Optimal harvesting under resource stock and price uncertainty

We analyze partial and complete depletion harvesting policy under resource stock and price uncertainty and risk neutrality. We state a set of weak conditions under which the optimal policy can be characterized by a single threshold and show that the value can be expressed in a separable form where price volatility affects the value through the risk adjusted growth rate. Both higher price and stock volatility decrease the value when the correlation between the driving Brownian motions is negative. With no correlation the optimal policy is independent of price volatility while higher stock volatility increases the harvesting threshold.     

A dynamic cournot-nash equilibrium in fishery: The effects of entry

A dynamic Cournot-Nash equilibrium of the fish war between two countries has been derived and its steady-state behavior studied by Levhari and Mirman on the basis of a discrete dynamic programming method. In this paper we shall consider an n-country extension of Levhari-Mirman fish war model. We shall derive the Cournot-Nash equilibrium and its steady-state value to analyze the effects of entry (or exit) in fish war. A comparison is made between in dividual management of fishery by each country and joint management by all countries.

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Riassunto In questo lavoro si considera l'estensione, al caso din paesi concorrenti, del modello concorrenziale dell'attività peschereccia proposto da Levhari e Mirman. Viene derivata la configurazione di equilibrio di Cournot-Nash e si calcola il suo valore stazionario per analizzare l'effetto d'entrata (o d'uscita) di un agente nella attività concorrenziale.Viene infine fatto un confronto tra la conduzione individuale della pesca in ogni singolo paese e la conduzione congiunta di tutti i paesi considerati.

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Versione definitiva pervenuta il 17-1-81     

The transfer of human resource management technology in Sino-U.S. cooperative ventures: Problems and solutions

Differences between Chinese and U.S. human resource management systems are described with respect to fundamental organization and work-related assumptions about people and performance, rewards, training and development, and educational background of HR practitioners. We identify key differences that present impediments to the modernization of HRM practices in Sino-U.S. cooperative ventures, and then, present a normative framework for the introduction of modem HRM practices into these ventures. We conclude with implications for both research and practice that focus primarily on integrating individuals and the enterprise, as well as integrating the enterprise with social and economic goals.     

The 2000 Presidential Election and the stock market

The impact of the delay in the declaration of a winner in the U.S. Presidential Election of 2000 on the performance of stock markets is examined in this study. We present evidence indicating that the stock market performance was different from a pre-event comparison period. Conventional t-tests and a dummy variable regression that controls for interest rate movements are used to present evidence indicating that there was a significant initial negative reaction to the delay in the election results. The authors thank Roy F. Cabaniss and Luellen A. Jones for editorial suggestions.     

中国股票市场的月份效应

本文在概述其他学者研究成果的基础上，对我国股票市场的月份效应进行了检验和实证分析，结果发现我国股票市场上不存在许多其他成熟的和新兴的股票市场所共有的一月份效应，但却存在十二月份效应。本文对此进行了充分的论证，并进行了解释。     

股市第一案的罪与罚--从"中科创业操纵证券交易价格案" 看我国证券法律责任制度

2003年4月1日,北京市第二中级人民法院对有“中国股市第一案”之称的中科创业操纵证券交易价格案进行了一审公开宣判。这标志着我国反对股市黑幕进入了一个新的阶段。那么,法律是怎么审判“庄家”的?操纵证券交易价格应该承担什么样的责任呢?在股价操纵案中如何保护投资者的利益呢?……     

The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns

In this article, we construct mixed-frequency individual stock sentiment using MIDAS model. We first investigate the influence power of mixed-frequency individual stock sentiment on excess returns. The results indicate that the higher the frequency of individual stock sentiment is, the better it explains the variation of excess returns, that mixed-frequency individual stock sentiment, especially mixed high-frequency sentiment, exerts greater influence on excess returns than the same frequency one and that the mixed-frequency sentiment has a stronger explanatory power to the variation of excess returns than size factor, book-to-market factor, profitability factor and investment factor do. Then, we study the predictive content of mixed-frequency individual stock sentiment. The results show that the higher the frequency of individual stock sentiment is, the better the forecast performs. Moreover, by comparing the corresponding statistics in influence and predictive power models, we find that the influence power of mixed-frequency individual stock sentiment is more significant than its predictive power.     

Prosumer's commitment model: The case of a biodiesel cooperative

Consumers are becoming more aware of their role in the propagation of environmental issues, the transition from passive consumer to prosumer is emerging, and it is of interest to know the commitment factors that leads the biodiesel prosumer to act in favor of an organization which they belong in order to achieve one goal in common and contribute to local sustainable development. In this research, the prosumer is the one who participates as a member and consumer of a biodiesel cooperative. The prosumer's commitment is made up of two components: (i) nonactive or affective, identification with the organization, and (ii) active or participatory, action towards certain goals. The objectives of the investigation are to evaluate the biodiesel prosumer's commitment and know its causes and effects. The hypotheses on the causes and results of the prosumer's commitment are postulated in a structural equation model (SEM), whose theoretical basis corresponds to the double role of the prosumer: member and client of the cooperative. The SEM is evaluated from the perspective of the prosumer based on mixed methodology and partial least square (PLS). The proposed SEM explains 78% (R² = 0.78) of the variability of the contribution of the biodiesel cooperative to local sustainable development, where this contribution is directly and significantly impacted by the two components of the commitment. This case study identifies dimensions that lead the biodiesel prosumer to commit in the cocreation and consumption of renewable fuel, which gives more opportunities for long-term survival of this initiative in a competitive market.     

The effects of employee stock ownership on stock liquidity: Evidence from the Korean market

This study investigates the relationship between the level of employee stock ownership (ESO) and stock liquidity. Using Korean ESO data, we find that ESO is positively associated with various liquidity measures. Stock-owning employees tend to mitigate information asymmetry to increase their benefits from the transparent market. We also find stronger effects when the firm is not an affiliate of a chaebol family group, and is less monitored by financial analysts, foreign investors, and outside directors. Furthermore, we employ various robustness tests to mitigate potential endogeneity concerns.     

Multiple patterns in the dynamics of a stock market model

We study a non-linear model of the interactions between stock market prices and the level of assets owned by investment funds. The model dynamics is described, in continuous time, by a smooth vector field in the plane, which presents, under suitable hypotheses, a unique equilibrium point.Our analisis of the system flow is qualitative and focuses on detecting endogenous fluctuations of the state variables, i.e. on checking existence and number of limit cycles.We prove that several, and quite different, dynamical patterns can occur, even in cases where the system isoclines assume that most simple geometrical forms.It is shown, in particular, that the equilibrium point can undergo either a sub-critical or a super-critical Hopf-bifurcation whenever two economically meaningful exogenous parameters are made to cross a given set of critical values. Hence, in the subcritical case, as a trapping region exists, at least two limit cycles appear.Next, we give analytical examples of model-consistent vector fields which present a multiplicity of fluctuating trends, and prove the apparently surprising result that the number of limit cycles can be as large as one wants, provided a specific isocline assumes a cubic shape.Both authors are members of the Gruppo Nazionale per l'Analisi Funzionale e le sue Applicazioni-G.N.A.F.A. of the Italian Council of Researches-CN.R.The present paper refers to the activities of the National M.U.R.S.T. Group Dinamiche Non Lineari ed Applicazioni alle Scienze Economiche e Sociali.     

Optimal harvesting of a spatial renewable resource

In this paper we investigate the optimal harvesting of a renewable natural resource. While in most standard approaches the resource is located at a single point, we allow the resource to be distributed spatially. Consequently, an agent who exploits the resource has to travel from one location to another. For a fixed planning horizon, we investigate the speed and the path of harvesting chosen by the agent. We show that the agent adjusts this speed so as to visit each location only once, even in the absence of travelling cost. Since the agent does not return to any location for a second harvest, it is optimal to fully deplete the resource upon arrival. A similar type of bang–bang solution results when we drop the assumption of a constant harvesting rate: allowing for a variable harvesting rate, the agent chooses to fully exploit the resource either in the last or in the first travelling period. A society interested in conserving some of the resource thus has to take measures to limit the exploitative behaviour of the agent.     

Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency

This study tests for underreaction and overreaction in European large cap markets by examining the abnormal returns of those stocks in the EuroStoxx 50 Index following large price increases and decreases. We find that large price increases and declines tend to be followed by average market returns. Thus, our results support the efficient market theory, rather than any of the behaviour finance hypotheses. This insight is contrary to price patterns found in various national markets.     

The Heisenberg picture in the analysis of stock markets and in other sociological contexts

We review some recent results concerning some toy models of stock markets. Our models are suggested by the discrete nature of the number of shares and of the cash which are exchanged in a real market, and by the existence of conserved quantities, like the total number of shares or some linear combination of the cash and the shares. This suggests to use the same tools used in quantum mechanics and, in particular, the Heisenberg picture to describe the time behavior of the portfolio of each trader. We finally propose the use of this same framework in other sociological contexts.     

香港创业板给我们带来的启示

国内二板市场的酝酿时间超过了4年,迄今尚未推出,但晚有晚的好处,可以使我们有充分的时间把即将推出的二板市场搞的更加成熟,同时,借鉴一下香港创业板的成功与不足,无疑对我们是非常有益的.     

The pricing of callable preferred stock

In this study, the authors use both the Black/Scholes European option model and the Barone-Adesi/Whaley American option model to estimate call option values implicit in seasoned callable preferred stock issues. Consistent with the finding that call features increase bond yields, a significant relationship is found between estimated option values and discounts of these securities’ market prices from their estimated income values. However, the size of the discount is only a fraction of what would be predicted by the American option model. Specifically, the market does not appear to take the “early exercise premium” into account. Furthermore, this discount seems to be isolated to in-the-money call features that have evolved to their final call price. Thus, incorporation of a call feature into a security’s indentures, with a deferment period and an initial premium call price, appears to represent a pure gain for the issuing corporation.     

The VIX,the variance premium and stock market volatility

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components for stock market returns, economic activity and financial instability. The variance premium predicts stock returns while the conditional stock market variance predicts economic activity and has a relatively higher predictive power for financial instability than does the variance premium.     

The design of executive stock options

A contract between manager and shareholder comprising salary plus options which are sometimes out of the money implies less risky managerial income but weaker incentives than a contract comprising salary plus stocks (or options which are always in the money) which leaves the manager as well off. Increasing the exercise Price and the salary so that (1) there are some states where the options cannot be exercised but (2) the manager is as well off as before always leads initially to a reduction in effort which outweighs any gains from improved risk sharing, leaving the shareholder worse off.     

The impact of China's stock market reforms on its international stock market linkages

This paper investigates how China's stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China's regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The results show that Chinese stock market is linked to these overseas markets and the reforms permit spillovers to these markets from China. The subsequent regression analyses of the time-varying conditional correlations, in the presence of growing economic integration, exchange rate risk and financial turbulence, further indicate that the interdependences between China and the regional markets increase due to the implementation of liberalisation policies. However, the correlation between China and the global market remains weak even though this correlation responds positively to the institutional reforms on China's stock market additionally.     

Efficient predictability of stock return volatility: The role of stock market implied volatility

This study examines the predictability of stock market implied volatility on stock volatility in five developed economies (the US, Japan, Germany, France, and the UK) using monthly volatility data for the period 2000 to 2017. We utilize a simple linear autoregressive model to capture predictive relationships between stock market implied volatility and stock volatility. Our in-sample results show there exists very significant Granger causality from stock market implied volatility to stock volatility. The out-of-sample results also indicate that stock market implied volatility is significantly more powerful for stock volatility than the oil price volatility in five developed economies.     

The robustness of calendar anomalies in daily stock returns

This paper investigates the robustness of the major calendar anomalies in stock returns with respect to the choice of return measure, estimation procedure, and time period. For daily returns from 1972 to 1994, the size and statistical significance of the anomalies differ more across return measure than across estimation procedure. For the returns on small-firm stocks, there is robust evidence of weekend effects, pre-holiday effects, and January effects. For the returns on large-firm stocks, calendar anomalies are weaker and essentially disappear after 1986.