基于数据包络(DEA)分析的京津冀地区环境绩效评估研究

提高资源环境绩效是区域生态环境治理的核心与关键。在构建环境绩效评估指标体系的基础上，运用数据包络分析模型（DEA）测度并分析2005-2015年京津冀地区静态环境绩效水平。利用Malmquist指数动态分析法将环境绩效分解为技术效率变化指数和技术进步指数，并探讨分解指标对环境绩效的相对贡献。结果显示：京津冀地区环境治理投入与产出水平均呈现逐年上升趋势；北京和天津的总体环境绩效水平要远高于河北，2005-2011年京津冀地区的环境绩效水平排序为北京、天津、河北,2012-2015年京津冀地区的环境绩效水平排序为天津、北京、河北（2013年除外）。河北省环境绩效水平较低的主要制约因素是技术进步缓慢与全要素生产率偏低。Malmquist指数呈现出一定的波性，这主要是由技术变化指标波动所致。最后，就如何提升京津冀地区环境绩效水平，提出相关对策建议。     

Effect of CEO power and board strength on bank performance in China

Given that a powerful CEO is more likely to overcome problems and control performance in a firm, this study first focuses on exploring whether CEO power positively affects certain measures of bank performance and which sources of CEO power have these positive impacts. Next, this study further analyzes whether the positive impact of CEO power on performance is negatively mediated by board strength. Our sample includes data on the three main types of Chinese banks for 2006 to –2016.Our results show that CEO structural power significantly improves a bank’s overall profitability, risk-taking ability and lending quality, CEO ownership power significantly raises a bank’s lending quality, and CEO expert power significantly increases a bank’s overall and shareholder profitability. As considering the endogeneity, CEO prestige power significantly improves a bank’s overall profitability. Next, we use the proportion of independent directors as our measure of board strength and find that a stronger board reduces the beneficial effects of CEO structural power on a bank’s lending quality, of CEO ownership power on shareholder profitability, and of CEO expert power on lending quality. There are similar harmful mediating effects when we use the proportion of foreign investors and board size as measures of board strength. Our results can help Chinese bank authorities develop policies to appropriately raise bank CEOs’ power and reduce board supervision of CEO power.     

Assessing self-selection and endogeneity issues in the relation between activity-based costing and performance

Studies investigating the relation between ABC adoption and performance are inconclusive and plagued with econometric problems. This study extends prior research to investigate the association between ABC adoption and four manufacturing plant performance measures (cycle-time improvement, quality improvement, cost improvement, and profitability) and to assess selection bias and the endogenous nature of their relationship. I use the Heckman (1979) model to assess sample selection bias and the Wooldridge (2002) 2SLS-IV approach, to investigate endogeneity. After controlling for sample selection bias and endogeneity, the coefficient of ABC under the Heckman method and ABC_fit under the 2SLS-IV method becomes significantly higher compared to the coefficient of ABC under the OLS method. In addition, both the inverse Mills ratio, under the Heckman model, and Hausman F-test, under the Wooldridge 2SLS approach, are positive and significant, confirming the presence of both sample selection bias and endogeneity. Overall, I find that controlling for sample selection bias and endogeneity is essential in properly assessing the significance of ABC-performance association.     

董事会断裂带与企业薪酬差距

高管与普通员工之间的薪酬差距不仅影响着企业的激励效率与企业价值,还关系到社会的公平与稳定。断裂带是Lau and Murnighan(1998)提出的假想的分割线概念,即可以将团队划分为多个小团体。以2005—2019年中国A股上市公司为样本,本文从董事会断裂带这一视角探索董事会中小团体的差异性对于薪酬差距的影响和后果。本文研究发现:(1)董事会断裂带的存在加剧了企业高管与普通员工之间的薪酬差距;(2)分解董事会断裂带的类型后,由深层特征形成的断裂带对于薪酬差距的影响高于由表层特征形成的断裂带;(3)区分行业竞争的程度后,公司所在行业的激烈竞争有助于缓解董事会断裂带造成的薪酬差距扩大;(4)从经济后果来看,董事会断裂带造成的薪酬差距对企业绩效具有显著的负向影响。本文的研究有助于深入理解企业薪酬差距形成的机制及其后果,同时对于完善我国董事会的监督机制也有一定的现实启发。     

Stochastic leader–follower DEA models for two-stage systems

Data envelopment analysis (DEA) is a non-parametric approach for measuring the relative efficiencies of peer decision making units (DMUs). In recent years, it has been widely used to evaluate two-stage systems under different organization mechanisms. This study modifies the conventional leader–follower DEA models for two-stage systems by considering the uncertainty of data. The dual deterministic linear models are first constructed from the stochastic CCR models under the assumption that all components of inputs, outputs, and intermediate products are related only with some basic stochastic factors, which follow continuous and symmetric distributions with nonnegative compact supports. The stochastic leader–follower DEA models are then developed for measuring the efficiencies of the two stages. The stochastic efficiency of the whole system can be uniquely decomposed into the product of the efficiencies of the two stages. Relationships between stochastic efficiencies from stochastic CCR and stochastic leader–follower DEA models are also discussed. An example of the commercial banks in China is considered using the proposed models under different risk levels.     

Dynastic Inequality Compared: Multigenerational Mobility in the United States,the United Kingdom,and Germany

Using harmonized household survey data, we analyze long‐run social mobility in the United States, the United Kingdom, and Germany, and test recent theories of multigenerational persistence of socioeconomic status. In this country comparison setting, we find evidence against a universal law of social mobility. Our results show that the long‐run persistence of socioeconomic status and the validity of a first‐order Markov chain in the intergenerational transmission of human capital is country‐specific. Furthermore, we find that the direct and independent effect of grandparents' social status on grandchildren's status tends to vary by gender and institutional context.     

Private equity characteristics and performance: An analysis of North American venture capital and buyout funds

The paper investigates the relationship between fund performance and fund characteristics of North American private equity (PE) funds, by analyzing the interactions of fund size, fund sequence, and past fund performance on traditional fund return measures. The empirical evidence is based on both linear and polynomial regressions, on a sample of 345 venture capital (VC) and 411 buyout (BO) funds with vintage year over the period 1995–2010. We document a concave relationship between fund size and performance, persistence in PE performance, as well as a convex relationship between fund sequence and performance. We suggest both the optimal fund size and the optimal fund sequence number. Economic implications for investors and general partners are discussed as well.     

Tales from tails: On the empirical distributions of forecasting errors and their implication to risk

When evaluating the performances of time series extrapolation methods, both researchers and practitioners typically focus on the average or median performance according to some specific error metric, such as the absolute error or the absolute percentage error. However, from a risk-assessment point of view, it is far more important to evaluate the distributions of such errors, and especially their tails. For instance, a lack of normality and symmetry in error distributions can have significant implications for decision making, such as in stock control. Moreover, frequently these distributions can only be constructed empirically, as they may be the result of a computationally-intensive non-parametric approach, such as an artificial neural network. This study proposes an approach for evaluating the empirical distributions of forecasting methods and uses it to assess eleven popular time series extrapolation approaches across two different datasets (M3 and ForeDeCk). The results highlight some very interesting tales from the tails.     

Volatility of volatility is (also) rough

Using high-frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets. The results confirm that the volatility of volatility is a rough process and it possesses the long memory property. We also show that the correlation between the volatility and the volatility of volatility is positive, consistent with observations in the volatility option market. Lastly, a robustness check using volatility futures confirms the findings.     

Patterns of poverty among elderly Americans: a latent class Markov model

This article studies poverty persistence and the role of social security programmes on poverty among elderly in the US. We use a Latent Markov model to disentangle unobserved heterogeneity and state dependence. Because of its dynamic nature, unobserved heterogeneity is modelled to vary over time. This allows to capture different latent states of poverty that change over time. Result indicates the existence of three unobserved types evolving over time according to their propensity to be poor. Moreover, a strong persistence in poverty especially for women, individuals living alone and ethnic minorities is found. Finally, the estimates indicate that giving social assistance tends to reduce poverty.