证券事件研究方法综进

本文回顾事件研究方法的现状及发展，结合我国已有的相关研究和实际情况讨论了包括估计模型、选择标准、检验方法以及长期事件研究等方面问题，特别结合我国市场存在的问题，探讨事件研究对中国证券市场研究的启示。     

面向我国国立研究机构的人力资源配置模型研究

当今世界,科学技术作为第一生产力的作用日益突出,科学技术作为人类文明进步的基石和原动力的作用日益凸显,而国立研究机构作为中国科研体系的国家队和中坚力量,它的地位和规模在整个科研体系中是举足轻重的,因此合理配置国立研究机构的人力资源具有重大的理论和现实意义。目前的人力资源配置研究多针对企业,而中国的国立研究机构有其自身的特点,不能套用企业的人力资源配置方法。中国科学院作为国家在科学技术方面的最高学术机构,作为科技事业的国家队和火车头,具有代表性,因此本文以中国科学院为例,利用问卷调查、专家访谈、文献调研等方法,对影响我国国立研究机构人力资源配置的因素进行研究,并将人力资源的配置看作一个决策问题,综合考虑了发展战略、人均经费当量、人员结构、学科建设等多个约束,采用自上而下和自下而上相结合的方法,建立了面向国立研究机构的人力资源配置模型。该模型克服了以往国立研究机构对子机构人员数量通过简单趋势外推等方法进行预测的做法,集成了历史数据和专家经验,既不脱离历史情况又能够反映机构的发展战略,是一种适合国立研究机构的人力资源配置方法。该方法在中国科学院的应用实践,验证了模型的有效性。     

金融集聚如何影响绿色发展效率?——基于时空双固定的SPDM与PTR模型的实证分析

金融集聚从资本支持、资源效率配置、技术创新等方面提升绿色发展效率的贡献日益凸显,而这种影响的空间效应有多强、范围有多大以及时空过程有何规律性,都亟待深入研究。本文基于空间距离衰减与中间机制两大假说,利用中国2003-2014年272个地级及以上城市的面板数据,综合采用空间面板杜宾模型（SPDM）与面板门槛模型（PTR）实证考察金融集聚对绿色发展效率的空间溢出效应及其衰减边界,并对导致二者之间产生非线性关系的中间机制进行了探讨。研究发现,①金融集聚对绿色发展效率存在明显的空间溢出效应,且这种空间溢出表现出明显的空间衰减特征,在300公里以内为负向空间外溢的密集区域,400-600公里则为正向空间溢出的密集区域。②在金融集聚、城市规模与对外开放水平三种机制调节下,金融集聚对绿色发展效率的影响呈现"梯度式"增强的特征,而在经济发展水平机制的介入过程中,金融集聚对绿色发展效率的促进作用却是一个"先减后增"的过程。值得注意的是,现阶段这种促进作用十分有限。上述结论在多种稳健性检验后,结论仍然成立。     

制造业智能化、产业协同集聚与经济高质量发展 ——基于高技术产业与生产性服务业实证分析

运用面板固定效应模型、中介效应模型和空间杜宾模型,实证分析制造业智能化对经济高质量发展的影响及作用机制。研究发现:制造业智能化显著促进经济高质量发展;产业协同集聚在其中发挥部分中介效应;而且制造业智能化对经济高质量发展的影响存在空间溢出效应。     

基于期望效用-熵模型的基金评级方法及其在中国基金评级中的应用

基金评级对于投资者来说具有重要的参考价值,研究合适的基金评级方法非常必要。本文针对晨星评级对风险调整和预测能力不足的特征,研究应用期望效用-熵（EU-E）模型基金评级方法对我国开放式基金进行评级的预测能力;并以Sharpe指数、Jensen、Fama-French三因素和Carhart四因素α作为业绩指标,利用固定效应面板数据回归模型对期望效用-熵模型和随机效应面板数据回归模型对晨星基金评级的预测能力进行比较分析。采用样本期由2011年2月到2016年6月的261只基金为研究样本进行评级;研究结果表明,基于期望效用-熵平衡系数λ=0.25和0.75时,EU-E模型基金评级方法评级具有良好的预测能力,而晨星评级预测能力较弱。特别地,λ=0.25和0.75时,EU-E模型评级的五星级基金业绩优于晨星评级对应的基金业绩,而且相比于晨星评级可以更好地区分不同星级基金的业绩。另外,研究结论对于短期、中期和长期的样本都是稳健的。     

参照依赖的消费者选择及其建模方法回顾与展望

参照依赖的消费者偏好和选择一直是营销学者的热点研究领域。学者们对如何在定量营销模型中考虑参照依赖的消费者偏好进行了诸多探索和方法创新,然而,目前却没有相关研究对这些建模方法进行较为系统的总结和梳理。为了填补这个研究空白,本研究回顾了消费者行为和决策领域中参照点的相关文献,并对参照依赖模型进行了系统的梳理。本文首先对参照点的定义和分类标准进行了综述和讨论。在此基础上,本文详细分析了现有实证研究中融入参照依赖的模型结构,并从模型使用的理论框架和参照属性的数量等几个方面对现有实证模型进行了分类和比较。最后,本文总结了现有相关研究的不足,并指出了该领域将来的研究方向。     

金融工程中资产收益的连续时间模型评述

总结了在过去30年中金融资产收益连续时间模型的发展及主要成果,讨论了迄今连续时间模型参数估计的主要方法,其中特别讨论了MCMC方法;最后指出了现在和未来该领域研究所面临的主要课题。     

基于多层结构的微博影响力决定因素研究

对狭义的微博影响力进行了研究,通过界定影响微博信息的多层结构,即用户特征和微博属性特征,将微博转发量视为衡量微博影响力的标尺,建立多层线性模型对微博转发量的影响因素进行研究,并应用非参数拔靴法改进了模型的统计推断结果。研究表明,宏观层面的用户特征不仅显著影响微博转发量,并通过跨层交互影响微博属性特征变量进而影响微博转发量。在此基础上,进一步从理论上探讨了用户特征变量与微博属性变量影响微博转发量的原因以及提高微博影响力的可行措施。     

基于Panel Data模型的我国工业行业FDI技术溢出效应分析

本文采用面板数据,利用Panel Data模型,对2000-2006年FDI对中国工业部门技术溢出效应进行了区域分析,指出21世纪初,中国工业部门引进FDI在总体上对内资部门产出增长起到了积极的促进作用,FDI的技术溢出效应为正,但这一技术溢出效应的作用并不太大且在地域上不均衡.分东、中、西部的研究表明,中国西部总体上经济发展水平还未跨过FDI引起积极作用的门槛,而东、中部内资工业部门技术水平的提升对当前FDI的正向技术溢出效应相对较大.     

超高频数据下金融市场持续期序列模型述评

鉴于针对超高频数据统计建模能够有效弥补传统相同时间间隔数据统计建模的不足,而且有助洞悉金融市场微观结构,近年来,对金融市场超高频数据的研究已成为金融计量学一个全新的研究领域。本文总结了近十年来超高频数据下金融市场持续期序列建模及其参数估计方法的发展及主要成果,对这些持续期模型及其参数估计方法进行了比较,并指出现在和未来该研究领域研究所面临的主要课题。     

基于连续双向拍卖的金融市场微观结构研究综述

本文以研究方法为线索,系统回顾了国内外对基于连续双向拍卖交易机制的金融市场微观结构的研究现状,并从理论(包括金融经济学方法,随机分析与仿真方法,金融物理学方法)、实证和实验(实验经济学与基于Agent的计算金融学方法)三个角度分别对相关的主要研究成果及未来的发展方向进行了评述.同时指出了研究基于连续双向拍卖交易机制的金融市场微观结构对我国证券市场发展的理论和现实意义.     

探索性与验证性案例研究访谈问题设计:理论与案例

在区分完全探索性、局部探索性和验证性案例研究类别的基础上,探讨了理论回顾、访谈对象选择以及访谈问题设计在上述3种类型案例研究中的作用和实现方式,并通过3个实际案例研究予以详尽说明。最后,比较了3种类型案例研究访谈的异同,并就情境预研、时间与问题数量控制、访谈者注意事项、访谈问题的发展、数据收集程序安排以及理论饱和度检验6个方面的共性问题进行探讨,提出了以典型事件/实践为载体开发访谈提纲的建议。     

E-learning methodologies in practice: similarities and differences between North American countries and New Zealand

In this cross-national qualitative study, tertiary instructors from North America (Canada and the USA) and New Zealand were asked to share their perceptions regarding effective e-learning methodologies. The purpose of the research was to identify what similarities and differences in perceptions existed, and what implications, if any, such similarities and differences would have for the development of national and tertiary digital strategies for New Zealand. A comparison of the responses to four primary research questions indicated that while both similarities and differences in perception do exist, the similarities far outweigh the differences.     

Designing an intervention strategy for public-interest goods: The California electric vehicle market case

We study the intervention problem for public-interest goods. Public-interest goods are known as goods with positive externalities, allowing the consumer as well as others who do not pay for them benefit from the consumption. Health related goods, such as vaccines, or products with less carbon emissions are well known examples. We consider a supply chain for such a product. Generally, wider adoption or usage of such goods is ensured by the intervention of a central authority in their supply chain. We explore the problem for a setting composed of a retailer and a central authority. The main goal of the central authority is to design and fund an intervention scheme so that decisions of the channel are in line with the good of society, specified as a social welfare function. We propose two intervention tools applied simultaneously: (1) investing in demand-increasing strategies, which affects the level of the stochastic demand in the market; and (2) rebates that affect revenue per unit received by the retailer. We introduce a model that determines a utility maximizing intervention scheme and further investigate the model. We also present two decentralized approaches as benchmarks. Finally, we conduct a case study for California׳s electric vehicle market and validate our findings by a detailed analysis of the results, including comparisons with the current practice.     

企业产品伤害危机响应策略对股票市场的影响

以2012年国内"毒胶囊"事件中被通报胶囊产品铬超标的5家医药上市企业为例,运用事件研究法,通过多案例分析企业产品伤害危机响应策略对市场反应的影响。结果表明:整体而言,企业产品伤害危机将引起股票市场的负向反应。在减少股市损失方面,最优的是积极回应策略;企业采取辩解或被动回应策略对股票市场的影响并无显著差异;当企业采取含糊回应方式时,股市遭受的损失最大。     

Lean implementation in a service factory: views from the front-line

The deployment of Lean methods in service work is increasingly viewed as a legitimate response more efficient front-line service delivery. However, there are mixed results with process efficiency gains frequently marginalised by losses in employee satisfaction and customer focus. It is suggested that these sub-optimal outcomes result from partial adoptions of Lean with emphasis on process efficiency neglecting employee and customer outcomes. Utilising Action Research this paper investigates a Lean implementation within a UK call centre. This research finds that Lean when implemented properly can lead to improved process efficiency, a better customer experience and increased employee satisfaction. It suggests that to achieve these optimum outcomes Lean implementations must as a priority be focused on creating customer satisfaction and be customised to fit with particular contingencies in the organisational context such as the nature of the interface between the front-line worker and the customer.     

Daily recovery from work: The role of activities,effort and pleasure

Abstract

Knowledge of the cycle of work and recovery is crucial for protecting employee health and well-being and preserving working capabilities. However, the daily process of effort and recovery is not well understood. This study investigated how the time spent on activities in the work and off-job domains, and the pleasure and effort experienced while engaging in these activities, affect the daily recovery process. We expected higher levels of effort at work and during off-job time to be negatively related to recovery, and higher levels of pleasure at work and during off-job time to be positively related to recovery. We also hypothesized that pleasure would act as a buffer against the negative effects of effort. Data were collected by means of a five-day diary study (three measurements daily, before and immediately after work, and at bedtime) among 120 university academic staff. Fatigue and (low) vigour were used as indicators of (lack of) recovery. Multilevel analyses showed that pleasure in the work and off-job domains had beneficial effects on recovery. An adverse association between effort expenditure and recovery was lacking. However, in the work domain, a combination of unpleasant and effortful work activities was negatively related to recovery. These findings stress the importance of engaging in pleasant activities during work and off-job time.     

Hassles, hardiness and absenteeism: Results of a 3-year longitudinal study

In this 3-year longitudinal study of 229 full-time employees, the authors investigated the association between hassles, two measures of personality hardiness, and absenteeism verified from medical personnel records and self-reported hospitalization owing to injury and illness. Using stepwise multiple regression analysis, hassles, but neither of the hardiness measures, significantly predicted absenteeism when controlling for psychological well-being and relevent demographic variables over the 3-year period. The alternative measure of hardiness, but not any of the original Kobasa personality hardiness scales, predicted self-reported hospitalization for injury and illness. Little evidence for the predicitve validity of the Kobasa personality hardiness components, or composite hardiness score, existed for either absenteeism or self-reported hospitalization in this study. These findings support the concept that the current conceptualization, measurement and use of the original Kobasa hardiness scales should be re-evaluated.     

Teacher stress and coping over an autumn term in Finland

Psychological stress, coping process and the relationships between stress and coping were examined among 66 teachers representing comprehensive and upper secondary schools in Finland. The research design was longitudinal. Each person was studied four times during the autumn term of 1991 using questionnaires, which were focused on teachers' stress feelings, ways of coping and social relations to colleagues and pupils during Mondays to Thursdays and Friday morning lessons. The results showed a clear accumulation of stress during the autumn term. Four different teacher groups emerged according to the type of stress reported: (1) teachers who were only moderately stressed, (2) those who were not at all stressed, (3) teachers who were exhausted throughout the term, and (4) those whose stress increased strongly during the term. These stress process groups differed with regard to their coping styles, but not background variables. On the level of the whole sample, different ways of coping were quite stable during the autumn term. The study is partially a replication of the longitudinal study on teachers' stress by Kinnunen (1989, 1988) and enables comparisons between stress process groupings between the years 1983 and 1991.     

Technological change and technology monitoring process: Evidence from four Italian case studies

Technology monitoring (TM) may take on different meanings in a company’s day-to-day activities. In some cases it can be interpreted as a technology intelligence methodology, while in others it is understood as technology forecasting or even as technology assessment. These different interpretations are confirmed by an analysis of the literature. This case study examines the technology monitoring process in four Italian companies.For each of the cases considered, first we analysed the way technology monitoring is carried out and then we tried to understand what factors influence the company approach to technology monitoring. Four factors that can be expected to influence a company’s technology monitoring approach came out of this empirical research study: the industry a company operates in, the business model it uses, the importance of technology in the corporate culture, and the level of its R&D resources.