方差和偏度的风险价格

在互换合约的统一框架下,采用无模型方法提取方差和偏度的风险价格,研究隐含风险价格的时序和期限结构特征、定价和信息含量。利用 S＆P500 指数期权数据发现：1）对于多个互换合约期限,方差风险价格显著为负,偏度风险价格显著为正;2）方差风险价格和偏度风险价格有不同的水平因子和凸度因子,却拥有相同的斜率因子;3）隐含风险价格无法被规模、账面市值比、动量和宏观变量等所解释,能被市场超额收益因子部分解释,且在股票横截面收益被显著定价;4）隐含方差和隐含偏度分别对已实现方差和已实现偏度具有预测作用,但并非无偏期望;5）方差风险价格与偏度风险价格具有高达-0.86的相关性,可能受同一风险因子驱动;6） 市场整体的风险厌恶系数大致为4 ～ 6,为风险态度的相关研究提供数值参考。     

尾风险度量与定价能力分析

经典资本资产定价模型假设资产收益服从正态分布或者投资者效用函数是二次型,然而实际中资产收益的分布呈现尖峰厚尾特征,因而无法在均值-方差框架下分析风险与收益的关系。与资产收益正常变化相比,极端变化带来的尾风险会对市场风险和投资者的决策行为产生更为显著的影响,因此研究尾风险的度量方法和定价能力具有一定理论和实践意义。 依据极值理论,基于Fama-French的3因子模型无法解释的收益残差构建尾风险度量模型。选取中国股票市场沪深A股作为研究对象,以历史滑动窗估计尾风险,投资组合分析和横截面回归分析的结果都表明尾风险可以稳定地负向预测股票收益,在控制规模、交易量、非流动性、短期反转、中期动量、特质波动率、特质偏度等股票特征后,尾风险的负向预测能力依然显著。引入融资融券交易,发现融资融券标的股票的尾风险显著低于非融资融券标的股票的尾风险,而且可以消除尾风险的负向溢价,因而中国资本市场尚未完全开放融资融券交易机制可能是产生尾风险负向溢价的主要原因。 通过买多-卖空组合构建尾风险定价因子,发现尾风险因子比投资因子和盈利因子有更高的风险价格,而且并不是相对于Fama-French的5因子的冗余因子。与Fama-French的3因子模型和5因子模型相比,Fama-French的3因子或5因子基础上包含尾风险因子的定价模型对股票横截面收益有更好的解释能力,因而有更高的定价效率。 2008年全球金融危机爆发后,对尾风险定价能力的忽略使已有资产定价模型受到广泛批评。因此,探究尾风险的度量方法以及分析尾风险的定价能力,不仅有助于完善和拓展资产定价理论,而且有助于降低投资者对股票价格的认知偏差,提升市场资源配置效率和维护市场稳定性。     

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.     

信用贷款风险中反向CDS协议设计与定价模型

在信用违约互换(CDS协议)的基础上,提出了反向信用违约互换(RCDS)协议,以规避信用贷款风险.首先定义反向CDS协议,然后对反向CDS协议的定价合约进行设计,探讨反向CDS协议的风险“囚禁”原理;并在无套利的原则下,建立了含有未知违约概率的反向CDS协议定价模型;再进一步通过假设贷款企业的资产价值运动由一个布朗运动和若干个互相独立的泊松过程合成的复合泊松过程,在风险中性测度下,建立了资产价值运动的布朗运动和复合泊松过程随机微分方程,以此求出违约概率,并最终求出反向CDS协议定价公式.最后,通过数值分析,讨论了信用贷款利率、反向CDS价格、贷款期限、违约概率以及初始资产与违约边界之比等因素之间的相互影响关系,给出了相应风险规避方法的结论和建议.本文研究对实际应用具有很好的参考价值.     

基于非排它性互换合约的管理层激励研究

管理者进行金融衍生品市场的非排它性股权互换交易会降低报酬合约的事后激励强度,并对企业价值和风险产生影响.本文在管理者可同时影响企业风险和企业价值的条件下,构建基于股权互换避险交易的管理者激励薪酬动态博弈模型.结果表明,当管理者投入产出效率高于某临界值时,互换避险的存在不会降低激励合约的强度;否则激励合约强度的减弱程度随...     

基于风险偏好资产定价模型的公司特质风险研究

提出了基于代表性投资者风险偏好的资产定价模型并基于模型实现了公司特质风险的分离,运用中国A股市场数据实证检验所得结论如下(:1)从研究样本区间来看,总的公司特质风险序列、市场风险序列和市场收益序列均为平稳序列,且表现为下降趋势(。2)公司特质风险对截面收益具有一定的解释能力,说明公司特质风险因子在资产定价中不能被忽略。(3)只有市场风险而非总的公司特质风险表现出对市场收益的预测能力,这与对美国股市研究的结论相反,与我国股市总的公司特质风险表现日趋减弱的结论相吻合,说明我国上市公司的质量有待提高,上市公司没有实现真正的“优胜劣汰”。     

中国股票市场的高阶矩波动特征研究

最近的研究表明,除资产收益二阶矩外,高阶矩(包括三阶矩和四阶矩)同样是反映金融资产波动行为的重要方面.以中国股票市场最具代表性的两种股价指数--上证综指和深证成指 10 年的股价数据样本为例,通过构建可以刻画时变高阶矩的自回归条件方差-偏度-峰度模型,实证研究中国股票市场的高阶矩波动特征.研究表明,中国股票市场收益的偏度、峰度具有显著的时变性和波动聚类性;中国股市不但存在二阶矩(方差)风险,还存在显著的三阶矩(偏度)风险和四阶矩(峰度)风险,并且三阶矩风险和四阶矩风险具有同步性;将偏度方程和峰度方程引入波动模型会抵消原有方差波动的杠杆效应.初步提出将高阶矩波动模型运用于金融风险管理的思想.     

基于双侧矩与高阶矩偏好的资产定价：源自中国股市的实证研究

原有CAPM忽略了代表性投资者对高阶矩如偏度和峰度的偏好．也没有将上升风险和下跌风险进行有效分离（将高于目标受益的波动也认同为风险）。为了突破这两点假设．本文讨论了基于代表性投资者双侧矩和高阶矩偏好的资产定价方法．并用中国A股市场数据进行了实证检验,所得结论如下：（1）在影响股票收益的所有特征因子中．规模效应在国内股市存在,而账面一市值比不是一个独立的定价因子。（2）将市场做上下划分并纳入高阶矩偏好,对应的市场因子较特征因子能更好的解释股票的截面收益：通过加入规模因子和账面一市值比因子构建多因子模型进行检验,该结论照样成立。（3）投资者并没有将高于平均回报的“牛市”波动视为一种“收益”指标．而将其与下跌风险指标等同。     

中国股市总流动性与资产定价关系实证研究

我们建立了一个包含市场风险和两种流动性风险的三因素资产定价模型,研究中国股市总的市场流动性风险是否在资产定价中得到了反映,其中流动性风险包括用协方差度量的市场收益对总流动性的敏感性风险和用方差度量的总流动性的波动性风险。研究结果表明,中国股市不仅存在显著的市场风险溢价,而且存在显著的流动性风险溢价,而流动性风险中市场收益对总流动性的敏感性风险对资产定价的影响更为显著。     

信用违约互换的定价方法研究

信用违约互换常见的交易结构是信用保护买方定期支付费用给交易对手,以便在合约期内参照资产发生信用事件导致其价值损失时,交易对手赔付信用保护买方参照资产的价值损失部分。在这种交易结构下,对信用违约互换的定价是要确定其互换溢价即信用保护买方支付保费所依据的费率,一般为年费率。本文对信用违约互换的定价是基于结构模型和简约模型。     

Introduction to Special Section on Sensitivity Analysis and Summary of NCSU/USDA Workshop on Sensitivity Analysis

This guest editorial is a summary of the NCSU/USDA Workshop on Sensitivity Analysis held June 11–12, 2001 at North Carolina State University and sponsored by the U.S. Department of Agriculture's Office of Risk Assessment and Cost Benefit Analysis. The objective of the workshop was to learn across disciplines in identifying, evaluating, and recommending sensitivity analysis methods and practices for application to food‐safety process risk models. The workshop included presentations regarding the Hazard Assessment and Critical Control Points (HACCP) framework used in food‐safety risk assessment, a survey of sensitivity analysis methods, invited white papers on sensitivity analysis, and invited case studies regarding risk assessment of microbial pathogens in food. Based on the sharing of interdisciplinary information represented by the presentations, the workshop participants, divided into breakout sessions, responded to three trigger questions: What are the key criteria for sensitivity analysis methods applied to food‐safety risk assessment? What sensitivity analysis methods are most promising for application to food safety and risk assessment? and What are the key needs for implementation and demonstration of such methods? The workshop produced agreement regarding key criteria for sensitivity analysis methods and the need to use two or more methods to try to obtain robust insights. Recommendations were made regarding a guideline document to assist practitioners in selecting, applying, interpreting, and reporting the results of sensitivity analysis.     

Distinguishing traumatic, vicarious and routine operational stressor exposure and attendant adverse consequences in a sample of police officers

Problems in studying occupational stress within the police service are identified and the paucity of work on operational duties as potential stressors are discussed. The present study reports the results of a factor analysis of operational stressors (N = 601 serving British police officers) that revealed three factors: exposure to death and disaster; violence and injury; sexual crime. These were demonstrated to be reliable scales and were included in logistic regression models together with a range of demographic and psychological variables. Models were applied to men and women separately, which showed there to be different predictors of the likelihood of suffering distress (measured by the General Health Questionnaire, GHQ) in terms of the officer's gender and operational role. Overall the model for women officers was better at predicting psychological distress than that for men. These findings are related to aspects of the police occupational culture. Further discussion is offered that conceptualizes police operational stressors as traumatic, routine and vicarious. Finally, some implications are drawn for the provision of stress intervention in the light of this differentiation.     

Criteria for selecting a production control philosophy

Logistic objectives constitute a compromise between having short leadtimes and a low volume of work in progress on the one hand and a high resource loading and due date obligation on the other. Miscellaneous production planning approaches offered today provide different combinations of logistic objectives for satisfying a manufacturing strategy. To combine the strength of the various approaches into a unified system, a new approach based on a dynamic and distributed production planning methodology is proposed. To customize the approach, various analyses and specifications have to be made and for that reason some important characteristics and criteria for analysing production control philosophies will be given.     

The social construction of the meaning of acute stressors: a qualitative study of the personal accounts of police officers using a stress counselling service

The police profession is one in which acute stressors are encountered more frequently than in other occupations. Using the personal accounts of 35 police officers attending an in-house stress counselling clinic, the aim of the present study was to provide a qualitative examination of how the institutional context of policing influenced the ways in which acute stressors signified to individual police officers experiencing felt distress. Using the framework of Rational Emotive Behaviour Therapy as an analytical tool, it is argued that beliefs contributing to the experience of felt distress are related to the way in which policing as both an identity and an activity is constructed through the police organizational culture. Not only do these constructions influence the ways in which officers perceive themselves and their environments, but they also operate at the collective level to 'normalize' some emotional responses and to 'pathologize' others which, it is argued, could impact upon the outcomes of interventions such as stress counselling.     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.     

Job stress, job strain, and psychological withdrawal among Dutch university staff: towards a dualprocess model for the effects of occupational stress

This study examined the antecedents of job strain (emotional exhaustion, health complaints) and withdrawal behaviour (e.g. lowered organizational commitment) among a cross-sectional sample of 131 academic staff members of the law department of a large Dutch university. Conservation of resources theory (Hobfoll, 1989) provided the theoretical background for this study. Strains and withdrawal behaviours were expected to be most prominent among those who reported having few resources and/or who reported high job demands. Structural equation modelling revealed that this was indeed the case. As predicted, differential patterns of effects emerged for job demands and job resources. Analysis of the effects of four job-specific stressors revealed that especially the structural aspects of a staff member's teaching task (e.g. the number of students in their classes) contributed strongly to perceived job demands. Theoretical and practical implications of the study are discussed.     

Employees' perceptions of organizational restructuring: the role of social support

Organizational change and restructuring is often perceived as leading to increased occupational stress, impacting negatively on the psychological well-being of employees. This pragmatic study investigates the role of social support and dispositional affect as moderators of role stress post-restructuring for employees in a public utility company. A total of 176 employees, including 37 managers, 60 graded staff and 78 industrial staff completed a self-report questionnaire, approximately 1 year postrestructuring, retrospectively assessing role conflict, ambiguity, overload and positive and negative feedback pre- and post-restructuring. Results suggested that overall role stress increased for managers/ senior officers and graded staff, but not for industrial staff. Social support was linked with lower role stress, more positive feedback and less negative feedback at post-restructuring. For certain role stressors this impact was moderated by dispositional affect, but the effect was not consistent across occupational groups. Positive affect enhanced the effect of manager support in reducing role conflict for graded staff, and the effect of co-worker support in increasing positive feedback and reducing negative feedback for industrial staff. Findings suggest that managers should pay particular attention to support and feedback for employees during periods of chronic occupational stress following organizational restructuring.     

The Danish psychosocial work environment and symptoms of stress: the main, mediating and moderating role of sense of coherence

The aim of this cross-sectional study was to explore the main, mediating and moderating role of sense of coherence (SOC) on stress symptoms and on the association between perceived psychosocial work environment and stress symptoms. The sample includes 2053 Danish employees from 52 workplaces. Hierarchical regression models were applied for each measure of stress. The results strongly supported the presence of a main effect for SOC. People with high levels of SOC experienced fewer stress symptoms. A mediating effect of SOC was also supported. Thus, SOC in part explained the association between work environment and stress symptoms. In addition, some support for a moderating effect of SOC was found, suggesting that people with higher SOC coped more efficiently with work environmental strain that people with lower SOC. Taken together the regression models explained 11-32% of the variance in stress symptoms. The results suggest that measures of individual factors such as SOC should be included in analyses of the effects of work environmental factors on stress and well-being.