社会保障资金的概念、过程与成本

社会保障资金的有效运行是社会保障制度发挥其功能的前提，因此控制社会保障资金的运行成本对社会保障制度的可持续发展有非常重要的意义。因此，有必要对国内外学者关于社会保障资金的概念，社会保障资盒筹集、投资运营、支付过程中的共识与争议，以及社会保障资金运行的成本等方面的研究文献进行梳理，并给予适当的评价。     

主权财富基金投资法律环境新变化——评IMF“圣地亚哥原则”

主权财富基金在国际金融发展中的地位日益重要，由于其具有浓厚的政府控制特质，因而受到投资接受国的严格监管。为避免严格监管引发金融保护主义、阻碍跨国投资，由各方共同参与制定的国际规则将成为平衡彼此利益的有效手段，国际货币基金组织（IMF）组织制定的“圣地亚哥原则”是这一进程中最受瞩目的成果之一。对主权财富基金投资法律环境新变化的考察与研究无疑会对我国主权财富基金具有启发与借鉴意义。     

Noise trading and prime and score premiums

This paper documents that a common element drives the time-series variation of the premium pricing of Primes and Scores. I argue that this common element is noise trading. The noise trading model of Delong, Shleifer, Summers and Waldmann (1990) predicts that returns on assets that are predominantly traded by noise traders will be correlated, since the misperceptions of noise traders are cross-sectionally correlated. Consistent with the noise trading hypothesis, changes in the average premium of Primes and Scores, which are predominantly traded by individual investors, are correlated with both changes in average discounts of closed-end funds and small firms returns. These empirical facts provide additional evidence that noise traders can affect security prices.     

The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach

Previous studies show that REITs returns and inflation arenegatively related. This paper reexamines this perverse inflation hedgephenomenon by investigating the relationship among REITs returns, realactivities, monetary policy and inflation through a Vector ErrorCorrection Model. Empirical results show that inflation does notGranger-cause REITs returns and that REITs returns signal changes in monetary policy. The observed negative relationship between REITs returnsand inflation is merely a proxy for the more fundamental relationshipbetween REITs returns and other macroeconomic variables.     

The role of co-skewness in the pricing of real estate

The current study investigates whether systematic skewness offers an alternative perspective as to why the risk-adjusted returns on real estate should be similar to that for stocks. This is not a trivial issue since an affirmative finding implies that we might be incorrectly measuring real estate risk from both a pricing and a portfolio allocation perspective. A multivariate test of the Kraus-Litzenberger model is used to investigate this skewness proposition with the K-L CAPM tested against several alternative versions of the CAPM. The study finds that the Kraus-Litzenberger model offers additional insights into the measurement of real estate risk. Evidence is also found that both the zero beta and the consumption-oriented CAPM hold, which is consistent with the recent literature in real estate.     

企业财务筹资风险的预测与控制

在市场经济条件下企业财务风险加大，特别是筹资风险更大，因此，应加强企业财务风险管理，规避筹资风险，加强预测和控制，以使企业财务康稳健运营。     

保险资金参与创业投资的国际经验与借鉴

本文针对国务院关于允许保险资金开展创业投资试点的意见精神,从统计数据和案例分析两个角度总结了发达国家的基本经验,并提出了我国保险资金开展创业投资试点的多项策略建议。     

我国开放式基金规模确定模型初探

通过对美国共同基金关于基金规模的数学模型分析,我们发现基金规模与基金经理人能力和流动性赎回密不可分。从美国的有关模型分析与优秀经验来谈我国为确定基金规模所采取的措施:首先讨论了保证基金管理人发挥其能力的一些政策性建议,其次讨论了减少流动性赎回所采取的措施。     

期权理论在IT项目风险管理中的应用

本文简要介绍了金融期权和IT项目期权的含义,以及期权定价模型,详细分析了IT项目期权的类型和IT项目期权的套期保值,其中对比分析了NPV方法和期权方法(B-S模型)在评估IT项目中的差异。