Information contents misjudged: Digressive convergence to equilibrium in cointegrated prices

The spot price on the Taiwan stock index is richer in information than the futures price judged by the price discovery measures of Gonzalo and Granger [Gonzalo, J., & Granger, C.W.J. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics, 13, 27–35.] and Hasbrouck [Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50, 1175–1199.]. What is special about the markets is that both the spot and futures error-correction coefficients are positive, implying a digressive convergence to their long-run equilibrium in the error-correction (EC) process. Innovation accounting suggests that the cause of this digressive equilibrium adjustment is that investors systematically overreact to news in the less informative futures market but under-react to the more informative spot market. Our contribution is in identifying the digressive convergence implied by same-sign EC coefficients, comparing it to the normal convergence widely found in opposite-sign EC models, and providing short-run mispricing interpretations for both types of convergence to equilibrium.     

Demand chain management in the container shipping service industry

The growing service sector in the global economy signifies the need for applying service science to study the interdisciplinary nature of services. In particular, container shipping service is considered a key enabler of international trade and global economic development. To strengthen the role of shipping in supporting global seaborne trade, it is highly desirable to identify the determinants that influence the total capacity of the shipping industry, explain how the related business activities (e.g., demand for shipping service, vessel price, fleet size, etc.) are linked to the demand for container shipping service, and empirically verify the findings. This study builds on the demand chain management paradigm to analyze the service capacity of the container shipping industry. We establish a path-analytic model to explain how shipping demand affects such shipping-related variables as vessel price and to evaluate their effects on the service capacity of the industry. The empirically-tested model provides managers and researchers with insights on how to enhance the coordination and integration of a series of shipping-related variables from shipping demand to capacity management in the container shipping service industry.     

Pricing Relocation–Redevelopment Projects for City Expansion: The Case in China

A solution to city expansion under limited land availability is relocation of existing habitants, demolition of existing buildings and redevelopment of new buildings. In the case of Chinese cities, however, such strategies have become a channel for municipalities to increase their revenue from sale of land and productivity from increased development, at the expense of low compensation to former occupants and vacant housing after development. We utilize a sequential real options pricing approach to find conditions when relocation/demolition and redevelopment in a finite time horizon are optimal and also to show what factors the governments can influence to delay or speed up redevelopment.     

Forecasting Social Security Actuarial Assumptions

Abstract

This paper presents a forecasting model of economic assumptions that are inputs to projections of the Social Security system. Social Security projections are made to help policy-makers understand the financial stability of the system. Because system income and expenditures are subject to changes in law, they are controllable and not readily amenable to forecasting techniques. Hence, we focus directly on the four major economic assumptions to the system: inflation rate, investment returns, wage rate, and unemployment rate. Population models, the other major input to Social Security projections, require special demographic techniques and are not addressed here.

Our approach to developing a forecasting model emphasizes exploring characteristics of the data. That is, we use graphical techniques and diagnostic statistics to display patterns that are evident in the data. These patterns include (1) serial correlation, (2) conditional heteroscedasticity, (3) contemporaneous correlations, and (4) cross-correlations among the four economic series. To represent patterns in the four series, we use multivariate autoregressive, moving average (ARMA) models with generalized autoregressive, conditionally heteroscedastic (GARCH) errors.

The outputs of the fitted models are the forecasts. Because the forecasts can be used for nonlinear functions such as discounting present values of future obligations, we present a computer-intensive method for computing forecast distributions. The computer-intensive approach also allows us to compare alternative models via out-of-sample validation and to compute exact multivariate forecast intervals, in lieu of approximate simultaneous univariate forecast intervals. We show how to use the forecasts of economic assumptions to forecast a simplified version of a fund used to protect the Social Security system from adverse deviations. We recommend the use of the multivariate model because it establishes important lead and lag relationships among the series, accounts for information in the contemporaneous correlations, and provides useful forecasts of a fund that is analogous to the one used by the Social Security system.     

FDI规模对我国环境污染的影响效应研究——基于30个省级面板数据模型的实证检验

文章在Cobb-Douglas生产函数基础上发展了一个关于环境污染与外商直接投资、环境规制和产出水平之间关系的理论模型。在此基础上利用我国1999~2012年30个省级面板数据,分别选择工业废水排放量、工业废气排放量和工业固体废物排放量作为环境污染水平的代理变量,通过三阶段最小二乘法实证检验了全国及分区域外商直接投资对污染物排放的影响。实证研究表明:外商直接投资与我国环境污染呈"倒U"型关系,即符合环境库兹涅茨曲线;环境规制对污染排放的治理没有促进效应,地方政府的环境治理支出与环境污染排放之间呈显著正相关,这反映了当前地方政府缺乏治理环境污染的积极性和前瞻性,各地正面临环境越污染越治理的困境。     

Linking organizational support to employee commitment: evidence from hotel industry of China

Employee commitment is an important issue for both practitioners and academicians. Although antecedents of employee commitment have been examined in previous literature, organizational support, which is an important organizational characteristic to be developed by managers, and its relationship with employee commitment have not attracted enough academic attention nowadays. Meanwhile, enough empirical evidence of relationship between various dimensions of employee commitment, such as affective and normative commitments is not there. This article focuses on exploring the relationships among organizational support, affective commitment, and normative commitment, based on the data from the hotel industry of China. The results indicate that affective commitment has significant positive effect on normative commitment. Among the three dimensions of organizational support, i.e. managerial support, coworker relationship, and role ambiguity, managerial support has the greatest influence on employee commitment. Theoretical discussions and practical implications have also been provided.     

实际控制人的类型化初探

基于基础法律关系的分类中,投资关系应当仅限于指股权投资关系,即实际控制人通过他人直接或者间接对公司出资或者持有股份所形成的关系;而债权性投资由于主要受合同法调整,应该划归协议关系之中。以实际控制人的实际控制行为方式为分类标准,将实际控制人分为处于控股股东地位的实际控制人、处于董事地位的实际控制人和处于经理人地位的实际控制人。以实际控制人在公司的控制链上,尤其是在金字塔、多层控制所组成的公司集团、公司网络中所处的层次为标准,将实际控制人划分为中间实际控制人和终极实际控制人。     

域名与商标的优先权问题

随着网络的发辰,域名与商标冲突也就应运而生,特别近来国内知名商标被人恶意抢注的事件频频发生,两者之间的冲突也越来越引起人们的关注.本文拟从多方面讨论域名与商标的优先权问题.     

Employees' perceptions of the opportunities to utilize their competences: exploring the role of perceived competence mobilization

Perceived competence mobilization is the degree to which employees perceive that they have adequate opportunities to utilize their competences in their current jobs. The findings of the research reported here suggest that employees' perceived competence mobilization is associated with a number of favourable employee attitudes, including intrinsic motivation, organizational commitment and intention to stay with the organization. Findings based on cross‐sectional data from 881 public workers indicate that perceived competence mobilization better predicts relevant employee attitudes than any of the other variables included. The indicated effect of perceived competence mobilization on intrinsic motivation overpowers the effect of self‐efficacy (perceived competence), one of the core variables of self‐determination theory. Perceived competence mobilization also appears to mediate many relationships involving self‐efficacy or perceived training opportunities. Hence, continued research into this construct is of potential value to researchers and organizations.