合并纳税制度的国际比较及对中国的启示

发达国家为了提高本国企业的国际竞争力、吸引投资,普遍实施企业集团合并纳税制度。我国现行的合并纳税制度在保持税收公平和税收中性、控制国内税收流失和国有资产流失、国际税收协调等方面存在诸多不完善之处,不仅使中国企业集团在国际市场上处于不利位置,也制约了企业的稳定发展。因此,应通过比较和分析中国与其他国家的企业集团合并纳税制度,找出中国合并纳税制度的不足之处,并加以完善。     

Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds

Empirical evidence shows that there is a close link between regime shifts and business cycle fluctuations. A standard term structure of interest rates, such as the Cox et al. (1985 Econometrica, 53, 385–407; CIR) model, is sharply rejected in the Treasury bond data. Only Markov regime-switching models on the entire yield curve of the Treasury bond data can account for the observed behavior of the yield curve. In this paper, we examine the impact of regime shifts on AAA-rated and BBB-rated corporate bonds through the use of a reduced-form model. The model is estimated by the Efficient Method of Moments (EMM). Our empirical results suggest that regime-switching risk has significant implications for corporate bond prices and hence has a material impact on the entire corporate bond yield curve, providing evidence for the approach of rating through the cycle employed by rating agencies.     

A non‐lattice pricing model of American options under stochastic volatility

In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property of the optimal exercise boundary, the formula allows for recursive computation of the American option value. Simulation results show that a nonlattice method performs better than the lattice‐based interpolation methods. The stochastic volatility model is also empirically tested using S&P 500 futures options intraday transactions data. Incorporating stochastic volatility is shown to improve pricing, hedging, and profitability in actual trading. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:417–448, 2006     

Consumer heterogeneity in the longer-term effects of price promotions

While a significant literature has emerged recently on the longer-term effects of price promotions, as inferred from persistence models, there is very little if any attention paid to whether such longer-term effects vary across different types of consumers. This paper takes a first step in that direction by exploring whether the adjustment, permanent, and total effects of price promotions, and the duration of the adjustment period, differ between consumers segmented based on their usage rates in a product category and their loyalty to a brand. We also investigate whether such consumer segmentation will improve the forecasting performance of persistence models at both product category and brand levels. Expectations are developed based on consumer behavior theory on various effects of price promotions, such as the post-deal trough, the mere purchase effect, the promotion usage effect, and responsiveness to competitor's reactions. Evidence from household-level supermarket scanner data on four product categories is provided. We find substantial differences between consumer segments and provide insights on how managers can increase the longer-term effectiveness of price promotions by targeting each consumer segment with a different promotion program. In addition, consumer segmentation is found to significantly improve the forecasting performance of the persistence model for two of the four product categories. For the other two product categories, consumer segmentation provides forecasting performance similar to that obtained from aggregate-level persistence models.     

The impact of M&A and joint ventures on the value of IT and non-IT firms

This paper aims to study and provide empirical evidence on the impact of mergers and acquisitions (M&A) and joint ventures on the value of IT and non-IT firms. Using the event study methodology, we investigate the effect of such strategic alliance announcements on firm value in a sample of 170 firms. The results show that such strategic alliance announcements create significant gains in firm value. When the sample is divided into IT and non-IT firms, we find stronger support for positive impact on gains in firm value among non-IT firms than among IT firms. We also find that the smaller strategic alliance partners perform better than their larger partners. However, we fail to find any significant difference in impact on firm value between merger/acquisition and joint venture announcements. This work was supported by the research fund of Hanyang University (HY-2004). JEL Classification L1 · G14 · G34     

Demographic development in ASEAN: a comparative overview

A comparative overview of recent demographic developments in the ASEAN (Association of Southeast Asian Nations) region is presented. Countries discussed include Indonesia, Malaysia, the Philippines, Singapore, and Thailand. Separate consideration is given to mortality; fertility; and migration, spatial distribution, and employment. A final section is concerned with emerging issues and directions for population policy.     

The demand for housing in developing countries: The case of Korea

This paper presents the results of an analysis of urban housing demand for Korea taking into account the most recent findings of housing demand analysis concerning specification and aggregation biases. In order to obtain correctly specified demand functions, a procedure based on a model of the housing market originally proposed by Muth is used. Drawing on the detailed land information available in Korea, this procedure permits the calculation of an individual price per unit of housing services for each household. The results show conclusively that both the income and price elasticity of the demand for housing services in Korea are comparable to those found in the United States: the income elasticity is smaller than one and the price elasticity is negative and smaller than one in absolute value. Given the number of countries found within the per capita income range between Korea ($700) and the United States ($7800), the finding that these two countries have comparable demand elasticities is of major significance: in the absence of good national estimates, the order of magnitudes found here would be used for other country analyses.     

An approximation pricing algorithm in an incomplete market: A differential geometric approach

The minimal distance equivalent martingale measure (EMM) defined in Goll and Rüschendorf (2001) is the arbitrage-free equilibrium pricing measure. This paper provides an algorithm to approximate its density and the fair price of any contingent claim in an incomplete market. We first approximate the infinite dimensional space of all EMMs by a finite dimensional manifold of EMMs. A Riemannian geometric structure is shown on the manifold. An optimization algorithm on the Riemannian manifold becomes the approximation pricing algorithm. The financial interpretation of the geometry is also given in terms of pricing model risk.Received: February 2004, Mathematics Subject Classification (2000): 62P05, 91B24, 91B28JEL Classification: G11, G12, G13Yuan Gao: Present address Block 617, Bukit Panjang Ring Road, 16-806,Singapore 670617. I am currently working in a major investment bank.This paper is based on parts of my doctoral dissertation Gao (2002),which isavailable upon request.Part of the research was done during my visit to HumboldtUniversity in 2002 and was partially supported by Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 373. I am especially thankful to Professor Hans Föllmer for the invitation and helpful discussions.We would like to thank Professor Martin Schweizer,the associate editor and the referee for their constructive comments.     

Progressive labour policy, ageing Marxism and unrepentant early capitalism in the Chinese industrial revolution

The institutional guarantees of modern labour law, that provide the keystone of progressive liberalism, are often only reactionary to the entrenched concepts of socialist law. Adoption of institutions of “workers rights”, and employment protection based upon contract, inevitably nullify the ideological promise of the inalienable “right to work”. China, among the last bastions of theoretical Marxist socialism, and among the first socialist countries ready to accept that it has been in desperate need of reforming uneconomical state enterprises, seems willing to sacrifice ideological purity for economic development. Yet, if economic turnaround requires enterprise rationalisation in a market economy, it is understandable that Chinese labour requires the same kinds of protection against unbridled capitalism as progressive labour movements elsewhere. Doubtless, for those who have enjoyed no such institutional guarantees in the past, official commitment to improvement of labour conditions is better than no acknowledgment of need for reform of social policy whatever. Yet, the real question for students of social change is “Are these legislated reforms effective policy guides for local administration and the courts?”“|Or are they merely regulations for licensing compliance – primarily for foreign invested enterprises?”. In brief, “... to what extent are the new ‘workers’ rights’ realistically attainable sources of judicial remedies for individual workers?”