Maximum likelihood estimation of the double exponential jump-diffusion process

The double exponential jump-diffusion (DEJD) model, recently proposed by Kou (Manage Sci 48(8), 1086–1101, 2002) and Ramezani and Zeng (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=606361, 1998), generates a highly skewed and leptokurtic distribution and is capable of matching key features of stock and index returns. Moreover, DEJD leads to tractable pricing formulas for exotic and path dependent options (Kou and Wang Manage Sci 50(9), 1178–1192, 2004). Accordingly, the double exponential representation has gained wide acceptance. However, estimation and empirical assessment of this model has received little attention to date. The primary objective of this paper is to fill this gap. We use daily returns for the S&;P-500 and the NASDAQ indexes and individual stocks, in conjunction with maximum likelihood estimation (MLE) to fit the DEJD model. We utilize the BIC criterion to assess the performance of DEJD relative to log-normally distributed jump-diffusion (LJD) and the geometric brownian motion (GBM). We find that DEJD performs better than these alternatives for both indexes and individual stocks.     

电子商务中消费者心理与行为分析

对电子商务中影响我国消费者网上消费的心理因素进行分析的基础上,描述了消费者网上消费行为的具体表现,并提出了我国企业在电子商务环境背景下应采取的相应对策。     

The antecedents of tourists’ gaming spend: does the brand prestige matter?

This study endeavors to empirically analyse the influential effect among brand prestige, service quality, casino visitor satisfaction and spend. Data from 304 tourists who had travelled to Macau and had participated in gambling activities were used and structural equation modelling and multi-group analysis were employed in hypotheses testing. The findings demonstrated that both brand prestige and perceived service quality are determinants of satisfaction and gaming spend, and that brand prestige also affects service quality positively. Furthermore, past experience moderates the service quality and visitors’ satisfaction relationship, also service quality and visitors’ gaming spend relationship.     

我国惠农政策的成效评价及完善研究 ———以江西为例

以近5年来江西省惠农政策实施为例,系统分析各项惠农政策的具体实施过程、效果、存在问题及其原因,深入了解地方政府、农村集体、农户对惠农政策的期望,构建我国现阶段惠农政策实施成效评价的指标体系.在惠农政策的方案优化、惠农政策执行力度的强化、惠农政策的监督管理、惠农政策的评估与反馈等方面提出完善的对策与措施.     

当前农村公共服务供给分析——以服务制度创新为视角

当前我国农村公共服务供给凸显供需结构失衡、非均衡化与非对称性、主体错位与渠道单一等现实困境。其主要根源于城乡“二元”割裂的服务理念、自上而下的服务决策体制、单一格局的服务主体、对服务过程的监督乏力以及服务方式的制度安排不合理。为此,我国应该牢固树立“均等化”的服务理念;构建双向互动的服务决策体制;营造“四位一体”的服务主体体系;建立健全对服务过程的监督制度;优化服务方式的制度安排。     

论大学生公共精神的缺失及其对策

基于当代大学生公共精神之状况,从深入分析当代大学生公共精神缺失的原因和加强大学生公共精神建设的必要性入手,提出了如何开展行之有效的培育公共精神的对策。     

Intercorporate Ownership,Taxes, and Corporate Payout Choices*

This paper examines whether corporate payout choices (dividends or share repurchases) are associated with intercorporate ownership in a firm. Using the System for Electronic Document Analysis and Retrieval (SEDAR) and the Inter‐Corporate Ownership (ICO) database from Statistics Canada, I find that intercorporate ownership is positively associated with a firm’s propensity to pay dividends and negatively associated with a firm’s propensity to repurchase shares. The findings are robust to the endogeneity of intercorporate ownership and the inclusion of various control variables such as firm size, risk, liquidity, growth, and profitability.     

高科技企业研发投入同群效应研究

探讨高科技企业研发投入的同群效应,特别是企业面临的市场环境不确定性,以及体现制度环境的知识产权保护对高科技企业研发投入同群效应的影响。实证分析沪深A股2009—2017年高科技上市公司数据,结果表明：①高科技企业研发投入存在显著的同群效应;②环境不确定性显著负向调节高科技企业研发投入的同群效应,即环境不确定性弱化了企业研发投入的行业趋同;③知识产权保护显著正向调节高科技企业研发投入的同群效应,即知识产权保护强化了企业研发投入的行业趋同。结论丰富了企业研发投入同群效应研究成果,为考察企业所处外部市场与制度环境对企业研发投入同群效应的影响提供了新视角。     

服务社会:陈光甫经营管理思想的核心

陈光甫以"服务社会"为经营宗旨,以仅有微薄资本的"小小银行"成长为中国近代第一大私人商业银行,创造了中国金融史上多个"第一"。陈光甫的"服务社会"思想,表现为在存款上银元与银两并用,吸收小额储蓄,创办礼金储蓄等;在贷款上,不仅注重工商业的放款,而且还积极创办对农业和个人小额信用的贷款,全方位支持国家各行业、各阶层的金融需要。     

食品质量与安全专业与本地食品产业协同发展研究

近年来,多个院校都新设了食品质量与安全专业。在当前食品行业发展形势下,高校与食品产业紧密结合,采取多种形式全面合作,双方共建实践教学基地、食品行业培训基地和产学研平台。常州大学食品质量与安全专业多年来进行与本地食品产业协同发展的探索和实践,取得了较好的成果。