Export taxes versus buffer stocks as optimal export policies under uncertainty

Optimal state-dependent export taxes and costly-to-store buffer stocks are compared in their welfare implications for an exporter possessing monopoly power in the international trade of a volatile commodity. Optimal stochastic control is used to derive the optimal buffer stock rules. It is shown that, if the internal and external fluctuations facing the exporter are large, if the storage costs are low, and if the price elasticity of export supply is small relative to that of export demand, the exporter would gain more from a buffer stock than from a optimal export tax. World welfare is always increased by buffer stocks, as opposed to tariffs; and, under some conditions, the foreign country might also benefit and, hence, not retaliate.     

Indexation of UNCTAD core commodity prices by buffer stocks or export quotas?: A comparison of the benefits for two developing economies

General equilibrium models are used to study the resource allocative and income implications for the Ivory Coast and Kenya of indexation of agricultural commodity prices. Two indexation methods are investigated, (i) buffer stock transactions, and (ii) export quota entitlements. The results suggest that there are efficiency losses associated with the buffer stock option which reduce the GDP gains below that indicated by the pure terms of trade gains. Efficiency gains associated with the export quota method however result in GDP increases above those indicated by the pure terms of trade gains.     

价值股与成长股不同市场表现的实证研究

国外大量的实证研究发现价值股的市场表现显地化于成长股，对这个现象的解释主要分为过度反应假说和风险改变假说两大学派。本以上海证券交易市场A股为样本，以B／M(权益的账面价值与市场价值比)为标准划分价值股组合和成长股组合；实证结果发现价值股组合的收益明显优于成长股组合，而且两种组合的收益各自都呈现出反向修正的模式，符合过度反应假说；同时本采用资产资本定价模型来检验两种组合，实证结果不支持风险改变假说。     

On International compensations for environmental stocks

This paper sheds some light on the possible implications of compensations which are paid for the maintenance of an environmental stock. It shows that serious complications can arise if the resource-owner may influence the compensation price strategically. If the incentive to raise the compensation price dominates the preservation incentive, the steady-state stock falls short from that which is voluntarily held. Whether compensation policies can neglect this feature depends crucially on the institutional setting which determines the compensation price.This paper originated from a research project about the stability of international environmental agreements. I gratefully acknowledge financial support by the Volkswagen Foundation. A predecessor of this paper was presented at the Annual Meeting of the Ausschuß für Umwelt- und Ressourcenökonomie of the Verein für Socialpolitik in Ladenburg. I am indebted to the participants for many helpful comments which improved this paper significantly. Thanks are also due to Gernot Klepper, Peter Michaelis and two anonymous referees whose comments and suggestions were very helpful. The usual disclaimer applies.     

A capital adequacy buffer model

We develop a new capital adequacy buffer model (CABM) that is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default and the timeless capital asset pricing model (CAPM), which measures additional returns to compensate for additional share price risk. We apply the model to a portfolio of mid-cap loan assets over a 10-year period that includes pre-GFC (global financial crisis), GFC and post-GFC. An analysis of actual defaults over this period shows the model to be far more accurate in determining the capital adequacy levels needed to counter credit risk than an unresponsive ratings model such as the Basel standardized approach.     

下一步如何投资中国股票?

背景：2006年5月15日至17日，亚太市场首屈一指的经纪、投资银行及直接投资公司——里昂证券在上海主办了“里昂证券中国投资论坛”。来自26个国家的450名全球机构投资者与会，讨论中国经济面临的机遇和挑战。在此次论坛上，里昂证券发布了这份题为《2006年投资策略》的报告。[编者按]     

Are stocks desirable in tax-deferred accounts?

Existing literature suggests that, in order to maximize the tax benefit of retirement accounts, investors should follow a “pecking order” location rule of placing highly taxed assets (e.g., bonds) in a tax-deferred account and lightly taxed assets (e.g., stocks) in a taxable account. Empirical evidence, however, documents that a large number of investors violate this rule. In this paper, we show that such violations can be optimal for risk-averse investors who face portfolio constraints. In particular, while the strategy of placing bonds in the tax-deferred account maximizes the expected level of tax benefit, it may lead to volatile benefits under different realizations of stock returns. By holding a similar portfolio in both accounts, investors can achieve a more balanced growth in the two accounts, minimize the likelihood of violating the constraints in the future and hence “smooth” the volatility of the tax benefit. For some risk-averse investors, this smoothing motive can lead to the observed violation of the pecking order location rule. Our model predicts that such violations are more likely when future tax benefits are more volatile, which can occur, for example, when: (i) the tax rate differential across assets increases over time due either to tax law changes or to tax bracket changes for investors; (ii) asset returns are more volatile; and (iii) investors anticipate large future liquidity needs.     

Estimation and cross-country comparison of capital stocks

While capital stock as the measure of productive capacity and the wealth of a nation figures prominently in policy analysis, capital stocks data is lacking in many countries because of the cost of data collection and other difficulties. Even in those countries where such data is compiled, the data is not always up to date. In this paper, we estimate and report the time series data for the capital stocks of 69 countries. We then use the capital stocks series to assess the future growth potentials of these countries.We would like to Thank an anonymos referee for many helpful comments on an earlier version of this paper.     

An analysis of dividend enhanced convertible stocks

Dividend enhanced convertible stocks (DECS) represent redeemable convertible preferred stocks mandated to convert in four years. DECS are designed to meet the needs of income-oriented investors, who give up some upside capital appreciation potential over four years in exchange for enhanced preferred dividends. A simple contingent claims pricing model for the valuation of DECS is presented in this article. The application of the model to Masco Tech Inc. has shown that, on average, its DECS issue was slightly overpriced during the sample period.     

Optimal executive compensation: Stock options or restricted stocks

This paper develops an agency model to analyze the optimality of executive stock option compensation in the presence of information manipulation. The analyses show that although information manipulation is positively related to the size of option compensation, the relative size of manipulation-to-effort does not depend on the size of option compensation. Furthermore, an optimal executive compensation package includes stock options instead of restricted stocks under most circumstances. Testable predictions on the relationship between optimal option exercise price and exogenous model parameters are derived.     

定向募集公司股份流通

<正> 定向募集公司的产生定向募集股份公司是改革开放初期的产物。1992年5月15日,以国家体改委为首的十个国家有关部门颁布了《股份公司规范意见》(以下简称《意见》)以及13个配套文件。这些文件不仅首次确立了股份公司在中国产生和发展的合法性,而且根据中国国情对定向募集股份公司中的法人股和职工股从法律上予以了明确的规定,促进了定向募集公司在我国的迅速发展。按照《意见》规定,“定向募集公司”包括以“发起方式”和“定向募集方式”设立的公司,其中,以发起方式设立的公司主要面对国家大型建设项目,以定向募集方式设立的公司的股份包括发起人股、其他法人股和经批准的该公司内部职工股。无论是以发起方式还是以定向募集方式设     

Aquaculture,capture fisheries,and wild fish stocks

This paper employs a general equilibrium model to examine how the rise of aquaculture and changes in wild fish stocks are related for herbivorous fish species. Two influences, human population growth and technological improvement in aquaculture, are studied. Both of these factors raise aquaculture production, but human population growth reduces wild fish stocks, while technological progress in aquaculture raises wild stocks.     

On the correlation between stocks and art market returns

We estimate the correlation between the returns of an S&P 500-based portfolio and Renoir paintings. Unlike previous studies that relied on single-point estimates of the correlation to explore the merits of adding art assets to a portfolio of stocks, we rely on a wild bootstrap algorithm to determine confidence intervals for the correlation estimates. We find that these confidence intervals are so wide (a situation not peculiar to our example) that it seems impossible to make absolute remarks about the merits of adding art-related assets to stocks portfolios. Moreover, our results suggest that previous conclusions regarding the correlation between art and stocks should be taken with some scepticism.