Arbitrage opportunities and immunization

It is often argued that an immunization strategy violates arbitrage-free equilibrium. Because immunization is a static concept, we contend that this argument is not valid. This paper examines the immunization strategy in a dynamic setting, and shows that global immunization is feasible for any arbitrage-free affine term structure model, including the parallel shift model. Further, we show that immunization does not violate arbitrage-free pricing because the cost of immunization over time is positive. Consequently, immunization strategies based upon commonly used duration, measures are not theoretically unsound.     

Optimal mechanism design when both allocative inefficiency and expenditure inefficiency matter

We characterize the structure of optimal assignment rules when both allocative inefficiency and expenditure inefficiency (e.g., rent-seeking) are present. We find that the optimal structure critically depends on how the hazard rate of the value distribution behaves, and that it is often optimal to use probabilistic assignment rules so that the winner of the object is not always the one with the highest valuation. We also find that the inefficiency of the optimal assignment rule decreases as the variability of the value distribution increases.     

Arbitrage, equilibrium, and gains from trade: A counterexample

We present a counterexample to a theorem due to Chichilnisky (Bulletin of the American Mathematical Society, 1993, 29, 189–207; American Economic Review, 1994, 84, 427–434). Chichilnisky's theorem states that her condition of limited arbitrage is necessary and sufficient for the existence of an equilibrium in an economy with unbounded short sales. Our counterexample shows that the condition defined by Chichilnisky is not sufficient for existence of equilibrium. We also discuss difficulties in Chichilnisky (Economic Theory, 1995, 5, 79–107).     

抓好战略管理实现战略制胜

本文围绕抓好战略管理,实现战略制胜这一中心,集中论述了企业战略管理中的三个重要问题:一是战略管理的必要性、重要性和紧迫性;二是战略管理中的五个基本矛盾,即组织与环境的矛盾,资源与目标的矛盾,旧业与新业的矛盾,生存与发展的矛盾,兴办企业与保护环境的矛盾;三是抓好战略管理对企业管理者的要求.     

Arbitrage pricing theory and risk-neutral measures

Abstract We consider a market with countably many risky assets and finite factor structure, as in the “arbitrage pricing theory” of Ross (1976). We prove necessary and sufficient conditions in terms of parameters for the existence of an equivalent risk-neutral measure, i.e., a measure under which each asset return has zero expected value. We relate these conditions to a certain absence of arbitrage property of the model. Mathematics Subject Classification (2000): 91B24, 91B28 Journal of Economic Literature Classification: G10, G12     

Arbitrage in stationary markets

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of “volatility-induced growth” in stationary markets. Financial support by the Swiss National Center of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK) is gratefully acknowledged.     

Managerial and program inefficiency for European meat manufacturing firms: A dynamic multidirectional inefficiency analysis approach

This paper proposes a dynamic multidirectional inefficiency analysis approach within the context of Data Envelopment Analysis to measuring input- and investment-specific managerial and program inefficiency for groups of firms characterized by different technologies. Dynamic managerial inefficiency refers to the distance to the firms’ group-specific dynamic frontier of best practices, and dynamic program inefficiency measures the difference between the group-specific dynamic frontier and the pooled dynamic frontier. The empirical application focuses on panel data of large meat processing firms in Eastern, Western and Southern Europe over the period 2005–2012. The results show that Eastern European firms have the highest dynamic managerial inefficiency for all inputs, but have the smallest values for dynamic program inefficiency. Western European firms perform worst in terms of program inefficiency for all inputs, while Southern European firms are the best with regard to dynamic managerial inefficiency. The results also reveal that regardless the dynamic inefficiency dimension considered, investments is the most inefficient input, followed by labor, and materials.     

Communities and social inefficiency with heterogeneous groups

We present a model where society is partitioned into groups, or communities, whose preferences may conflict. In particular, the actions of members of a certain group can inflict negative spillovers on members of other groups. We show that, on one hand, coordination at the group-level may be Pareto inefficient. However, on the other hand, by using a replicator equation approach where there is some moral pressure from co-members, we show that substantial compliance to group׳s norms arises endogenously. Our framework can also account for “cultural maladaptations”, i.e., the persistence of cultural traits which are harmful for community members, and for the society as a whole.     

Constrained inefficiency of competitive entrepreneurship

We study the constrained efficiency of a competitive entrepreneurship model that features the occupation choice between entrepreneurs and workers. It is shown that, even when (1) the only friction is uninsurable entrepreneurial risks and (2) agents are risk-averse, the competitive market can generate too many entrepreneurs. We present a sufficient statistic that determines the constrained inefficiency and its direction (whether market generates too many entrepreneurs or too few) by exploiting the unique feature of the model where the equilibrium is characterized by an indifference condition instead of a marginal condition. The framework is also pedagogically useful to understand constrained efficiency analysis at intuitive level.     

Arbitrage,speculation and futures price fluctuations with boundedly rational and heterogeneous agents

This paper proposes a dynamic model for the futures market with three types of investors. The bounded rationality and heterogeneity of investors are taken into consideration. The equilibrium of the system and its stability conditions are derived with mathematical analysis. In the equilibrium, the futures price and the spot price converge to the equilibrium simultaneously. The equilibrium is determined by many factors, including the risk appetite and the rationality of investors, the trading costs, the arbitrage basis price and the fundamental price. When the stability conditions are violated, complex dynamics will emerge in the market. As shown by the simulations, the arbitrage is likely to destabilize the market. Moreover, when investors have the high degree of rationality, the equilibrium will become unstable and the futures market is inefficient. Statistical analysis indicates that the model can reproduce the stylized facts observed in the futures market, such as long memory, volatility clustering and fat tail of returns.

     

The Solow residual,Domar aggregation,and inefficiency: a synthesis of TFP measures

We consolidate and interrelate the four main approaches to the measurement and decomposition of total factor productivity growth, namely Solow’s residual analysis, the index number approach, Data Envelopment Analysis, and Domar aggregation. Two new results link the general technology TFP growth measure to the industry Solow residuals and inefficiency.     

Mergers,strategic investments and antitrust policy

Established firms can diversify into new markets in two distinct modes: through internal development or through conglomerate merger. Building on a dynamic three-stage bargaining model with variable threats, this paper shows that a lenient antitrust position toward horizontal mergers can induce established firms that would otherwise not have entered to enter via conglomerate merger. The vigor of antitrust enforcement toward horizontal mergers also affects the conglomerate acquisition price but it does not influence the choice of entry mode. Finally, the paper brings to light a heretofore neglected avenue through which conglomerate mergers can increase welfare.     

A zero inefficiency stochastic frontier model

Traditional stochastic frontier models impose inefficient behavior on all firms in the sample of interest. If the data under investigation represent a mixture of both fully efficient and inefficient firms then off-the-shelf frontier models are statistically inadequate. We introduce the zero inefficiency stochastic frontier model which can accommodate the presence of both efficient and inefficient firms in the sample. We derive the corresponding log-likelihood function, conditional mean of inefficiency, to estimate observation-specific inefficiency and discuss testing for the presence of fully efficient firms. We provide both simulated evidence as well as an empirical example which demonstrates the applicability of the proposed method.     

Price impact,strategic interaction and portfolio choice

This paper studies the portfolio choice of two large investors who act strategically because their trading affects interest rates. Each investor chooses her optimal portfolio conditional on the portfolio of the opponent. Equilibrium portfolios and their performance depend on the investor’s characteristics (risk aversion and return impact) and on the characteristics of the opponent (risk aversion and return impact). Depending on the interplay among these characteristics, strategic interaction can (i) increase or decrease risk taking incentives, as compared to the Merton-style portfolio, (ii) induce the more risk-averse investor to invest relatively more in the risky asset and (iii) change the role of inflation-linked bonds from hedging instrument to borrowing opportunity.     

Target costing,co-ordination and strategic cost management

During the last years issues of strategic management accounting have received widespread attention in the accounting literature. Yet the conceptual foundation of most proposals is not clear. This paper presents a theoretical analysis of one of the most prominent approaches of strategic management accounting, i.e. target costing. We analyse three distinct characteristics of this strategic management accounting tool, namely its market orientation, its use as co-ordination instrument and its interaction with other factors affecting long-term cost structure in the form of strategic learning. The analysis shows that the more ‘strategic’ dimensions are added to the problem of cost management, the less valid are ‘strategic’ management accounting proposals in terms of the usual way target costing is employed.     

Shadow profit maximization and a measure of overall inefficiency

Determining the profit maximizing input–output bundle of a firm requires data on prices. This paper shows how endogenously determined shadow prices can be used in place of actual prices to obtain the optimal input–output bundle where the firm’s shadow profit is maximized. This approach amounts to an application of the Weak Axiom of Profit Maximization (WAPM) formulated by Varian [(1984) The Non-parametric approach to production analysis. Econometrica 52:3 (May) 579–597] based on shadow prices rather than actual prices. At these shadow prices, the shadow profit of a firm is zero. The maximum shadow profit that could have been attained at some other input–output bundle is shown to be a measure of the inefficiency of the firm. Because the benchmark input–output bundle is always an observed bundle from the data, it can be determined without having to solve any elaborate programming problem.

企业计划职能的弱化及其对策

计划职能是管理的五项职能之一 ,并贯穿于其它职能之中。企业计划职能与管理的有效性息息相关。在对目前企业存在计划职能弱化现象分析的基础上 ,提出了治理对策。