The multivariate Variance Gamma model: basket option pricing and calibration

In this paper, we propose a methodology for pricing basket options in the multivariate Variance Gamma model introduced in Luciano and Schoutens [Quant. Finance 6(5), 385–402]. The stock prices composing the basket are modelled by time-changed geometric Brownian motions with a common Gamma subordinator. Using the additivity property of comonotonic stop-loss premiums together with Gauss-Laguerre polynomials, we express the basket option price as a linear combination of Black & Scholes prices. Furthermore, our new basket option pricing formula enables us to calibrate the multivariate VG model in a fast way. As an illustration, we show that even in the constrained situation where the pairwise correlations between the Brownian motions are assumed to be equal, the multivariate VG model can closely match the observed Dow Jones index options.     

中国住房市场波动的影响因素研究——基于租金收益率的方差分解

基于资产定价的视角,本文通过将标准的动态戈登增长模型和传统的住房使用成本模型相结合,建立了一个关于住房市场租金收益率的动态住房使用成本模型。该模型将租金收益率分解为购房的预期资金成本、预期购房相对于租房的风险溢价和预期未来租金增长率三个部分的现值之和。进一步,本文将该模型应用于京沪广深四大城市的季度数据,并使用方差分解方法来考察国内住房市场动态波动的影响因素及其相对重要性。本文结果表明,资金成本变动在四大城市的住房市场波动中为最重要的影响因素,而租金在住房市场波动中虽然存在着一定的影响作用,但并不如资金成本显著。此外,本文还发现,不能直接观测得到的购房相对于租房的风险溢价也是影响国内住房市场的一个不可忽视的重要因素。值得注意的是,近年四大城市居民租房面临的风险相对于购房正日益上升。     

Variance swaps valuation under non-affine GARCH models and their diffusion limits

In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as the pricing kernel candidate. Following standard assumptions on time-varying GARCH parameters, we show that these quantities converge respectively to fair strikes of discretely and continuously sampled variance swaps that are constructed based on the weak diffusion limit of the underlying GARCH model. An empirical study which relies on a joint estimation using both historical returns and VIX data indicates that an asymmetric heavier tailed distribution is more appropriate for modelling the GARCH innovations. Finally, we provide several numerical exercises to support our theoretical convergence results in which we further investigate the effect of the quadratic variation approximation for the realized variance, as well as the impact of discrete versus continuous-time modelling of asset returns.     

Variance bounds on the permanent and transitory components of stochastic discount factors

In this paper, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. Exactly solved eigenfunction problems are then used to study the empirical attributes of asset pricing models that incorporate long-run risk, external habit persistence, and rare disasters. Specific quantitative implications are developed for the variance of the permanent and the transitory components, the return behavior of the long-term bond, and the comovement between the transitory and the permanent components of SDFs.     

Nonlinear Models in Corporate Finance Research: Review,Critique, and Extensions

Since the work of Morck, Shleifer and Vishny (1988), nonlinear model specification has gained more attention in corporate finance research. In this paper, we provide a detailed review of the previous studies that have examined nonlinear relations in corporate finance. We review the theory and evidence in these studies and discuss the advantages and disadvantages of the various methodologies used to detect nonlinearity. We also suggest two possible methodological extensions, which we apply in the empirical analysis of R&D investment and firm value.     

Harmful events and misconducts in financial organizations: Human biases and root causes

We conduct a large scope field investigation of 19 major incidents in 19 large European insurance and banking institutions, based on 116 post-event interviews with managers and top executives over a two-year period. We demonstrate the power of the Root Cause Analysis (RCA) method for detecting human biases documented by the behavioral finance, the organizational behavior and occupational psychology literatures. These biases constitute key operational risk factors these organizations. We find that organizational biases (such as a breach of psychological contract) take center stage as root causes of incidents in these organizations. We also find that banks are more exposed to emotional biases (fear and greed) and insurance companies more subjected to cognitive conservatism as root cause biases. This research has direct implications regarding how banks and insurance companies may cope with regulations that put a greater emphasis on measuring and controlling operational risk and specifically misconduct risk.     

Information and the Cost of Capital in a Mean‐Variance Efficient Market

Before information ? arrives, market observers must be uncertain whether the stock price conditioned on ? will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the mean‐variance CAPM that information that leaves the future value of a firm more certain, in the sense that its perceived covariance with the market is reduced towards zero, can lead to a higher expected return on that asset. A further result is that it is theoretically possible that the required return on the stock will necessarily fall after observing signal ?, or (in other circumstances) that it will necessarily rise. In general, information that allows better discrimination between firms leads some firms to have higher costs of capital and other firms to have lower costs of capital. Less obviously, better discrimination between firms can induce a higher average cost of capital across the market.     

论环境侵权责任中的恢复原状费用

我国法将传统大陆民法中的“恢复原状”作了技术性限缩,未将恢复原状费用囊括在内,且常将其与金钱赔偿混为一谈。虽然在多数情况下,环境侵权中的恢复原状费用和金钱赔偿在适用效果上均指向金额的计算,但两者性质相去甚远,恢复原状的金钱给付源自自身的行为给付色彩,而这点常被忽略。依据损害赔偿规则,费用支付完毕在某种程度上意味着责任终结,如将恢复费用定性为金钱赔偿的话,费用支付完毕即风险转移完毕,这与环境损害责任所欲达到的救济理念多有抵牾。鉴于此,应在明晰恢复原状费用请求权性质,且与金钱赔偿作严格区分的基础上,重新对恢复原状费用进行界定。具体可参照《民法典》第1235条对请求范围进行再确认,将虚拟治理成本法作为费用计算的标准。最后,从可否自由处分、追偿问题等方面补足适用之疑虑。     

不动产投资信托(REITs)监管成本与制度完善 ——基于欧美制度比较的视角

文章采用收益成本分析(Benefit-Cost Analysis,简称BCA)框架,比较了美、欧和中国的REITs制度及其监管成本.在收益成本数据缺乏的情况下,采用概念性BCA的方法,从直接成本与间接成本两个维度,对三种制度的监管成本进行了比较.本文的研究发现,我国即将试点的基础设施REITs,由于结构复杂、代理链长,容易导致过高的监管成本.本文对REITs监管制度的比较研究,一方面是BCA方法在运用领域上的一个拓展,有助于提高我国监管部门对BCA方法的认识;另一方面,可以为我国基础设施REITs制度的完善提供参考.建议在监管制度建立和改革时引入事前BCA评估的制度,以提高我国监管制度的有效性和监管效率.     

融资成本、融资替代与中国典当业的盈利波动——经验证据及理论解释

本文从企业融资成本的角度对金融危机后期以来中国典当业整体盈利状况的变化提供了可能的解释。利用实地调研数据和跨国文献资料,我们发现中国典当业具有迥异于其他经济体的特点,即中国的典当需求更多地来自于中小企业的投资需求,而非普通消费者的消费需求。基于此发现,我们借助一个企业融资行为模型,提出了对典当业盈利变化的一个解释:金融危机后的经济刺激政策从各方面降低了企业通过银行借贷的成本,而与此同时典当成本却具有刚性;作为合理的反应,企业自然偏向银行借贷而非典当融资;典当业因此大量失去企业的融资需求。而经济紧缩政策的作用恰好相反。宏观政策导向的变化和典当行业的盈利波动之间的关系印证了上述假说。     

Cost and Profit Efficiency of the Turkish Banking Industry: An Empirical Investigation

By employing a stochastic frontier approach, we examine the effect of bank size, corporate control, and governance, as well as ownership, on the cost (input) and alternative profit (input-output) efficiencies of Turkish banks. We find that the average profit efficiency is 84% for Turkish banks. The oligopolistic nature of the Turkish banking industry has contributed to less than optimal competition in the loan market and deposit markets. Our results indicate that the degree of linkage between cost and profit efficiency is significantly low. This suggests that high profit efficiency does not require greater cost efficiency in Turkey, and that cost in efficient banks can continue to survive in this imperfect market, where profit opportunities are abundant for all types and sizes of banks. Accordingly, our results indicate that the different sizes of banks have capitalized these opportunities equivalently.     

A Case Study of a Variance Analysis Framework for Managing Distribution Costs*

Managing the distribution function as part of an overall supply‐chain management strategy has become increasingly important given rising fuel costs in recent years. This paper presents a comprehensive variance analysis framework developed by supply‐chain managers at Catalyst Paper Corporation as a tool for reporting and controlling distribution costs. The model decomposes the overall static‐budget variance into four primary variance categories: volume, customer mix, distribution mix, and carrier charges. The framework addresses key limitations in the coverage of variance analysis contained in many management accounting textbooks. Specifically, Catalyst's framework incorporates: (a) mix variance calculations where there is more than one mix factor within a single cost element; (b) the impact of unplanned and unrealized activities; and (c) multiple nested mix variance calculations. Although developed in the context of distribution costs, the framework can be applied to the analysis of other manufacturing and non‐manufacturing costs where multiple mix factors exist. L'importance de la gestion de la fonction de distribution dans le cadre de la stratégie globale de gestion de la chaîne d'approvisionnement s'est accrue avec la hausse des coûts du carburant des dernières années. Les auteurs présentent un cadre complet d'analyse des écarts, élaboré par les gestionnaires de la chaîne d'approvisionnement chez Catalyst Paper Corporation aux fins de la présentation et du contrôle des coûts de distribution. Le modèle décompose l'écart global du budget fixe en quatre grandes catégories d'écarts: les écarts sur volume, les écarts sur composition de la clientèle, les écarts sur composition de la distribution et les écarts sur frais de transport. Le cadre résout les principales limites de la couverture de l'analyse des écarts évoquées dans de nombreux manuels de comptabilité de management. Le cadre d'analyse de Catalyst Paper Corporation englobe: a) les calculs de l'écart sur composition lorsqu'il existe plus d'un facteur de composition dans un même élément de coût; b) l'incidence des activités non planifiées et non réalisées; et c) les calculs de l'écart sur composition à multiples critères de classification. Bien qu'il ait été élaboré dans le contexte des coûts de distribution, ce cadre peut être appliqué à l'analyse d'autres coûts liés ou non à la fabrication, lorsque les facteurs de composition sont multiples.     

An Empirical Investigation of Goodwill in Austria: Evidence on Management Change and Cost of Capital

This study assesses whether new chief executive officers (CEOs) or CEOs in their early tenure carry out goodwill impairments more intensively than senior CEOs. Further, it investigates the relationship between cost of capital and goodwill, as well as whether companies that report goodwill and are audited by a Big 4 auditor display lower cost of capital. The findings show that a change in CEO does not significantly lead to higher goodwill impairments. Using Austria as a case study, the study finds that, in the years of their early tenure, CEOs in Austria generally do not adopt goodwill impairment‐related opportunistic behaviours. This study indicates that companies that have carried out goodwill impairment tend to display higher cost of capital, reflecting the potential uncertainty about their future prospects and cash generating ability. The findings show that companies that report goodwill and are audited by a Big 4 auditor tend to display lower cost of capital.     

Equilibrium asset pricing: with non-Gaussian factors and exponential utilities

We analyse the equilibrium asset pricing implications for an economy with single period return exposures to explicit non-Gaussian systematic factors, that may be both skewed and long-tailed, and Gaussian idiosyncratic components. Investors maximize expected exponential utility and equilibrium factor prices are shown to reflect exponentially tilted prices for non-Gaussian factor risk exposures. It is shown that these prices may be directly estimated from the univariate probability law of the factor exposure, given an estimate of average risk aversion in the economy. In addition, a residual form of the capital asset pricing model continues to hold and prices the idiosyncratic or Gaussian risks. The theory is illustrated on data for the US economy using independent components analysis to identify the factors and the variance gamma model to describe the probability law of the non-Gaussian factors. It is shown that the residual CAPM accounts for no more than 1% of the pricing of risky assets, while the exponentially tilted systematic factor risk exposures account for the bulk of risky asset pricing.     

中国企业成本管理方法及其效果的调查分析

为了解我国企业成本管理方面的情况，从2000年初开始，我们在中国会计学会、中国总会计师协会的支持和指导下，在全国范围内对有关企业的财务负责人进行了一次问卷调查。本次调查我们主要选取了成本管理的三个方面(成本管理核算的总体情况、材料成本管……     

Cost efficiency in Australian non-bank financial institutions: A non-parametric approach

A two-stage procedure is employed to evaluate non-bank financial institution cost efficiency. In the first stage, data envelopment analysis is used to calculate technical, allocative and cost efficiency indices using a sample of 200 Australian credit unions. The results indicate that a typical credit union's costs in 1997 were 30 per cent above what could be considered efficient on the basis of observed best practice. The major source of overall cost inefficiency would appear to be allocative inefficiency, rather than technical inefficiency. The second stage uses limited dependent variable regression techniques to relate credit union efficiency scores to financial statement information. The results indicate that commercial lending activities, expenditures on information technology and marketing and promotion, the proportion of non-interest income, and association membership are a significant influence on the level of cost efficiency. The results are found to be invariant to alternative model specifications where input prices are first assumed to be different for each credit union and then assumed to be identical across the sample.     

中国A股市场过度波动之谜——基于日个股回报率的实证研究

本文首次基于方差差(Variance Difference)指标对股票回报率过度波动进行量化,并分别运用组合研究和Fama-Macbeth回归的方法,从过度波动与股票回报率之间关系的角度研究了中国A股市场的过度波动现象。基于1995-2010年A股日回报率的实证结果表明,A股市场日回报率波动中存在投资者过度反应导致的过度波动,过度波动带来的额外风险"驱逐"了风险回避的理性投资者,使得股市出现低估。通过每月买入过度波动最大的20%股票,同时卖出过度波动最小的20%股票,能获得显著为正的超额收益,并且该超额收益不能被市场风险所解释。     

An agency perspective on the accounting costs used in various roles in the regulation of a state-owned natural monopoly: The British Gas Corporation 1972-86

This study describes and analyses the accounting costs reported in the financial statements of the British Gas Corporation (BGC) during its fourteen years (1972-86) as a state-owned natural monopoly. Evidence is provided of the various roles in which these accounting costs were used in the regulation of the corporation. The agency perspective developed by Whittington (1985) is used to provide an analytical framework for discussion of the effects of BGC's accounting costs on the allocation of burdens and rewards between gas consumers and taxpayers through being used in these various roles. Further analytical insights are drawn from developments subsequent to privatisation in 1986.     

Call and Continuous Trading Mechanisms Under Asymmetric Information: An Experimental Investigation

I examine the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. I find significant differences in an environment that extends the Kyle (1985) framework to permit the exogenous liquidity trading motive to have a natural economic interpretation. The adverse selection costs incurred by noise traders are significantly lower under the call auction, despite no significant reduction in average price efficiency. This result suggests that discussions of the costs and benefits of insider trading should take place within the context of a specific trading mechanism.     

Creativity Contests: An Experimental Investigation of Eliciting Employee Creativity

Running a contest can help managers elicit creative ideas from employees by providing employees with incentives to develop and share ideas that will help the firm. Little is known, however, about how contest design affects the outcomes of subjectively evaluated creativity-based contests. We conduct an experiment to investigate the impact of two contest design choices, the job role of the contest's evaluator, and the number of prizes that participants compete for, on employee participation behavior. We also examine how these contest design choices impact the creativity of the submitted ideas. We find that using a peer of the employees as an evaluator increases the number of ideas shared, but it does not impact the number of unique participants who enter the contest. In addition, we find that using peer evaluators leads to an increase in the creativity of the ideas. We find that awarding more prizes to participants does not increase overall participation, but it does increase the number of ideas shared by employees from underrepresented demographics. Awarding more prizes, however, reduces the creativity of the ideas. Together, these results show that contest design choices have an important impact on employee creative idea-sharing and that managers should carefully consider how to tailor contests to fit their firms' needs.