垄断限价、代理商进入与社会福利--兼评中国民航市场价格维持政策

自从中国民航总局于1999年实施“国内民航机票禁止打折”政策以来，不少民航公司仍在暗中通过机票中间代理商低价倾销机票。本试图从社会福利角度出发，分析在卡特尔组织实行垄断定价政策情况下，中间代理商的进入对社会福利的影响，简要评价了中国民航市场现行价格维持政策的福利效应，并提出若干相应建议。     

垄断限价、代理商进入与社会福利——兼评中国民航市场价格维持政策

自从中国民航总局于 1999年实施“国内民航机票禁止打折”政策以来 ,不少民航公司仍在暗中通过机票中间代理商低价倾销机票。本文试图从社会福利角度出发 ,分析在卡特尔组织实行垄断定价政策情况下 ,中间代理商的进入对社会福利的影响 ,简要评价了中国民航市场现行价格维持政策的福利效应 ,并提出若干相应建议。     

作业预算研究

作业成本法的优越性已广为人知 ,并且已经有大量的企业开始尝试实施作业成本法。但如何利用ABC的成本数据 ,如何在ABC的环境下进行预算 ,以达到控制和节约费用的目的 ,却很少有学者探讨。本文阐述了作业基础预算与企业战略、价值链优化之间的关系 ,并着重探讨了作业基础预算的编制及其差异分析。     

作业成本法与剩余生产能力管理

随着市场竞争的日趋激烈 ,资源的有效利用已成为衡量企业业绩的一项重要内容 ,而剩余生产能力的控制与管理则是确保资源得以有效利用的手段。本文将在介绍剩余生产能力概念的基础上 ,剖析CAM I② 生产能力模型 ,并进而探索作业成本法 /管理 (ABC/M)在剩余生产能力管理中的应用     

Activity-Based Costing in Universities—Five Years On

This article describes the current state of costing within the higher education sector, reviewing recent published literature and analysing the progress made by institutions in implementing activity-based costing (ABC). It draws on the findings of two cross-sectional surveys of all UK universities, undertaken in 1993 and 1998/99. The data collected suggests that while implementation of ABC systems has been slow, this might be about to change because of pressures being exerted by funding bodies and central government.     

要么维持垄断,要么就分拆--访世界银行金融专家王君

<银行家>:加入WTO以后,国有银行面对的竞争将加剧.如何认识它们未来的作用和地位呢?     

Monopoly with resale

We examine the intricacies associated with the design of revenue‐maximizing mechanisms for a monopolist who expects her buyers to resell. We consider two cases: resale to a third party who does not participate in the primary market and interbidder resale, where the winner resells to the losers. To influence the resale outcome, the monopolist must design an allocation rule and a disclosure policy that optimally fashion the beliefs of the participants in the secondary market. Our results show that the revenue‐maximizing mechanism may require a stochastic selling procedure and a disclosure policy richer than the simple announcement of the decision to sell to a particular buyer.     

Pricing Asian options in a semimartingale model

In this paper we studyy arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependence in the payoff function. We also show that the price is driven by a process with independent increments, Levy processes being a special case. This approach applies for both discretely or continuously options.     

Towards a Semigroup Pricing Theory

In an arbitrage-free economy, there will always exist a set of linear operators which map future contingent dividends of securities into their current prices. It happens that such operators will also form an “evolution semigroup” as a consequence of intertemporal analysis of the no-arbitrage restriction. This paper summarizes some of the major implications of the semigroup properties, but avoids almost all of the technical discussion which underlies them. Instead, several practical examples are presented. Some well-known continuous-time results are replicated by this alternative method, and certain new developments are explored.     

The Association Between Activity-Based Costing and Manufacturing Performance

This study examines the association between activity-based costing and manufacturing performance. Results using a cross-sectional sample of manufacturing plants indicates that extensive ABC use is associated with higher quality levels and greater improvements in cycle time and quality, and is indirectly associated with manufacturing cost reductions through quality and cycle time improvements. However, on average, extensive ABC use has no significant association with return on assets. Instead, we find weak evidence that the association between ABC and accounting profitability is contingent on the plant's operational characteristics.     

Pricing exotic options in a path integral approach

In the framework of the Black–Scholes–Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path-dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the cases of Asian, barrier knock out, reverse cliquet and basket call options, evaluating prices and Greeks. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances.     

Pricing of non-redundant derivatives in a complete market

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete,only with their existence. In such a framework, we derive an equilibrium restriction on the admissible prices of derivative assets. The equilibrium condition imposes a well-ordering principle restricting the set of probability measures that qualify as candidate equivalent martingale measures. This restriction is preference free and applies whenever the utility functions belong to the general class of Von-Neumann Morgenstern functions. We provide numerical examples that show the applicability of the restriction for the computation of option prices.We are indebted to the editor Marti Subrahmanyam and two anonymous referees for very constructive comments. We have also benefitted from conversations with Nour Meddahi. We would like to thank seminar participants at Université de Montréal, Washington University, HEC Montréal, Ecole Polytechnique de Tunisie, Institut Henri Poincaré, Trento Mathematical Finance Conference (1997), Aspet (FIQUAM) Conference (1998) as well as the participants at the Quantitative Methods of Finance Conference, Australia, 1997.This author gratefully acknowledges the financial support of INQUIRE-Europe.     

Information Monopoly and Commitment in Intermediary-Firm Relationships

A bank may use the private information that it acquires through monitoring to hold up borrowers. This information monopoly of the bank may inefficiently distort the borrowers investment decisions in environments where moral hazard is prevalent. The paper analyses how this problem is resolved within bank-firm relationships. In the benchmark case when the bank can contractually commit to future actions, the optimal contract turns out to be ambiguous in nature. When commitment contracts cannot be written, firms have an incentive to develop multiple banking relationships in order to decrease the inside banks bargaining power. However, with costly monitoring, this may defeat the initial purpose for contracting with a financial intermediary, namely information production. The paper argues that when contractual commitment is not feasible, bank size may serve as an alternative commitment device that prevents the bank from holding up borrowers in the future.     

房地产评估业应该打破垄断

资产评估事务所(或具有资产评估资格的会计师事务所,以下简称事务所)能否对房地产进行评估,一直是注册评估师行业内比较关注的一个问题.财政部和原国家国有资产管理局曾两次发文对此问题予以明确.但由于房地产和土地主管部门坚持认为只有取得经他们认可的资格后事务所方可从事上述业务,故事务所对此一直抱有疑虑,社会各界对此认识更是模糊不清.下面介绍的这个案例,就是在这样的背景下发生的.     

Monopoly versus Competition in Setting Accounting Standards

Financial accounting standards are set by organizations granted a significant degree of monopoly power by various governments. While there has been considerable debate on the merits of national (e.g., US Financial Accounting Standards Board (FASB)) versus international (International Accounting Standards Board (IASB)) monopolies, little attention has been paid to the merits of using competing standard‐setting organizations (SSOs) for setting accounting standards. We compare the standard‐setting processes of the FASB/IASB to the processes of four technology‐oriented SSOs to assess the role of competition. We also provide a case study of monopoly and competitive standards in telephony. Both telephony and accounting yield some gains from coordination, and similar arguments are used (under the labels of comparability and consistency of accounting) in debates about granting a monopoly to their respective SSOs. Our results show that a group of volunteers competing with the government‐sanctioned monopoly of International Telecommunications Union transformed the telephone industry. Thanks to this standards competition, we enjoy free video internet calling and massive cost savings. Implications for accounting standard setting are discussed.     

Asset Pricing in a Production Economy with Incomplete Information

This paper analyzes an economy in which investors operate under partial information about technology-relevant state variables. It is shown that for Gaussian information structures under incomplete observations, the consumer's problem can be transformed into an equivalent program with a completely observed state: the conditional expectation of the underlying unobservable state variables. A consequence of this transformation is that classic results in finance remain valid under an appropriate reinterpretation of the state variables.     

International Pricing in a Generalized Model of Ideal Variety

We examine international markups and pricing in a generalized version of an "ideal variety" model. In this model, entry causes crowding in variety space, so that the marginal utility of new varieties falls as market size grows. Crowding is partially offset by income effects, as richer consumers will pay more for varieties closer matched to their ideal types. We show theoretically and confirm empirically that declining marginal utility of new varieties results in: a higher own-price elasticity of demand (and lower prices) in large countries and a lower own-price elasticity of demand (and higher prices) in rich countries. The model is also useful for generating facts from the literature regarding cross-country differences in the rate of variety expansion.     

Indifference Pricing of a GLWB Option in Variable Annuities

We investigate the valuation problem of variable annuities with guaranteed lifelong/lifetime withdrawal benefit (GLWB) options, which give the policyholder the right to withdraw a specified amount as long as he or she lives, regardless of the performance of the investment. We assume the static approach that the policyholder’s withdrawal rate is a constant throughout the life of the contract. We apply the principle of equivalent utility to find the indifference price for a variable annuity with a GLWB contract with an equity-indexed death benefit. Using an exponential utility function, Hamilton-Jacobi-Bellman (HJB) type partial differential equations (PDEs) are derived for the pricing functions. We first assume the mortality is deterministic, and the pricing PDE is solved numerically using a finite difference method. The effects of various parameters are investigated, including the age at inception of the policyholder, withdrawal rate, risk-free rate, and volatility of the underlying asset. We also consider a roll-up option and analyze the effect of delaying the start of the withdrawals. Another pricing PDE is derived with a stochastic mortality, when the force of mortality is modeled with a stochastic differential equation. A finite difference method is used again to solve the pricing PDE numerically, and the sensitivities of the GLWB contracts with respect to the withdrawal rate and the risk-free rate are explored.     

打破金融垄断势在必行

目前中国社会最大的问题是就业问题,中国有13亿人口,每年有大量的新增劳动力需要就业,城市中有大量的国有企业在裁员,而农民又纷纷涌入城市.所有这些问题,单靠吸引外资、吸引世界五百强企业是肯定解决不了的.