Catastrophe equity put options with floating strike prices

In this study, we extend the results in Cox et al. (2004) by considering floating strike prices, which are affected by accumulated losses. We employ a compound Poisson process to describe catastrophe losses and adopt a mean-reverting square root process to capture the volatility of the underlying stock. In the numerical section, we first compare the differences in the prices of the options with fixed and floating strike prices. In addition, we illustrate the variance of the portfolios consisting of the stock and options with alternative kinds of strike prices by holding the total cost of the options constant. Variance-optimal portfolios are also investigated. Interestingly, numerical results show that the portfolios consisting of the stock and options with floating strike prices have lower variances in all cases, even when we hold the total option costs constant.     

Introducing a general class of species diversification models for phylogenetic trees

Phylogenetic trees are types of networks that describe the temporal relationship between individuals, species, or other units that are subject to evolutionary diversification. Many phylogenetic trees are constructed from molecular data that is often only available for extant species, and hence they lack all or some of the branches that did not make it into the present. This feature makes inference on the diversification process challenging. For relatively simple diversification models, analytical or numerical methods to compute the likelihood exist, but these do not work for more realistic models in which the likelihood depends on properties of the missing lineages. In this article, we study a general class of species diversification models, and we provide an expectation-maximization framework in combination with a uniform sampling scheme to perform maximum likelihood estimation of the parameters of the diversification process.     

Hedging inflation with individual US stocks: A long-run portfolio analysis

This paper examines whether individual stocks can act as inflation hedgers. We focus on longer investment horizons and construct in- and out-of-sample portfolios based on the long-run relationship (cointegration) of stock prices with respect to consumer prices. Empirical evidence suggests that investors are better off by holding a portfolio of stocks with higher long-run betas as part of asset selection and allocation strategy. Stocks that outperform inflation tend to be drawn from the Energy and Industrial sectors. Finally, we observe that the companies average inflation hedging ability declined steadily over the past ten years, while the number of firms that hedge inflation has decreased considerably after the recent downturn of the US economy.     

欠发达地区城市群金融机构空间演化特征及影响因素——以中原城市群为例

基于国家企业信用信息登记系统的金融机构微观数据,综合运用NNI、Ripley’s K函数和空间热点聚类等方法,研究1998、2008、2018年中原城市群金融机构空间格局、集聚特征及热点分区,采用泊松回归模型研究中原城市群金融机构空间集聚的主要影响因素。研究发现:(1)中原城市群金融机构空间分布不均衡,金融机构总体和细分行业均呈现出显著的空间集聚特征。(2)空间集聚程度随着地理距离的增加先增强后减弱,金融机构的热点区主要集中在郑州—焦作—新乡和邯郸—邢台—安阳为核心的集聚区。(3)城乡居民储蓄是中原城市群金融机构集聚的核心影响因素,经济发展水平、对外交通联系、政府行为等因素的影响程度不断增强,人力资源、科技投入、对外开放水平的影响较弱。(4)作为内陆欠发达地区的城市群,中原城市群与其他城市群一致,作为高端服务业的金融业倾向于布局在高等级城市,但是由于经济发展水平和发展阶段的影响,其金融机构集聚的影响因素与其他城市群有较大差异。     

Women Mayors and Management of Spanish Councils: An Empirical Analysis

This paper analyzes the relationship between the gender of mayors in Spanish local government and different budget items. It uses a sample of local budgets for 8,112 town councils between 2002 and 2010, totaling 64,361 observations. The Spanish context is characterized by decentralization of public responsibility to a greater extent than in neighboring countries, feeding the debate on the operational efficiency of local government and the importance of gender in public management. Results show that councils with women mayors have lower annual interest and debt repayment obligations and have higher expenditure on security, protection, and social promotion. Thus, the presence of women in politics may serve to improve councils’ economic situations, which is necessary not only for social justice but also for economic efficiency. In addition, in councils with more inhabitants, women mayors are more common, but women are less likely to occupy the office for longer periods.     

区域技术市场发展对创新的驱动作用

利用我国2002-2015年省级面板数据,考察技术市场对创新的影响,研究区域研发环境与技术创新的协同作用。首先,通过构建GMM模型稳健性检验,发现在控制物质资本、人力资本、制度因素、R&D投入、FDI、对外贸易、市场化程度等各种影响因素后,技术市场对创新具有显著影响,且对技术含量较高的发明专利的影响弹性最大;其次,通过交互项检验和门槛回归,发现R&D物质资本和人力资本对技术市场存在两个门槛,跨越门槛将增加技术市场的边际创新产出;再次,技术市场发展对各类专利贡献率的测度结果显示,发达地区技术市场对发明专利的贡献最大。据此提出加速我国技术市场发展、因地制宜改善区域研发环境、进一步强化技术市场驱动高质量创新发展等政策建议。     

Election cycles in mining licensing: theory and evidence from Albania

Most of the literature on political business and budgetary cycles (PBBC) has focused on fiscal and monetary policy variables in advanced-country contexts. We extend this literature by investigating political cycle effects in a non-monetary, non-fiscal policy regime (the allocation of mining licences) in a transition country context. We propose a model of mining licensing that allows for corruption and for both supply and demand effects to determine the outcome. We then estimate this model using time-series data from post-communist Albania. Relying on a dynamic Poisson model, we find evidence of both opportunistic and partisan effects. Based on our theory, we suggest a corruption interpretation of political cycles in non-fiscal/non-monetary variables. This interpretation, we suggest, may be more applicable to the context of developing and transition countries. Our study raises important questions about the unintended (and often pernicious) effects of transition politics on economic regulation and economic performance in post-socialist economies.     

Can Direct Regulations Spur Innovations in Environmental Technologies? A Study on Firm‐Level Patenting

Using a rich Norwegian panel dataset that includes information about the type and number of patent applications, direct environmental regulations, and a large number of control variables, we analyze the effects of direct regulations on environmental patenting. We use inspection violation status as a measure of regulatory stringency, while controlling for risk class. Violation status captures the probability that a firm might be sanctioned for violating its emission permit. Controlling for risk class captures firm heterogeneity related to dirtiness and inspection frequency. We empirically identify strong and significant effects on innovations resulting from the implicit regulatory costs of direct regulations.     

The demand functions that satisfy the weak axiom of revealed preference and generalized monotonicity

We prove that the individual demand function satisfying the Weak Axiom of Revealed Preference and the excess demand function satisfying the Wald’s Axiom are pseudomonotone_*⁺, a new class of generalized monotonicity. With this new concept, we refine the characterization of Zhou for the individual demand function. In particular, a full characterization for the excess demand functions satisfying the Wald’s Axiom is derived.     

Multivariate affine generalized hyperbolic distributions: An empirical investigation

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their goodness of fit using Kolmogorov distances. As an application we study the efficient frontier.