隐含波动率与实际波动率的关系：中美比较

  上证50ETF期权上市至今,中国期权市场表现出很多与美国市场显著不同的特征,由此引申出关于美国的经验是否适用于中国、中国期权市场定价是否有效的争论。         基于2015年4月16日至2017年12月29日的中国上证50ETF期权数据和美国S&P500期权数据,以股指收益率与波动率的相关系数以及股指收益率的历史分布为工具,从整体特征和横截面特征两个维度,研究隐含波动率与实际波动率的理论关系;以使用期权市场数据计算得到的隐含波动率数据、波动率微笑和实际波动率数据、0Delta组合的超额收益为工具,研究隐含波动率与实际波动率的实际关系;针对上述理论关系和实际关系进行中美比较。由于理论关系研究中未使用期权数据,因此通过比较上述两个维度下的理论关系与实际关系的差异,可以对中国期权市场的绝对定价效率和相对定价效率进行探究。         研究结果表明,在整体特征上,美国期权市场中隐含波动率与实际波动率的理论关系与实际关系相符,美国期权市场在绝对定价效率维度上有效;中国市场,尤其是牛市样本中,隐含波动率与实际波动率的理论关系与实际关系不相符,中国期权市场在绝对定价效率维度上被高估。在横截面特征上,美国期权市场中隐含波动率与实际波动率的理论关系与实际关系相符,美国期权市场在相对定价效率维度上有效;中国市场,尤其是牛市样本中,隐含波动率与实际波动率的理论关系与实际关系不相符,中国期权市场在相对定价效率维度上无效,低行权价的期权被低估、高行权价的期权被高估。在上述两个特征的研究中,相应构造的0Delta组合(策略)同样支持上述结论。         通过中美两国隐含波动率与实际波动率的理论关系与实际关系的研究,发现中美两国的市场状况存在差异,在中国期权市场上的研究和交易不能简单照搬美国经验,要仔细研究和利用中国市场的当前特征。监管层也应完善中国股票和期权市场制度,降低期权交易成本,实行股票现货交易(t+0)制度,完善股票现货做空机制,以使套利机制可以正常发挥作用,改善当前上证50ETF期权市场被高估的现象,使期权的保险功能正常发挥作用。     

联盟企业的网络位置差异、行业环境与网络位置跃迁

 网络位置的跃迁能够为联盟内企业带来很多关键性资源和社会效应,联盟内大量企业都试图通过各种途径加速其网络位置的跃迁。已有研究较多从企业自身拥有的网络能力和网络中企业位置嵌入优势探讨网络位置的快速跃迁,忽视网络合作企业位置嵌入的作用,特别是网络位置嵌入存在差异的企业所形成的网络异位置联盟,容易导致资源和信息流动的改变,而对企业网络位置演化产生综合影响。此外,在中国新兴经济情景下,外部环境的变化会影响企业合作意愿以及合作方式的选择,以此动态作用于异位置联盟方式下企业网络位置的演化。        运用资源基础观和信任理论,对比分析同位置联盟和异位置联盟对企业位置跃迁的作用,并检验网络企业嵌入不同行业环境(行业环境动态性和行业环境竞争性)对它们之间关系的权变作用。采用中国信息行业研发合作网络为样本,运用社会网络Ucinet 6.0、Stata 11.0软件和多元回归分析方法进行实证检验。        研究结果表明,与网络同位置联盟相比,异位置联盟更容易促进企业网络位置跃迁;行业环境动态性越强,越会促进网络异位置企业间联盟对企业网络位置跃迁的正向作用;行业环境竞争性对网络异位置联盟与企业网络位置跃迁之间关系没有权变作用。        研究结论进一步明晰了网络异位置联盟对企业网络位置跃迁的作用机理及行业环境对企业网络位置演化作用机制,为企业有效获取和利用网络位置资源提供理论支持。     

双元领导对亲社会性沉默的影响

 亲社会性沉默可能是唯一能产生积极影响的沉默行为,当前对亲社会性沉默的前因研究尚显不足。激烈的竞争环境要求领导者具备双元能力,关于双元领导效应的研究主要集中在创新领域,而领导者结构化了员工的工作环境,将会影响员工的认知和行为,并且沉默行为主要由领导者造成。因此,探讨双元领导对亲社会性沉默的影响具有重要的理论和实践意义。        整合不确定管理理论和权力社会距离理论,以210名企业员工为样本,运用Spss 22和Mplus 7进行层次回归分析和验证性因子分析,探讨权力视角下双元领导对员工亲社会性沉默的影响,检验个人权力感知的中介作用以及中庸思维和权力距离导向的调节作用,揭示双元领导影响员工亲社会性沉默的内在机制。        研究结果表明,①双元领导正向影响员工亲社会性沉默,个人权力感知负向影响员工亲社会性沉默;②个人权力感知在双元领导与亲社会性沉默间起完全中介作用;③中庸思维负向调节双元领导与个人权力感知的关系;④权力距离导向正向调节个人权力感知与亲社会性沉默的关系。        实证检验双元领导对亲社会性沉默的影响,拓展了沉默行为相关研究;选取权力视角的双元领导为切入点,丰富了双元领导影响的研究;探讨亲社会性沉默的中介机制,从权力距离导向视角验证了个人权力感知对沉默行为的影响;通过引入中庸思维和权力距离导向作为调节变量,有效回应了管理学本土化研究倡议。研究结论对组织管理实践具有一定的指导意义。     

How leader role identity influences the process of leader emergence: A social network analysis

Contemporary theories on leadership development emphasize the importance of having a leader identity in building leadership skills and functioning effectively as leaders. We build on this approach by unpacking the role leader identity plays in the leader emergence process. Taking the perspective that leadership is a dynamic social process between group members, we propose a social network-based process model whereby leader role identity predicts network centrality (i.e., betweenness and indegree), which then contributes to leader emergence. We test our model using a sample of 88 cadets participating in a leadership development training course. In support of our model, cadets who possess a stronger leader role identity at the beginning of the course were more likely to emerge as leaders. However this relationship was only mediated by one form of network centrality, indegree centrality, reflecting one's ability to build relationships within one's group. Implications for research and practice are discussed.     

Online MapReduce processing on two identical parallel machines

In this work we investigate the online over-list MapReduce processing problem on two identical parallel machines, aiming at minimizing the makespan. Jobs are revealed one by one, and each job consists of one map task and one reduce task. The map task can be arbitrarily split and processed on both machines simultaneously, while the reduce task has to be processed on a single machine and it cannot be started unless the map task has been completed. We first show that the general case of the problem reduces to the classical two machine online scheduling model with an optimal competitive ratio of 3/2. For a special case where the map task is at least as long as the reduce task, we prove that no online algorithm can be less than 4/3-competitive. An optimal Greedy algorithm with a matching competitive ratio is proposed as well.     

‘It is not fair that you do not know we have problems’: Perceptual distance and the consequences of male leaders' conflict avoidance behaviours

This study investigates perceptual distance in terms of managers' conflict avoidance behaviour and its consequences for subordinates. We argue that perceptual distance, or the disagreement between a manager's perception and that of his or her subordinates of his or her conflict avoidance, is a genuine phenomenon. We examine the extent to which the perceptual distance regarding managers' avoidance behaviour influences a team's justice climate as well as the role of gender. The data collected from three multinational companies in China show that the perceptual distance of a male manager's avoidance behaviour exists and that it is associated with a negative justice climate within the team. These findings provide evidence of gender's effect on leadership and highlight the benefits of female leadership.     

动态环境下企业持续成长的模型与构建

动态环境对企业的持续成长提出了挑战,企业如何持续成长的问题实质就是企业竞争优势如何持续的问题.在持续竞争优势的基础上提出了企业持续成长模型,深入分析了持续竞争优势的构建及其驱动因素,建立了竞争优势的动态管理模型,通过对主导优势和辅助优势进行选择、培育、更新和主动破坏等动态管理过程,获得企业在总体竞争优势上的持续发展.     

出版业的产业化、集团化和现代化

针对我国出版业的现状及存在问题 ,笔者在大量调查研究的基础上 ,进行了深入浅出的分析 ,指出了存在问题的“九大症结” :重复出版、侵权盗版、非法出版、库存积压、质量低劣、书价虚高、政企不分、规模偏小和手段落后 ,提出了解决问题的建议 :出版业必须走“产业化、集团化和现代化”之路     

Costs and Benefits of Relational Contracting in China’s Transition

This paper is an attempt to account for the social foundations of China’s economic transition from central planning to a market economy which is a process of the completion and perfection of markets. In the early stage of China’s transition, relational contracts and interlinked arrangements constitute effective substitutes for missing and imperfect markets. However, relational contracting is becoming more costly as China’s economy develops. Its costs include, diseconomy of scale, undermining the development of arm-length transactions and formal institutions, among others. There are two possible future trajectories of China’s reform. One possibility is that the markets are so developed so that they are dis-embedded from sociopolitical powers. A second is that the markets are less developed and embedded in sociopolitical powers.     

辽河边又见曹雪芹——《我从龙河走来》选载

在辽宁省铁岭市采访"红学研究热"时,铁岭市曹雪芹研究会的同事一再向我们推荐李奉佐先生,说他是当地最有名的"红学专家",特别是对曹雪芹家世研究方面颇有建树,出版过许多著作.