一种新型商品定价模型与价格安全指数评估体系

本文提出了偏态分布与偏态过程的概念及其数学表达式,该分布与过程适用于对各种商品价格变化的分析和描述;给出了反映商品内在价格、市场价格、内在风险和市场风险基本关系的数量模型,该模型可用于分析和实现包括现货、股票、期货、期权在内的各类商品、衍生商品的逻辑化市场定价及市场风险度量;设计了针对成本价格、市场价格和综合价格的安全指数,可对社会、经济、金融、科技、教育等各行业的商品价格及发展状况进行安全性测算和评估。     

中国大豆产业应对国际风险因素的对策模拟研究

中国大豆产业高度依赖进口,且进口来源高度集中,大豆进口主要来源国面临 的自然灾害和经贸摩擦等都会影响国内大豆产业,增加进口不确定性.为应对国际风险,基 于各国大豆的供需平衡表和全球双边贸易矩阵等数据,利用全球农产品局部均衡模型方法, 定量模拟评估了提高中国大豆单产、加强与阿根廷和俄罗斯大豆合作等三项对策可能带来 的政策效果.结果表明:这些对策均能在不同程度增加全球大豆供给,降低世界价格,同 时,可分散进口风险,减少对美国和巴西的高度进口依赖,促进大豆进口多元化,增加中 国消费者福利,形成更稳定和可持续的大豆进口贸易格局.由此提出以下建议:首先,应 加大国内大豆研发技术投入,提高单产,提高自给率;其次,在环境可持续发展的背景下, 同主产国合作提高其应对自然风险 等 的 能 力,保 障 稳 定 的 大 豆 供 给;同 时,拓 宽 进 口 来 源,加强与俄罗斯和乌克兰等国家的 农 业 合 作,增 加 国 际 市 场 供 给,实 现 大 豆 进 口 多 元 化,分散风险.     

The Nonparametric Identification of Treatment Effects in Duration Models

This paper analyzes the specification and identification of causal multivariate duration models. We focus on the case in which one duration concerns the point in time a treatment is initiated and we are interested in the effect of this treatment on some outcome duration. We define “no anticipation of treatment” and relate it to a common assumption in biostatistics. We show that (i) no anticipation and (ii) randomized treatment assignment can be imposed without restricting the observational data. We impose (i) but not (ii) and prove identification of models that impose some structure. We allow for dependent unobserved heterogeneity and we do not exploit exclusion restrictions on covariates. We provide results for both single‐spell and multiple‐spell data. The timing of events conveys useful information on the treatment effect.     

Asymptotic properties of the maximum smoothed partial likelihood estimator in the change-plane Cox model

The change-plane Cox model is a popular tool for the subgroup analysis of survival data. Despite the rich literature on this model, there has been limited investigation into the asymptotic properties of the estimators of the finite-dimensional parameter. Particularly, the convergence rate, not to mention the asymptotic distribution, has not been fully characterized for the general model where classification is based on multiple covariates. To bridge this theoretical gap, this study proposes a maximum smoothed partial likelihood estimator and establishes the following asymptotic properties. First, it shows that the convergence rate for the classification parameter can be arbitrarily close to $n^{-1}$ up to a logarithmic factor under a certain condition on covariates and the choice of tuning parameter. Given this convergence rate result, it also establishes the asymptotic normality for the regression parameter.     

The romance of leadership: Rekindling the fire through replication of Meindl and Ehrlich

Given changes in business and society, the romance of leadership theory, which describes a glorification of the perceived influence of leaders on organizational outcomes, is arguably more relevant than at its conception over thirty years ago. This paper presents four studies aimed to replicate Meindl and Ehrlich (1987) early experiment on the romance of leadership, specifically considering the effect of leadership attributions on company evaluations. Studies 1 and 2 are close replications, whereas Studies 3 and 4 provide a conceptual replication drawing from a broader sample in age and work experience and include additional experimental conditions. These conditions vary the gender of the leader and including both success and failure situations, as well as including additional outcomes variables of participants’ behavioral intentions to support, invest, seek employment, or purchase from the company. Taken together, these studies do not support Meindl and Ehrlich’s findings that organizations are viewed more favorably when such outcomes are attributed to leadership. We discuss implications for the romance of leadership theory.     

混合所有制改革与最优专利授权———基于不对称信息的寡头博弈

混合所有制改革过程中,公有企业引入民营资本对技术创新传播、产业发展以及社会福利状况产生的影响,是评估改革效果的重要因素.基于不对称信息混合寡头模型,从专利授权角度讨论部分民营化对企业技术推广决策及社会福利的影响.研究表明,在排他性合约、分离合约和混同合约3种合约类型中,前两者更受公有专利持有者青睐.民营化程度更高的专利持有者为提升资本增值能力,更倾向于排他性合约;授权方式上更倾向于特许权收费,而不是固定收费.民营化比例选取不当,将无法引导企业内生选择社会最优的技术传播路径.从技术传播角度,对理解民营资本在混合所有制改革中的作用,合理推进混合所有制改革,促进产业发展提供了新的分析视角.     

特异性尾部风险、混合尾部风险与资产定价——来自我国A股市场的证据

使用下偏距(lower partial moment,LPM)来度量投资组合尾部风险,将组合的尾部风险分解成三部分:特异性尾部风险、个股的系统性尾部风险和混合尾部风险.论文分别研究了三种尾部风险对资产预期收益的定价功能,基于我国A股市场股票数据进行Fama-MacBeth截面回归发现:1)特异性尾部风险与资产期望收益呈显著负相关关系; 2)混合尾部风险与资产预期具有显著的正相关关系,具有稳健的显著正向定价作用,对资产预期收益的影响强于市场贝塔和市场下方贝塔(downside beta)的影响; 3)系统性尾部风险对资产收益预期的影响最弱; 4)利用Fama-French-Carhart四因子模型对特异性尾部风险和混合尾部风险进行回归后发现,特异性尾部风险与混合尾部风险均具有显著四因子alpha系数,表明四因子模型不能很好的解释两种尾部风险与资产预期收益的关系.     

创业导向与探索式创新的关系：一个双中介效应模型

  创业导向对探索式创新的影响决定创业企业在不确定商业生态环境中的市场机会捕捉能力和价值创造效果。虽然已有研究部分证实了创业导向与探索式创新的相互作用，但面对创业企业生存环境不确定性更高、资源约束更明显的事实，创业企业如何借助合理的战略决策和高效的资源使用行为帮助自身实现由生存到发展的过渡显得尤为重要，鲜有研究对此类问题予以深入探讨。         基于战略创业理论、创新管理理论和资源基础观理论，以创业导向为解释变量，以探索式创新为被解释变量，引入战略灵活性和创业拼凑两个可能影响导向与产出关系的关键要素，探讨创业导向对探索式创新的直接影响，以及战略灵活性和创业拼凑可能起到的特殊中介作用。借鉴并改进已有研究的成熟量表形成问卷，选取深圳的创业企业为调研对象，以电子邮件的形式发放问卷，基于最终获得的283份有效问卷，采用结构方程和双中介模型的研究方法，全面检验创业导向、战略灵活性、创业拼凑与探索式创新之间的关系。         研究结果表明，创业导向、战略灵活性和创业拼凑均对探索式创新产生促进作用；创业导向与战略灵活性呈显著的正相关关系，也对创业拼凑产生积极影响；战略灵活性与创业拼凑呈显著的正相关关系。创业拼凑在创业导向与探索式创新之间和战略灵活性与探索式创新之间起部分中介作用。由战略灵活性和创业拼凑形成的中介链部分中介了创业导向与探索式创新之间的关系。         研究结论从导向-策略-行为-产出的研究框架拓展了战略创业理论的研究内容，揭示了创业导向、战略灵活性、创业拼凑与探索式创新之间的关系机理，为创业企业理解战略灵活性和创业拼凑的影响、充分实践和发挥创业导向的创新精神、促进探索式创新活动的持续开展提供了重要的理论依据和经验证据。     

Approximate exchangeability and de Finetti priors in 2022

This is a review paper, beginning with de Finetti's work on partial exchangeability, continuing with his approach to approximate exchangeability, and then his (surprising) approach to assigning informative priors in nonstandard situations. Recent progress on Markov chain Monte Carlo methods for drawing conclusions is supplemented by a review of work by Gerencsér and Ottolini on getting honest bounds for rates of convergence. The paper concludes with a speculative approach to combining classical asymptotics with Monte Carlo. This promises real speed-ups and makes a nice example of how theory and computation can interact.     

Regression analysis of multivariate current status data under a varying coefficients additive hazards frailty model

This article discusses regression analysis of multivariate current status failure time data for which the observation time may be related to the underlying survival time. A local partial likelihood technique is used to estimate the varying coefficient covariate effect functions under the additive hazards frailty model. The asymptotic properties of the proposed estimators are established. An extensive simulation study is conducted for the evaluation of the proposed procedure, the results of which indicate that the proposed method works well in practice. Also, a real data study is provided to illustrate the performance of the proposed method.