Inventory Decision under Demand Uncertainty: A Contingent Claims Approach

This study uses the discrete-time option pricing model for the evaluation of the firm's inventory decision under demand uncertainty. The paper establishes the following optimal inventory decision implications: the optimal order quantity is positively related to the product selling price, product salvage value, interest rate, and the size of the outstanding orders; and negatively related to the product cost. The effect of demand uncertainty on the optimal order quantity is shown to be ambiguous. This study also shows that the maximum present value of profit from the contingent claims approach can be substantially different from that of the modified standard newsboy problem.     

Analyst Optimism and Incentives under Market Uncertainty

We examine how analysts’ changing incentives driven by changes in market uncertainty affect their forecast optimism. Analysts issue more optimistically biased earnings forecasts and buy recommendations under high market uncertainty (VIX). The lower reputational costs and larger benefits of optimistic output explain the increased optimistic output: Analysts are less likely to be penalized for inaccuracy and can stimulate more trading activity from optimistically biased output when market uncertainty is high. We find that the likelihood of analysts’ turnover decreases, while the trading volume associated with optimistic output increases, with VIX. No evidence suggests that analysts’ self‐selection affects our findings on optimism and market uncertainty.     

不确定条件下的生产外包时机研究

不确定条件下的生产外包具有期权特征。考虑价格与成本都具有不确定性,借助实物期权方法建立了生产外包决策模型,对外包时机进行了研究,得到了期权价值与外包阈值公式。通过数值模拟,分析了相关系数、波动率对阈值及波动率对期权价值的影响。     

The Valuation of Insurance under Uncertainty: Does Information about Probability Matter?

In a laboratory experiment we test the hypothesis that consumers' valuation of insurance is sensitive to the amount of information available on the probability of a potential loss. In order to test this hypothesis we simulate a market in which we elicit individuals' willingness to pay to insure against a loss characterised either by known or else vague probabilities. We use two distinct treatments by providing subjects with different information over the vague probabilities of loss. In general we find that uncertainty about probabilities has a weak impact on consumers' valuation of insurance. However, additional information about probabilities tends to marginally increase the price individuals are willing to pay to insure themselves. Implications for the insurance market are derived.     

The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach

A growing literature considers the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper, we consider the impact of measurement error in these proxies on the estimated impulse responses. We show via a Monte Carlo experiment that measurement error can result in attenuation bias in impulse responses. In contrast, the proxy SVAR that uses the uncertainty shock proxy as an instrument does not suffer from this bias. Applying this latter method to the Bloom (2009) data set results in impulse responses to uncertainty shocks that are larger in magnitude and more persistent than those obtained from a recursive SVAR.     

不确定性下创意企业价值评估分析

文章从产品产业化过程的角度出发对创意产业企业不确定性进行了分析,归纳出创意产业企业的不确定性来源。鉴于不确定性的复杂性和创意产业的实物期权特征,以及对企业价值评估模型的讨论,改进了Schwartz-Moon期权模型,对创意产业企业价值进行评估。从连续时间和离散时间两种情况出发,构建了创意产业企业预期收入与企业现金流模型,在此基础上,讨论了可变成本、产权收入和公司产品的价值损失三个变量与创意产业的企业价值的关系,并在考虑税率的情况下构建企业税后净收入模型以全面考察创意产业企业价值。     

不确定性、股权激励与非效率投资

文章在考察环境不确定性对上市公司投资行为影响的基础上,分析了股权激励计划对这一相关关系的影响机制和作用效果,结果发现:企业所面临的环境不确定性会降低企业投资效率,导致过度投资或投资不足。而股权激励措施对不确定环境引起的管理者非效率投资行为有抑制作用。本文研究结果表明,股权激励制度有助于减少环境不确定性导致的代理矛盾,抑制过度投资,也有助于降低企业管理者风险的厌恶程度,缓解投资不足。     

CVP under Uncertainty and the Manager's Utility Function Revisited

This paper re-examines the model of Kim, Abdolmohammada, and Klein (KAK, 1996) in which owners of a firm delegate the production decision to a risk-averse manager. Conflict of interest between the owners and the manager emerges as the latter maximizes the expected utility of his/her own wealth rather than that of the firm's profits. This paper shows that the results of KAK on the expected contribution margin and the excess return on the risky asset are flawed. Furthermore, while KAK study the effects of delegating the production decision to the manager on the firm's optimal output based on the mean-variance analysis, this paper derives parallel results within utility functions exhibiting constant absolute risk aversion and any arbitrary probability distribution functions.     

Innovation and Information Acquisition under Time Inconsistency and Uncertainty

When an agent invests in new industrial activities, he has a limited initial knowledge of his project's returns. Acquiring information allows him both to reduce the uncertainty on the dangerousness of this project and to limit potential damages that it might cause on people's health and on the environment. In this paper, we study whether there exist situations in which the agent does not acquire information. We find that an agent with time-consistent preferences, as well as an agent with hyperbolic ones, will acquire information unless its cost exceeds the direct benefit they could get with this information. Nevertheless, a hyperbolic agent may remain strategically ignorant and, when he does acquire information, he will acquire less information than a time-consistent type. Moreover, a hyperbolic-discounting type who behaves as a time-consistent agent in the future is more inclined to stay ignorant. We then emphasize that this strategic ignorance depends on the degree of precision of the information. Finally, we analyse the role that existing liability rules could play as an incentive to acquire information under uncertainty and with regard to the form of the agent's preferences.     

供应链产出不确定条件下银行贷款定价决策

研究制造商产出不确定条件下二级供应链融资时银行贷款定价问题,供应链融资策略分为协同融资策略和非协同融资策略。将供应链制造商和零售商的生产订货决策纳入银行的贷款收益公式,分别构建供应链企业在非协同融资和协同融资策略下银行的贷款收益模型,分析两种融资模式下银行对供应链企业的最优贷款利率。研究发现,银行对二级供应链企业贷款利率最大化并不总是最优决策:在二级供应链企业进行协同融资时,银行贷款利率最大化对自身是有利的;但在二级供应链企业进行非协同融资时,一定条件下,银行适当降低对制造商的贷款利率反而对自身有利。该研究结果为银行设定供应链企业在协同融资和非协同融资策略下的贷款利率提供了决策参考。     

Uncertainty in Value-at-risk Estimates under Parametric and Non-parametric Modeling

This study evaluates a set of parametric and non-parametric value-at-risk (VaR) models that quantify the uncertainty in VaR estimates in form of a VaR distribution. We propose a new VaR approach based on Bayesian statistics in a GARCH volatility modeling environment. This Bayesian approach is compared with other parametric VaR methods (quasi-maximum likelihood and bootstrap resampling on the basis of GARCH models) as well as with non-parametric historical simulation approaches (classical and volatility adjusted). All these methods are evaluated based on the frequency of failures and the uncertainty in VaR estimates.Within the parametric methods, the Bayesian approach is better able to produce adequate VaR estimates, and results mostly in a smaller VaR variability. The non-parametric methods imply more uncertain 99%-VaR estimates, but show good performance with respect to 95%-VaRs.     

模型不确定性条件下的货币政策决策分析

为什么中央银行在制定货币政策时往往是比较谨慎或保守的?从具体的货币政策规则的经验估计如泰勒规则看,这些货币政策比具体经济模型所要求的最优货币政策更为保守。本文从模型不确定性及决策者对不确定性态度变化的角度,运用美联储数据进行实证来解释这一现象。经过分析发现,若与降低利率的变动相比,央行更为关心产出缺口的稳定性,则央行对模型不确定呈厌恶或呈中性将会大大降低泰勒规则中的反应系数,随之产生较为保守的货币政策,若央行对不确定性呈偏好,则产生较为积极的货币政策。     

The Trading Decision and Market Clearing under Transaction Price Uncertainty

This paper models an individual's trading decision, given: (1) his/her demand function to hold shares of an asset, (2) his/her expectation on what the market clearing price will be, and (3) the design of the market which determines how orders will be translated into trades. The particular market design we consider is the batched trading (periodic call) regime. Assuming investors are distributed according to their propensities to hold shares, we model the aggregation of orders to obtain market clearing values of price and volume and to show the way in which, with trading friction, these solutions differ from Pareto efficient values. The importance of this analysis for various issues concerning market design is noted.     

基于风险资产结构不确定性的商业银行整合风险度量研究

基于商业银行风险资产的动态变化性和资产的多重风险属性,结合 Copula 函数与不确定性理论,设计风险资产结构不确定的商业银行整合风险的度量模型,运用随机模拟、神经网络与遗传算法相结合的求解算法,整合度量中国银行、交通银行和招商银行的市场风险和信用风险,结果表明：模型及求解的方法有效,基于历史数据规律对商业银行整合风险度量,更具优越性和实用性。     

中国税法通则的制定:问题与构想

制定税法通则是完善我国税收法律体系，保护国家税收利益和纳税人基本权益，实现税收法治的奠基工程。本文以税法法典化为视角和背景，对各国税法通则的立法体例和实践做法进行了比较分析，在此基础上，对我国税法通则的体例模式、基本内容、立法架构、立法时机和法案起草组织形式等进行了探讨，并提出了对策和方案。