Transfer Pricing and Sourcing Strategies for Multinational Firms

Taking advantage of low tax rates using transfer pricing and taking advantage of low production costs using offshoring are two strategies multinational firms (MNFs) use to increase profits. We identify an important trade‐off that MNFs face in setting their transfer prices: the conflict between (i) the incentive role and (ii) the tax role of the transfer price. For MNFs, we find the profit‐maximizing transfer‐pricing strategies that motivate divisional management to (i) make good sourcing decisions and (ii) take advantage of favorable tax rates. We quantify the absolute and relative maximum inefficiency in terms of the after‐tax MNF's profit change from using a single transfer‐pricing system as compared to the dual transfer‐pricing system. We show that the highest relative loss is attained when the average sourcing cost and the tax differential are high. We demonstrate that the highest absolute loss is attained when the average outsourcing cost is approximately equal to the offshoring cost. We extend our results to two practical variations in MNF structures: an MNF that faces operational constraints on its offshoring capacity and an MNF that uses compensation contracts linked to after‐tax firm‐wide profits. Our insights help MNFs' managers identify when to use single and dual transfer‐pricing systems.     

A Review of the Contemporary Transfer Pricing Literature with Recommendations for Future Research

A transfer price is a value placed on the goods or services which are traded between divisions of an organization. This paper attempts to make the subject of transfer pricing accessible to researchers and others interested in managerial problems so that a very real managerial problem can be studied in a broader managerial context. The not insubstantial literature that has grown up in the transfer pricing area is reviewed and, in particular, a critical evaluation of recent writings in the field is provided. It is shown that little which is unequivocal is known about transfer pricing and that the choices made by managers with regard to transfer pricing are little understood, both with regard to the factors which drive choice and the differences between choice in practice and theoretical interpretations. It is suggested that progress in the area will require a richer understanding of the realities confronting practising managers. Research by means of field studies, particularly case studies, is recommended to provide this. A series of hypotheses and issues, representing the dilemmas facing managers, is provided as a theoretical grounding for such research.     

Koordination durch heuristische Budgetierungsverfahren

If in companies decisions are decentralised coordination problems arise. Controlling offers different instruments for coordination. Among these, budgeting is very popular. In a centralized model it is shown how capacity allocation as well as transfer pricing coordinate under the constraints of budgeting. These two principles are combined with the process of budgeting in form of a top down, bottom up or counter current planning. From the resulting nine possible combinations only five are of practical relevance. These five cases are heuristics to the coordination problem, they are analysed by extensive example calculations. It is shown that transfer pricing coordinates better than capacity allocation and counter current planning is the dominant process of budgeting. The best results are obtained with transfer pricing closing with capacity allocation.     

基于收益分成的多受让方两部技术转移定价策略研究

首先,从一般需求函数出发,得出两部技术转移定价法的一般解析表达式。然后,以线性需求函数为例,通过数值计算,对比分析了收益分成比例、最终产品价格、研发企业利润和受让方企业利润随着转让方和受让方股权比例的不同而变化的趋势。最后,分析得出,通过采用前期固定费用加后期收益分成的两部转移定价方法,不仅可以使研发企业的利润最优,同时还可以缓解技术受让方在单一定价方法下的一次性支出所带来的巨大资金压力和较高风险水平,并且将研发企业的利润与受让方的未来收益紧密联系,实现了双方的收益共享和风险共担。     

On network two stages variable returns to scale Dea models

Multiplicative decomposition of stages indices is shown to be consistent with Vrs network technologies. It is also shown why the primal dual correspondence breaks for serial network Vrs models. Different Vrs models can be associated with alternative transfer pricing systems, within the network. Multiplicative decomposition implies marginal cost pricing across stages. While other pricing systems (full cost) correspond to some of the known non-multiplicatively decomposable Vrs models, proposed in the literature. Stages indices, therefore, respond not only to efficiency, but also to the network’s distributive criteria across stages. The distributive contents of stage indices provide the key element for a solution to the problem of measuring scale efficiency in network systems. Multiplicative decomposable Vrs models can be extended to more general network systems, containing both parallel and in series structures. The cost of this generalisation is that efficiency indices are referred to modified stages, that is to stages that include dummy processes. In perspective, these results contribute to show how organisational aspects, such as transfer pricing systems, could be modelled once network technologies are approached from the multiplier (ratio) side.     

金融网络风险下多因子矩阵回归的资产组合与定价

本文从企业的股权、债权关系出发,基于违约距离构建无向图网络,分析了不确定性风险以网络形式进行传染、溢出和蔓延等现象,通过最小生成树的稀疏网络优化方法最大限度降低资产组合的非线性风险影响。站在资源配置的角度,利用稀疏聚类算法深入挖掘资产特征和捕捉其间的相依关系,采用多目标、多指数的稳健矩阵回归策略动态跟踪市场趋势,并通过自适应权重学习策略对网络风险叠加影响下的资产组合进行选择和配置,最终获得最小生成树风险下投资组合的稀疏聚类优化策略,进一步扩充了资产定价多因子模型。研究发现多目标矩阵回归的稀疏聚类投资组合,不仅对组合内投资标的进行了选择性舍弃,使资金能够集中配置于优质资产,更有助于通过最小生成树减缓甚至切断风险在网络中的传播,有效降低了资产之间风险的传染性。基于金融网络的风险分析方法不仅有效地刻画了风险以网络方式互相传染、互相影响、互相强化的非线性叠加效应,而且通过资产之间配置系数的压缩变换和最小生成树的优化方式,最小化最坏情形下风险传染的影响,对复杂网络环境下的资产配置和全面风险管理进行了有益补充,为长期投资基金获得风险和收益更为均衡的资产配置,提供了合意的投资策略和决策依据。     

Penalizing passenger’s transfer time in computing airlines revenue

Airline strategic alliances result in a form of cooperation where firms can access the resources of others network members in order to create added value for their passengers. The shortcoming of this process is that each member of the network makes individual revenue management decisions to maximize its own income, resulting in a sub-optimal income for the network members.To deal with this problem, this paper suggests a resource allocation based on a transfer pricing mechanism, to cooperatively divide the revenue of a passenger between network members. The method penalizes the total time that a passenger takes for reaching the final destination. The model takes into consideration that the profit is independent of the number of available seats (with a maximum determined for each airline). The method computes the optimal transfer pricing and, at the same time, optimizes the quantity of seats (the booking limits). The solution results in a strong Nash equilibrium, which incorporate both the transfer prices and booking limits. We describe the transfer pricing process using an ergodic, finite and continuous-time Markov game model for multiple players. The revenue of each airline in the supply chain will depend on the number of flight transfers and the transit time of the passenger at the airports: the longer the time to the final destination, the lower the price. We compute a collaborative equilibrium point, useful for understanding the resulting revenue of each member of the network. For solving the game, we employ an iterative method based on a proximal approach that involves time penalization. In our final contribution, we present results from a numerical example, which validates the proposed Markov game model and measures the benefits of the transfer pricing resource allocation.     

时变风险厌恶下的期权定价——基于上证50ETF期权的实证研究

传统的随机波动率（SV）期权定价是在投资者具有常数风险偏好假设下进行的.但近年来越来越多的研究表明，市场参与者具有时变风险厌恶特征.基于此，本文对时变风险厌恶条件下的期权定价问题进行深入研究.首先，对传统的（非仿射）常数风险厌恶SV（CRA-SV）期权定价模型进行扩展，构建时变风险厌恶SV（TVRA-SV）期权定价模型对期权进行定价，并分析时变风险厌恶对期权价格的影响；其次，采用标的资产与期权数据信息，建立基于连续粒子滤波的极大似然估计方法，对定价模型的客观与风险中性参数进行联合估计；最后，采用我国期权市场上的上证50ETF期权数据，对构建的定价模型进行实证检验.结果表明：TVRA-SV期权定价模型相比传统的CRA-SV期权定价模型具有更好的数据拟合效果，能够更充分地刻画标的上证50ETF收益率在客观与风险中性测度下的波动性；TVRA-SV期权定价模型相比传统的Black-Scholes（B-S）期权定价模型和CRA-SV期权定价模型都具有明显更高的定价精确性。     

新股询价配给规则与IPO价格形成的进化博弈分析

针对新股询价“价高者得”的配给规则,本文提出与之相对应的“价近者得”规则,运用进化博弈理论,对询价对象群体建立单群体模仿者动态模型,分析两种规则下询价对象的报价行为和新股发行价格的形成,并采用2009年6月到2010年10月我国中小企业板市场发行的新股数据,对两种规则下询价对象的进化稳定策略进行数值分析。结果表明,当询价对象预期抑价率均值足够大时,“价高者得”规则下询价对象有高报价的倾向,而“价近者得”规则下询价对象倾向于合理报价,改变我国现行“价高者得”的新股分配规则,采取“价近者得”的规则有助于提高IPO询价效率。     

Allocation and Pricing of Substitutable Goods: Theory and Algorithm

Motivated by the thriving market of online display advertising, we study a problem of allocating numerous types of goods among many agents who have concave valuations (capturing risk aversion) and heterogeneous substitution preferences across types of goods. The goal is both to provide a theory for optimal allocation of such goods, and to offer a scalable algorithm to compute the optimal allocation and the associated price vectors. Drawing on the economic concept of Pareto optimality, we develop an equilibrium pricing theory for heterogeneous substitutable goods that parallels the pricing theory for financial assets. We then develop a fast algorithm called SIMS (standardization‐and‐indicator‐matrix‐search). Extensive numerical simulations suggest that the SIMS algorithm is very scalable and is up to three magnitudes faster than well‐known alternative algorithms. Our theory and algorithm have important implications for the pricing and scheduling of online display advertisement and beyond.     

风险控制能力差异下的薪酬契约研究

道德风险和逆向选择问题是委托代理理论的研究重点，也是企业薪酬机制设计的核心。本文在道德风险和逆向选择同时存在的框架下，创新性地将利润风控能力作为能力差异的体现引入异质经理人，求解出单一契约和两种契约情况下薪酬契约的显式最优解，并对结果进行了数值模拟验证。本文与单一契约相比，两种契约情况下股东的期望收益较高，对低能力经理的激励降低，对高能力经理的激励上升，但高能力经理的效用由于受到契约的扭曲反而会下降。股东还可针对高能力经理设计单一契约，但当低能力经理所占的比例足够高时，设计两种契约将成为股东的最优选择。本文的研究结果可为私募基金等重视经理风控能力的行业提供薪酬契约设计方面的参考。     

本地投资者有信息优势吗?基于百度搜索的实证研究

本文以公司注册地所在省份网民在百度中对公司股票简称搜索的次数占全国网民搜索总次数的比例，度量公司被本地个人投资者关注的程度，发现A股市场个人投资者显著过度关注本地公司，即在注意力配置上存在本地偏差。基于注意力配置和资产配置的紧密关联，本文利用这一本地关注度指标对A股市场本地偏差现象源自投资者理性的信息优势还是非理性的行为偏差进行了实证检验，发现个人投资者对本地公司的过度关注提高了上市公司风险溢价水平，强化了个股股价与市场、行业以及区域个股的同步性，并削弱了个股的定价效率，表明行为偏差假说对A股市场本地偏差现象更具解释能力。     

基于流动性风险的多因素定价模型及其实证研究

本文通过构造基于流动性风险的多因素定价模型,研究了流动性风险对证券均衡价格的影响.研究表明,在假定流动性是证券收益补偿变量的前提下,证券的期望收益除了与证券的协方差风险有关外,还与证券的流动性风险和市场证券组合的流动性风险有关;流动性对期望收益具有一定的预测性,由于证券流动性是持续性的,当前流动性较差的证券在未来的流动性也较差,因而其未来的流动性风险补偿应该较高,即预期收益较高.     

考虑销售商风险规避的双边信息不对称的供应链协调

非对称信息和风险态度成为影响供应链协调的重要因素,而契约机制设计是实现协调的一种方法。本文在双边成本信息不对称情形下研究供应链契约机制的设计问题。考虑了由一个风险中性的供应商和一个风险规避的销售商组成的二级供应链,供应商和销售商分别拥有私人的生产成本信息和销售成本信息。在分散决策下,供销双方为获得更好的私人利得从而有隐藏信息的动机。为实现信息的真实揭示,文中引入了利他委托人这一概念,从而供应链成为协调主体。借助AGV机制思想,设计了具有激励性质的转移支付,并且基于均值-方差方法建立了非对称信息下的供应链模型。我们发现销售商风规避度在一定范围时,所设计的激励机制能够实现供销双方信息的真实揭示,但并不能完全保证双方的事后非负收益。为解决这一问题,给出一种以期望信息租金比为基础的事后收益分配规则,设计了补偿参数。结合转移支付和补偿参数,提出了一个契约机制。我们发现当销售商风规避度不超过上界k_r时,该机制能真实的揭示信息,并且能够保证供销双方的事后合理的收益分配。此外,当供销双方真实揭示信息时,风险规避度较大的销售商组成的供应链有更低商品交易量和供应链收益。最后,给出数值算例,验证信息揭示的激励有效性并对风险规避度进行敏感性分析。本文的研究将对双边不对称信息下的供应链管理提供一定的理论基础和实践指导。     

Dynamic pricing and revenue management process in Internet retailing under uncertainty: An integrated real options approach

Competition and demand volatility often cause modern enterprises to be confronted by uncertain environments. When a firm manages revenue in such competitive and risky environments, the optimization of pricing and capacity allocation, subject to a fixed time and capacity, becomes a complicated problem. Many previous papers concerning revenue management (RM) and pricing require that the firm possesses the ability to know the demand curve (or demand distribution) and set prices on it to maximize profits. However, this assumption may not be the case in some industries. Therefore, this paper focuses on the dynamic lead indicators rather than assumptive lag indicators to establish a concise and flexible decision model for practical use. This paper provides an integrated real options (IRO) approach with analytic hierarchy process (AHP) for the auction RM problem under competitive/dynamic pricing and revenue uncertainty in Internet retailing. A numerical example is also presented to illustrate that the IRO approach can generate better decisions than the naı¨ve (or risk unawareness) approach in revenue quality of safety and profitability. The new perspective and approach proposed by this paper can be extended to other RM fields whenever both profitability and risk are critical to decision making.     

MANAGERIAL HEDGING AND PORTFOLIO MONITORING

Incentive compensation induces correlation between the portfolio of managers and the cash flow of the firms they manage. This correlation exposes managers to risk and hence gives them an incentive to hedge against the poor performance of their firms. We study the agency problem between shareholders and a manager when the manager can hedge his compensation using financial markets and shareholders can monitor the manager's portfolio in order to keep him from hedging, but monitoring is costly. We find that the optimal incentive compensation and governance provisions have the following properties: (i) the manager's portfolio is monitored only when the firm performs poorly, (ii) the manager's compensation is more sensitive to firm performance when the cost of monitoring is higher or when hedging markets are more developed, and (iii) conditional on the firm's performance, the manager's compensation is lower when his portfolio is monitored, even if no hedging is revealed by monitoring. Moreover, the model suggests that the optimal level of portfolio monitoring is higher for managers of firms whose performance canbehedged more easily, such as larger firms and firms in more developed financial markets. (JEL: G30, D82)     

Transfer pricing—A survey using discriminant analysis

There is a considerable literature on transfer pricing. One strand of this literature is empirical and is concerned with the extent to which companies use the various transfer pricing methods. The other strand is strongly normative being directed to devising transfer pricing methods and defining the circumstances under which it is appropriate to use them. This study attempts to address both these questions by using discriminant analysis methods to predict which approach a company will use to determine transfer prices given its weightings of certain ‘determinants’ which theory suggests should be relevant to the decision. Domestic and international transfer pricing are considered separately. Discriminant analysis is shown to be quite successful in predicting the transfer pricing systems adopted by the UK companies surveyed.     

企业所有者与经理人委托代理关系中最优激励报酬机制研究——兼论企业产业类型与业绩报酬的关系

为解决企业委托代理关系中经理人的道德风险和逆向选择问题,企业所有者必须设立一套最优激励报酬机制来激励和约束经理人的行为,使其从自身的利益出发采取对企业最有利的行动。最优激励报酬机制由固定收益、信息租金、风险收益、激励收益和经理人市场价格五部分组成。经理人的业绩激励收益与企业的产业类型相关。     

协商式转移定价与成本转移

企业制定转移定价的目的之一是对管理者的业绩进行评价,而转移定价采用协商方式进行,其目的则在于制定一个转移双方都满意的转移价格,从而有利于企业经营业绩的提高。那么,协商方式是否会影响转移定价的业绩评价功能呢?本文运用实验研究方法就此展开研究。研究结果表明,当卖方成本上升时,协商式转移定价也会随之上升,它表明协商式转移定价导致了成本转移,从而对转移定价的业绩评价功能产生负面影响。本文首次研究了协商式转移定价对转移定价业绩评价功能的负面影响,为实施协商式转移定价的企业提出需要关注的重要问题。     

新兴智能回收下制造商转移定价决策

针对新兴智能回收,从闭环供应链渠道设计和回收定价角度,分别构建了单一回收渠道和双回收渠道下制造商一致和差异化转移定价决策模型,研究在制造商主导的闭环供应链中制造商的转移定价和最优利润决策问题。研究表明,相对于单一回收渠道,双回收渠道增加了产品回收率和供应链各成员利润;相对于差异化转移定价决策,制造商采取一致转移定价决策,能实现自身利润和智能回收商利润最大化,但会损害传统回收商利润,且不利于供应链其他成员利润的增长;当制造商采取差异化转移定价决策,虽不能实现自身利润最大,但相对于单一回收渠道,其利润也有所增长,也不会损害传统回收商利润,供应链其他成员的利润也会增长。