On exact D-optimal designs with 2 two-level factors and n autocorrelated observations

In this paper we consider the exact D-optimal designs for estimation of the unknown parameters in the two factors, each at only two-level, main effects model with autocorrelated errors. The vector of the n random errors in the observed responses is assumed to follow a first-order autoregressive model (AR(1)). The exact D-optimal designs seek the optimal combinations of the design levels as well as the optimal run orders, so that the determinant of the information matrix of BLUEs for the unknown parameters is maximized. Bora-Senta and Moyssiadis (1999) gave some conjectures about the exact D-optimal designs based on their experience of several exhaustive searches. In this paper their conjectures are partially proved to be true.Received: January 2003 / Accepted: October 2003Partially supported by the National Science Council of Taiwan, R.O.C. under grant NSC 91-2115-M-008-013.Supported in part by the National Science Council of Taiwan, R.O.C. under grant NSC 89-2118-M-110-003.     

外商投资与中国经济发展──产业和区域分析证据

本文将有关外商直接投资影响的分析 ,与中国经济的特定发展模式联系起来 ,从中得出两项分析结果。一是在产业发展层面 ,外商投资确实有助于改进资源配置效率 ,然而这种贡献却是以妨碍生产效率改进为代价的 ;二是在区域发展层面 ,以进口替代加资本深化为特征的“上海模式” ,在促进地区和全国经济发展方面 ,确实优于以出口导向加劳动密集为特征的“广东模式” ,只是前一模式本身存在着严重的可持续性问题     

Valuation of insurers’ contingent capital with counterparty risk and price endogeneity

This study develops a structural framework to value insurers’ contingent capital with counterparty risk (CR) and overcomes the problem of price endogeneity (PE) in the valuation model. Our results on the focal contingent capital instrument – catastrophe equity put option (CatEPut) – indicate that prices can be significantly overestimated without considering CR and be significantly underestimated without considering PE. This study also examines how CatEPuts affect the buyer’s probability of default (PD). Our results show that buying a CatEPut lowers the PD for high-risk insurers, but not necessarily so for low-risk insurers; however, without taking CR and PE into account, one may significantly overestimate the credit enhancement provided by the CatEPuts.     

When are contrarian profits due to stock market overreaction?

If returns on some stocks systematically lead or lag those ofothers, a portfolio strategy that sells 'winners' and buys 'losers'can produce positive expected returns, even if no stock's returnsare negatively autocorrelated as virtually all models of overreactionimply. Using a particular contrarian strategy we show that,despite negative autocorrelation in individual stock returns,weekly portfolio returns are strongly positively autocorrelatedand are the result of important cross-auto-correlations. Wefind that the returns of large stocks lead those of smallerstocks, and we present evidence against overreaction as theonly source of contrarian profits.     

Are corporates' target leverage ratios time-dependent?

This paper extends the stationary-leverage-ratio model to incorporate a time-dependent target leverage ratio. The theoretical hypothesis of the existence of a time-dependent target leverage ratio reflects the movement of a firm's initial target ratio toward a long-term target ratio over time. Using some simple scenarios about the time-dependence of the target leverage ratio, the numerical results show that the incorporation of the hypothesis into the stationary-leverage-ratio model is capable of producing term structures of probabilities of default that are consistent with some empirical findings. The results provide some evidences to support the hypothesis.     

Does Interindustry and Intraindustry Information Help Predict Financial Distress?

This study investigates whether and how the accounting ratios of peer firms within the same industry (the industry peers) or firms within the industry of their customers (the downstream peers) help improve the predictability of sample firm financial distress. We document that the Z‐score factors of the companies with high correlation in stock returns help predict financial distress. The results show that accounting‐based ratios of the industry peers and the downstream peers enhance the accuracy of early warnings of financial distress, especially when prior returns of peer firms are highly correlated with the sample firm.     

Lucky lots and unlucky investors

Review of Quantitative Finance and Accounting - The number 8 is considered lucky under the Chinese culture. This paper tries to examine whether investors hold such superstitious belief in the Hong...     

用于高频的新颖开关电容积分器

本文研究了用于开关电容(SC)滤波器的离散积分器,所推荐的积分器是由无耗离散积分器(LDI)和双线性离散积分器的最佳线性结合而成,因此,称之为组合离散积分器(CDI)。由于这个积分器使正常转折频率增加一倍,并使高频离散积分器误差减少到最低限度,所以它对高频应用是理想的。文中给出了组合离散积分器的几种SC实现,并且还给出了以组合离散积分器为基础,模拟一般一阶和二阶的模拟滤波器单元的SC电路。     

Rural tourism quality of services: fundamental contributive factors from tourists’ perceptions

Despite the importance of quality of services in the rural tourism sector, it is somewhat surprising that little study has been done to delve into the fundamental contributive factors that contribute to quality of services from the tourists’ perceptions. This is the first known study undertaken with a view to understand the fundamental contributive factors (i.e. climate change, carrying capacity, relaxation environment, and community support) from the environmental perspectives that link with quality of services in rural tourism destinations. A total of 400 questionnaires were distributed to the tourists who visited four study sites from Borneo Heights, Sarawak, and 215 were returned and used for analysis. To assess the developed model, SmartPLS 2.0 (M3) is applied based on path modelling and then bootstrapping. Interestingly, the findings revealed that tourists are more concerned about the changing of climate and relaxation environment at the destination. They also agreed that community support plays a significant role in the development of quality of services in the rural tourism. This study further discussed on the implications of the findings, limitations, and directions for future research.     

Exploring the interaction between incubators and industrial clusters: the case of the itri incubator in Taiwan

This article aims to explore the interaction between incubators and industrial clusters, which is an important linkage for local development but has not been analyzed in the literature. A model is proposed to describe this interaction. The Industrial Technology Research Institute (ITRI) Incubator within the Hsinchu industrial cluster, the core of Taiwan's technology industries, is considered to be an empirical case. This case is investigated with the proposed model and methods including data analysis, in–depth interviews, manager surveys and stakeholder analysis. It was found that the clustering effect in the Hsinchu industrial cluster is main factor in the ITRI Incubator's development. The ITRI Incubator in turn reinforces the cluster in some aspects as feedback. This result confirms the existence and importance of this interaction in local development. It is recommended that government officials and incubator managers take account of this interaction in operating an incubator program and utilize the proposed model to analyze the incubator's contributions to its industrial cluster.