基于BP神经网络的上市公司CEO报酬实证研究

近年来的研究表明,CEO报酬不仅受公司业绩的影响,还受到其他诸多因素的影响,而且,CEO报酬与其决定因素之间往往存在着非线性关系。本文以2003-2005年沪深股市的A股上市公司为样本,采用BP神经网络对CEO总报酬、CEO年薪、CEO持股价值及其决定因素分别进行训练和学习,结果表明:(1)网络训练输出值与实际值的拟合度分别达到91.09%、97.23%和78.44%;(2)网络的预测能力相对于传统的线性回归模型分别提高了92.72%、92.08%和53.89%。因此,本文认为在分析和确定CEO报酬水平时引入神经网络模型是可行的。     

Transfer of risk in the newsvendor model with discrete demand

In this paper we consider the transfer of risk in a newsvendor model with discrete demand. We view the newsvendor model as a leader/follower problem where the manufacturer (leader) decides the wholesale price and the retailer (follower) decides the quantity ordered. Taking a Pareto-optimal contract as a starting point, the manufacturer wishes to design a real option contract to enhance profits. A new real option contract is said to be feasible if both parties' expected profit is at least as great as in the original contract. When demand is discrete, there are usually infinite feasible contracts that yield maximum expected profits to the manufacturer. In the paper we show that either all, some or none of these real option contracts offer an improved position for the retailer.     

基于股票收益的操作风险资本估计——自上而下方法

操作风险的度量方法包括自下而上和自上而下两种方式,自上而下的方法由于风险敏感度低而较少被银行和学术界关注,但其具有对数据要求低、容易验证的优点.构建一个基于上市银行股票收益的自上而下的操作风险度量模型,利用2000年～2006年中国5家上市银行面板收益数据和其他相关数据,对中国上市银行的操作风险进行实际度量,发现了在中国上市银行的股票收益中操作风险所占的平均比率,并得到相应的操作风险资本估计;用估计的操作风险经济资本与用基本指标法计算的操作风险经济资本进行比较,发现两种方法结果大致相当,这表明按照<巴塞尔新资本协议>规定的基本指标法确定风险资本基本能满足抵御操作风险的要求.度低而较少被银行和学术界关注,但其具有对数据要求低、容易验证的优点.构建一个基于上市银行股票收益的自上而下的操作风险度量模型,利用2000年～2006年中国5家上市银行面板收益数据和其他相关数据,对中国上市银行的操作风险进行实际度量,发现了在中国上市银行的股票收益中操作风险所占的平均比率,并得到相应的操作风险资本估计;用估计的操作风险经济资本与用基本指标法计算的操作风险经济资本进行比较,发现两种方法结果大致相当,这表明按照<巴塞尔新资本协议>规定的基本指标法确定风险资本基本能满足抵御操作风险的要求.     

上市公司经营者继任的绩效意义

经营者的继任及其继任形式对公司的市场绩效具有影响,体现在股价即时变动的信号效应和公司系统风险水平发生变更的管理效应上。本文对沪深300指数成份股公司2001-2003年的301例董事长和总经理继任事件,用事件研究方法分析了经营者继任的信号效应,用邹检验识别了经营者继任的管理效应。研究表明,经营者继任形式是影响信号效应的重要因素,而经营者继任事件导致的管理效应是普遍存在的。另外,与国外同类研究的比较表明,中外上市公司经营者继任的绩效意义既有相似之处,也有不同之处。     

The multicriteria selection of products in technological diversification strategies: an application to the Spanish automotive industry based on AHP

The economic recession, the dynamism and complexity of the markets and the generalised globalisation of the world economy have forced many companies to rethink and reorganise their industrial strategies. Through identifying and taking advantage of the key technologies of a company, this work presents a new and original methodology for dealing with a general technological diversification process. The methodology, which includes an innovative cognitive perspective and its corresponding decisional tool (decision support system) has been used to select the best product in a process of technological diversification that, along with the key technologies, identifies the sub-levels consonant to the sub-technologies and applications to sectors and products. The multicriteria selection tool employed in the proposed methodology, based on the analytic hierarchy process, allows the integration of multiple scenarios, actors and criteria, both tangible and intangible. The methodology has been applied to a case study in the Spanish automotive auxiliary sector.     

指令驱动市场中非知情交易者的最优交易策略

在非对称信息下,综合非知情交易者对资产价值的预期、私人估值及资产价值波动,构造指令驱动市场价格形成的动态模型,给出非知情交易者指令提交策略的解析解,并依此描述了非知情交易者对资产价值预期的动态更新过程.研究发现:私人估值和资产价值波动通过影响非知情交易者最优策略,使得市场进入不同均衡状态;在每个均衡状态下,非知情交易者根据资产价值的预期变化更新交易策略,进而引起知情交易者策略调整,特别地,使得知情交易者被挤出市场成为可能.进一步分析表明,私人估值、资产价值波动及知情交易者比例对市场流动性的影响依赖于每个均衡中限价指令执行风险的差异.     

国有股和法人股对公司业绩的影响--公用事业型上市公司的实证研究

公司的股份集中于少数几个大股东手中是中国公司股权结构的一个普遍特征,研究这些大股东如何凭借其持股地位影响公司业绩是中国公司股权结构研究的一个非常重要的问题.本文选取了在上交所上市的公用事业型公司1998年至2002年的平行数据进行实证研究,结果表明,法人股对公司业绩有积极影响,国有股对公司业绩的影响视具体情况而定.     

The Determinants of Trust and Credibility in Environmental Risk Communication: An Empirical Study

This study examines a key component of environmental risk communication; trust and credibility. The study was conducted in two parts. In the first part, six hypotheses regarding the perceptions and determinants of trust and credibility were tested against survey data. The hypotheses were supported by the data. The most important hypothesis was that perceptions of trust and credibility are dependent on three factors: perceptions of knowledge and expertise; perceptions of openness and honesty; and perceptions of concern and care. In the second part, models were constructed with perceptions of trust and credibility as the dependent variable. The goal was to examine the data for findings with direct policy implications. One such finding was that defying a negative stereotype is key to improving perceptions of trust and credibility.     

The Role of Cancer Risk in the Regulation of Industrial Pollution

The extent of carcinogen regulation under existing U.S. environmental statutes is assessed by developing measures of the scope and stringency of regulation. While concern about cancer risk has played an important political role in obtaining support for pollution control programs, it has not provided the predominant rationale for most regulatory actions taken to date. Less than 20% of all standards established to limit concentrations of chemicals in various media address carcinogens. Restrictions on chemical use are more frequently based on concerns about noncancer human health or ecological effects. Of the chemicals in commercial use which have been identified as potential human carcinogens on the basis of rodent bioassays, only a small proportion are regulated. There is an inverse relationship between the scope of regulatory coverage and the stringency of regulatory requirements: the largest percentages of identified carcinogens are affected by the least stringent requirements, such as information disclosure. Standards based on de minimis cancer risk levels have been established for only 10% of identified carcinogens and are restricted to one medium: water. Complete bans on use have affected very few chemicals. The general role that carcinogenicity now plays in the regulatory process is not dramatically different from that of other adverse human health effects: if a substance is identified as a hazard, it may eventually be subject to economically achievable and technically feasible restrictions.     

The Risks of Using Nuclear Energy Sources in Space: Some Lay Activists'Perceptions

A combination of directive and nondirective techniques was used to study the mental models of 30 lay activists regarding the risks of nuclear energy sources in space. Respondents'perceptions were compared with an "expert model" of the processes generating and controlling these risks, in terms of both the substance of their beliefs and several statistical measures of their performance. These analyses revealed a complex pattern of strengths and weaknesses. Their details are used to derive recommendations for formulating messages about these risks.     

工程项目中社会资本对合理风险分担的影响研究

经济活动总是嵌入在一定社会关系中的,因此,任何一个工程项目风险分担的合理性都应在社会资本的视域下考察与判断.本文通过理论分析构建工程项目中社会资本对合理风险分担的影响模型,并以30个成功建设项目为样本采集到126份有效数据,运用结构方程模型的方法进行实证分析.研究结果表明:(1)风险分担可分解为缔约阶段的风险初次分担和履约过程中的风险再分担,二者之间具有显著的互补与联动关系;(2)社会资本对风险初次分担的完备程度产生显著反向影响,而对事后支持制度产生显著正向影响,且对事后支持制度的总效应相对较大;(3)社会资本对风险再分担的规模与实施效率均产生显著正向影响,且对风险再分担的实施效率总效应最大.本研究有利于引导工程项目交易双方根据社会资本制定更为合理的风险分担方案,从而促使项目成功.     

基于延期交割费的我国燃料油期现货价格关系辨析

本文基于延期交割费的描述性统计分析,发现国内燃料油期现货市场间存在延期交割费。利用经验模态分解(EMD)方法,本文将延期交割费的影响因素分为短期市场波动、中期经济自然环境影响及长期趋势,分别对应EMD结果中的高频、低频和趋势分量。在此基础上,本文通过ARMA-GARCH模型度量燃料油市场价格风险,检验了延期交割费与燃料油市场价格风险之间的关系。结果显示延期交割费一定程度体现了市场价格风险,反映出上海燃料油期货市场的有效性。     

Assessing the cumulative effects of stress: The association between job stress and allostatic load in a large sample of Chinese employees

Job stress can lead to various system dysfunctions, but until now no reliable biomarkers for its assessment have been identified. Allostatic load (AL) is an index that enables the cumulative effect on the body of chronic stress to be assessed, and is derived from a set of relevant biological measures. In this study, a 13-parameter index (building on the original 10-item index) was used to examine the relationship between job strain and AL. Participants were 1219 healthy Chinese employees. Job strain was measured using the Job Content Questionnaire, and AL was assessed by various possible stress responses, including blood pressure, cholesterol, indicators of glucose metabolism, and hormone and inflammation markers. AL in the high job strain group differed sharply from that in the low job strain group. The AL score was positively associated with age and educational level. Several individual parameters also differed between the two groups. Men scored significantly higher on AL and cardiovascular and metabolic health outcomes, whereas for women the associations appeared in the biological indicators. Analyses indicated that decision latitude (DL) and job demands were significantly related to AL. Job demands correlated significantly with the primary biological indicators and DL with the secondary health outcomes. In conclusion, this study provides evidence of the value of measuring allostatic load in assessing the chronic effects of job stress.