Creative destruction and firm-specific performance heterogeneity

Traditional U.S. industries with higher firm-specific stock return and fundamentals performance heterogeneity use information technology (IT) more intensively and post faster productivity growth in the late 20th century. We argue that this mechanically reflects a wave of Schumpeter's creative destruction disrupting a wide swath of industries, with successful IT adopters unpredictably undermining established firms. This validates endogenous growth theory models of creative destruction and suggests intensified creative destruction as explaining findings associating greater firm-specific performance variation with higher per capita GDPs, economy growth rates, accounting standards, financial system development, and property right protection.     

Tail mutual exclusivity and Tail-VaR lower bounds

In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (1999). The safest dependence structure among risks. Insurance: Mathematics and Economics 25, 11–21] to its tail counterpart and baptize this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency structure, at most one exceedance over the corresponding Value-at-Risks (VaRs) is possible, the other components being zero in such a case. No condition is imposed when all components stay below the VaRs. Several properties of this new negative dependence concept are derived. We show that this dependence structure gives rise to the smallest value of Tail-VaR (TVaR) of a sum of risks within a given Fréchet space, provided that the probability level of the TVaR is close enough to one.     

Factor pricing in commodity futures and the role of liquidity

This paper empirically investigates the pricing factors and their associated risk premiums of commodity futures. Existing pricing factors in equity and bond markets, including market premium and term structure, are tested in commodity futures markets. Hedging pressure in commodity futures markets and momentum effects is also considered. This study combines these factors to discuss their importance in explaining commodity future returns, while the literature has studied these factors separately. One of the important pricing factors in equity and bond markets is liquidity, but its role as a pricing factor in commodity futures markets has not yet been studied. To our knowledge, this research is the first to study liquidity as a pricing factor in commodity futures. The risk premiums of two momentum factors and speculators’ hedging pressure range from 2% to 3% per month and are greater than the risk premiums of roll yield (0.8%) and liquidity (0.5%). The result of a significant liquidity premium suggests that liquidity is priced in commodity futures.     

小额贷款公司区域经营效率研究——基于普惠金融视角

运用DEA超效率模型和Malmquist指数模型对我国31个省(市、自治区)的小额贷款公司的静、动态效率进行测算及评价,结果显示:从静态效率看,我国小额贷款公司的整体效率并不高,并且在考察期内呈倒U型,其中,东部地区最好;中部地区最差;西部地区适中,但增长潜力较大.从动态效率来看,我国小额贷款公司的全要素生产率整体上增长状况良好,其中,西部地区增长最快,中部地区比较缓慢,而东部地区出现负增长.为此,国家应采取相应对策措施,完善小额贷款公司治理机制,以实现其承载普惠金融的财务目标.     

关联交易与公司价值--基于我国证券市场的实证证据

文章首先通过描述性分析发现关联交易在上市公司中是一种非常普遍的现象,接着对关联交易与公司价值之间的关系进行检验发现:与控股股东、兄弟企业的关联交易会侵占上市公司的资源,导致公司价值的下降,支持利益冲突假设;而与下属企业间的交易则会为上市公司输入资源,提升公司的价值,支持有效交易假设。     

Underwriter reputation,earnings management and the long‐run performance of initial public offerings

This study contributes to the extant literature on the nature of earnings management surrounding initial public offerings (IPOs) by investigating the role of underwriter reputation. We argue that prestigious underwriters will protect their reputation by carefully monitoring and certifying financial information on IPO firms, thereby limiting any potential earnings manipulation. As a result, those IPO firms that are associated with more prestigious underwriters are likely to exhibit substantially less‐aggressive earnings management. Conversely, we find the existence of a negative relationship between earnings management and the post‐offer performance of an IPO firm’s stocks only for those firms associated with less‐prestigious underwriters.     

长期护理保险制度建设的国际经验及启示

长期护理保险制度在我国是一个新名词,还没有真正进入商业保险和社会保险的实践。但随着我国步入老龄化社会,老年人的长期护理问题将越来越突出地表现为一个需要迫切解决的社会问题。本文通过总结介绍美国、德国、日本、韩国等国家的长期护理保险制度建设的历史经验,分析了该制度实施的路径,提出了在我国建设长期护理保险制度的可行措施和建议。     

风险导向与成本预期:基层央行风险审计模式实践案例

当前,基层人民银行在履行货币调拨、支付清算和经理国库等职能过程中,面临着较多的业务潜在风险,传统的制度基础审计难以满足基层央行履行新职责对内审工作的新需求,亟需引入风险导向审计新模式。人行威海市中支探索实践的"点对点"风险导向审计模式,通过对固有风险和控制风险的有效评估、以及对确定的风险点的实质性测试,实现了审计关口前移,在防范业务风险和规范业务发展方面富有效率。     

关于构建我国药品不良反应保险救济机制问题的研究

2006年上海试点的“严重药品不良反应综合保险”初探市场,未能实现药企蜂拥而至的期望局面,而是十分落寂地收场。药品不良反应保险救济机制一直未能实现,已成为我国医药业一大难题。本文通过对药品不良反应定义的分析,探析了我国建立药品不良反应保险救济机制的可行性,再结合近期的“严重药品不良反应综合保险”的失败经验,提出了完善救济制度、累积相关数据、建立鉴定委员会、政府补贴并强制购买等相关的政策与建议。     

国际金融中心发展的新趋势及其对上海的启示

伦敦、纽约等国际金融中心金融集聚和扩散的动态过程,反映了金融中心的发展趋势。本文从拥塞效应、金融安全、追随客户、地区竞争以及通讯技术的迅速发展等方面解释了金融扩散的原因。针对上海陆家嘴金融贸易区金融集聚和扩散的现状,结合静安寺、淮海路商圈总部经济和金融机构集聚度较高的状况,提出了上海建设国际金融中心规划布局中“1＋3＋1”,即“一主三副”和一个灾备中心的构想。