技术跨越：环境友好型技术发展中的路径依赖与路径创造

路径依赖与路径创造在实现技术跨越的过程中是相伴生的。通过探讨环境友好型技术在实现技术跨越中存在的路径依赖现象,分析环境友好型技术的开发如何实现路径创造,指出了环境友好型技术在实现技术跨越中要注意的一些问题。     

技术依赖假说与实际工资的变化：理论描述与实证研究

针对我国实际工资水平较低的问题,理论界从比较优势假说、经济结构假说和收入分配假说不同的分析角度,分别给出了不同的解释。而技术依赖假说则强调,实际工资的变化与技术进步之间存在着密切的依赖关系：当技术进步偏向利用资本、节约劳动时,实际工资呈下降趋势;当技术进步偏向利用劳动、节约资本时,实际工资呈上升趋势。对我国实际工资水平变化的实证研究也为上述解释提供了支持。     

网络环境下的企业自主创新能力研究:基于权力依赖关系的视角

对企业自主创新的内涵理解,学术界目前尚存在较大争议,特别是在基于全球化视野的网络环境下,企业的自主创新活动具有新的特征与内涵。研究认为,从自主创新及"自主性"的涵义出发,网络环境下的自主创新能力应该从企业技术创新活动及其结果所形成的、与外部组织间在技术场域的权力依赖关系来理解。并在此基础上,提出了从权力依赖关系研究自主创新能力提升策略的建议。     

盈余信息度量、市场反应与投资者框架依赖偏差分析

本文以2 0 0 0年9月到2 0 0 3年1 2月沪市A股3 3 8家上市公司为研究对象,应用实证研究方法,检验以四种不同度量方式表示同一盈余信息所产生的“盈余惯性现象”是否存在差异。结果表明:在三因素模型进行风险调整之前,基于四种盈余信息指标的盈余惯性现象都显著地存在。但经过三因素模型风险调整后,基于“意外盈余率”和“标准化意外盈余率”二个指标的盈余惯性现象消失了;基于“意外盈余”和“标准化意外盈余”二个指标的盈余惯性现象仍然存在,所以买入赢家组合、卖出输家组合仍可获得显著的超常收益。显然,这一研究结果并不支持风险定价学派的观点。笔者认为,根据Tversky和Kahneman( 1 981 )提出的“框架依赖偏差”(FramingDependenceBias)理论,四个盈余信息指标所产生的盈余惯性现象的差异表明我国投资者对盈余信息的反应依赖于信息度量的方式。     

Completion time structures of stock price movements

Summary This paper proposes to model movements in more than a century of daily US stock prices as the outcome of a multi-state marked point process and studies the time it takes for stock prices to complete an up or a down move of a certain size. We present a new econometric specification for a class of dynamic models that account for autoregressive conditional duration effects. We also present a method to account for the effect of time-varying state variables that may change within a duration.We find strong evidence of dynamic dependencies in the direction and speed of stock price movements. Past interest rates are also found to affect the speed and direction of completion times. Out-of-sample prediction results show that forecasts of the direction of moves in stock prices can be greatly improved by including covariates such as interest rates and allowing for dynamics in the econometric specification.We thank an anonymous referee, an associate editor, Rob Engle, Mark Machina and Ruth Williams for helpful conversations. We are grateful to INQUIRE UK for financial support for this research.     

Equity duration and convexity when firms can fail or stagnate

Previous analysis of equity duration and convexity has either ignored the risk that firms can fail or stop growing, or else has incorporated the risk of failure in an ad hoc way. This paper derives equity duration and convexity rigorously corrected for the risk of failure or stagnation. We show that the correction is large enough to be important in standard applications. Further, equity duration is unaffected by any liquidation payout at the time of failure.     

Duration, factor sensitivities, and interest rate Greeks

In this paper, we introduce for interest rate sensitive assets the natural analogs of delta and gamma for equity options by considering the derivatives of asset prices with respect to the directions along which the forward rate curve may evolve. Macaulay duration and convexity, as well as stochastic duration considered in Cox et al. (J Business 52:51–61, 1979) and Munk (Rev Derivat Res 3:157–181, 1999), are easily obtained as special cases of these in which the derivatives are computed along parallel shifts and the direction of the forward rate volatilities, respectively. Moreover, we demonstrate using the example of the Ritchken and Sankarasubramanian (Math Financ 5:55–72, 1995) model that the hedging strategy based on these sensitivity measures provides a superior performance in comparison to the traditional duration based hedging approaches.      

中国出口贸易联系是否稳定？

出口贸易持续期的长度反映了一国出口贸易联系的稳定性,是国际贸易领域研究的新议题。依据生存分析法,选择1992-2011年中国与37个主要出口目的地的样本数据,对出口贸易联系持续期变动及影响因素进行了量化分析。研究表明,中国出口贸易持续期较短,且生存概率呈快速下降趋势,短期内降低对发达市场出口过度依赖困难较大,而通过积极参加区域经济合作,并重视现有市场维护将对出口贸易的稳定发展起到更为显著的作用。     

贝叶斯非线性分层模型在多元索赔准备金评估中的应用

本文将贝叶斯非线性分层模型应用于基于不同业务线的多元索赔准备金评估中,设计了一种合适的模型结构,将非线性分层模型与贝叶斯方法结合起来,应用WinBUGS软件对精算实务中经典流量三角形数据进行建模分析,并使用MCMC方法得到了索赔准备金完整的预测分布。这种方法扩展并超越了已有多元评估方法中最佳估计和预测均方误差估计的研究范畴。在贝叶斯框架下结合后验分布实施推断对非寿险公司偿付能力监管和行业决策具有重要作用。     

Multivariate Lévy processes with dependent jump intensity

In this work we propose a new and general approach to build dependence in multivariate Lévy processes. We fully characterize a multivariate Lévy process whose margins are able to approximate any Lévy type. Dependence is generated by one or more common sources of jump intensity separately in jumps of any sign and size and a parsimonious method to determine the intensities of these common factors is proposed. Such a new approach allows the calibration of any smooth transition between independence and a large amount of linear dependence and provides greater flexibility in calibrating nonlinear dependence than in other comparable Lévy models in the literature. The model is analytically tractable and a straightforward multivariate simulation procedure is available. An empirical analysis shows an accurate multivariate fit of stock returns in terms of linear and nonlinear dependence. A numerical illustration of multi-asset option pricing emphasizes the importance of the proposed new approach for modeling dependence.