Two-moment decision models and rank-dependent utility

This paper extends results on the consistency of two-moment decision models with expected utility to rank-dependent utility preferences. The representations of expected utility and rank-dependent utility by --preferences have very similar comparative statics properties for linear distribution classes, except for the behavior with respect to small independent risks.I thank Soo Hong Chew for helpful discussion and three anonymous referees for valuable comments.     

从对冲套利看可转债资产替换

在缺乏卖空机制的环境下，可转债相对价值的实现将主要来源于转债与股票之间的资产替换。尤其是在杠杆放大的资产替代策略下，可转债投资的盈利模式将出现根本性变化，股票价格的波动成为影响策略应用效果的最重要因素。本从对冲套利的角度，通过对等额和杠杆放大资产替换策略的模拟与分析，就资产替换策略的应用环境、杠杆选择与实证效果等问题进行了较为详尽的研究。     

航天科工集团公司制定"十一五"发展规划

中国航天科工集团公司以党中央、国务院、国家发改委、国防科工委等相关部门政策文件为依据,以邓小平理论、“三个代表”重要思想以及科学发展观为指导,坚持面向市场、航天为本、科技创新、质量制胜等思想,制定了《中国航天科工集团公司“十一五”发展规划》,确立了统筹、协调发展等六项原则.     

Regulation and investment behaviour in the telecommunications sector: policies and patterns in US and Europe

This paper reports the results of the quantitative analysis of international experience of the relationship between infrastructure investment in the deployment of capacity that can carry large volumes of voice and data traffic and regulatory policy changes in the telecommunications sectors. It looks at the relationship between infrastructure investment for these infrastructure assets and the access pricing régimes for local exchange carriers in the United States and Europe. It then looks at the relationship between various aspects of regulatory and institutional policy changes in Europe and how they affect access prices.The paper finds that a lower access price promotes greater deployment of digital technology among US incumbent local exchange carriers (ILECs). Based on this finding, it suggests that it is in the ILECs interest to have access to their networks encouraged.The European data for interconnection are recent and far reaching conclusions are not feasible, but the findings, however, suggest that competition has worked by facilitating new entry through decreasing interconnection prices, although path dependencies, of existing and traditional concepts, in the mindsets of operators as well as regulators, may account for these findings.     

Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.     

中国资本市场发展中的融资陷阱分析

西方发达国家的融资实践已经证实,现代融资理论的融资优序定律对企业融资具有显著的指导意义,企业应偏好于债权融资方式。而我国上市公司在融资方式上却存在着明显的股权融资倾向。这一反常现象在实践中不仅对上市公司造成了不利影响,同时也给我国经济宏观层面带来了一定的负面效应,笔者据此提出了资本市场的“股权融资陷阱”分析。当前,分析“股权融资陷阱”产生的背景和影响,对于优化我国上市公司资本结构,顺利实现上市公司股权分置改革无疑具有重要意义。     

或有表外项目的分类和计量研究

2001～2002年，大量的重大会计丑闻曝光，这些问题暴露了公司治理、审计实务和财务报告中的薄弱环节，其中两个主要问题是表外项目的范围（包括特殊目的实体的使用）和股票发行者的财务报告是否透明地反映了表外项目的经济实质。本文主要对或有表外项目中投资的分娄和计量进行兮析，并提供了美国上市公司投资于其他实体的经验研究与发现，以期对今后的衍生金融工具的会计处理提供借鉴。     

Valuation of vulnerable American options with correlated credit risk

This article evaluates vulnerable American options based on the two-point Geske and Johnson method. In accordance with the Martingale approach, we provide analytical pricing formulas for European and multi-exercisable options under risk-neutral measures. Employing Richardson’s extrapolation gets the values of vulnerable American options. To demonstrate the accuracy of our proposed method, we use numerical examples to compare the values of vulnerable American options from our proposed method with the benchmark values from the least-square Monte Carlo simulation method. We also perform sensitivity analyses for vulnerable American options and show how the prices of vulnerable American options vary with the correlation between the underlying assets and the option writer’s assets.      

关于无形资产评估中折现率确定方法的探讨

折现率的预测和确定是无形资产评估中的难点问题之一。由于折现率是影响评估结果准确度的重要参数,所以在当前对高质量资产评估结果的需求日益迫切的背景下,有必要再度探讨无形资产折现率确定方法的相关问题。本文提出应根据引起无形资产评估的具体情况来选择合理的折现率确定方法;同时也提出了无形资产折现率确定方法运用和发展的几点建议:科学性和合理性相结合、静态分析与动态分析相结合、因素分析与模型分析相结合。