期权的应用与房地产项目投融资探析

房地产项目投资具有较大风险和不确定性,运用传统投资评价方法不能挖掘项目的不确定性所带来的价值。文章引入实物期权理论,并通过净现值法和实物期权法对房地产投资决策案例进行对比分析,得出在较高不确定性环境下,实物期权理论能够挖掘项目潜在的价值,更加符合经济活动的要求。     

房地产投资与经济增长效率的文献综述研究

房地产业作为国民经济的基础产业和支柱产业,对我国的经济发展起着举足轻重的作用。但近年来出现不少关于房地产投资过度以及存在泡沫的言论,如何从我国目前投资体制以及政策引导角度分析房地产投资效率具有重大意义。本文整理和介绍了经济增长与投资效率的文献及房地产投资与经济增长关系的文献,尽量准确地介绍这些研究方法并相应作出分析和评述,为后面进一步深入理论和实证研究提供帮助。     

Efficiency Measurement With Unbalanced Panel Data: Evidence from Tunisian Textile,Clothing and Leather Industries

This paper is concerned with the estimation of stochastic frontier production functions with unbalanced panel data when unobservable firm efficiency levels are related to explanatory variables. We use the weighted-means Instrumental Variables method acknowledged to R. Gardner (1998) which is a modification of the Hausman-Taylor (1981) procedure adapted for unbalanced panel data. The estimation method is used to examine technical efficiency in Tunisian textile, clothing and leather (TCL) industries during the period 1983–1994. Further, we assume a Translog production frontier where input uses are expressed in efficiency units and adjusted for the age of capital and types of labor. Firm-specific time-invariant technical efficiency is obtained using Schmidt and Sickles (1984) approach. The results suggest that the Instrumental Variables method produces more accurate estimates of the unknown firm level technical efficency. Mean efficency scores resulting from the MHT method is of 66.5%.     

基于实物期权的自主创新投资决策及其组合管理

不确定性环境下投资决策的实物期权方法（Real Options)已被广泛应用于项目的价值评估与投资决策。企业的柔性决策等方面。本文应用实物期权方法系统分析了垄断情形下企业的自主创新投资策略与决策规律，在此基础上，阐述了企业的自主创新项目的组合管理方法。     

Research And Development Productivity And Spillovers: Empirical Evidence At The Firm Level

Abstract.  A variety of methods have been used to investigate the empirical relationship between research and development (R&D) spending and the productivity of firms. The most widely employed frameworks are the production function and the associated productivity framework. In these settings, productivity growth is related to expenditures on R&D, and an attempt is made to estimate statistically the part of productivity growth that can be attributed to R&D activities. This article surveys the expansive body of empirical literature on this subject and finds a large and significant impact of R&D on firm performance on average. However, the estimated returns vary considerably between the different studies due to differences across data samples and econometric models, as well as methodological and conceptual issues. A meta-analysis on the studies surveyed reveals that the estimated rates of return do not significantly differ between countries, whereas the estimated elasticities do. Furthermore, the estimated elasticities are significantly higher in the 1980s and consistently higher in the 1990s compared with the 1970s. Hence, contrary to a widely held belief, we find no convincing evidence of an exhaustion of R&D opportunities in the last two decades.     

Input- and Output-Oriented Technical Efficiency of Ukrainian Collective Farms, 1989–1992: Bayesian Analysis of a Stochastic Production Frontier Model

We propose estimation of a stochastic production frontier model within a Bayesian framework to obtain the posterior distribution of single-input-oriented technical efficiency at the firm level. All computations are carried out using Markov chain Monte Carlo methods. The approach is illustrated by applying it to production data obtained from a survey of Ukrainian collective farms. We show that looking at the changes in single-input-oriented technical efficiency in addition to the changes in output-oriented technical efficiency improves the understanding of the dynamics of technical efficiency over the first years of transition in the former Soviet Union.     

Regulatory Contracts and Cost Efficiency: Stochastic Frontier Evidence from the Italian Local Public Transport

The main objective of this paper is to investigate the way subsidization mechanisms affect the cost efficiency of public transit systems, taking into account the role played by the environmental characteristics of each network. A cost frontier model is estimated for a seven-year panel of 44 Italian transit companies run under two different regulatory schemes (cost-plus or fixed-price), using the approach proposed by Kumbhakar et al. (1991), Huang and Liu (1994) and Battese and Coelli (1995). The main evidence is that, given network characteristics, transit operators with high-powered incentive contracts (fixed-price subsidies) exhibit lower distortions from the minimum costs. Environmental conditions (network speed levels) also have a significant impact on inefficiency differentials and influence the efficacy of incentive regulation. Overall, these results highlight a scope for transport policy to increase X-efficiency. Furthermore, they stress the importance of incentive theory and modern regulatory economics for the production analysis of regulated utilities.     

A Decomposition of Total Factor Productivity Growth in Korean Manufacturing Industries: A Stochastic Frontier Approach

This paper applies a stochastic frontier production model to Korean manufacturing industries, to decompose the sources of total factor productivity (TFP) growth into technical progress, changes in technical efficiency, changes in allocative efficiency, and scale effects. Empirical results based on data from 1980–1994 show that productivity growth was driven mainly by technical progress, that changes in technical efficiency had a significant positive effect, and that allocative efficiency had a negative effect. This study suggests that specific guidelines are required to promote productivity in each industry, and provides additional insight into understanding the recent debate on TFP growth in Korean manufacturing.     

Productive Efficiency of the Swine Industry in Hawaii: Stochastic Frontier vs. Data Envelopment Analysis

Improving productive efficiency is an increasingly important determinant of the future of the swine industry in Hawaii. This paper examines the productive efficiency of a sample of swine producers in Hawaii by estimating a stochastic frontier production function and the constant returns to scale (CRS) and variable returns to scale (VRS) output-oriented DEA models. The technical efficiency estimates obtained from the two frontier techniques are compared. The scale properties are also examined under the two approaches. The industry's potential for increasing production through improved efficiency is also discussed.     

政府层级、内部控制与投资效率——来自国有上市公司的经验证据

选取我国沪深两市2009-2011年830家国有非金融类上市公司为样本,根据政府控制的层级将其划分为中央政府控制和地方政府控制两类,从内部控制要素角度,结合当前国有资产管理体制改革和国有资产布局调整等制度背景,分析内部控制质量对于投资效率的影响。研究发现:(1)内部控制质量提高整体上可以显著改善国有上市公司投资效率;(2)相对于地方政府控制的上市公司,中央政府控制上市公司改善效果更为显著;(3)将投资非效率区分为投资不足和投资过度两种情形,发现(1)、(2)依然稳健。     

Efficiency Gains and Cost Reductions from Individual Transferable Quotas: A Stochastic Cost Frontier for the Australian South East Fishery

In this paper efficiency gains and associated cost reductions from increases in traded quota are estimated with a stochastic cost frontier for the Australian South East Trawl Fishery (SETF). Estimation of this frontier also provides key information on the relative importance of input costs in the SETF, returns to scale, variations in costs as a result of trade in quota and the economic performance of each fishing vessel, year to year. Final estimations indicate that increases in the volume of quota traded have resulted in considerable efficiency gains and cost reductions in the SETF, ranging from 1.8 to 3.5 cents per kilogram for surveyed vessels for every 1% increase in the volume of quota traded, or 1–2.4% of total variable costs, with considerable gains also accruing to crew and skipper in the form of larger share payments. Mean vessel efficiency is relatively high in the SETF, estimated at over 90%, and increases further to 92% over the sample period with increased trades in quota.Jel Classification: Q22, Q28     

Efficiency of Regional Public Investment: An NPV-Based Spatial Econometric Approach

This paper develops a new methodology of spatial econometric modelling for regional public investment in local economies. The approach, based on the financial concept of net present value of cash flows, can be applied in the analysis of regional public investment with long-term financial inputs and outputs. With local public revenues related to spending in the model, one can observe economies of scale of investment with possible saturation effects and a marginal investment multiplier, explaining the extent to which public investment costs translate into public revenues. The main advantage of the proposed model is to behave counter-cyclically due to accumulation over the periods and to cover multi-period investments as well as postponed effects. This paper gives an example of public investment efficiency in Polish NUTS-5 municipalities regions.     

Nonparametric Efficiency Analysis under Price Uncertainty: A First-Order Stochastic Dominance Approach

This paper extends the nonparametric approach to efficiency analysis to deal with uncertainty of input-output prices. We generalize the notion of economic efficiency to derive necessary and sufficient first-order stochastic dominance (FSD) efficiency conditions. Interestingly, the FSD conditions include as limiting cases the traditional conditions for economic efficiency and technical efficiency. Furthermore, we propose empirical tests for these FSD conditions, which require minimal assumptions concerning the preferences of the decision-maker and the statistical distribution of the prices. From operational point of view, the FSD conditions can be tested empirically using standard mathematical programming techniques. An empirical application to the Dutch electricity distribution sector illustrates the approach.     

Functional Forms of Stochastic Frontier Production Functions and Models for Technical Inefficiency Effects: A Comparative Study for Wheat Farmers in Pakistan

This paper considers translog and Cobb-Douglas stochastic frontiers in which the technical inefficiency effects are defined by three different models. The models involved are the time-varying inefficiency model, proposed by Battese and Coelli (1992), the inefficiency effects model for panel data, proposed by Battese and Coelli (1995), and the non-neutral frontier model, proposed by Huang and Liu (1994). Technical change is also accounted for in the frontier models. Predicted technical efficiencies of the wheat farmers and estimates of the elasticities of wheat production with respect to the different inputs and the returns-to-scale parameter are compared under the different model specifications.     

A patent race in a real options setting: Investment strategy, valuation, CAPM beta, and return volatility

In this paper, we study financial properties of R&D intensive firms through a continuous-time real-options patent-race model. Numerical analysis in this study shows that intense competition drives a firm to invest more aggressively, which then pushes up its cost of capital and return volatility while introducing negative return correlation with its competitor. Furthermore, we find that a firm's position in competition has important impacts on its financial properties. For instance, a firm's cost of capital is a non-monotonic function of its relative position in the race. In addition, the relationship between cash flow uncertainty and investment can be negative when a firm is far ahead or far behind, or positive when firms are close in the race.     

Estimating Technological Change Using a Stochastic Frontier Production Function Framework: Evidence from U.S. Firm-Level Data

This paper presents a methodology for estimating an index of technological change using firm-level data in a stochastic frontier production function model that takes into account time-varying technical inefficiency. In contrast to the Solow divisia index approach, econometric estimation of the index with panel data allows the researcher to separate technical progress from the stochastic measurement error. Applying the econometric methodology to a panel of 908 publicly-traded U.S. firms from the COMPUSTAT database, we find evidence of a significant downturn in general technological change for the period, 1970– 1989, whereas the divisia index methodology applied to the same data shows stagnation. When the sample is divided into Manufacturing, Services, and Miscellaneous categories we find that estimates of technological change for the three groups display markedly different stochastic behavior and that the Services group is the source of the downturn.     

企业数字化、业绩波动性与投资效率

本文基于2014～2019年沪深两市上市公司数据,探究企业数字化如何影响投资效率.研究发现,企业数字化提升了投资效率,尤其抑制了过度投资.机制检验发现,业绩波动性在数字化与企业投资效率间起部分中介作用.进一步通过异质性检验发现,相比于国有企业、新兴产业以及经济政策不确定性较小的样本,在非国有企业、非新兴产业以及经济政策...     

DEA, DFA and SFA: A comparison

The nonparametric data envelopment analysis (DEA) model has become increasingly popular in the analysis of productive efficiency, and the number of empirical applications is now very large. Recent theoretical and mathematical research has also contributed to a deeper understanding of the seemingly simple but inherently complex DEA model. Less effort has, however, been directed toward comparisons between DEA and other competing efficiency analysis models. This paper undertakes a comparison of the DEA, the deterministic parametric (DFA), and the stochastic frontier (SFA) models. Efficiency comparisons across models in the above categories are done based on 15 Colombian cement plants observed during 1968–1988.     

房地产企业投资决策风险与可行性评估研究——以北京市某项目为例

影响房地产企业投资决策的风险因素很多,哪一种风险因素控制或处理不好,都会对整个房地产投资项目产生巨大的损失,本文以北京市某项目为例,运用市场调查法,指出该项目在投资决策中存在的主要风险,并就存在的风险提出有针对性的解决措施。     

基于随机前沿模型的中国生产性服务业技术效率测算及影响因素探讨

本文运用随机前沿生产函数模型,根据1993~2008年数据,对我国生产性服务业及细分行业技术效率的时间和区域特征以及影响因素展开深入分析。结果表明,生产性服务业技术效率水平较低,呈现出小幅波动特征;技术效率的区域差异主要表现在东部和中西部之间;专业化水平、规模经济和市场化水平是影响生产性服务业技术效率的重要因素。以上结论在细分行业之间的表现不尽相同。