近代西方金融均衡理论:进展与评述

在全球经济失衡,国内经济增长减速、物价上涨的大背帚下,经济的内外均衡问题已成为政策制定者的重要难题。本文旨在系统地梳理货币均衡、利率均衡以及内外均衡等西方金融均衡理论,以便更有效地研究制定解决内外均衡问题的经济政策。     

Culture and auditor choice: A test of the secrecy hypothesis

The purpose of this study is to investigate whether firms’ auditor choice relates to national culture. We construct a novel measure of secretiveness based on Hofstede [Hofstede, G., 1980. Culture’s Consequences: International Differences in Work Related Values. Sage Publications, Beverly Hills, CA] cultural factors. Using a very large sample of firms from 37 countries and controlling for a number of firm- and country-level factors, we find that firms in “more secretive” countries are less likely to hire a Big 4 auditor. We also document that the relation between secrecy dimension of national culture and auditor choice is mitigated by the firms’ degree of internationalization. These results establish a link between national culture and financial reporting quality through the firm’s choice of auditor.     

Stock price synchronicity and liquidity

We argue and provide evidence that stock price synchronicity affects stock liquidity. Under the relative synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity. Under the absolute synchronicity hypothesis, stocks with higher systematic volatility or beta are more liquid. Our results support both hypotheses. We find all three illiquidity measures (effective proportional bid-ask spread, price impact measure, and Amihud's illiquidity measure) are negatively related to stock return co-movement and systematic volatility. Our analysis also shows that larger industry-wide component in returns improves liquidity. We find that improvement in liquidity following additions to the S&P 500 Index is related to the stock's increase in return co-movement.     

Labor market evaluation versus legacy conservation: What factors determine retiring CEOs' decisions about long‐term investment?

Do CEOs nearing retirement attempt to boost short‐term firm performance or do they care more about what type of legacy they will leave behind? The two opposing predictions about the behavior of CEOs upon retirement suggest that retiring CEOs' decisions about certain long‐term investment items may be more complex than suggested in the literature. In search of an answer to this question, we examine the relationship between CEO retirement and the level of firm commitment to corporate social responsibility (CSR). The results show that CEO retirement has a negative effect on firm commitment to CSR. However, we found that the negative effect becomes weaker when CEOs retire at relatively older ages or are retained on the board of directors of their own firms. Our finding suggests that CEOs who face weaker pressure from the labor market for corporate directors may pay more attention to preserving their legacy. Copyright © 2014 John Wiley & Sons, Ltd.     

对中东石油发展前景的预测

在当前高油价下,石油产量“顶峰论”、“石油枯竭论”再度盛行,引发人们对世界石油前景的深思和对石油发展战略方向的讨论。尽管有人对作为世界主要石油生产和出口区的中东的石油前景作出了悲观论断,然而有一个事实不能忽略：新技术和新工艺的采用不仅可以减缓油田产量的下降,还可以使已进入“壮年期”的油田得以长期稳产甚至增产。基于对中东不同类型产油国油气开发阶段的客观分析和根据相关参数所作的产量预测,可以得出结论：中东的石油前景不是“黄昏的落日”,中东的石油产量远未达到“顶峰”。由于中东产油国长期执行“限产保价”政策以及部分国家战火连绵,中东的很多地区勘探程度不够。加大投资力度、提高技术水平、使石油政策向有利于石油开发的方向调整等是中东石油生产获得进一步发展的关键因素。     

GAN-MP hybrid heuristic algorithm for non-convex portfolio optimization problem

Abstract

During recent decades, the traditional Markowitz model has been extended for asset cardinality, active share, and tracking-error constraints, which were introduced to overcome the drawbacks of the original Markowitz model. The resulting optimization problems, however, are often very difficult to solve, whereas those of the original Markowitz model are easily solvable. In order to resolve the portfolio optimization problem for the new extensions, we developed a novel heuristic algorithm that combines GAN (Generative Adversarial Networks) with mathematical programming: the GAN-MP hybrid heuristic algorithm. To the best of our knowledge, this is the first attempt to bridge neural networks (NN) and mathematical programming to tackle a real-world portfolio optimization problem. Computational experiments with real-life stock data show that our algorithm significantly outperforms the existing non-linear optimization solvers.     

对收益法评估企业价值中折现率的思考

本文对于在运用收益法评估企业价值时折现率的选取进行了思考,提出通过对比目标公司与行业平均的财务指标对折现率进行计算。此文为作者一些思考和心得,与大家共同探讨。     

油墨特性不良引起的印刷质量问题

油墨是印刷生产重要的原材料之一,它的性能如何,对印刷生产效率和产品质量,有着很大的影响作用。在纸箱预印工艺中,因油墨特性不良引起的质量问题不乏其例,所以,正确认识与油墨有关的若干质量问题,采取相应的工艺技术措施进行预防和控制,对提高产品印刷质量,具有十分重要的意义。     

人民币升值压力中的非对称性分新

人民币升值问题始于2003年,我国于2005年7月实行了新的汇率制度改革,本次汇改后人民币出现稳步小幅升值过程,但是小幅升值并没有完全释放人民币升值压力.2010年中美有关人民币升值问题波澜再起,人民币升值呼声高涨.本质上,人民币升值压力并非经济基本因素所致,而是供求机制中的非对称性使然.本文以1998-2009年出口退税为例,运用两阶段最小二乘法及普通最小二乘法分析了人民币升值压力中的非对称性,结果表明,出口退税政策对人民币升值具有重要的促进作用.     

Economic shock,owner-manager incentives,and corporate restructuring: Evidence from the financial crisis in Korea

We examine how owner-managers incentives and firm-specific measures of corporate governance affect restructuring decisions during an economy-wide shock. Using a large sample of Korean firms that had experienced a severe financial crisis during 1997–1998, we find that the likelihood of restructuring is negatively related to the divergence of cash flow rights and control rights of controlling shareholders, and that the announcements of restructuring by chaebol firms with such divergence are greeted more negatively by investors. However, firm-specific measures of corporate governance such as total debt, bank loans, and equity ownership by unaffiliated financial institutions mitigate these negative effects, thereby influencing firms to choose value-maximizing restructuring policies. Our results suggest that the controlling shareholders' incentives to expropriate other investors are high during an economic shock. Our results also highlight the importance of corporate governance in mitigating such expropriation incentives, and provide important implications for the role of corporate governance during an economic shock, such as the 2007–2008 global financial crisis.