Inference for large financial systems

We treat the parameter estimation problem for mean‐field models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a security. We develop an asymptotic inference approach that addresses the scale and complexity of such systems. Harnessing the weak convergence results developed for mean‐field financial systems in the literature, we construct an approximate likelihood for large systems. The approximate likelihood has a conditionally Gaussian structure, enabling us to design an efficient numerical method for its evaluation. We provide a representation of the corresponding approximate estimator in terms of a weighted least‐squares estimator, and use it to analyze the large‐system and large‐sample behavior of the estimator. Numerical results for a mean‐field model of systemic financial risk highlight the efficiency and accuracy of our estimator.     

Antecedents of the propensity to learn management practices and their impacts on firm outcomes in emerging markets: A Bayesian Model Averaging approach

This article explores the factors that motivate firms to learn new management practices. The hypotheses are empirically tested using a representative sample of 3676 small, medium and large firms from four South Asian countries and across all main sectors of economic activity. Given that we know little about the antecedents of the propensity to learn management practices in emerging markets, the study employs Bayesian Model Averaging approach to overcome the potential issue of model uncertainty. The results reveal that market competition, resource allocation towards internal and external R&D, good quality mobile network coverage and the use of external certified financial auditors have all positive and significant effects on the propensity to learn management practices. The results also suggest that private intellectual property rights protection in the context of inefficient legal systems can deter firms from learning, perhaps in fear of legal ramifications. Finally, the study shows that firms with a higher propensity of learning management practices are more likely to become profitable while exhibiting higher levels of both potential and actual innovation.     

审计质量、产权性质对上市公司投资效率的影响研究

审计质量作为第三方会计师事务所为公司提供的服务,可以独立于公司之外对上市公司投资活动进行监督。根据产权理论,产权性质不同的经济组织从事的经济活动不同,审计质量对不同产权性质的上市公司投资效率的影响也不相同。本文以2014—2018年沪深两市上市公司作为样本,实证检验了审计质量、产权性质与公司投资效率间的关系。研究发现,审计质量与上市公司投资过度显著负相关,与投资不足负相关但作用并不明显;在国有上市公司中审计质量对投资过度行为的抑制作用更明显,在非国有上市公司中审计质量可以在一定程度上防止投资不足行为的发生但作用并不显著。研究结论有利于启示各不同产权性质公司的利益相关方,客观认识审计师的作用功能及其局限性,有针对性、有效率地利用好审计服务,改善公司投资效率。     

A decision support model for buying battery electric vehicles considering consumer learning and psychological behavior

Developments in battery electric vehicles (BEVs) have received more and more attentions in the last decades due to alleviating carbon emissions and energy crisis. Consequently, how to rank alternative BEVs to assist consumers make better purchasing decisions is a worthy research study. However, there are still some defects in the existing studies for ranking of BEVs: 1) the evaluation index system of BEVs is not comprehensive; 2) the determination of criteria weights cannot be well applied to the actual purchase scenarios; and 3) the psychological behavior of consumers is ignored. To address those shortcomings, this paper proposes a decision support model to assist with consumers to buy BEVs. First, a systematic evaluation criteria system of BEVs including quantitative and qualitative indicators from parameter configurations and online reviews is constructed. Then, a weight algorithm considering consumer learning is proposed to determine the criteria weights. Furthermore, a decision support process considering consumers' regret avoidance behavior is proposed. Finally, an actual BEV purchase case is given to illustrate the practicability of the decision support model. This can be seen in case studies the proposed support model can be well applied to consumers with different regret avoidance behaviours.     

A quantitative study of financing efficiency of low‐carbon companies: A three‐stage data envelopment analysis

This study set out to evaluate the financing efficiency of low‐carbon companies. Applying a three‐stage data envelopment analysis with the data from 85 listed companies in China's low‐carbon industries over the period 2011 to 2017, this study has found that the overall financing efficiency of low‐carbon companies was relatively high, and the pure technical efficiency was quite steady over the period. The overall financing efficiency of these low‐carbon companies on average tended to change with the scale efficiency. This study has also shown that the scale efficiency was the main constraint influencing the financing efficiency of low‐carbon companies in China over the period. Our results are robust and have significant implications for policy makers and corporate managers.     

The Moderating Role of Strategic Integration in Performance Improvement Through Purchasing Social Responsibility in Thailand

This research aims to understand the performance of purchasing social responsibility (PSR) through moderating effect of purchasing strategic integration. The results show that PSR directly influences purchasing performance, while the relationship between PSR and purchasing performance is partially mediated by organizational learning. Moreover, strategic integration negatively moderates the relationship between PSR and purchasing performance. This study suggests that the adoption of PSR affects the operations of both buyers and suppliers in a supply chain that further encourage organizational learning and increases purchasing efficiency. The results also show that organizations may realize this effect of PSR practices but may focus on other purchasing practices, which affects purchasing performance. Copyright © 2018 ASAC. Published by John Wiley & Sons, Ltd.     

水足迹视角下三江平原地区农业水土资源配置效率研究

[目的]三江平原地区是我国重要的商品粮基地,其农业水土资源相对丰富但水土资源配置效率不佳,亟待改善。[方法]运用投入导向型数据包络分析(DEA)方法,对水足迹视角下的三江平原地区农业水土资源配置效率进行评价。[结果]2015年,三江平原地区农业水土资源配置综合有效的地区仅占5%,总体来看,农业水土资源配置的技术效率略好于规模效率;水土资源投入冗余状况分析表明,友谊县、虎林市、宝清县、汤原县、富锦市、同江市等8个县、市辖区的农业水土资源投入合理,其他地区都存在不同程度的冗余现象;分作物来看,水稻生产的水土资源配置技术效率高于其他三大旱作。[结论]完善农业基础设施配套工程,提高水土资源配置的技术效率,是提高其规模效率,进而实现综合有效的关键。     

What determines the efficiency of Australian mining companies?

We examine the firm‐specific determinants of technical efficiency in Australian mining companies using data envelopment analysis (DEA). To do so, we employ panel data sourced from individual mining companies listed on the Australian Securities Exchange (ASX) over the period 2010–2014. To ensure valid statistical inference in the presence of serial correlation between DEA efficiency scores, we apply Simar and Wilson's two‐stage bootstrap method. We find that ownership concentration, firm size, firm age, product portfolio, product diversification and growth status significantly contribute to efficiency gains. However, other firm‐specific factors, such as capacity utilisation, financial risk and overseas operations appear to have limited impact on the technical efficiency of mining firms.     

SHIRKING,STANDARDS AND THE PROBABILITY OF DETECTION

By relaxing the common efficiency wage assumption of exogenous shirking detection probabilities, we demonstrate how standards and efficiency wages are related. In a more general setting where the probability of detection depends upon the equilibrium effort level of non‐shirkers, we show that the uniformly positive (negative) supply‐side relationship between wages (unemployment insurance) and effort is no longer guaranteed. Profit maximization on the part of the firm, however, ensures that effort will depend positively (negatively) on wages (unemployment insurance) in equilibrium.