企业经营绩效影响因素的实证研究

以2005-2007年沪深两市的制造行业的上市公司作为研究样本,研究企业经营绩效的影响因素。结果发现:企业经营绩效与资产负债率显著正相关,与企业经营活动的现金流量净额正相关,但是并不显著;企业经营绩效与企业的长期负债比率和主营业务收入增长率显著正相关。     

Measuring housing affordability: Looking beyond the median

We draw a distinction between the concepts of purchase affordability (whether a household is able to borrow enough funds to purchase a house) and repayment affordability (the burden imposed on a household of repaying the mortgage). We operationalize this distinction in the context of a new methodology for constructing affordability measures that draws on the value-at-risk concept and takes account of the whole distribution of household income and house prices rather than just the median. Empirically we find that the distinction between purchase and repayment affordability can be pronounced. In the Sydney prime mortgage market over the period 1996–2006, repayment affordability deteriorated very significantly while purchase affordability remained quite stable. This difference can be attributed to the loosening of credit constraints in the mortgage market which it seems has carried through primarily into higher house prices rather than an improvement in purchase affordability. We also show how median house-price-to-income ratio measures of affordability can be extended to take account of the whole distribution of income and house prices, and how as a result of differential skewness in the house price and income distributions the housing affordability problem may be significantly worse for lower income households than suggested by standard median measures.     

Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency

This study employs single and multiple variance ratio tests to reexamine the weak-form efficient market hypothesis (EMH) of A- and B-shares on the Shanghai and Shenzhen exchanges in Chinese stock market. The study also examines the influence of the release of investment restriction of B-share markets on market efficiency. For the whole sample period, the weak-form EMH is only supported for Shanghai A-shares, and is not supported for the remaining shares. For the sub-sample period, the Shenzhen A-share and B-shares of both exchanges being rejected for the weak-form EMH in the earlier sample period are supported following the regulatory change. Rolling multiple variance ratio test statistic values provide additional evidence of weak-form EMH. The improvement of market efficiency can be explained by the increased liquidity and maturity accompanying deregulation and liberalization.     

Small Area Quantile Estimation

Sample surveys are widely used to obtain information about totals, means, medians and other parameters of finite populations. In many applications, similar information is desired for subpopulations such as individuals in specific geographic areas and socio‐demographic groups. When the surveys are conducted at national or similarly high levels, a probability sampling can result in just a few sampling units from many unplanned subpopulations at the design stage. Cost considerations may also lead to low sample sizes from individual small areas. Estimating the parameters of these subpopulations with satisfactory precision and evaluating their accuracy are serious challenges for statisticians. To overcome the difficulties, statisticians resort to pooling information across the small areas via suitable model assumptions, administrative archives and census data. In this paper, we develop an array of small area quantile estimators. The novelty is the introduction of a semiparametric density ratio model for the error distribution in the unit‐level nested error regression model. In contrast, the existing methods are usually most effective when the response values are jointly normal. We also propose a resampling procedure for estimating the mean square errors of these estimators. Simulation results indicate that the new methods have superior performance when the population distributions are skewed and remain competitive otherwise.     

Powerful CEOs,debt financing,and leasing in Chinese SMEs: Evidence from threshold model

This study investigates the impacts of CEO power on firm financing policies (i.e. debt financing and operating leasing) using the Caner and Hansen (2004) instrumental variable threshold regressions approach. The sample consists of a panel of 297 Chinese listed small and medium sized enterprises (SMEs) over the period 2009–2012. The empirical results indicate that there are threshold effects in the CEO power-debt relationship and CEO power-operating lease relationship. In particular, we find that firms tend to use more debt financing (and operating leasing) when CEO power index below a certain threshold level; beyond the threshold level, CEO tends to manipulate firm capital structure to pursue their own interests, thus using less debt financing and operating leasing. In addition, our estimation results suggest a positive relationship between debt and operating leases when CEO power is smaller than certain threshold, while it becomes negative if the power index exceeds the threshold level.     

Equilibrium asset pricing with Epstein-Zin and loss-averse investors

We study multi-period equilibrium asset pricing in an economy with Epstein-Zin (EZ-) agents whose preferences for consumption are represented by recursive utility and with loss averse (LA-) agents who derive additional utility of gains and losses and are averse to losses. We propose an equilibrium gain-loss ratio for stocks and show that the LA-agents are more (less) risk averse than the EZ-agents if their degree of loss aversion is higher (lower) than this ratio. When all the agents have unitary relative risk aversion degree and elasticity of intertemporal substitution, we prove the existence and uniqueness of the equilibrium and the market dominance of the EZ-agents in the long run. Finally, we extend our results to the case in which the LA-agents use probability weighting in their evaluation of gains and losses.     

我国公共租赁房租金支付能力研究——基于20个主要城市的实证分析

综合运用租金收入比和剩余收入法来评价当前我国公共租赁房保障对象的租金支付能力。选取20个主要城市实证测算，并按照不同收入水平、不同规模家庭分别对其支付能力进行评估。以此来检验我国公共租赁房保障政策的实施效果，以期对住房保障政策的进一步完善提供政策依据。研究发现，北京、上海、广州、成都4个城市的中低偏下收入、低收入家庭租住公共租赁房仍然面临着支付能力问题，深圳和大连的低收入家庭也同样存在着租金支付问题。除广州、南京、厦门、杭州和苏州外，其余15个城市低收入家庭相比中等偏低收入家庭承受了更大的租金支付压力。此外，住房支付能力呈现出规模犬的家庭明显优于规模小家庭的特征，人口多的家庭租金支付能力相对较强。     

A novel framework for customer-driven service strategies: A case study of a restaurant chain

Importance–performance analysis (IPA) is a popular customer-driven tool that enables companies to understand market competition and identify improvement priorities for various attributes of products and services. Despite the widespread use of IPA, previous studies have identified specific deficiencies. For example, the managerial improvement directions derived from IPA are potentially misleading because they ignore the asymmetric and nonlinear relationships between attribute performance (AP) and customer satisfaction (CS). Furthermore, the relationship between AP and importance is erroneously assumed to be independent. By contrast, the Kano model offers useful insight into quality attributes based on the asymmetric and nonlinear relations between AP and CS. In this study, a customer-driven framework is proposed, integrating the advantages of traditional IPA and the Kano model to elucidate the market competition position of each service and product attribute, providing strategic improvement guidelines for managers to design service activities. By conducting a case study of a restaurant chain, we demonstrate the effectiveness of the proposed approach.     

Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance

We compare Bitcoin performance based on the Aumann and Serrano performance index and Sharpe ratio assuming that asset returns follow the class of discrete normal mixture distributions. The Aumann and Serrano performance index can take into account higher moments of the underlying distribution of assets and is relevant for risk-averse investors. We evaluate Bitcoin performance based on the Aumann and Serrano index relative to the performance of other assets. Our evaluation shows that Bitcoin is rated highly by the Sharpe ratio but rated very poorly by the Aumann and Serrano index. We also find some stock assets can beat Bitcoin by the Sharpe ratio when an investment horizon is monthly.