基于股价跳跃限制的高管股票期权激励定价研究

如何合理地评估高管股票期权的价值仍然是业界和学界的难题之一。在传统的基于BS期权定价模型的基础上，考虑我国股票市场的涨跌停限制的制度设计，运用三点概率分布将这一制度特征刻画在股价跳跃过程之中，提出了引入跳跃限制的股权价值定价模型。以实施股权激励计划公司为训练样本并对未来期权价值进行模拟，模拟结果表明，中国证券市场的涨跌停制度对于高管股票期权价值是有影响的，增加股价跳跃限制的定价模型降低了传统BS模型对股权价值的高估程度，这将有利于进一步优化高管股票期权激励的定价模型。     

The Right Price of Food

Only a few years ago the widely shared view was that low food prices were a curse to developing countries and the poor. Their dramatic increase in 2006–8 appears to have altered this view fundamentally. High food prices are now judged to have a devastating effect on developing countries and the world's poor – a reversal of opinion that raises questions about the old and the new arguments and the proposed remedies, and also about the causes of this dramatic turnaround in analysis and policy conclusions. This article puts these changes in perspective and discusses their potential implications.     

展厅现象下的双渠道供应链定价策略

针对双渠道供应链中展厅现象将加剧传统渠道与电子渠道的价格竞争问题，利用消费者效用理论，以存在展厅现象的差异化定价策略为基准，分别设计能够消除展厅现象的一致性定价策略和限价策略。研究结果显示相比差异化定价策略，一致性定价策略可以减轻传统渠道与电子渠道的价格竞争，并总是对零售商有利，但当顾客到传统渠道麻烦成本较高和批发价格较低时，也将有利于制造商；此外，双渠道供应链成员是否选择限价策略，依赖于传统渠道与电子渠道的价差，随着价差的降低制造商与零售商的利润都将提高，特别当两个渠道的价差较小时，限价策略可以有效降低价格竞争，从而促进双渠道供应链成员达到双赢状态。     

产品价格与企业规模--基于制造业企业产品层面数据的经验分析

采用2004～2006年中国制造业企业产品层面微观数据，使用固定效应模型面板回归方法，对产品价格与企业规模之间存在的相关关系进行实证研究。研究结果表明，企业出口产品价格，进口投入品价格与企业规模存在显著正相关关系，企业规模越大，出口产品定价越高，购买的进口投入品价格越高。本文对产品价格与企业规模之间相关关系的内在机理进行详细分析基础上，实证检验得出产品质量是影响产品价格与企业规模之间相关关系的最重要因素。     

Manufacturer suggested retail prices,loss aversion and competition

We study a model of vertical relations with imperfect retail competition in which a fraction of the consumers display reference-dependent demand with respect to the manufacturer’s suggested retail price. We demonstrate that in equilibrium the suggestion will either be undercut or complied with by the retailers, but never surpassed: undercutting occurs if competition is fierce, the impact from consumers affected by reference-dependent preferences is significant, and high price suggestions are credible; compliance occurs otherwise. We provide comparisons, and discuss implications, for consumer surplus for the scenarios with suggested retail prices, without vertical restraints and with resale price maintenance.     

内幕交易与股价同步性

关于内幕交易的好处和坏处以及监管的必要性是金融研究领域的热门话题。内幕交易破坏了市场秩序，损害了其他投资者的利益。然而，有一种观点却认为内幕交易对于将公司层面的特质信息更及时、更精确地融入股价有重要贡献，因而提升资本市场效率。基于该逻辑，内幕交易“似乎”客观上能带来公司特质信息，并呈现出较低的股价同步性。 基于股价同步性的分析，利用2007年至2015年中国A股上市公司的数据，采用Stata软件以及控制行业和年度固定效应的OLS回归分析方法对内幕交易与股价同步性的真实关系进行实证检验。将知情交易概率作为测量内幕交易的指标，重新考察内幕交易对股价同步性的影响。在此基础上，进一步分析信息环境等因素对上述关系的影响。为了使研究结论更有说服力，从宏观、中观、微观3个层面考察信息环境的调节作用，尝试将内幕交易对股价同步性的影响区分为长期影响和短期影响，以更全面、更客观地认清内幕交易的真实影响。 研究结果表明，内幕交易的确能降低当期股价同步性。但是，内幕交易的信息传递属于一种非正式渠道，其作用会受到信息环境的影响。当信息环境较好时，内幕交易对当期股价同步性的负向影响会削弱；当信息环境较差时，内幕交易对当期股价同步性的负向影响会加强。进一步研究发现，内幕交易会导致其他投资者的逆向选择并提升未来股价同步性，最终降低资本市场的效率。 进一步探索内幕交易的真实影响，并在一定程度上反驳了内幕交易可以提升资本市场效率的说法，有利于提升广大投资者和监管部门对中国资本市场的认知。     

Reputation and Mechanism Choice in Procurement Auctions: An Experiment

We experimentally study the role of reputation in procurement using two common mechanisms: price‐based and buyer‐determined auctions. While buyers are bound to buy from the lowest bidder in price‐based auctions, they can choose between bidders in buyer‐determined auctions. Only the latter buyers can consider the reputation of bidders. We find that bidders supply higher quality in buyer‐determined auctions leading to higher market efficiencies in these auctions. Accordingly, buyers prefer the buyer‐determined auction over the price‐based auction, while only half of the bidders do so. A more detailed analysis of buyers' and bidders' behavior and profits provides insights into their mechanism choice.     

Promotion Planning and Supply Chain Contracting in a High–Low Pricing Environment

Demand forecast errors threaten the profitability of high–low price promotion strategies. This article shows how to match demand and supply effectively by means of two‐segment demand forecasting and supply contracts. We find that demand depends on the path of past retail prices, which leads to only a limited number of reachable demand states. However, forecast errors cannot be entirely eliminated because competitive promotions entail some degree of random (i.e., last‐minute) pricing. A hedging approach can be deployed to distribute demand risk efficiently over multiple promotional campaigns and within the supply chain. A retailer that employs a portfolio of forward, option, and spot contracts can avoid both stockouts and excess inventories while achieving the first‐best solution and Pareto improvements. We provide an improved forecasting method as well as stochastic programs to solve for optimal production and purchasing policies such that the right amount of inventory is available at the right time. By connecting a stockpiling model of demand with the supply side, we derive insights on optimal risk management strategies for both manufacturers and retailers in a market environment characterized by frequent price promotions and multiple discount levels. We employ a data set of the German retail market for a key generator of store traffic—namely, diapers.     

How Costs and Heterogeneous Consumer Price Sensitivity Interact with Add‐On Pricing

Firms often cite cost savings as a reason why they charge separately for add‐ons. Firms also often face situations where consumers' price sensitivity is correlated with their valuation of add‐ons. While cost savings may directly translate into profit gains in some scenarios, this study examines the strategic implications of add‐on pricing and is the first to suggest that cost savings from add‐on pricing may in fact result in profit loss for firms when consumers are heterogeneous in price sensitivity. This is because add‐on pricing can trigger a revenue loss that exceeds any cost savings, thus leading to a negative net profit change for competing firms. Even if firms have the capability to pre‐commit to not adopting add‐on pricing, we show that competing firms can be locked in a prisoner's dilemma where all choose to adopt add‐on pricing and lose profits (as compared to none adopting add‐on pricing). We further show the possibility that the greater the cost of providing the add‐on (and the greater the cost savings generated from add‐on pricing), the worse this profit loss gets.     

Optimal Per‐Use Rentals and Sales of Durable Products and Their Distinct Roles in Price Discrimination

We consider a setting in which consumers experience distinct instances of need for a durable product at random intervals. Each instance of need is associated with a random utility and the consumers are differentiated according to the frequency with which they experience such instances of need. We use our model of consumer utility to characterize the firm's optimal strategy of whether to sell, rent, or do a combination of both in terms of the transaction costs and consumers' usage characteristics. We find that the two modes of operation serve different roles in allowing the firm to price discriminate. While sales allow the firm to discriminate among consumers of different usage frequencies, rentals allow it to discriminate according to consumers' realized valuations. Consequently, even when transaction costs are negligible, it is often optimal for the firm to simultaneously rent and sell its product. In addition, we find that although sales and rentals are substitutes and that the offering of sales weakly increases rental prices, it is possible that the introduction of rentals to a pure selling operation can either increase or decrease the optimal sales prices.