How does news sentiment affect the states of Japanese stock return volatility?

This paper examines the impact of public news sentiment on the volatility states of firm-level returns on the Japanese Stock market. We firstly adopt a novel Markov Regime Switching Long Memory GARCH (MRS-LMGARCH), which is employed to estimate the latent volatility states of intraday stock return. By using the RavenPack Dow Jones News Analytics database, we fit discrete choice models to investigate the impact of news sentiment on changes of volatility states of the constituent stocks in the TOPIX Core 30 Index. Our findings suggest that news occurrence and sentiment, especially those of macro-economic news, are a key factor that significantly drives the volatility state of Japanese stock returns. This provides essential information for traders of the Japanese stock market to optimize their trading strategies and risk management plans to combat volatility.     

Network based evidence of the financial impact of Covid-19 pandemic

How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analyzing the top 50 S&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies with the purpose of investigating the relationships before and during the pandemic crisis. In doing so, we leverage a large amount of textual data through the employment of a sentiment score which is coupled with standard market data. Our results show that the COVID-19 pandemic has largely affected the US productive system, however differently sector by sector and with more impact during the second wave compared to the first.     

Potential user factors driving adoption of IPTV. What are customers expecting from IPTV?

Internet Protocol Television (IPTV), the convergence services of television and Internet, is being rapidly developed around the world. The advent of digital technologies has changed the convergence market dramatically with the wide diffusion of the convergent services. Using the Technology Acceptance Model as a conceptual framework and method of logistic regression, this research analyzes the demand for IPTV by drawing data from 452 consumers. Individuals' responses to questions about whether they accept IPTV are collected and combined with observations of their socio-economic status and intrinsic/extrinsic factors modified from the Technology Acceptance Model. Results of logistic regression show two variables (intrinsic and extrinsic factors) that seem to explain what influences consumer behavior towards adopting IPTV. Overall, the logistic regression model explains over 50% of the variance in the IPTV adoption. The variances shed light on the multi-open platform environment that IPTV will forge.     

公司治理思想的历史演变及其经验启示

现代企业之间的竞争,也是治理结构的竞争.在此,以文献梳理的形式,对公司治理的内涵及理论渊源进行阐述,并评析了治理模式、形成原因及趋同表现.在我国治理模式选择的问题上,提出应汲取西方治理经验并结合我国国情,在基于利益相关者的原则下,着力构建内部治理与外部治理相结合,以内部治理为主的中国特色公司治理结构.     

保险公司偿付能力恶化预测研究

文章在分析公司财务预测研究方法应用前提的基础上,运用MDA模型和Logistic线性回归模型预测方法对我国保险公司偿付能力恶化进行预测研究。结果表明两个主流模型均能在保险公司偿付能力恶化前1~2年较好地进行预测,但是由于两类错估率的不同,MDA模型要优于Logistic模型。     

Asymmetric ACD models: Introducing price information in ACD models

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model can differ from what they are if the price has decreased. The model is applied to the bid-ask quotes of two stocks traded on the NYSE and the evidence in favour of asymmetry is strong. Information effects (Easley and O'Hara 1992) are also empirically relevant. As the model is a transition model for the price process, it delivers `market forecasts' of where prices are heading. A trading strategy based on the model is implemented using tick-by-tick data.While remaining responsible for any error in this paper, the authors would like to thank R. Anderson, G. Le Fol, C. Gouriéroux, J. Jasiak, W. Pohlmeier, A. Roell, O. Scaillet, S. Wei and three anonymous referees for useful remarks and suggestions on previous versions. The authors would also like to thank A. Ruttiens from KBC-CBC for useful discussions on practical issues related to trading. Support of the European Commission Human Capital and Mobility Program through the network `Econometric inference using simulation methods' is gratefully acknowledged. This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister's Office, Science Policy Programming. The scientific responsibility is assumed by the authors.     

Convenient estimators for the panel probit model: Further results

Bertschek and Lechner (1998) propose several variants of a GMM estimator based on the period specific regression functions for the panel probit model. The analysis is motivated by the complexity of maximum likelihood estimation and the possibly excessive amount of time involved in maximum simulated likelihood estimation. But, for applications of the size considered in their study, full likelihood estimation is actually straightforward, and resort to GMM estimation for convenience is unnecessary. In this note, we reconsider maximum likelihood based estimation of their panel probit model then examine some extensions which can exploit the heterogeneity contained in their panel data set. Empirical results are obtained using the data set employed in the earlier study. Helpful comments and suggestions by Irene Bertschek and Michael Lechner are gratefully acknowledged. This paper has also benefited from comments by two anonymous referees and from seminar participants at the Center for Health Economics at the University of York. Any remaining errors are the responsibility of the author.     

A bioeconomic model for estimating the optimal level of deer and tag sales

This paper presents a dynamic model that determines the optimal number of deer hunting permit sales, subject to the objective of maximizing the discounted economic benefits stream from both the consumptive and nonconsumptive uses of deer. This bioeconomic model integrates economic benefits estimated using the dichotomous choice contingent valuation method with biological growth constraints on deer. Using a hunting zone in California as a case study, the model found that the optimal levels of buck hunting permits sold should change on a rotational basis over time and that the current practice of not selling doe hunting permits for that zone is non optimal.     

内地制药行业企业进入西藏市场的战略模式选择

内地制药行业企业进入西藏市场对其自身发展壮大和西藏居民健康状况的改善具有双重的意义，因此对进入的战略模式选择的研究是至关重要的。本文分析了内地制药行业企业进入西藏市场的必要性、可行性，在此基础上研究了进入市场的四种主要战略模式选择，阐述了不同战略模式的特征。希望本文的研究能够给我国制药企业的发展和西藏的医疗卫生进步作出贡献。     

商业模式创新途径探讨

如今商业环境变化迅速,持续地获得利润已经成为企业关注的焦点,商业模式给企业提供了参考的思维方法与实践框架。商业模式的组成要素包括:为谁,做什么,如何做,如何盈利四部分。其创新的途径主要有重新定义顾客,提供特别的产品/服务,改变提供产品/服务的路径,改变收入模式,改变对顾客的支持体系和发展独特的价值网络。企业有必要适时创新自身的商业模式,保证持续地盈利,获得竞争优势。