现代职业经理人能力特征分析

现代企业处在一个变化迅速、竞争激烈的环境中，雇佣职业经理人来扮演公司经营者这一角色，是现代公司经营管理的一个重要发展趋势。职业经理人产生的历史背景及其发展历程，决定了职业经理人是企业雇员中的重要群体，其所应具备的能力特征主要有：以诚实信用为核心的能力素质，以卓越的管理才能为核心的专业素质以及以决策能力为核心的综合能力素质等。     

从对冲套利看可转债资产替换

在缺乏卖空机制的环境下，可转债相对价值的实现将主要来源于转债与股票之间的资产替换。尤其是在杠杆放大的资产替代策略下，可转债投资的盈利模式将出现根本性变化，股票价格的波动成为影响策略应用效果的最重要因素。本从对冲套利的角度，通过对等额和杠杆放大资产替换策略的模拟与分析，就资产替换策略的应用环境、杠杆选择与实证效果等问题进行了较为详尽的研究。     

Regulation and investment behaviour in the telecommunications sector: policies and patterns in US and Europe

This paper reports the results of the quantitative analysis of international experience of the relationship between infrastructure investment in the deployment of capacity that can carry large volumes of voice and data traffic and regulatory policy changes in the telecommunications sectors. It looks at the relationship between infrastructure investment for these infrastructure assets and the access pricing régimes for local exchange carriers in the United States and Europe. It then looks at the relationship between various aspects of regulatory and institutional policy changes in Europe and how they affect access prices.The paper finds that a lower access price promotes greater deployment of digital technology among US incumbent local exchange carriers (ILECs). Based on this finding, it suggests that it is in the ILECs interest to have access to their networks encouraged.The European data for interconnection are recent and far reaching conclusions are not feasible, but the findings, however, suggest that competition has worked by facilitating new entry through decreasing interconnection prices, although path dependencies, of existing and traditional concepts, in the mindsets of operators as well as regulators, may account for these findings.     

Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.     

发达国家金融结构演变的新趋势及其借鉴意义

本文使用全部私人市场资本化总量与全部私人信贷总量之比和股票市场资本化总量与存款货币银行信贷总量之比两大指标,来描述发达国家的金融结构;用金融发展总水平这一指标来描述发达国家金融发展的水平。无论从对23个样本国家时间序列数据的分析还是从结合金融发展的分析来看,发达国家金融结构演变都显示出了股票市场主导的金融市场融资比重增加和银行主导的金融中介融资比重下降的趋势。其中,少数发达国家出现了由中介为主体到由市场为主体逆转的趋势,和／或者出现了由银行为主导到由股票市场为主导逆转的趋势。作者还提出了这一新趋势对我国金融结构转变的借鉴意义。     

中部欠发达地区县域中小企业融资状况的思考

中部县域经济欠发达，农业基础牢固，工业相对薄弱。种种原因使得中小企业融资难问题日益加剧，这制约着企业的可持续发展。     

Valuation of vulnerable American options with correlated credit risk

This article evaluates vulnerable American options based on the two-point Geske and Johnson method. In accordance with the Martingale approach, we provide analytical pricing formulas for European and multi-exercisable options under risk-neutral measures. Employing Richardson’s extrapolation gets the values of vulnerable American options. To demonstrate the accuracy of our proposed method, we use numerical examples to compare the values of vulnerable American options from our proposed method with the benchmark values from the least-square Monte Carlo simulation method. We also perform sensitivity analyses for vulnerable American options and show how the prices of vulnerable American options vary with the correlation between the underlying assets and the option writer’s assets.      

The relationship between stock returns and volatility in international stock markets

This study examines the relationship between expected stock returns and volatility in the 12 largest international stock markets during January 1980 to December 2001. Consistent with most previous studies, we find a positive but insignificant relationship during the sample period for the majority of the markets based on parametric EGARCH-M models. However, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative relationship between expected returns and volatility in 6 out of the 12 markets. The results lend some support to the recent claim [Bekaert, G., Wu, G., 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1–42; Whitelaw, R., 2000. Stock market risk and return: an empirical equilibrium approach. Review of Financial Studies 13, 521–547] that stock market returns are negatively correlated with stock market volatility.     

关于无形资产评估中折现率确定方法的探讨

折现率的预测和确定是无形资产评估中的难点问题之一。由于折现率是影响评估结果准确度的重要参数,所以在当前对高质量资产评估结果的需求日益迫切的背景下,有必要再度探讨无形资产折现率确定方法的相关问题。本文提出应根据引起无形资产评估的具体情况来选择合理的折现率确定方法;同时也提出了无形资产折现率确定方法运用和发展的几点建议:科学性和合理性相结合、静态分析与动态分析相结合、因素分析与模型分析相结合。