Regulatory Capital Charges for Too‐Connected‐to‐Fail Institutions: A Practical Proposal

The recent financial crisis has highlighted once more that interconnectedness in the financial system is a major source of systemic risk. I suggest a practical way to levy regulatory capital charges based on the degree of interconnectedness among financial institutions. Namely, the charges are based on the institution's incremental contribution to systemic risk based on a risk budgeting approach. The imposition of such capital charges could go a long way towards internalizing the negative externalities associated with too‐connected‐to‐fail institutions and providing managerial incentives to strengthen an institution's solvency position, and avoid too much homogeneity and excessive reliance on the same counterparties in the financial industry.     

异质网络下含有相关系数的SIR传染病模型的建立和分析

在疾病传播过程中,染病者和易感者有多大的倾向接触是传染病是否流行的关键因素。为了研究相关系数在疾病传播过程中的动力学行为以及其对于传染病传播动力学特性的影响,将状态节点之间的相关系数作为动态变量,利用二元组的反卷积逼近方法,在异质网络上建立了含有相关系数的SIR传染病动力学模型,分析了系统平衡点的存在性,给出了染病者与易感者之间相关系数存在正值的条件。在泊松分布下,模拟出了平衡状态下相关系数的三维变化图。通过生物学意义,用概率的方法,给出了系统的最终规模。结果表明,通过分析含有相关系数的SIR传染病模型,得到SIR传染病模型复杂的动力学性态,即当染病者数量趋于零时,染病者与易感者之间的相关系数不为零。研究模型在控制传染病传播的动力学研究方面具有一定的参考价值。     

Barriers to EMS in the hotel industry

While some hotels have adopted the formal environmental management system (EMS) or the internationally recognised ISO 14001 Environmental Management Standard for the sake of the environment—or other claimed benefits—many hotels are still standing at the crossroads in adopting EMS. This exploratory study was conducted with the aim of investigating the barriers to EMS in the hotel industry in Hong Kong SAR. Of the 330 questionnaires mailed, 83 were returned. Using exploratory factor analysis to identify interpretable orthogonal factors, six factors that hinder hotels from adopting formal EMS were identified and interpreted. They are: (1) lack of knowledge and skills; (2) lack of professional advice; (3) uncertainty of outcome; (4) certifiers/verifiers; (5) lack of resources; and (6) implementation and maintenance costs. Independent samples t-test and ANOVA analysis were also conducted to gain a better understanding of the significant differences in the identified six factors on the barriers to adopting and implementing EMS in the hotel industry among different hotel demographic variables. Implications of the findings are discussed, while recommendations are made to reduce the barriers inhibiting the adoption of EMS in the hotel industry.     

Analysts’ recommendations: from which signal does the market take its lead?

The stock market may respond to the difference between an analyst’s recommendation and that analyst’s previous recommendation and/or to the difference between the analyst’s recommendation and the consensus recommendation. We show that for the short-term market response the former is the clearer signal when both are examined simultaneously. We also show that the market’s reaction is strongly influenced by the analyst’s reputation, the divergence of opinion among analysts and the number of analysts following the stock. Previous studies have been hampered by having a low proportion of negative recommendations. We overcome this deficiency by studying the Australian market, in which institutional differences lead to analysts releasing many more negative recommendations.

Does firm performance reveal its own causes? the role of Bayesian inference

A central problem in strategic management is how the inference ‘sustainable competitive advantage generates sustainable superior performance’ can be put into practice. In this article we develop a theoretical framework to understand the causal relationships among (1) sustainable competitive advantage, (2) configuration, (3) dynamic capability, and (4) sustainable superior performance. We propose that a firm's competitive advantage, resource bundle configuration, and dynamic learning capability cannot be comprehended by outsiders. Its operational performance, however, can be captured by financial indicators. We promote an inductive Bayesian interpretation of the sustainable competitive advantage proposition. From this viewpoint, the presence or absence of competitive advantage may be reflected in the causal relationship between resource configuration, dynamic capability, and observable financial performance. We apply this theoretical framework to an example drawn from the global semiconductor industry, an area in which resource configuration and dynamic capability are essential to performance. The paper concludes with a summary of the proposed model and suggestions for future theoretical development of strategic management. Copyright © 2009 John Wiley & Sons, Ltd.     

On portfolio optimization: forecasting covariances and choosing the risk model

We evaluate the performance of models for the covariance structureof stock returns, focusing on their use for optimal portfolioselection. We compare the models' forecasts of future covariancesand the optimized portfolios' out-of-sample performance. A fewfactors capture the general covariance structure. Portfoliooptimization helps for risk control, and a three-factor modelis adequate for selecting the minimum-variance portfolio. Undera tracking error volatility criterion, which is widely usedin practice, larger differences emerge across the models. Ingeneral more factors are necessary when the objective is tominimize tracking error volatility.     

The Analysis of Rural Regional Disparity in China

Rural regional disparity has now become one of the most concerning problems in China. This paper attempts to show that the inequality is mainly caused by the uneven development of rural collectively owned enterprises (COEs). In the early 1990s, COEs accounted for more than 70% of rural regional inequality. In order to evaluate the effectiveness of current government policies for lessening regional disparity, we use a data envelopment analysis to measure the efficiency of COEs in the rural areas. The analysis shows that COEs in the eastern region are relatively more efficient than those in the central and western regions. To explain this, the potential sources of the COEs' production efficiency in different provinces are examined in detail. The production efficiency of Chinese COEs is found to be closely related to the employment of a shareholding cooperative system, foreign investment, skilled workers, and a bonus incentive scheme.     

电力企业部门主管绩效考评探讨

目前大多数电力企业对部门主管的考评存在制度不规范、指标设计不合理、考评方法原始、对考评结果疏于管理等问题。本文简述了电力企业部门主管绩效考评的意义,提出电力企业部门主管绩效考评设计应遵循的基本公开性、重视反馈性、可行性和实用性、重视时效性、定期化与制度化、立体化等原则。指出考评指标设计应注意选用的指标要简单、明确,指标设计要坚持定量指标与定性指标、个体指标与中层指标相结合的原则,要将任务绩效、管理绩效和关联绩效等指标相结合等问题。