存货购销中最优期权合约交易量研究

在分析利用期权合约规避价格波动风险的原理的基础上,分别给出存货购销两个环节中可以运用的期权策略,然后利用均值方差模型计算使投资组合达到效用最大化时所对应的最优期权合约交易量及其对经营利润的影响,研究发现：在存货采购环节,企业可以通过购入看涨期权、购入看涨期权同时售出看跌期权两种策略控制采购价格波动的风险,在存货销售环节,企业可以通过购入看跌期权、同时购入看跌期权并售出看涨期权两种策略来稳定销售利润;从最优期权合约交易量及其对企业经营利润的影响来看,期权工具在控制存货采购价格、稳定销售利润中可以发挥良好作用。     

Experiential Learning – A Case Study of the Use of Computerised Stock Market Trading Simulation in Finance Education

Abstract

Finance is a popular programme of study in UK higher education despite it being a challenging subject that requires students to understand and apply complex and abstract mathematical models and academic theories. Educational simulation is an active learning method found to be useful in enhancing students’ learning experience, but there has been limited pedagogic research attention on its use in finance education within the UK. This paper, utilising an on-line survey, provides a snapshot of the current usage of finance-related simulations across the 97 UK universities offering finance programmes. The paper also reports the findings of a case study that offers insights into the effectiveness of introducing computerised simulation into a postgraduate finance course from both a student and tutor perspective. It highlights an enhancing learning experience for students through concrete experience and reflective observation, increasing their understanding of difficult and complex finance concepts.     

碳交易与碳税机制比较研究

碳税和碳交易作为主要的碳减排政策工具被大多数重视碳减排的国家所采用。基于对比碳税与碳交易在理论基础、效果成本、减排效果、监督机制以及未来适应性等方面的差异,结合两种政策的执行现状和中国国情,中国应建立碳排放交易与适度碳税相结合的复合政策,降低碳排量,以应对日益凸显的环境问题。     

做市商制度对我国新三板市场的影响

场外交易市场建设初期,做市商制度在各国家及地区得到普遍应用。随着市场规模的扩大,交易制度逐步演变为混合性做市商制度。2014年我国新三板市场引入做市商制度,通过对市场整体以及协议转让、做市转让两类股票样本进行比较,文章认为在政策推动、市场主体积极参与等因素作用下,新三板市场整体规模、流动性均得到快速提高,做市商制度在流动性改善、价值发现等方面具有重要作用,挂牌公司具有较强的差异性对分层管理提出了现实需求。提高流动性仍然是新三板市场的重要任务之一,文章认为需要从制度、需求、供给、监管四个方面进行采取积极措施。     

构建企业污染物减排内外动力机制研究

我国污染物减排主要依靠政府的强力推动,企业在污染物减排实施中一直处于被动地位,其主体地位角色一直缺失。要建立长效的企业污染物减排实施机制需要实现企业主体"还位"。通过对我国企业污染物减排行为的博弈分析,探讨我国企业减排动力不足的内因和外因;并提出引入污染物排放信息披露制度强化减排监管力度,从外力驱动企业减排;建立排放权交易市场机制,发挥市场倒逼作用从内力驱动企业减排;并基于"双力"驱动对我国企业污染物减排动力机制进行设计,实现激发企业主动减排的目标。     

Is the EU ETS a Just Climate Policy?

The European Union Emissions Trading System (EU ETS) is in dire straits. Prone to design problems and suffering from the effects of the economic crises the scheme is criticised for its poor achievements. In this paper we will analyse some of the features of this situation from an ethical perspective. The major part is dedicated to the complications within each phase of the EU ETS and to the recent developments it has undergone. We will briefly discuss the remedies suggested by prominent commentators. Furthermore, any policy tool to tackle climate change should be evaluated in view of the profound equity issues that are inherent to the climate problem. We will evaluate the EU ETS according to two justice-based criteria, related to effectiveness and the distribution of the duties involved in climate change, respectively. We will conclude that the EU ETS, in its current form, clearly lacks fairness on both criteria. However, the biggest problem is the unwillingness of EU leaders to mend, what could be, a commendable climate policy tool. To that extent, we argue, those leaders are acting unjustly.     

Institutional Investors' Trading in Speculation: Evidence from China

The trading behaviour of institutional investors has attracted much attention. However, many issues related to their trading behaviour cannot be addressed without high‐frequency changes in institutional ownership. Based on a measure of the trading behaviour of institutional investors by using an institutional account dataset from China, we find that (i) active institutions trade speculatively by taking advantage of individual investors; (ii) individuals buying high and selling low offer liquidity only on average; (iii) foreign investors do not show significant patterns in speculation; and (iv) trading of active institutions significantly affects price. This study casts doubt on the conventional wisdom that institutional or sophisticated investors improve market efficiency by correcting mispricing, and provides direct evidence for institutional investors' speculation behaviour and their destabilising effect on the stock market. Results suggest that regulators in emerging markets should monitor institutions' speculation to bring fairness and justice to the stock market.     

基于BG/NBD模型的电信客户终身价值测度研究

在技术水平不断提升以及产品服务趋于同质化的环境下,我国移动通信企业开始由基础网络建设向专业化的增值业务转型,在激烈的市场竞争中,及时准确的挖掘高价值客户,提供个性化的功能业务,提升客户价值,成为各通信企业获取新竞争优势的有效途径之一。在BG/NBD模型的基础上,通过捕捉客户随机交易行为,构建了客户终身价值测度模型,结合电信运营商的客户数据进行客户终身价值预测研究,结果发现,模型在客户整体层面和个体层面均能有效且准确的预测客户终身价值。     

价值溢价与一月效应——来自上海A股市场的经验证据

以2000年1月至2011年12月沪市A股上市公司为样本,按Size-B/M方法构建6投资组合,考察我国股市的价值溢价是否存在一月效应现象,检验大盘股、小盘股价值溢价在1月和非1月是否不同,并采用CAPM模型检验价值溢价的一月效应。实证结果发现:1)采用账面市值比B/M划分成长-价值型股票组合,大盘股和小盘股股票都存在价值溢价;2)大盘股和小盘股的价值溢价在1月与非1月存在不同的模式——大盘股在1月存在显著的价值溢价,而小盘股的价值溢价主要在非1月的月份出现;3)CAPM模型能够解释我国股市从2007年1月至2011年12月期间的价值溢价。相对小盘股,大盘股的价值溢价的一月效应更为显著。