Valuation of R&D real American sequential exchange options

Valuation of R&D real American sequential exchange options requires specifying the pattern of R&D expenditures and the stochastic process of the eventual R&D project. We model the stages of R&D expense and then the ultimate discovery (and the development cost for the discovery) using real sequential (compound) exchange option models. We study E_Commerce R&D, so the timing is relatively short‐term, with initial R&D, a second phase of R&D, and a final development phase, when the project values are realized. We use proxies from the financial markets for expected project value and cost volatilities (and correlation). Then the real option valuation is based on an approximate American sequential exchange option.     

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

We use a contingent claims framework for valuing the the default and prepayment embedded options in certain British fixed-rate endowment mortgages, with a (capped) mortgage indemnity guarantee (MIG). This methodology provides a template for the borrower, lender, and insurer to compare mortgage terms, including the fairness of contract rates, arrangement fees, prepayment penalties, any MIG premiums required, and co-insurance exposure. With empirical inputs, this model may eventually be useful as a mark-to-value proxy for all parties, as expected parameters change (especially interest rate and house price levels, and expected future volatilities), for purposes of determining valued added accounting, appropriate reserves, and indeed for setting premiums and business drivers. Fixed-rate endowment mortgages differ from fixed-rate repayment mortgages primarily because, in the event of early termination, the amount owed by the borrower is a function of the evolution of the term structure of interest rates, whereas for a repayment mortgage it is pre-determined. We compare endownment and repayment mortgages for different levels of loan-to-value ratios, interest rate and house price volatilities.     

Endogenous realignments in a target zone

We examine the effects of endogenously determined realignmentexpectations in a model of a target zone with sluggish priceadjustment. We allow these expectations to be based on a policyrule which generates an increasing probability of realignmentas output moves away from full employment. For realistic parametervalues, relatively small misalignments of the currency bandlead to strongly skewed conditional distributions for the nominalexchange rate, thus generating pressures for realignment. Thereason for this is that the speed of adjustment in the absenceof realignments is rather slow. Even infrequent realignmentssignificantly increase the speed of adjustment.     

Supply Chain Relationships for Customer Satisfaction in China: Interdependence and Cooperative Goals

This study develops a model based on Deutsch’s theory of cooperation and competition to clarify the supply chain relationships and interactions that contribute to customer satisfaction. Results of structural equation analyses suggest that organizations and suppliers and organizations and distributors who recognize each other’s importance develop cooperative rather than competitive and independent goals. With cooperative goals, they come to trust each other and work for continuous improvement; these relationships in turn result in the products and service that satisfy customers. Results were interpreted as suggesting that cooperative goals are an important basis for developing effective supply chain partnerships in Asia and perhaps in other regions as well.     

设备维修50年的历史教训

作者从事设备维修工作已有50年，在许多国家、许多工业部门担任过许多角色。本文包括了维修历史，在过去半个世纪中完成了哪些维修工作，以及今后半个世纪中遇到的挑战。举几个例子，由于缺乏维修，如何导致工厂关门、集团倒闭以及少数情况的人员伤亡。有幸的是优良的维修已经使许多工业取得较好的效益和良好的环境，以及提高了维修职业的形象和地位。本文还说明在一些工业和单位中仍然存在如何继续降低维修费用的问题，有些情况还导致事业失败、破坏环境以及人员伤亡等情况。本文的目的在于引起维修界、广大工业界对维修工作与国家和全球利益的关系进行讨论。     

Closed‐End Fund Discounts and Expected Investment Performance

This article provides empirical support for the theory that closed‐end fund discounts reflect expected investment performance. Evidence is presented to explain how equity closed‐end fund initial public offerings (IPOs) can sell at a premium when existing funds sell at a discount and why the initial IPO premiums decay after the IPO. Relative premium decay data are presented. Tests on (1) the relation between relative premium changes and investment performance following IPOs, (2) relative premium mean‐reversion following management changes, and (3) net redemptions following closed‐end fund open‐endings for funds trading at pre‐open‐ending announcement discounts individually support and collectively strongly support the theory.     

Accounting and the global fight against corruption

This paper draws on a governmentality framing to consider the global fight against corruption and the role of accounting in that fight. Specifically it examines two contrasting modes of thought or ‘mentalities’ in the anticorruption field and the manner in which they shape, envision, and constitute the cultural and technological practice of accounting. The first of these—the orthodox mentality—is evident in the programmatic discourses and academic research of the major anticorruption organizations (esp., the World Bank, United Nations, IMF, OECD, and Transparency International). This mentality has us envision accounting’s involvement in the fight as part of a relatively unproblematic if not noble cause. The second, radical mentality draws on race-, gender-, and class-based commentaries and has us see accounting’s involvement in more ambivalent terms: as a potential enabler but also a potential constrainer of economic accountability and the achievement of the liberal republican dream.