"省地宜居型"住宅--城市人居环境建设的优选模式

通过对上海近期建设的分布于不同区位的不同模式住宅区的调查,分析了近年上海住宅区建设的趋势和存在的问题,并结合国外住宅发展经验,以"省地宜居型"住宅为目标,提出了具体建议.     

Locally minimum variance unbiased estimator in a discontinuous density function

The exact forms of the locally minimum variance unbiased estimators and their variances are given in the case of a discontinuous density function.     

A logistic regression point of view toward loss given default distribution estimation

We propose a new procedure to estimate the loss given default (LGD) distribution. Owing to the complicated shape of the LGD distribution, using a smooth density function as a driver to estimate it may result in a decline in model fit. To overcome this problem, we first apply the logistic regression to estimate the LGD cumulative distribution function. Then, we convert the result into the LGD distribution estimate. To implement the newly proposed estimation procedure, we collect a sample of 5269 defaulted debts from Moody’s Default and Recovery Database. A performance study is performed using 2000 pairs of in-sample and out-of-sample data-sets with different sizes that are randomly selected from the entire sample. Our results show that the newly proposed procedure has better and more robust performance than its alternatives, in the sense of yielding more accurate in-sample and out-of-sample LGD distribution estimates. Thus, it is useful for studying the LGD distribution.     

Recovering the real-world density and liquidity premia from option data

In this paper, we develop a methodology for simultaneous recovery of the real-world probability density and liquidity premia from observed S&P 500 index option prices. Assuming the existence of a numéraire portfolio for the US equity market, fair prices of derivatives under the benchmark approach can be obtained directly under the real-world measure. Under this modelling framework, there exists a direct link between observed call option prices on the index and the real-world density for the underlying index. We use a novel method for the estimation of option-implied volatility surfaces of high quality, which enables the subsequent analysis. We show that the real-world density that we recover is consistent with the observed realized dynamics of the underlying index. This admits the identification of liquidity premia embedded in option price data. We identify and estimate two separate liquidity premia embedded in S&P 500 index options that are consistent with previous findings in the literature.     

Near and dear? The role of location in CSR engagement

Research summary : Building on economic geography and institutional theory, we develop and test theory relating geographic variables to the strength of corporate social responsibility (CSR) engagement and the cost of equity capital. For a large sample of U.S. firms over the period 1998–2009, we find strong and robust evidence that firms located in areas characterized by high levels of local CSR density score higher in CSR engagement. In addition, firms located close to major cities and financial centers exhibit higher CSR engagement compared to firms located in more remote areas. Moreover, the effect of CSR engagement on reducing equity financing costs is even greater for firms in high CSR density areas than for firms in low CSR density areas. Managerial summary : Does the location of CSR engagement by firms affect the strength of CSR engagement by their neighbors? Does the geography of engagement have an impact on financial performance? Our findings show that a firm's CSR engagement increases in areas where there is dense CSR engagement and when it is located near large cities. In these areas, norms, values, and knowledge related to CSR are transmitted to firms through face‐to‐face meetings and frequent social interactions with groups such as peers, labor unions, news media, universities, and community organizations, which tend to be concentrated in large cities. Our findings further highlight that CSR engagement reduces equity financing costs for firms in areas where CSR is widely practiced. Copyright © 2015 John Wiley & Sons, Ltd.     

西南地区金融发展水平评价与比较研究

近年来,西南地区经济快速发展,金融业在经济发展中的地位也日益提升。从社会融资规模、金融业增加值占GDP比重、金融市场发展等方面分析西南地区金融发展态势,并从金融规模、金融结构和金融效率三个维度构建金融发展水平评价指标体系,采用因子分析法对2007—2015年西南六省区市金融发展水平进行综合评价和比较分析,结果表明：西南地区金融发展水平由金融规模相对重要向金融结构和金融效率相对重要变化,金融发展开始从重视规模扩张的粗放型增长模式向注重效率提升的集约式发展模式转变;西南地区区域内金融发展不均衡、差异明显,金融发展水平受制于经济基础条件。应建立金融与经济协调发展机制,注重金融效率的提高,加强区域金融发展的稳健性。     

Differences and derivatives in kernel estimation

Estimators of derivatives of a density function based on differences of the empirical distribution function (Maltz 1974) are identified as derivatives of kernel density estimators using particular kernel functions. Properties of this family of kernels are investigated.     

Bayesian inference in cointegrated systems

In this paper I deal with Bayesian methods for conducting inference on important features of (potentially) cointegrated VAR models involving I(1) variables. Firstly, (informal) inference is made on the cointegrating rank of the system. Secondly, posterior analysis is used to verify the validity of over-identifying restrictions on the cointegration parameters. Thirdly, posterior distributions are obtained for impulse response functions and predictive densities at different horizons. The relevant posterior distributions are obtained by means of Monte Carlo integration. The analysis is based on the use of simple weakly informative priors. Two applications on simulated data and on the Danish money demand data are presented.     

Sectoral Productivity,Density and Agglomeration in the Wider Europe

Abstract

We then test this model using panel data for five sectors on regional-level data for 27 EU Member States. Our results for the aggregate economy confirm previous estimates. For our full sample of countries the sectoral-level results also indicate significant agglomeration effects. Considering differences in the extent of agglomeration effects between new and old EU Member States, however, leads to the conclusion that agglomeration effects tend to be stronger at both the aggregate and the sectoral level for new Member States.

Productivité sectorielle, densité et agglomération dans l'Europe élargie

RÉSUMÉ?Nous testons ensuite ce modèle en utilisant des données de panel pour cinq secteurs à l'échelon régional dans 27 états membres de l'UE. Les résultats que nous obtenons pour l'économie dans son ensemble confirment les estimations précédent. Pour notre échantillon complet de pays, les résultats au niveau sectoriel font état d'importants effets d'agglomération. Si, toutefois, l'on tient compte des différences quant à l'étendue des effets d'agglomération entre nouveaux et anciens états membres de l'UE, on en conclut que les effets d'agglomération ont tendance à être plus prononcés à l'échelon global et à l'échelon sectoriel chez les nouveaux états membres.

Productividad sectoral, densidad y aglomeración en la Europa más amplia

RÉSUMÉN?A continuación, ensayamos este modelo utilizando datos de panel para cinco sectores aplicables a datos de nivel regional sobre 27 estados miembros de la UE. Nuestros resultados en relación con la economía agregada confirman las estimaciones anterior. Con respecto a nuestra muestra completa de países, los resultados de nivel sectoral también indican efectos significativos de la aglomeración. No obstante, la consideración de diferencias en la extensión de los efectos de la aglomeración entre nuevos y antiguos estados miembros de la UE, lleva a la conclusión de que los efectos de la aglomeración tienden a ser más pronunciados en los nuevos estados miembros, tanto a nivel agregado como sectoral.

     

浅析上市公司消耗性林木资产的会计信息披露

消耗性林木资产是林业经营主体的重要资产,消耗性林木资产的会计信息披露对于提高会计信息的质量以及促进资本市场的持续健康发展具有重要的意义。文章在阐述了会计信息披露相关理论的基础上,重点分析了2010年中国上市公司消耗性林木资产信息披露中存在的主要问题,即缺乏对经营风险的必要提示、有关郁闭度方面的信息披露不充分、成本结转方法披露过于随意、公允价值的披露主观性强等,并有针对性地提出了相应的完善建议,即应在完善消耗性林木资产表内信息披露的同时,强化会计报表附注和财务情况说明书的披露。