价显著降低了企业高管薪酬业绩敏感性，这一影响在高管薪酬契约有效性较高时更显著；以上结论在使用DID模型控制反向因果内生性问题后依然成立。