应用复合极值理论估计动态流动性调整VaR

本文首次将一分钟内的交易差价(分内价差)的分布和日收益率的分布结合了起来进行分析,应用复合极值理论给出了动态流动性调整的VaR一种估计,同时得到动态流动性调整VaR的预测方法,最后对上海汽车股票(600104)和中国石化(600028)两只股票进行了实证分析。     

度量银行操作风险的POT幂律模型及其应用

本文在极值理论的POT模型基础上,建立了基于分维的POT幂律模型,给出了POT模型的阈值选择的理论解释,还给出了满足尾部分布适合幂律的条件.分析表明,此模型较已有方法能更方便地估计尾部参数,对小样本情形研究厚尾问题提供了新的思路.此外,为计算操作风险损失和的在险价值(VaR)问题,本文引入保险理论里的随机和模型,并给出了计算操作风险在险值的简化公式.     

Using Simulation to Evaluate Time to Detect Incursions in Honeybee Biosecurity in Australia

A key determinant of the efficiency of a surveillance system for exotic mites is whether an incursion might be detected sufficiently quickly to allow successful management actions to occur. To assess this possibility we have developed a spatial modeling system and synthesized knowledge of honeybee and mite behavior to explore the potential spread of exotic mites and the likelihood of their detection in sentinel hives. We find that increasing the number of hives and the efficiency of the detection method are the most effective means of improving the time to detection.     

管理技能的因子分析及其对绩效影响的实证研究

本文以在沪三资企业中12家电子制造企业管理人员的有效问卷271份为第一手资料,用因子分析等方法分析了构成这些人员管理技能的四大要素为:领导与激励技能、计划组织与协调技能、决策与创新技能、控制与授权技能;研究的结果表明,并非每项管理技能对提升企业的绩效都起同样的作用。不同绩效企业的管理者对各种管理技能的运用程度是有所不同的。     

Using Frontier Portfolios to Improve Make‐to‐Order Operations

Make‐to‐order (MTO) manufacturers face a common problem of maintaining a desired service level for delivery at a reasonable cost while dealing with irregular customer orders. This research considers a MTO manufacturer who produces a product consisting of several custom parts to be ordered from multiple suppliers. We develop procedures to allocate orders to each supplier for each custom part and calculate the associated replenishment cost as well as the probability of meeting the delivery date, based on the suppliers' jobs on hand, availability, process speed, and defective rate. For a given delivery due date, a frontier of service level and a replenishment cost frontier are created to provide a range of options to meet customer requirements. This method can be further extended to the case when the delivery due date is not fixed and the manufacturer must “crash” its delivery time to compete for customers.     

建筑行业高管年薪与公司业绩实证分析

近来上市公司的高管薪酬逐年增加,引起了对高管薪酬与公司业绩相关性的讨论。本文采用最小二乘法对我国建筑行业高管新酬与公司业绩进行实证分析,得出高管薪酬和公司的每股收益、运营效率、公司规模、资源使用效率都存在正相关性。公司业绩越好,高管的年薪越高,高管年薪和公司业绩呈现显著相关性。     

Directors' Share Dealings and Company Financial Performance

This paper examines the response of securityprices to the share dealings by directors ofsmall capitalised firms in the United Kingdomand tests as to whether the share dealingscontain information with regard to the firm'sfuture financial performance. The results ofthe study indicate that investors respondpositively to the information signals ofdirectors' equity purchases. We find littleevidence to suggest that directors' equitysales possess significant information content.The results suggest that there is a positiveassociation between financial performance andthe type of trade directors engage in.     

Using Probabilistic Modeling to Evaluate Human Exposure to Organotin in Drinking Water Transported by Polyvinyl Chloride Pipe

The leaching of organotin (OT) heat stabilizers from polyvinyl chloride (PVC) pipes used in residential drinking water systems may affect the quality of drinking water. These OTs, principally mono- and di-substituted species of butyltins and methyltins, are a potential health concern because they belong to a broad class of compounds that may be immune, nervous, and reproductive system toxicants. In this article, we develop probability distributions of U.S. population exposures to mixtures of OTs encountered in drinking water transported by PVC pipes. We employed a family of mathematical models to estimate OT leaching rates from PVC pipe as a function of both surface area and time. We then integrated the distribution of estimated leaching rates into an exposure model that estimated the probability distribution of OT concentrations in tap waters and the resulting potential human OT exposures via tap water consumption. Our study results suggest that human OT exposures through tap water consumption are likely to be considerably lower than the World Health Organization (WHO) "safe" long-term concentration in drinking water (150 μg/L) for dibutyltin (DBT)—the most toxic of the OT considered in this article. The 90th percentile average daily dose (ADD) estimate of 0.034 ± 2.92 × 10⁻⁴μg/kg day is approximately 120 times lower than the WHO-based ADD for DBT (4.2 μg/kg day).     

基于信息扩散原理运用人工神经网络识别股票级别

本文提出采用人工神经网络的方法对股票级别进行识别,以便辨识股票的优劣。首先建立股票识别的指标体系,对神经网络的训练样本中的各支股票的各项指标进行初步评级,然后用因素状态空间上信息扩散的方法对初步评级的结果进行优化处理,把处理后的结果作为神经网络训练样本的输入和输出因素,并利用BP算法进行网络训练,当计算达到要求的精度后即完成训练。经训练所得的神经网络即可用于识别股票级别。本文最后给出一个实例,具体说明运用信息扩散和人工神经网络的方法识别股票级别的过程,并对结果进行了分析讨论。采用本文所介绍的方法对股票级别进行识别,可以有效地减少主观因素及市场波动所带来的影响。     

基于Copula-APD-GARCH模型的投资组合有效前沿分析

根据ES风险度量方法,拓展了马克维茨均值-方差资产组合模型,研究均值-ES准则下的资产组合问题.用APD-GARCH模型刻画风险资产收益率序列,以多元Copula函数描述风险资产间的相关结构信息,构造灵活的Copula-APDG-ARCH模型.利用该模型,借助Monte Carlo模拟,分别研究相关结构是多元正态Copula函数、多元t-Copula函数和多元Clayton Copula函数的风险资产组合的均值一ES有效前沿,并进行比较.实证研究表明,在有效组合范围内,正态Copula函数明显高估了资产的组合风险;当期望收益较小时,t-Copula函数对应的风险值最小,但随着期望收益的增加,多元Clayton Copula函数时应的有效前沿表现最好.     

要素市场发展差异、产权性质与异地并购绩效

以我国上市公司在2003-2009年开展的非关联股权标的并购事件为研究对象,本文发现,要素市场发展对不同性质企业的异地并购绩效有着不同的影响。央企在并购要素市场落后地区企业时,双方要素市场发展差异越大,央企凭借其政治权威获得的政治寻租利益就越大,并购绩效就越高。相反,地方国企在并购要素市场落后地区企业时,目标方要素市场发展水平越低,双方要素市场发展差异越大,地方国企在并购后重建"支持之手"的政治寻租成本就越大,并购绩效就越低。但另一方面,地方国企并购要素市场更为成熟地区的企业时,双方要素市场发展水平差异越大,地方国企摆脱"掠夺之手"的作用就越显著,并购绩效就越高。而民营企业在并购要素市场更为成熟地区企业时,目标方要素市场发展水平越高,双方差异越大,要素市场扭曲带来的资源错置效应及市场摩擦就越大,导致并购绩效越低。     

股权结构、多元化经营与公司价值:国内上市公司的证据检验

文章以我国454家上市公司2001-2003年1360个观察值为样本,实证检验多元化与公司价值之间的关系,以及上市公司多元化经营的股权结构影响。研究结果表明,总体而言,我国上市多元化经营损害公司价值,国有股对公司多元化经营具有约束作用,国有股东倾向产业集中战略,发起法人股与流通股比例与多元化程度正相关,说明公司多元化经营存在代理问题。     

Market Orientation and Company Performance: Empirical Evidence From UK Companies

There has been little empirical investigation of a relationship between market orientation and performance, which is assumed to exist in the strategic management and marketing literatures. This limited empirical evidence is equivocal, and is dominated by only two US studies. The overall aim of the study reported in this article was to build on this limited empirical evidence about a relationship, by achieving new insights from another national business culture, namely the UK. Unlike the US evidence, the results from this study suggest that the influence of market orientation on performance is moderated by environmental variables. They suggest that market orientation may not be advantageous in highly turbulent markets, and in conditions of low customer power and high technological change.     

上市公司并购绩效持续性研究

随着我国资本市场的不断完善,我国企业之间的并购重组活动在近几年中有了很大的发展.由于证券市场的公开性,发生在上市公司之间的并购格外引人注意.我国上市公司并购重组的绩效如何,是否具有持续性,不同公司的绩效及持续性为何存在较大差异,如何加以心头,对于提高我国上市公司并购重组的质量,提高上市公司的运效率,增加社会财富,具有重要的实践意义.本文有针对性地选取5家在1998年发生过并购重组的上市公司为典型样本,选用1999年至2002年样本公司在偿债能力、赢利能力、财富创造能力和持续经营能力四个方面的七个财务指标,建立并购绩效持续性评价体系,以评价上市公司并购重组的绩效持续性.结果显示,我国上市公司并购绩效在并购完成短时间内中较为明显,但长时间内基本上不具有持续性.     

Knowledge Acquisition Strategies and Company Performance in Young High Technology Companies

Research on knowledge strategies argues that the configuration of activities used by companies to acquire new and leverage existing knowledge is an important influencing factor of company performance. However, we do not know very much about how companies actually structure knowledge acquisition. In addition, we do not know which configurations of knowledge acquisition are conducive to company performance. Furthermore, knowledge strategies have largely been neglected in the context of young and entrepreneurial companies. Drawing on an explorative analysis of quantitative and qualitative data, we investigate strategies and activities for knowledge acquisition in the context of young biotechnology companies in Germany. The study reveals four distinct knowledge acquisition strategies (low key, mid range, focus and explorer) and shows that these strategies differ in their relation to company performance as a result of their configuration of knowledge acquisition activities and the type of knowledge acquired.     

供应链前沿生产函数的DEA估计研究

技术效率评价在管理学理论研究与企业市场实践中均具有重要意义,而对技术效率的评价必须立足于对前沿生产函数的估计。供应链管理已经被证实是降低成本以提供更大产品与更好服务的有效方法,然而,对于供应链的前沿生产函数的估计尚未得到研究。这主要是因为两方面研究的缺乏;其一,多产出的生产系统的前沿生产函数估计方法;其二,多阶段的生产系统的前沿生产函数估计方法。本文将提出一种供应链前沿生产函数的估计方法,以解决上述两个主要障碍。有关商业银行运作的实证研究表明,该方法能够估计供应链的前沿生产函数。     

Performance Feedback: From Component Analysis to Application

No abstract available for this article.     

Investing with Prejudice: the Relationship Between Women's Presence on Company Boards and Objective and Subjective Measures of Company Performance

This paper presents a comprehensive archival examination of FTSE 100 companies in the period 2001–2005, focusing on the relationship between the presence of women on company boards and both accountancy‐based and stock‐based measures of company performance. Consistent with work by Adams, Gupta and Leeth this analysis reveals that there was no relationship between women's presence on boards and ‘objective’ accountancy‐based measures of performance (return on assets, return on equity). However, consistent with ‘glass cliff’ research there was a negative relationship between women's presence on boards and ‘subjective’ stock‐based measures of performance. Companies with male‐only boards enjoyed a valuation premium of 37% relative to firms with a woman on their board. Results support claims that women are found on the boards of companies that are perceived to be performing poorly and that their presence on boards can lead to the devaluation of companies by investors. Yet the findings also indicate that perceptions and investment are not aligned with the underlying realities of company performance.