商品期货及其组合通胀保护功能的实证分析

通货膨胀风险及其规避问题是学术界和业界普遍关心的问题.由于我国尚未发行通胀保护债券,所以,在我国市场上开发通胀保护功能的金融产品更具难度.因而提出通过研究各类资产规避通货膨胀风险的能力,构建和设计能对冲通胀风险的金融产品的思路.对商品期货和各行业股票对冲通胀风险性质的研究结果显示,商品期货可以对冲通货膨胀风险尤其是未预期通货膨胀风险,但是行业股票不具备这种性质.构建了商品期货投资组合,检验结果显示该组合具有通胀保护能力.鉴于指数化投资的优点,揭示了商品指数基金是能够很好地规避通货膨胀风险的金融产品.     

大宗商品战略配置——基于国民效用与风险对冲的视角

从国民收入长期配置的战略性动机出发,本文提出基于国民效用优化和输入性通胀风险对冲的国际资产长期配置方法,在包含国际股指基金、主权债券、商品期货指数基金的风险资产池中,分析商品期货指数化投资的战略价值并导出最优配置比例。对4种主要商品期货指数、不同风险厌恶水平和跨期替代弹性的稳健性检验表明,在长期和跨期的最优组合中,商品期货指数都占有较高且稳定的投资比例;若考虑实体经济因素,偏重能源类的商品期货指数的投资比例和稳定程度有显著提高;商品资产投资能够有效对冲大宗商品价格风险。应对世界经济失衡与系统性风险的加剧,主权财富基金、养老基金及社保基金的长期国际投资应当遵从战略性原则,增加国际大宗商品的指数化投资。这是国民效用动态优化的必然选择。     

商品金融化背景下商品期货的多样化收益研究

日益丰富的商品期货交易种类为传统投资组合的风险-收益结构提供了可行的改善路径,但同时商品期货的风险对冲功能也受到了商品金融化趋势的现实冲击。本文基于不同分布假设下的均值-方差张成检验方法探究引入商品期货改善传统投资组合的路径和程度,并在此基础上利用投资组合的样本期外滚动数据对商品期货的多样化收益进行多维绩效检验。研究发现：1.无论是否考虑资本市场现实中的交易制度约束,样本期内商品期货的加入都能够显著地改善传统投资组合选择的风险-收益结构;2.商品期货对投资组合有效边界的改善主要体现为风险分散效应,商品期货的加入不能为传统资产配置策略带来超额收益;3.引入商品期货能够有效地降低投资组合样本期外的标准差和尾部风险,高风险厌恶的投资者配置商品期货能够取得更高的等价性收益。本文研究结果表明,尽管大宗商品金融化趋势不可逆转,但将商品期货引入传统投资组合仍是推动中国资产配置策略优化升级的有效途径。     

基于LASSO分位数回归的对冲基金投资策略研究

由于对冲基金采用了灵活的投资技巧,其收益序列往往表现出与传统投资方式不同的统计特征与风险收益能力,已有方法难以有效地评价其投资绩效.基于LASSO分位数回归,从影响对冲基金收益的众多风险因子中,挑选出重要的风险因子,考察在不同分位点处对冲基金的收益与风险之间关系,识别对冲基金投资风格,继而给出对冲基金投资绩效评价方法.为验证基于LASSO分位数回归的投资风格识别与投资绩效评价效果,构建对冲基金风格组合投资方案,并将其与基于均值回归构建的组合投资、等权组合投资、Markowitz组合投资等经典的组合投资决策方法进行比较.实证研究结果表明,基于LASSO分位数回归的投资绩效评价方法最为有效,给出的组合投资方案能够获得较高的风险调整收益.     

同种商品不同月份期货组合风险评价模型研究及应用

以期货合约的每一交易日的对数涨跌率来反映市场风险,借助VaR风险价值法,运用加权核估计技术(WKDE)和指数加权滑动模型(EWMA),建立了基于期货组合中持有头寸不同且可以进行风险对冲的期货组合市场风险非线性叠加评价模型,解决了同种商品、不同月份期货组合每一交易日最大损失的确定问题,并通过实证研究验证了模型的实用性.该模型的特点一是借助WKDE法预测组合中单个合约每一交易日涨跌率最大日亏损值,充分体现了期货合约涨跌率的实际走势,使VaR估计更加精确.二是通过动态迁移相关系数矩阵的计算保证了模型的精确性.采用EWMA模型预测动态变化的方差-协方差矩阵,从实证的角度得到更精准的动态迁移相关系数矩阵.三是考虑了组合中多头和空头不同头寸之间的风险对冲,避免了实际中期货组合风险的线性相加而造成放大风险或减少风险的不准确性,从而能较好地保证了模型的预测精度及准确性.四是通过基于风险非线性叠加建立的期货组合风险评价模型解决了SPAN系统中期货组合风险的线性叠加问题,从而得到更合理的组合风险预测值.     

不完全市场中相关性风险的对冲策略研究

随着我国资本市场的进一步完善,以及市场波动的更加剧烈,投资者对于相关性风险的关注日益增强,如何对冲相关性风险是一个亟待解决的重要课题。本文在基于跳跃的不完全市场中,以带有跳跃的价格过程为基础,引入相关性随机过程,依据期权的希腊字母对冲原理,构建相关性风险的对冲策略——卖出一份股票指数看跌期权同时买入若干份对应个股的看跌期权和若干份标的股票,使投资组合保持资产波动率以及价格跳跃风险中性,进而通过卖出组合中指数期权的相关性风险溢价来对冲个股组合的相关性风险。本文选取2007年3月到2013年3月香港恒生指数及其成份股期权的日数据用以实证分析,结果表明:该策略能够对冲个股投资组合的相关性风险,且在大部分情况下获得显著为正的收益。本文对事前构建对冲策略以规避极端事件发生时的相关性风险具有重要的参考价值。     

结构突变下的高维汇率资产时变投资组合预测研究

金融市场存在结构突变现象是发生金融风险传染的关键所在,而风险传染又是投资组合研究中亟需解决的难点。本文以9种国际主要货币对美元汇率为研究对象,先构建隐马尔科夫模型来对汇率资产进行结构突变预测,并基于结构突变刻画的结果,构建动态R-Vine Copula模型来预测汇率资产的风险传染关系;最后,基于结构突变与风险传染的研究结果,筛选出适合的组合汇率资产,构建时变投资组合预测模型。实证结果表明：HMM模型能够有效地刻画出汇率资产中的结构突变;动态R-Vine Copula模型能够更加有效地刻画出汇率资产间的风险传染关系;基于结构突变与风险传染关系下的动态投资组合预测模型,具有降低投资组合风险与提升投资组合预测收益的优越性,能够为金融风险管理和投资组合研究提供模型参考。     

关注房价还是关注股价——基于货币政策对资产价格反应的模拟分析

本文采用动态条件相关系数模型刻画了以房价和股价为代表性的资产价格波动与实际产出和通胀率的动态关系。研究表明,我国股价和房价对产出和通胀率均存在显著影响。其中,央行考虑对资产价格做出反应的货币政策会显著降低产出和通胀率的波动,而不考虑对资产价格做出反应的货币政策会导致更大损失。相对股价而言,房价波动对产出和通胀率的影响更大。相对于严格的通胀目标制而言,混合通胀盯住制有利于降低产出和通胀波动,更适合我国国情。     

我国通货膨胀率波动路径的非线性状态转换——基于通货膨胀持久性视角的实证检验

基于通货膨胀持久性视角的通货膨胀动态波动机制对于更好地理解体现通胀持久性的现代新凯恩斯模型具有重要的理论价值。本文利用一个带有单位根的门限自回归模型对我国通胀率的波动路径进行了实证检验,结果表明,我国通胀率是一个具有局部单位根的门限自回归过程,并且可以划分为加速通胀状态和减速通胀状态。在减速通胀状态,通胀率是一个平稳自回归过程,而在加速通胀状态下,通胀率是一个具有单位根的自回归过程。同时发现,我国通胀率在两个状态下都具有高持久性,并且加速通胀阶段的持久性更高。那些能够体现通胀持久性特征的现代新凯恩斯模型都可能成为解释具有高持久性特征的通胀波动路径的理论机理,同时高持久性通胀的结论也可以为那些体现通胀持久性特征的现代新凯恩斯模型提供来自中国的经验证据。     

考虑条件高阶矩风险的动态对冲模型研究

传统的期货对冲模型多数忽视了期货和现货收益高阶矩风险的影响。本文使用效用函数的Taylor展开分析了高阶矩风险对投资者目标函数的影响,并利用二元GARCHSK模型对期货和现货收益的条件高阶矩风险进行了动态建模,在此基础上提出了考虑条件高阶矩风险的动态对冲模型。通过使用恒生指数期货和现货数据的实证表明,考虑条件高阶矩的动态对冲策略和静态策略相比,能够更有效地降低高阶矩风险和提高投资者的效用。     

Power,authority and legitimacy

Management, human resources, organization, control, leadership, etc., all seem to be just so many euphemisms for power, and this suggests a discourse of management and organization that calls things by their proper name. This paper on the contrary stresses the need to resolve the concept of ‘power’ itself into more differentiated notions, and proposes that clarification may be derived from distinctions once explicit in the vocabulary of Classical antiquity, but lost in modern European languages. It argues that nothing but confusion in thinking about organizations, management and legitimation can result from the failure to recognize that the phenomena this vocabulary identifies and distinguishes are irreducibly different.     

Defining Spirituality of Work

There is a current surge of writings on spirituality and related topics. For instance, Woodward (1997) has pointed out that since Thomas Moore's publication of Care of the Soul in 1994 there have been nearly 800books published with the word soul in the title. These run all the way from Chicken Soup for theWoman's Soul (Canfield et al., 1996) to A Guide to Liberating YourSoul (Barrett, 1995). Spirituality of work is a big part of this surge. Definitionsof spirituality of work seem to vary widely. Bowman (1998, p. 8) in his `reviewof the phenomenon of spirituality of work' found `Definitions of the term spirituality in the context of the Spirituality of Work troublesome and particularly subjective. Many writers do not even attempt definitions.' The purpose of this article is to review the concept of spirituality of work in its historical and current use and to propose a comprehensive definition.     

WebStress: a web interface to explore a multidatabase bibliographic corpus on occupational stress

A bibliographic study on a multidisciplinary subject, such as occupational stress, requires a multidatabase query facility. Given this, we searched eight databases belonging to different fields (medicine, psychology, etc.) and from different countries. Thus, more than 26000 references on occupational stress were gathered. A bibliographic corpus of this sort is unusable because of the heterogeneous format of the records and the number of duplicate entries. Considering the limitations of commercial programs, we have developed a system, called WebStress, for reformatting the data and removing duplicates. The huge number of references and the research needs of updating and searching have necessitated the addition of several other functions to WebStress. Therefore WebStress comprises a web interface that makes it possible to search the corpus with advanced features (using clustering, a specialized thesaurus on stress and Boolean queries). In addition to the usual bibliographic queries on a specific database such as Medline, WebStress provides bibliometric analysis of the corpus, which might contribute to a detailed analysis on occupational stress in order to highlight the networks of researchers and to find the main topics studied in this area. WebStress is not yet available to researchers in general. It is being further developed, and also permission needs to be obtained from the eight commercial bibliographic databases that it consults.     

A new lease for life? The return of vitalism in management and organization studies

This paper starts from a growing interest in the concept of concern, lived experience or “inhabiting” as part of the so-called “affective turn”. My main argument is that the notion of concern cannot be thought or understood without the concept of life. The concept of life, however, is somewhat of a taboo topic in the social sciences. I hold, nevertheless, that in order to reflect on their assumptions and to define concern for their own studies, scholars need to think about life and make a choice regarding the various approaches that can be taken. I therefore present and compare four vitalist approaches: romanticism and Lebensphilosophie, vitalism as ethos and pathos, neuroecosociality as well as vitalism as becoming.     

Effects of the implementation of information technology on employees' strain and job satisfaction: a context-dependent approach

The effects on staff of the implementation of new office information technology were investigated in ten companies in Vienna using a longitudinal design. Strain and satisfaction of 331 employees (implementation sample: n = 212; control sample: n = 119) were measured at five points in time over a period of 22 months. The study is based on a context-dependent approach. Personal factors (individual differences, external load) were assessed by questionnaires, and situational factors (job design, implementation content and implementation context) by objective measures. The impact of these factors on employees' strain responses was tested using structural equation modelling (SEM). While the implementation of new technology as such made no significant contribution to the explanation of strain variables, a reasonable model fit was achieved when implementation characteristics were taken into account. The data suggest that negative effects of implementations must be expected if (1) adaptational demands do not include the enhancement of employee qualifications, (2) character-based user interfaces are not replaced, and (3) employees have few or no opportunities to participate in the implementation process.     

Consequences of work-family conflict on employee well-being over time

The effects of work-family conflict on the well-being of a diverse sample of 342 non-professional employees from the greater Los Angeles area were examined. Data were collected at two points in time, and a rigorous research design was employed. The effects of self-report bias were considered by controlling for social desirability bias, and by collecting two sources of data (i.e. self-reports and co-workers reports). The results revealed that work-family conflict predicted employee well-being over and above social desirability bias. In addition, analyses were consistent when both self-reports and co-workers reports were utilized. Finally, work-family conflict was a longitudinal predictor of employee's positive well-being. Both cross-sectional and longitudinal analyses were consistent across self-reports and co-worker reports.     

Policy Goals for Health and Safety

Health management and safety regulation are separate disciplines but share the aim to extend expectancy of life in good health. The need to improve cost-effectiveness calls for their co-ordinated management according to a unified rationale. Three guiding principles of accountability, demonstrable net benefit and a uniform measure of performance, have been laid out in Canada by the Joint Committee on Health and Safety. They call for open accounting in terms of (health-related quality-adjusted) life expectancy. The principles are utilitarian in format but, it is argued, inequity is naturally diminished in the process of optimizing cost-effectiveness through maximum marginal returns. Comments are made on practical implementation. The need for public consent in practice calls for two additional principles reflecting fair procedure and sovereignty of the citizens. It is concluded that public health and safety measures should be surveyed, documented for cost-effectiveness and prioritized for improvement.     

The impact of a participatory organizational intervention on job stress in community health care institutions

The aim of the present study was to investigate the effect of a short-term participatory intervention in health care institutions in Norway on workers' control, other job characteristics, job stress, subjective health and job satisfaction. Participants (including managers and supervisors) were randomly allocated to intervention groups and to a control group. Actions to solve problems based on the employees' own perceptions of the main problems were seen as the key motivators for organizational improvement and increased control at the task and office level in the work situation. The main stressors identified by the participants in this study were lack of information, communication and respect between professions, as well as the need for professional and personal development. The participatory intervention had a positive, but limited effect on work-related stress, job characteristics, learning climate and management style, and seemed to have started a beneficial change process. There were no negative short-term effects on work-related stress and job demands. Organizational interventions may be a potential training ground for acquiring participatory skills and resources, and if sustained after the intervention period, they can have long-term effects on problem solving, job stress and employee satisfaction.     

Circadian Rhythm and the Business Person

Each human being has an internal timekeeping mechanism. To date, over 100 so-called circadian rhythms have been detected. Perhaps the most significant is body temperature. There is an apparent connection between this rhythm and the efficiency with which we do things in the course of the working day. Within individuals, patterns have been discovered which give credence to the popular notions of a morning or an afternoon person, and so on. Our memory changes from morning to afternoon: short-term memory is stronger in the morning, and long-term memory stronger in the afternoon; in schools, morning students have higher grades than students who have other time-of-day preferences. Therefore, a strong case can be made in support of flexible time schedules. It is reported that productivity went up on the introduction of such a scheme. Employee stress has been seen to decline also. When flextime was offered, parents with small children took advantage of the benefit as well as unmarried employees. The only drawback is ensuring that, with so many individual variations in preferences, the needs of the company are fully met. If such a scheme can be devised, however, the research suggests that productivity and efficiency will increase.