信用风险水平与宏观经济变量的实证研究——基于中国、美国、日本部分银行的比较分析

基于1999～2007年中国、美国和日本部分银行的不良贷款率数据,本文对影响银行信用风险的宏观经济因素进行了实证研究和比较分析。结果表明:(1)中国的银行信用风险水平与失业率呈现显著的负相关关系;(2)表面上美国的银行信用风险水平极低,而且不受宏观经济变量波动的影响,但是实际上其风险被金融衍生工具隐藏并积累起来;(3)日本的银行信用风险水平与CPI呈现显著的负相关关系。最后本文提出了几点建议。     

Benchmarking:企业经营运作新方法

Benchmarking是国外八十年代发展起来的一种新型经营管理方法 ,正在被世界上越来越多的大公司所采用 ,并在竞争中取得了显著成效。其思想基础、观察角度、基本步骤对我们现有企业的经营运作、摆脱困境都是一个很好的启示     

追持基金重仓股投资策略在中国证券市场的适用性分析

本文用事件分析法,分析基金披露持仓信息前后一段时间基金重仓股的价格走势,看是否出现反转或惯性趋势,并且分别在市场行情上涨和下跌两个事件期中对比研究.研究结论是在上涨行情中出现赢家变输,输家变赢的反转现象,而在下跌行情中出现赢家变输的反转现象和输家更输的惯性现象,在两种行情中追持基金重仓股都不是有效的投资策略不能获得超额收益.     

Informed trading and liquidity in the Shanghai Stock Exchange

Dufour and Engle (J. Finance (2000) 2467) find evidence of increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. This article investigates the issue of informed trading and its relation to liquidity in Shanghai Stock Exchange. Consistent with the hypothesis that information-based trade exists for all stocks, our findings suggest an increased presence of informed trading in both liquid and illiquid stocks when markets are active. Moreover, for the actively traded stocks, our results support the price formation model of Foster and Viswanathan (Rev. Financial Studies (1990) 593) that activities of informed traders deter uninformed investors from trading, thereby reducing market liquidity.     

劳动力市场的横向分割与纵向分割之比较

本文以劳动力市场的横向分割与纵向分割两种分割系统为线索,力求对分割理论和现实情况进行勾勒与诠释,主要从生成因素、经济效应、应对之策三个维度对两者展开比较,试图对该研究领域的诸多观点进行梳理与整合。     

A STATE-SPACE PARTITIONING METHOD FOR PRICING HIGH-DIMENSIONAL AMERICAN-STYLE OPTIONS

The pricing of American-style options by simulation-based methods is an important but difficult task primarily due to the feature of early exercise, particularly for high-dimensional derivatives. In this paper, a bundling method based on quasi-Monte Carlo sequences is proposed to price high-dimensional American-style options. The proposed method substantially extends Tilley's bundling algorithm to higher-dimensional situations. By using low-discrepancy points, this approach partitions the state space and forms bundles. A dynamic programming algorithm is then applied to the bundles to estimate the continuation value of an American-style option. A convergence proof of the algorithm is provided. A variety of examples with up to 15 dimensions are investigated numerically and the algorithm is able to produce computationally efficient results with good accuracy.     

Strategic Responses to Competitive Pressure: The Case of Township and Village Enterprises in China

This study assesses the configuration between strategic orientation and industrial environment for Chinese township and village enterprises (TVEs), the organizational form which has played an increasingly important role in Chinese economic development and structural reform. We argue that the complexity, dynamism, and hostility of the industrial environment influence TVE managers' perception of competitive pressure, which in turn affects the firm's strategic orientations such as innovativeness, proactiveness, risk-taking, and analysis. Our analysis, based on a survey of TVE managers in Tinjin and Jiangsu, demonstrates that complexity and dynamism of industrial competition have a systematically positive impact on TVE's innovativeness, proactiveness, risk-taking, or analysis. Environmental hostility is not significantly associated with any strategic orientations adopted by Chinese TVEs. Implications of the findings are discussed.     

Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts

This paper examines whether analysts resident in a country make more precise earnings forecasts for firms in that country than non-resident analysts. Using a sample of 32 countries, we find an economically and statistically significant local analyst advantage even after controlling for firm and analyst characteristics. The local advantage is high in countries where earnings are smoothed more, less information is disclosed by firms, and firm idiosyncratic information explains a smaller fraction of stock returns. It is negatively related to whether a firm has foreign assets and to market participation by foreign investors and by institutions, and positively related to holdings by insiders. The extent to which U.S. investors underweight a country's stocks is positively related to that country's local analyst advantage.     

种粮大户粮食生产效益的非价格影响因子分析——对江西省种粮大户的调查

通过对2005年江西省种粮大户种粮效益非价格因素的实证分析,发现种粮大户种粮效益与粮食经营规模、机收面积和家庭人数呈正相关关系。而与种粮农户的文化水平、性别、年龄等因素相关性不强。这一结果说明当前农村农业劳动力成本在不断上升,农业投入中劳动力的替代效应逐渐下降;同时,这也是当前政府在粮食主产区的政策支持与引导的结果,说明当前粮食主产区的农业政策是有效的。即推动粮食主产区农村土地流转制度的完善和适度规模经营,对粮食主产区的良种补贴和购买大型农机具的补贴,有利于种粮大户种粮食生产效益的提高。同时,提高农业科技成果物化水平,有利于农业科技成果在不同文化水平的粮农中推广应用。     

对我国企业家制度的几点思考——基于国有企业的视角

企业家是稀缺资源，是推动国民经济发展的主要力量。企业家制度及企业家队伍建设是我国国企改革中一个重要的环节。2003年国务院国资委成立以来，对企业家制度进行了一系列的设计和安排，企业家队伍建设也取得了一定的成效，通过对这些制度的思考提出一些看法。