投资信息审计意见可以提高公司投资效率吗？——基于公司内部治理环境的调节效应

通过手工整理2013—2015年审计报告中的投资事项增量信息,研究审计意见中投资事项增量信息(投资信息审计意见)与公司投资效率之间的关系。结果表明,投资信息审计意见具有缓解投资过度的正面作用,但也具有加剧投资不足的负面作用;内部治理环境具有调节效应,当内部治理环境较好时(代理成本较低、管理层权力较小),投资信息审计意见的正面作用得到提升,负面作用受到抑制。进一步进行中介效应检验发现,内部监督在投资信息审计意见缓解投资过度的过程中起到了中介效应,表明促进股东加强内部监督是投资信息审计意见发挥作用的重要途径。研究结论表明审计意见中与投资事项相关的增量信息具有额外价值。     

Evolving Electric Utility Regulatory Policy

A bstract . Current electric utility pricing methods understate the marginal social casts of electricity. Electricity prices are set to cover the utility's average cost rather than the higher marginal social cost. This mispricing hides from consumers the true cost their consumption imposes on society and, thereby, encourages them to ignore efficient conservation opportunities. Additionally, the conservation market suffers from a number of imperfections such as barriers to the acquisition of information, high upfront capital costs and the lack of conservation equipment availability. The electricity and conservation multimarket equilibrium is not achieved. The result is that society overconsumes (excess demand) electricity, overinvests in electric generating plants and underinvests (excess supply) in conservation resources. The large, yet uncertain, level of foregone conservation investment offers new opportunities for regulators and electric utility managers to improve economic efficiency with regulatory and planning policies that appropriately encourage the cost effective use of conservation resources. In the absence of the most efficient policy, marginal social cost pricing, integrated resource planning (IRP) is being adopted as a potential second-best regulatory policy and utility resource planning framework to improve energy efficiency. IRP uses mathematical optimization methods to search among many alternate resource portfolios of electricity creating and saving technologies. These methods identify the mix that best meets society's needs with the least social cost , where the social external costs and benefits of generating plant and conservation, respectively, are considered. Such a goal requires the choice of a resource portfolio that optimizes a complex objective function. As a result, the solution offers a resource action plan for electric utilities that may be Pareto-improving.     

An analytical solution for the robust investment-reinsurance strategy with general utilities

In financial markets, different investors have different attitudes or preferences on the investment policies and reinsurance problems. For investors with different investment utilities, how to provide an optimal investment strategy is not only a very hard problem, but also an urgent problem to be solved. In this paper, we derive an analytical solution for the optimal allocation problem of investment-reinsurance with general-form utility function. The general utility function allows for varying relative risk aversion coefficient, which is an important feature in finance theory. However, obtaining analytical solutions for general utility function has been difficult or impossible. The solution presented in this paper is constructed through the homotopy analysis method (HAM) and written in the form of a Taylor series expansion. The fully nonlinear Hamilton–Jacobi–Bellman (HJB) equation is decomposed into an infinite series of linear PDEs, which can be solved analytically. In the end, three examples are presented to illustrate the convergence and accuracy of the method, it also demonstrates that different risk reference investors have different investment-reinsurance strategies.     

金融分权对企业投资效率的影响

本文基于金融分权的内涵,分析金融分权对企业投资效率的影响机制,并利用2003—2015年的上市公司数据,估算企业投资效率,实证检验金融分权对企业投资效率的影响。结果表明,金融分权降低了企业投资效率,并主要体现为投资过度;财政分权加剧了金融分权对企业投资效率的负效应。进一步研究发现,相对于国有企业而言,金融分权对非国有企业投资效率的负效应较小。中介效应检验表明,金融分权通过影响企业银行信贷和代理成本来降低企业投资效率。本文的政策含义是：理顺中央和地方财政关系,降低地方政府对金融资源的竞争性需求;完善地方政府官员考核机制,弱化地方政府参与金融竞争的激励;完善金融分权,既要求政府在保证金融市场稳定、不发生系统性风险的前提下应向市场逐步分权,又要求清晰界定中央政府与地方政府各自的监管权限,明确双方的救助责任。     

Rationalizing investors’ choices

Assuming that agents’ preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an expected utility maximizer with an explicitly derived concave non-decreasing utility function. This result enables us to infer the utility and risk aversion of agents from their investment choice in a non-parametric way. We relate the property of decreasing absolute risk aversion (DARA) to distributional properties of the terminal wealth and of the financial market. Specifically, we show that DARA is equivalent to a demand for a terminal wealth that has more spread than the opposite of the log pricing kernel at the investment horizon.     

母国规制演化视角下我国海外直接投资的趋势特征与未来展望

我国作为发展中大国,开放型规制政策是当前海外直接投资(ODI)可持续发展的制度支撑.自改革开放以来,中国海外直接投资(ODI)规制经历了三个演化阶段,规制范式已从限制型规制、便利型规制逐渐演化为鼓励型规制.本文对我国海外直接投资(ODI)发展阶段进行了客观判断,发现改革开放以来我国海外直接投资的演变特征与邓宁的投资发展...     

供给侧要素对京津冀工业能源强度的异质性影响分析

京津冀协同发展,工业节能减排是重点突破领域,供给侧改革是重要抓手.为探讨供给侧要素影响京津冀工业能源强度的区域异质性,利用2000—2017年京、津、冀三个区域的时间序列数据,分别构建工业能源强度与劳动生产率、投资强度、能源消费结构、科技创新、环境规制等供给侧要素间的岭回归分析模型,进而运用通径分析法揭示各要素间的内在...     

随机工资下DC型企业年金的最优资产配置策略——基于鞅方法求解

研究了当工资为一个随机过程时,缴费确定型(DC)企业年金如何对股票、国债以及银行存款进行最优资产配置的问题。假设企业年金的投资目标为最终财富的期望效用函数最大化,利用鞅方法给出了此优化问题的解析解。结果表明,企业年金的最优投资策略由三部分组成:Merton投机策略、工资的收入效应投机策略以及工资的随机效应对冲策略。     

论融资约束对税收优惠与企业研发投资关系的影响——基于创业板的实证分析

在减税降费政策不断深入的当下,创新驱动发展战略也稳步前行,且以扶持企业创新活动为主,而不同的融资约束程度对税收优惠与研发投资关系的影响存在差异。本文选取了我国创业板公司2014-2019年的相关数据,实证检验税收优惠与企业研发投资的关系,并引入融资约束作为调节变量,检验其对二者关系影响的异质性。结果表明:税收优惠对企业研发投资的激励作用是显著的;而融资约束具有调节作用,无论是从内源融资约束角度还是从债务融资约束角度来看,都显示融资约束程度较小时,这种激励作用更显著。本文充实了税收优惠与研发投资关系研究的相关理论,并且引入融资约束变量,丰富了其调节效应的研究。     

Investeren en onzekerheid

Summary Investment and uncertainty
After a few introductory remarks about the necessity of uniform definitions about plan horizon, returns, expenses, interest factor ett. for all investment alternatives and the necessity of an also uniform way of prediction, several models on investment analysis which are known from literature are briefly discussed. For simplicity there is only one decision variable (i.e. capacity); the variables influencing it are called exogeneous variables. These exogeneous variables may be deterministic and then one has to maximize the sum of the discounted cash flows from each project where different levels of investment into a project are supposed to exclude each other. The maximization may be subject to restrictions or not. If the exogeneous variables are stochastic one has to maximize the expected utility, mostly defined by the expected value and the variance of the discounted cash flows. The way to carry this out is simulation. Also portfolio analysis may be used, but there are some objections against this method, which are discussed.     

Incomplete markets, ambiguity, and irreversible investment

The problem of irreversible investment with idiosyncratic risk is studied by interpreting market incompleteness as a source of ambiguity over the appropriate no-arbitrage discount factor. The maxmin utility over multiple priors framework is used to model and solve the irreversible investment problem. Multiple priors are modeled using the notion of κ‐ignorance. This set-up is used to analyze finitely lived options. For infinitely lived options the notion of constant κ‐ignorance is introduced. For these sets of density generators the corresponding optimal stopping problem is solved for general (in-)finite horizon optimal stopping problems driven by geometric Brownian motion. It is argued that an increase in the set of priors delays investment, whereas an increase in the degree of market completeness can have a non-monotonic effect on investment.     

DOES INVESTOR PROTECTION INCREASE FOREIGN DIRECT INVESTMENT? A META‐ANALYSIS

We undertake a meta‐analysis of the effects of international investment agreements for the protection of foreign investors on foreign direct investment using 2107 estimates drawn from 74 studies. Our meta‐analysis finds robust evidence that effect of international investment agreements is so small as to be considered zero.  However, our results do not rule out the possibility that the effect of these agreements is, in fact, positive and that current research methods are insufficiently powerful or precise to identify the underlying genuine effect. FDI from developed countries appears to be more responsive to the existence of investment protection, and there is evidence of publication–selection bias in favour of studies that find a positive effect for investor protection.     

我国城市基础设施外资利用的政策建议

文章论述了我国城市基础设施建设中外资利用现状及存在问题 ,提出了相关的政策建议。     

退休计划中养老年金购买决策的建模与分析

随着人类寿命的不断延长,社会个体面临越来越大的长寿风险,养老年金是规避长寿风险的有效工具。本文讨论个体退休计划中有关养老年金购买的重要决策问题,构建了一个能规避长寿风险的多期消费与投资决策模型框架,该框架把最优年金购买决策和传统的消费与投资选择问题有机地结合起来,以求达到规避长寿风险并获得消费和遗产的最大效用的双重目的。本文最后展示了特定参数设置下的计算结果以说明特定的社会个体应该如何构建能规避长寿风险的消费和投资策略,并分析了寿命的不确定性等因素对个体年金计划的影响。     

The Effect of Incentive regulation on Infrastructure Modernization: Local Exchange Companies' Deployment of Digital Technology

This study examines the investment patterns of all large local exchange telephone companies in the United States over time. It identifies how different regulatoy environments have influenced the recent historical pattern of investment in modern infrastructure equipment. It focuses exclusively on the postdivestiture experience of local telephone exchange companies (LECs). It examines the growth of fiber-optic deployment and of complementary equipment associated with the modernization of today's information infrastructure. The study estimates the influence of different regulatory structures on infrastructure deployment by LECs. The study is unique in that if relates individual LEC investment patterns to LEC-specific regulatory, demographic, and economic characteristics. Thus, it isolates the contribution of state regulatory policies from that of other demographic and economic factors in the determination of infrastructure deployment at the state LEC rather than at the corporate level. Its main findings are as follows: First, price regulation (and, in particular, price caps) is a more potent regulatory mechanism than the standard earnings sharing scheme. Second, when associated with an earnings sharing scheme, price regulation is less effective in triggering infrastructure deployment than when it is implemented by itself. These results raise questions about the effectiveness of a popular regulatory instrument-earnings sharing schemes-and highlight the effectiveness of generic price-cap regulation. These results have implications for the design of regulatory policy at both the state and federal levels. In particular, given the importance currently being placed on the development of the information superhighway, regulatory emphasis should be focused more on price regulation than on regulating profits.     

公用事业上市公司盈利能力与资本结构的实证分析

近年来,国家逐渐放松对公用事业的管制,一改以往国家直接投资、建设、经营的模式,开始鼓励民间投资,使我国公用事业的产业环境发生了巨大变化,进而对其融资策略及资本结构决策行为产生影响。企业的资本结构与其盈利能力之间有什么关系?以2006年深沪两市公用事业上市公司为样本,选取了影响企业盈利能力的主要指标,利用主成分法对其进行综合评价,并与影响企业资本结构的主要指标资产负债率进行相关分析与回归分析,试图寻求公用事业企业资本结构的最优解,为我国公用事业企业资本结构的优化提出建议。     

Assessing the impact of fiscal transparency on FDI inflows

This paper analyzes the role of fiscal transparency as a determinant of foreign direct investment (FDI) attractiveness. It proposes an empirical test based on a panel regression analysis on data from 72 countries in the 2006–2015 time span. The evidence supports the idea that countries characterized by higher levels of budget openness attract more FDI inflows. In more detail, a higher degree of transparency during the phase of budget execution is associated with increases of FDI inflows, even when the sample is restricted to non-OECD countries and low and lower-middle-income countries. The positive effect is robust to several different specifications and is found to be additional to the one of general government transparency. Moreover, we also show that the role played by fiscal transparency in attracting FDI is independent of other close institutional determinants like control of corruption and regulatory quality.     

Behavior patterns of investment strategies under Roy’s safety-first principle

The safety-first principle is a natural motivational factor in decision making, and is closely related to certain popular heuristics such as satisficing. We provide a systematic analysis of optimal portfolio choice under Roy’s safety-first principle by examining and comparing the behavior patterns of three popular investment strategies: the optimal constant-rebalanced portfolio, dynamic-rebalanced portfolio and buy-and-hold strategies. Our results indicate the importance of a match between the investment strategy, the investment goal, and the investment horizon. We also develop a geometric approach to investigate the relationships among the safety-first, expected utility, and mean-variance models and offer an explanation for the long-standing debate concerning different patterns of time-diversification effects.     

施工现场造价管理技术分析

在项目工程施工中,做好施工现场造价管理工作,往往能使建筑单位的投资成本发挥最大化效用,或能有效降低建设单位的投资成本。在施工现场要严格实行价格签证管理制度,确保工程造价的确定合理真实。本文通过对施工现场造价管理技术进行粗浅的分析,并发表一些浅见,希望能对企业经济效益的提高有所帮助。     

Does diversification promote systemic risk?

We measure systemic risk when faced with simulated shocks through the systemic model of banking originated losses. The formation mechanism of systemic risk is explored from the perspective of investment diversification and asset similarity. The results indicate that contagion risks formed by the over similarity of investment assets are the main cause of systemic risk. The similarity generally promotes contagion risks, however, it shows a double-faced effect for state-owned commercial banks that disperse shocks from counterparties through their too-big-to-fail advantages. The similarity is determined by diversification, which initially promotes similarity and disperses it after a threshold. The diversification acts on the contagion process of systemic risk by the mediation of the similarity. Therefore, diversification generally has a nonlinear impact on systemic risk. The results provide regulatory implications for the systemic stability of the banking system.