Skewness preferences,asset prices and investor sentiment

Prior research has found that investors have strong preferences for stocks with positive skewness. These preferences have been shown to lead to price premiums and subsequent underperformance. This study extends this growing body of literature by testing whether the underperformance of stocks with positive skewness is driven by periods of high investor sentiment. The motivation for these tests is based on a broad literature in Psychology that an individual’s mood can directly affect the individual’s subjective probability assessments. In the framework of our tests, more optimism among investors may strengthen investors’ skewness preferences. The empirical results in this study support this idea as the underperformance of positively skewed stocks is shown to be primarily driven by periods of high investor sentiment.     

金融资产定价理论的历史回顾与展望

金融资产定价理论是金融学的核心问题，华尔街的两次“革命”都源自于对资产定价理论的研讨。通过对金融资产定价理论的历史文献回顾，可以把资产定价理论大致分为三个阶段：萌芽阶段、发展阶段和繁荣阶段。其中，萌芽阶段在20世纪50年代以前的时间段，发展阶段在20世纪50年代到70年代，繁荣阶段则在20世纪80年代以后到目前的时间段。最后对金融资产定价理论做出展望，指出现代数学方法的运用仍是资产定价理论向前发展的动力。     

长期协议、价格指数和铁矿石定价研究

在长期协议市场和现货市场并存的条件下,当市场存在不确定性和信息不对称时,可以减小随机交易波动,这不仅有利于保持长期协议供给方的领先优势,还能有效降低市场的均衡价格。在我国进口铁矿石定价体系中,国外厂商铁矿石价格指数和中国铁矿石价格指数存在差异和共同点,因此,只有建立运行高效的铁矿石市场交易机制,我国才能获得国际铁矿石定价权。     

企业资源管理系统实施的经济评价研究

利用净现值评价法和期权定价理论,探讨了企业资源管理系统(ERP/ERPⅡ)实施的经济评价问题,选择了ERP/ERPⅡ项目实施后的综合效益评价的基本指标,分析了评判的详细过程,以此指导评判项目实施后企业的最终综合效益。     

基于仿真交易的股指期货定价效果研究

本文通过研究我国仿真股指期货和沪深300指数之间的关系,发现仿真股指期货价格与现货价格在一定滞后阶数上构成单向的Granger因果关系:期货价格在统计意义上是现货价格的Granger原因,反之并不成立.另一方面,尽管现货与期货价格之间的基差不稳定,但通过计算现货与期货收益率基差发现其存在稳定的关系,而且收益率基差的异常值有助于预测未来沪深300指数和股指期货的相对趋势.     

Competition and commercial banks risk-taking: evidence from Sub-Saharan Africa region

This study investigates the relationship between competition and the risk-taking attitude of banks. We test how this relationship manifests in the Sub-Saharan African(SSA) region’s commercial banks in light of the competition-fragility view, using the generalized methods of moments. We studied 440 commercial banks in 37 SSA countries over the period 2006–2015. The results provide evidence that supports a positive relationship between competition and banks’ overall risk as well as their credit risk but suggests that off-balance sheet risk reduces with competition. We, therefore, conclude that the propensity to undertake higher risk in a competitive banking environment largely accounts for fragility as argued in the competition-fragility view.     

Dynamics of monetary policy spillover: The role of exchange rate regimes

In a time-varying framework, our study investigates the role of exchange rate regimes in explaining monetary policy spillover across a set of AEs and EMEs. We also investigate the channels contributing to the dynamism in the degree of such spillover. We find that the flexible exchange rate regime in the AEs insulates them against the spillover to a relatively larger extent as compared to the managed float regime in the EMEs. We also find that the spillover is strongly time-varying, being influenced by macroeconomic conditions in the centre economy. Risk-taking, portfolio rebalancing, and signaling channels are found to be significant in explaining the rise in spillover in the EMEs, but not in the AEs. The rise in the connectedness of interest rates in the AEs occurred only during the global financial crisis (2008–12), owing to their higher policy coordination with the US. This should not be misconstrued as monetary policy spillover.     

A New Approach for Regulating Information Markets

Information markets are markets for contracts that yield payments based on the outcome of an uncertain future event, such as a presidential election. They have the potential to improve decision making and policies throughout the economy. At the same time, there are regulatory hurdles to establish such markets, largely arising from state prohibitions on Internet gambling. This paper reviews the current regulatory structure for information markets in the United States and offers recommendations for reform. We argue that the authority for regulating many information markets should be shifted from the states to the federal government. In addition, the Commodity Futures Trading Commission should administer an “economic purpose test”. That test would only allow information market contracts that are likely to provide significant financial hedging opportunities or valuable information for improving economic decisions.     

基于上海股市的资本资产定价模型的实证检验

鉴于资本资产定价模型对资产评估和资本定价的作用,以上海股票市场为对象,选取上证180指数中178家股票的相关数据,运用计量经济学的方法进行相关的资本资产定价模型的实证检验。结果显示:上海股票市场存在较大的投机行为,资本资产定价模型在上海股票市场还不适用,对于上海股票市场股票的定价还存在一定的困难。并就结论出现的原因给予了相关的解释。     

The product life cycle and sample representativity bias in price indexes

Official price indexes are usually calculated using matched samples of products. If products exhibit systematic price trends at different points in their life cycle then matched sample methods may introduce bias if the life cycle movement in the sample does not adequately reflect that in the population. This article explores the extent of these life cycle pricing effects and then examines the bias it can introduce in measured inflation. A large US supermarket scanner data set for six cities and six products over 12 years is used. Using hedonic methods we find that the life cycle component of price change is important across a range of products and cities. To explore the bias introduced by these movements, we use simulations that construct indexes with different sample update frequency. For indexes that are never completely resampled, we find an annual absolute bias of 0.88 and 0.59 percentage points depending upon whether we use the actual prices or prices imputed from our hedonic model. This compares with absolute biases of 0.34 and 0.10 percentage points for the corresponding cases for samples, which are re-selected annually. Thus our results provide strong support for more frequently updating index samples.     

排污权有偿使用阶梯式定价研究——以化学需氧量排放为例

依据河南省2010年污染源普查数据,分析了不同行业化学需氧量排放的公平性问题,基于不同行业经济贡献与排污量之间的差异性的基础上,参考阶梯水价和电价的制定思路,提出了排污权阶梯式定价,并对其内涵与经济学特征进行了分析,最后,在恢复成本法定价的基础上制定了河南省化学需氧量有偿使用阶梯式价格。     

Expert opinion and cuisine reputation in the market for restaurant meals

As food is an experience good, the market for restaurant meals is a market where the cost of acquiring information regarding quality is relatively high. In such markets consumers often turn to reputation measures to guide purchase decisions. As Australia does not have a longstanding cuisine style of its own, and given Australia has been open to substantial immigration inflows since federation, it represents an especially appropriate market to study regarding the impact of individual restaurant reputation and collective cuisine reputation on meal prices. The following study uses the hedonic price approach to investigate the implicit price of individual reputation indicators, cuisine type reputation indicators and other objective indicators in the market for restaurant meals. The empirical findings presented suggest that both individual restaurant reputation and cuisine type reputation are important. Other important factors are shown to include the quality of the restaurant wine list, the availability of private dining rooms, and whether or not there is an outdoor dining option.     

An Index Approach to Measuring Product Differentiation: A Hedonic Analysis of Airfares

The main objective of this paper is to introduce an Allen-type index of differentiation based on cost functions. With this index, we create an economic measure of product differentiation that quantifies differences between products. Applied research has some generally accepted economic measures, for example, the Herfindahl–Hirschman Index for market concentration, or the Gini coefficient for inequality. Product differentiation, however, does not yet have an established measure. Our objective is to fill that gap and introduce a measure that can be used in market-related applied research such as market power, antitrust, price indexes, or market strategy. To operationalize the index, we introduce the concept of a core product and use cost functions to measure the degree of differentiation from the core product. To demonstrate the use of the index, we study the effect of product differentiation on price formation in the airline industry using an enhanced hedonic model. The model is empirically tested on 103,980 observations of quarterly US domestic airfare data between 2002 and 2016 and shows that product differentiation has a significant effect on both price and mark-up.     

欧式期权定价的Monte-Carlo方法

讨论各种欧式期权价格的Monte-Carlo方法。根据Black-Scholes期权定价模型以及风险中性理论,首先详细地讨论如何利用Monte-Carlo方法来计算标准欧式期权价格;然后讨论如何引入控制变量以及对称变量来提高Monte-Carlo方法的精确性;最后用Monte-Carlo方法来计算标准欧式期权、欧式—两值期权、欧式—回望期权以及欧式—亚式期权的价格,并讨论相关方法的优缺点。     

一种资产定价过程中跳辨识的新方法

文章主要基于AitSahalia(2002)关于金融数据中跳(Jump)的研究,对跳的性质作进一步的探索并加以推论,同时采用IMSE(InferiorMeanSquaredError)作为分离跳的标准,选择出恰当的(λ,α,Δ)仨,达到辨识金融数据中跳的目的。     

What Collusion? Unilateral Market Power as a Catalyst for Countercyclical Markups

This paper presents and tests a simple model of competitive and unilateral market power regimes that yields countercyclical markups. Following a decrease in demand in the short run, capacity-constrained firms may have a strong incentive not to lower their prices to the new competitive price. Demand shocks may introduce market power into a previously competitive market. Experimental posted offer markets support this conjecture with complete information on the market structure. With only private information, there appears to be a hysteresis effect concerning supracompetitive prices, i.e., markets with a history of supracompetitive pricing continue to generate supracompetitive prices following demand shocks. However, competitive markets also remain competitive following demand shocks when firms only have private information on costs and capacities.     

数字产品定价中传统经济学方法失灵原因及定价策略

数字产品的高固定成本、低边际成本的成本结构导致了传统的供求曲线和均衡分析的失灵,使得传统的边际成本定价不适用于数字产品。数字产品定价中传统定价方法失灵的原因主要有：数字产品的网络外部性、成本结构的特殊性、需求曲线及供给曲线的变化、市场供求均衡的打破,研究表明采用产品差异化和差别定价、免费,捆绑销售、两段收费的定价策略有一定的积极意义。     

面向市场化的商业银行内部资金转移价格机制

内部资金价格市场化是我国商业银行在向市场经济转型过程中改革的重要目标之一,它的实现,意味着我国商业银行将建立以中央银行利率为基础、以外部资金市场、资本市场利率为中介,由商业银行内部资金供求决定的市场价格体系和形成机制.而内部资金的定价机制则是商业银行根据特定的定价目标,对其金融产品进行具体计算的方法,对于内部资金价格机制选择的正确与否,是关系到商业银行内部资金定价目标能否实现的一个重要因素.     

Comparative Research Productivity Measures for Economics Departments

The typical profit-maximization solution for the joint-production problem found in intermediate texts, managerial texts, and other texts concerned with optimal pricing is oversimplified and inconsistent with profit maximization, unless there is either no excess of any of the joint products or no costs associated with dumping. However, it is an inappropriate method of solution where excess does exist and the costs of dumping are explicitly recognized and, with respect to such cases, is at least nongeneral. The authors present a more realistic alternative method of solution, although more complex, as a substitute for the textbook method of solution typically offered.