杠杆融资项目净现值计算方法的比较与分析

负债融资具有杠杆效应,有节税收益。计算杠杆融资项目的净现值,如仍按全权益融资项目的方法计算,其结果会有所不同,直接影响投资决策的正确性。本文介绍三种西方常用的杠杆融资项目的净现值计算方法,并对其适用条件进行比较和分析。     

我国投资基金业绩的持续性分析

基金业绩的持续性是指业绩优秀的基金以后一段时间继续保持优秀的业绩,而业绩差的基金继续表现出差的业绩。如果基金具有持续性,对于投资者来讲,他们可以买进前期业绩优秀的基金,而卖出前期业绩差的基金,来获取超额收益,投资者不必耗费大量的资金和时间去评价和选择基金经理。本文就基金业绩持续性的研究理论方法进行阐述,并对我国投资基金作实证分析。     

Habilitation von Ralf Hohlfeld

Ohne Zusammenfassung     

Contract modifications and the basis behavior of live cattle futures

The purpose of this study was to assess the basis behavior of the Live Cattle Futures contract at the Chicago Mercantile Exchange (CME) before and after the 1995 contract changes. Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level. Within a regression model with heteroskedascity error framework, we found that the level of nearby basis in the period after June 1995 has shifted lower and the average monthly open interest of net commercial long positions has substantially increased after the contract modifications. These empirical results are consistent with the notion that more long activity entered the market in response to the contract modifications. Additionally, an alternative (new) measure of basis calculation (cash price minus weighted mean futures price) produced similar results to two other commonly used measures. In conclusion, the 1995 contract changes have neither increased nor decreased the volatility of live cattle basis. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:557–590, 2004     

CROSS‐DOCKING AND ITS IMPLICATIONS IN LOCATION‐DISTRIBUTION SYSTEMS

Cross‐docking replaces traditional warehousing, enabling continuous flow of items without storage. Here we model location‐distribution networks, that include cross‐docking facilities, to obtain the latter's impact on the supply chain. We formulate optimization models to minimize total cost in three multi‐echelon networks, each model generalizing the preceding one. The first includes a single manufacturer, one product type, and multiple customers. Cross‐docks are to be located between origin and destinations. Besides solving optimally, a tool for quantitative analysis of direct‐shipment decisions is developed. The second model considers more than one product: We determine a cost‐effective sequence of items for indirect shipment (via cross‐docks). Finally, in a network with multiple origins, optimal solutions are obtained for 40 medium‐sized and larger examples.     

The relationship between governance structure and risk management approaches in Japanese venture capital firms

This paper attempts to understand what drives Japanese venture capital (JVC) fund managers to select either active managerial monitoring or portfolio diversification to manage their firms' investment risks [J. Bus. Venturing 4 (1989) 231]. Unlike U.S. venture capitalists that use active managerial monitoring to gain private information in order to maximize returns [J. Finance 50 (1995) 301], JVCs have traditionally used portfolio diversification to attenuate investment risks [Hamada, Y., 2001. Nihon no Bencha Kyapitaru no Genkyo (Current State of Japanese Venture Capital), Nihon Bencha Gakkai VC Seminar, May 7]. We found that performance pay is positively related to active monitoring and that management ownership is positively related to active monitoring and negatively related to portfolio diversification. The managerial implication of our study is that venture capitalists should be as concerned about the structure of their incentive systems for their fund managers as they are for their investee-firm entrepreneurs. Agency theory says that contingent compensation is a self-governing mechanism for individual effort that is difficult to measure and verify. When properly applied, equity ownership and performance-based pay can have powerful influencing effects on the strategic choices of managers.     

QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein–Uhlenbeck (OU) state process, while maintaining the analytical tractability of the model. To accomplish this, the class of quadratic processes, consisting of those Markov state processes that yield QTSM, is introduced. The main result states that OU processes are the only conservative quadratic processes. In general, however, a quadratic potential can be added to allow QTSMs to model default risk. It is further shown that the exponent functions that are inherent in the definition of the quadratic property can be determined by a system of Riccati equations with a unique admissible parameter set. The implications of these results for modeling the term structure of risk-free and defaultable rates are discussed.