Pricing executive stock options with averaging features under the Heston–Nandi GARCH model

In this paper, we focus on the pricing issue of four types of executive stock options (ESOs) in the Heston–Nandi generalized autoregressive conditional heteroskedasticity option pricing model. Based on the derived benchmark strike prices in the proposed framework, we obtain the closed-form pricing formulae for four types of ESOs. In the numerical part, we investigate the sensitivity and cost efficiency of ESOs and suggest that systematic risk (stock β) and the fraction of wealth invested in restricted stock could impede the cost efficiency of ESOs.     

The impact of crude oil inventory announcements on prices: Evidence from derivatives markets

This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near‐the‐money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage‐related news variables.     

Incentives to move up: Effects of pay gaps between levels on employee performance

Employees of a certain rank are motivated by the pay gap between them and the levels above (upward comparison), and the pay gap between them and the levels below (downward comparison). In some cases, employees face multiple upward comparisons such as immediate and subsequent upward comparisons. We hypothesise that upward comparison matters more than downward comparison, and in the case of multiple upward comparisons, the immediate one matters more than the subsequent ones. We also hypothesise that the pay gap effect resulting from the upward/downward comparison ought to be non‐linear in that performance increases with pay gap size at a decreasing rate. The results from two empirical studies, namely, a longitudinal field study and a laboratory experiment, largely support our hypotheses.     

基于结构方程模型的快递行业顾客满意度研究

采用结构方程模型对理论模型进行验证。研究结果显示,顾客消费期望对满意度的影响最大,且成负向关系。除直接影响外,其还通过快递企业服务流程和顾客价值感知间接影响顾客满意度。     

Concept‐Based Bayesian Model Averaging and Growth Empirics

In specifying a regression equation, we need to specify which regressors to include, but also how these regressors are measured. This gives rise to two levels of uncertainty: concepts (level 1) and measurements within each concept (level 2). In this paper we propose a hierarchical weighted least squares (HWALS) method to address these uncertainties. We examine the effects of different growth determinants taking explicit account of the measurement problem in the growth regressions. We find that estimates produced by HWALS provide intuitive and robust explanations. We also consider approximation techniques which are useful when the number of variables is large or when computing time is limited.     

Effect of Parental Migration on the Academic Performance of Left‐behind Middle School Students in Rural China

China's rapid development and urbanization over the past 30 years have caused large numbers of rural residents to migrate to urban areas in search of work. This has created a generation of children who remain behind in rural areas when their parents migrate for work. Previous research has found mixed impacts of parental migration on the educational achievement of left‐behind children (LBC), perhaps because of methodological deficiencies and lack of recognition of the heterogeneity of this population of children. Our study attempts to examine the impact of six types of parental migration on the academic achievement of a rural junior high school sample. Our study uses a panel of 7148 junior high school students to implement a difference‐in‐difference analysis and finds that parental migration has a negative and significant impact on the academic achievement of junior high school students. Our study suggests that the Chinese Government should implement measures to dismantle barriers to the human capital accumulation of LBC to ensure sustainable economic growth and human capital development in China.     

离子色谱法在食品添加剂检测中的应用分析

随着食品安全越来越受到人们的重视,对食品添加剂的检测和安全管理也备受关注。本文着重分析了作为一种新型分离分析技术,离子色谱法在食品添加剂检测方面的应用,具有快速便捷、灵敏度高、环境优好、选择性佳等优点,为食品安全打下坚实的基础。     

不同产地中试生产葡萄酒中白藜芦醇的含量测定

目的是建立中试生产葡萄酒中白藜芦醇的含量测定方法。方法系采用高效液相色谱法测定了白藜芦醇的含量,C_(18)色谱柱(250 mm×4.6 mm,5μm),流动相为甲醇∶水=40∶60,流速1mL/min,检测波长306 nm,柱温30℃。结果显示白藜芦醇与样品中其他组分分离效果较好,白藜芦醇在0.271 3~4.340 0μg范围具有良好线性关系,相关系数r=0.999 9;平均回收率为94.6%,RSD为1.97%(n=6)。结论为采用此法准确可靠,可用于该葡萄酒的质量控制。     

Managerial Agency Costs of Socialistic Internal Capital Markets: Empirical Evidence from China

This study provides empirical evidence of managerial agency costs in socialistic internal capital markets. Listed Chinese companies are required to disclose the amount of resources that are reallocated to other firms of the parent company, which provides us with a direct measure of the socialistic subsidization of weak member firms by strong member firms within a business group. We hypothesize that in strong member firms, managerial compensation is less sensitive to firm performance because cross‐subsidization makes it difficult for group CEOs to hold the managers in strong firms accountable for their own firms' performance, and also increases the noise in performance measures. We also hypothesize that socialistic cross‐subsidization results in an increase in managerial agency costs of strong member firms due to the low pay‐performance sensitivity and low incentive to work hard. We document empirical results that are consistent with these two predictions.