结构性产品投资者感知风险与过度自信影响研究

在梳理感知风险文献的基础上,依据标准风险测度理论对结构性理财产品的感知风险进行量化,进而从微观层面构建个人投资者结构性理财产品风险感知与决策模型.同时,在模型中尝试引入过度自信这一心理偏差来探究其对投资者感知风险的作用机制.研究表明,过度自信投资者更相信私人信号,低估私人信号中噪声的方差,进而影响其对结构性理财产品标的资产到期价格分布的估计,过度自信可导致投资者高估结构性产品获得较好情境收益的概率,并随着过度自信程度的增加高估概率程度加剧,最终导致投资者感知风险降低.     

基于改进信息交易概率模型的信息风险测度研究

准确测度信息不对称是研究金融市场信息不对称问题的基础。在详细考察经典的信息交易概率模型的建模过程和假设条件的基础上,针对信息交易者和非信息交易者在不同信息状态下的订单提交状况,提出考虑外生信息状态概率、异质期望和交易活跃度的改进的信息交易概率模型;通过带机制转换的向量自回归模型估计外生信息状态概率,综合考虑多方面的市场交易信息,提高模型估计的准确性。实证结果表明,改进的信息交易概率模型可以较好地刻画证券市场的信息不对称程度。从截面上看,信息交易概率与标的资产的垄断优势和话题性相关,垄断优势越强的股票信息交易概率越低,话题性越强的股票信息交易概率越高;从时间上看,信息交易概率的变化受公告信息的影响,公告信息发布前的信息交易概率较高,公告信息发布后的信息交易概率较低。因此,在防范信息风险时,应重点关注话题性较强的版块,特别是股价比较容易受舆论影响波动的个股;同时,在公告信息发布之前的时段,应对市场波动和信息动向给予更多关注。     

产品开发内在风险未确知测度评价研究

本文在对产品开发内在风险的影响因素进行系统分析的基础上,建立了一套较为全面的产品开发内在风险多层次评价指标体系,并利用未确知测度模型给出了一种多层次未确知测度产品开发内在风险评价方法,最后给出了企业产品组合开发控制模型.     

知情交易、信息不确定性与股票风险溢价

基于VPIN指标度量沪深300成分股的知情交易程度,并检验其定价效应及其与信息不确定性的交互作用.实证结果表明:1) VPIN可以通过提高买卖价差影响市场的流动性风险,并带来显著的横截面和时序上的风险溢价; 2) VPIN对风险溢价的解释能力优于信息不确定性因子,而信息不确定性对知情交易具有同向调节作用; 3)当对个股的信息不确定性、规模、动量以及变量之间的交互作用进行控制后,VPIN的定价效果依然显著存在.与此同时,Fama-Macbeth分析结果还表明,VPIN与传统风险因子不存在内生性问题,也不是传统风险因子的替代变量; 4)在公司发布各类重大公告前都存在显著的异常风险溢价和异常交易量,而上述异常值可以被同步出现的异常VPIN值所解释.     

非对称结构下金融市场动态风险测度研究

针对金融市场呈现出的非对称结构,以新兴市场的中国大陆沪市上证综指(SSEC)和成熟市场的标准普尔指数(S&P500)作为代表性的研究对象,运用有偏学生分布(SKST)来刻画金融收益的有偏非对称分布形态;运用APARCH等模型来刻画金融收益条件波动率的非对称波动性,并以此来开展风险测度研究;最后运用返回测试中LRT和DQR来检验风险测度的准确性。实证结果表明:没有哪种金融收益的条件非对称波动模型具有绝对优越的风险测度能力;在标准收益服从的分布上,新兴市场SSEC与成熟市场S&P500市场却又表现出明显的不同,Normal分布并不适合SSEC,但能适合S&P500;ST能够适应SSEC,却不能适应S&P500,而SKST能够适应两种市场;对于S&P500,在99%这样高的置信水平下是Normal优越,而在95%的置信水平下却是SKST优秀,对于SSEC,SKST分布的准确性在两个水平下都是最高。     

国内外关联方交易准则比较与审计风险

随着我国市场经济的发展,企业规模化、知识化经营趋势日益明显,兼并、重组以及控股等资本运营手段的运用已屡见不鲜,关联企业之间的交易亦愈加频繁。本文从新会计准则入手,比较新旧会计准则以及中外会计准则的异同,讨论关联方及其交易中存在的审计问题。     

基于经典PIN模型的股票信息风险测度研究

准确测度股票信息风险对资产定价、风险管理以及市场绩效的衡量有着重要意义.针对直接测度信息风险的经典PIN模型,首先推导出经典PIN模型隐含的买卖指令的均值、方差以及买卖指令之间的相关性,发现经典PIN模型隐含的买卖指令之间的相关性总是为负;然后基于中国股票的逐笔交易数据进行实证研究,发现经典PIN模型隐含的买卖指令之间的负相关性与实际数据中买卖指令之间的正相关性并不相符;此外,经典PIN模型隐含的买卖指令的方差与实际数据中买卖指令相对较大的方差也不能很好地匹配.研究结果表明经典PIN模型并不能准确测度股票信息风险.     

基于非对称结构与长记忆的股票市场风险测度研究

针对金融市场条件收益存在的有偏胖尾分布与非对称波动性特征以及长记忆特征等典型事实特征,运用ARFIMA-FIGARCH-SKST模型等来测度股市动态风险,并通过规范的返回测试检验中的LRT和DQR方法实证考察了测度模型的可靠性。得到了一些非常有价值的实证结果:有无长记忆约束的非对称结构风险模型在中国大陆沪深股市动态风险测度能力上并无实质性差异;ARFIMA-FIAPARCH-SKST模型能够准确测度股市的动态风险;股票市场极端风险的测度尤其不能放弃非对称结构的这一约束条件。     

上海伦敦铜期货市场风险的测度与传导效应研究

本文针对金融时间序列存在的部分典型事实,运用AR（1）-GJR（1,1）构造出铜期货条件损失的标准残差序列;针对标准残差序列近似满足i.i.d特征,运用EVT对其极值尾部建模,并测度出两个铜期货市场的动态风险;然后运用Back-Testing方法对风险测度模型进行准确性检验,最后运用Granger-Causality检验来分析铜期货市场动态风险的传导效应。实证研究结果表明,基于EVT的风险测度方法能有效测度上海伦敦铜期货市场动态风险;上海伦敦铜期货市场动态风险在1%的显著性水平下存在双向传导效应,但由伦敦向上海传递的强度大于反向强度。     

交易费用:衡量投资环境的综合指标

从公式P=dTSdQ+dFdQ+dGdQ+dEdQ+dCdQ可以看出,投资者价格优势源于边际交易费用,而边际交易费用是衡量一个区域或者一个城市投资环境的综合指标;保持一个区域或者一个城市投资环境的持续竞争力需要政府、企业、个人协同努力,降低交易费用。     

基于互联网金融模式的结构性理财产品风险度量研究进展

针对由期权和固定收益类产品组合而成的结构性理财产品,本文基于互联网金融模式对结构性理财产品进行风险度量理论、方法及应用研究进行了分析和述评,并对基于互联网金融环境下用不同分布类型来刻画风险因子相依关系的线性和非线性资产组合的风险集成度量模型进行了归类总结。最后,提出了基于互联网金融模式的结构性理财产品风险度量研究展望。     

规避通胀风险的结构性理财产品设计与定价

在资产通胀风险日益增加的背景下,如何设计出更加符合市场的结构性理财产品并给予其合理定价是目前亟待解决的问题。运用金融工程组合分解技术构建一种创新型幂式双障碍敲出期权,该期权可以作为银行结构性理财产品的内嵌期权,从而获得一种创新型幂式双障碍理财产品,运用风险中性定价理论将复平面的围道积分应用于Laplace逆变换给出期权定价模型,以中国银行HJB0903v为例,研究中国规避通胀风险的黄金挂钩双障碍理财产品定价的合理性,并分析黄金价格波动对HJB0903v触及障碍的概率和理论价格的影响。研究结果表明,产品发行价格稍高于其理论价值,隐含溢价率为0.81%;波动率的增加使触及障碍的概率增加,使理论价格先小幅增加后大幅降低,最终趋于某一稳定值。     

Risk Communication,Public Engagement,and Climate Change: A Role for Emotions

This article discusses the potential role that emotions might play in enticing a lifestyle that diminishes climate change. Climate change is an important challenge for society. There is a growing consensus that climate change is due to our behavior, but few people are willing to significantly adapt their lifestyle. Empirical studies show that people lack a sense of urgency: they experience climate change as a problem that affects people in distant places and in a far future. Several scholars have claimed that emotions might be a necessary tool in communication about climate change. This article sketches a theoretical framework that supports this hypothesis, drawing on insights from the ethics of risk and the philosophy of emotions. It has been shown by various scholars that emotions are important determinants in risk perception. However, emotions are generally considered to be irrational states and are hence excluded from communication and political decision making about risky technologies and climate change, or they are used instrumentally to create support for a position. However, the literature on the ethics of risk shows that the dominant, technocratic approach to risk misses the normative‐ethical dimension that is inherent to decisions about acceptable risk. Emotion research shows that emotions are necessary for practical and moral decision making. These insights can be applied to communication about climate change. Emotions are necessary for understanding the moral impact of the risks of climate change, and they also paradigmatically provide for motivation. Emotions might be the missing link in effective communication about climate change.     

Dangerous Climate Change: The Role for Risk Research

The notion of "dangerous climate change" constitutes an important development of the 1992 United Nations Framework Convention on Climate Change. It persists, however, as an ambiguous expression, sustained by multiple definitions of danger. It also implicitly contains the question of how to respond to the complex and multi-disciplinary risk issues that climate change poses. The invaluable role of the climate science community, which relies on risk assessments to characterize system uncertainties and to identify limits beyond which changes may become dangerous, is acknowledged. But this alone will not suffice to develop long-term policy. Decisions need to include other considerations, such as value judgments about potential risks, and societal and individual perceptions of "danger," which are often contested. This article explores links and cross-overs between the climate science and risk communication and perception approaches to defining danger. Drawing upon nine articles in this Special Issue of Risk Analysis, we examine a set of themes: limits of current scientific understanding; differentiated public perceptions of danger from climate change; social and cultural processes amplifying and attenuating perceptions of, and responses to, climate change; risk communication design; and new approaches to climate change decision making. The article reflects upon some of the difficulties inherent in responding to the issue in a coherent, interdisciplinary fashion, concluding nevertheless that action should be taken, while acknowledging the context-specificity of "danger." The need for new policy tools is emphasised, while research on nested solutions should be aimed at overcoming the disjunctures apparent in interpretations of climate change risks.     

创新活动空间集聚及其驱动因素国外研究进展评述

对国外有关创新活动空间集聚的研究文献进行梳理,分析了现有研究取得的成就和存在的问题,对未来研究的几个待突破的方面进行了展望。     

The Politicization of Risk: Party Cues,Polarization, and Public Perceptions of Climate Change Risk

Previous research shows that public perceptions of climate change risk are strongly related to the individual willingness to support climate mitigation and adaptation policy. In this article, I investigate how public perceptions of climate change risk are affected by communications from political parties and the degree of polarization among them. Specifically, using survey data from Sweden, Norway, Australia, and New Zealand, I study the relationship between party source cues, perceived polarization, and public perceptions of climate change risk. The results reveal a positive relationship between party cues and perceptions of climate change risk, indicating that individuals adjust their risk perceptions to align with their party preference. Furthermore, a negative relationship between perceived polarization and individual risk perceptions is also discovered, showing that individuals tend to be less concerned with climate change the more polarization they perceive. However, the effect of perceived polarization is found to be limited to more abstract perceptions of risk, while being unrelated to perceptions of concrete risks. Even with some contextual variance, the results generally hold up well across the four countries.     

Consumers’ Risk Perception of Household Cleaning and Washing Products

A large share of accidental and nonaccidental poisonings are caused by household cleaning and washing products, such as drain cleaner or laundry detergent. The main goal of this article was to investigate consumers’ risk perception and misconceptions of a variety of cleaning and washing products in order to inform future risk communication efforts. For this, a sorting task including 33 commonly available household cleaning and washing products was implemented. A total of 60 female consumers were asked to place the cleaning and washing products on a reference line 3 m in length with the poles “dangerous” and “not dangerous.” The gathered data were analyzed qualitatively and by means of multidimensional scaling, cluster analysis, and linear regression. The dimensionality of the sorting data suggests that both analytically (i.e., written and graphical hazard notes and perceived effectiveness) and intuitively driven risk judgments (i.e., eco vs. regular products) were applied by the participants. Furthermore, results suggest the presence of misconceptions, particularly related to consumers’ perceptions of eco cleaning products, which were generally regarded as safer than their regular counterparts. Future risk communication should aim at dispelling these misconceptions and promoting accurate risk perceptions of particular household cleaning and washing products.     

Risk and Climate Change: Perceptions of Key Policy Actors in Canada

This article examines factors that predict perceptions of risk associated with global climate change. The research focuses on the perceptions of those associated with climate change policy making in the prairie region of Canada. The data are from an online survey ( n = 851) of those policy actors. The analysis integrates several dominant approaches to the study of risk perception: psychometric approaches that examine the effects of cognitive structure; demographic assessments that examine, for example, differences in perception based on gender or family status; and political approaches that suggest that one's position in the policy process may affect his or her perceived risk. Attitudes toward climate change are to a degree predicted by all of these factors, but only when indirect effects are observed. Sociodemographic characteristics have little direct effect on perceived risk, but do affect general beliefs that affect risk perceptions. Perceived risk is related more strongly to these general beliefs or world views than to more specific beliefs about the effects of climate change on weather patterns. Position within the policy process also contributes to our understanding of perceptions, with industry and governmental actors demonstrating similar attitudes, which contrast with environmental groups and university researchers.     

Attribution of Human VTEC O157 Infection from Meat Products: A Quantitative Risk Assessment Approach

To address the risk posed to human health by the consumption of VTEC O157 within contaminated pork, lamb, and beef products within Great Britain, a quantitative risk assessment model has been developed. This model aims to simulate the prevalence and amount of VTEC O157 in different meat products at consumption within a single model framework by adapting previously developed models. The model is stochastic in nature, enabling both variability (natural variation between animals, carcasses, products) and uncertainty (lack of knowledge) about the input parameters to be modeled. Based on the model assumptions and data, it is concluded that the prevalence of VTEC O157 in meat products (joints and mince) at consumption is low (i.e., <0.04%). Beef products, particularly beef burgers, present the highest estimated risk with an estimated eight out of 100,000 servings on average resulting in human infection with VTEC O157.     

A Structured Literature Review for Risk Assessment: EMF and Human Health Risk

The volume of publications on any given topic makes it difficult to select an appropriate subset of publications for review by an expert panel. This paper proposes a method for selecting a subset using a protocol that attempts to order publications based upon good research methods. The protocol was followed by graduate students with no expert knowledge of the area they were reviewing. They reduced 11730 articles on the topic of EMF and Health risk to 68 articles that were reviewed by an expert panel. The interrater reliability was 96% and 94% of the relevant articles were captured by this process.