废旧电器回收再生利用产业链中价格形成机制研究

废旧电器回收体系的建立可以保障资源的高效循环利用,同时,合理的利益分配可以保障系统的正常运转。文章在研究了欧洲各国的成功经验的基础上,结合我国国情,提出了一个符合我国国情的废旧电器回收再生利用产业链模型。深入探讨了模型中价格的形成要素,引入动态博弈理论,探讨制造商在竞争条件下的定价策略,以及政府的调控手段。该模型为计划和市场的有效结合,通过政府干预、市场调节等手段达到系统的动态平衡,促进可再生资源的充分利用。     

价格上限下的高峰负荷电价效率比较研究

电价改革是电力市场化改革的核心,合理的电价应是电价水平和电价结构的有机结合。对不同价格上限形式下高峰负荷电价效率的比较分析表明,价格上限管制具有财务收支平衡的效应。与绝对价格上限管制相比,相对价格上限管制更具有优越性,在相对价格上限管制条件下制定的高峰负荷电价趋向于拉姆塞价格,能使社会福利尽可能最大化。同时,对于相对价格上限管制来说,无论是采用拉氏物价指数还是帕氏物价指数,管制所起的效率是完全相同的。     

套利定价模型在上海股票市场的有效性检验

文章以上海股票市场486家上市公司的数据为样本,对套利定价模型在我国证券市场的有效性进行了检验.实证结论表明:公司规模、市值与账面价值比以及市盈率对股票收益率没有显著影响,股票市场价格的变动是随机的,即套利定价模型在上海股票市场是无效的.     

Predictability of Interest Rates and Interest-Rate Portfolios

Due to the near unit-root behavior of interest rates, changes in individual interest-rate series are difficult to forecast. We propose an innovative way of applying dynamic term structure models to predict future changes in interest-rate portfolios. Instead of directly forecasting the movements based on the estimated factor dynamics, we use the dynamic term structure model as a decomposition tool and decompose each interest-rate series into two components: a persistent component captured by the dynamic factors, and a strongly mean-reverting component given by the pricing residuals of the model. With this decomposition, we form interest-rate portfolios that are first-order neutral to the persistent dynamic factors, but are exposed to the strongly mean-reverting residuals. We show that the predictability on the changes of these interest-rate portfolios is significant both statistically and economically. We explore the implications of the predictability in future interest-rate modeling.     

第一HJ距离的理论分析

模型设定检验是资产定价的核心环节,作为模型误设的新指标,第一HJ距离受到学术界的广泛关注。然而,鲜有文献比较第一HJ距离和传统的误设测度的异同。本文系统地分析第一HJ距离的性质,并与传统的模型设定误差测度进行比较发现：（1）第一HJ距离将基于模型所用SDF的欧氏空间距离和最大定价误相联系,有丰富的经济含义;（2）第一HJ距离关注定价误差,相较于传统的模型误设测度,倾向于选择大的零Beta收益率和小的因子风险溢酬,对模型的排序有差异;（3）第一HJ距离的加权矩阵具有模型独立性和对测试资产组合选择的一致性。     

The Impact of the Potential Entry of Copycats: Entry Conditions,Consumer Welfare,and Social Welfare

This article examines the implications of the potential entry of a copycat who produces and sells a copycat (i.e., imitation) product that competes with the incumbent product. By analyzing a two‐period dynamic noncooperative game between these two firms, we identify conditions under which the copycat can gain successful market entry. More importantly, we find that the potential entry of a copycat creates (implicit) pressure for the incumbent to lower its selling price; hence, it improves consumer welfare. Finally, we identify conditions under which the potential entry of a copycat can increase social welfare (i.e., consumer welfare and the profit of both firms).      

我国A股IPO效率影响因素的实证研究

本文运用多元线性回归模型对2001年5月15日至2005年6月7日在深沪两市上市的288只A股新股,就IPO效率影响因素进行了实证研究.研究引入了一个新的解释变量--市场气氛,将深沪两市市场气氛衡量指标予以统一.结果发现:发行价、市场气氛、上市首日换手率、资产规模等变量均表现出极强的显著性.     

A joint optimal pricing and order quantity model under parameter uncertainty and its practical implementation

We consider a robust optimization model of determining a joint optimal bundle of price and order quantity for a retailer in a two-stage supply chain under uncertainty of parameters in demand and purchase cost functions. Demand is modeled as a decreasing power function of product price, and unit purchase cost is modeled as a decreasing power function of order quantity and demand. While the general form of the power functions are given, it is assumed that parameters defining the two power functions involve a certain degree of uncertainty and their possible values can be characterized by ellipsoids. We show that the robust optimization problem can be transformed into an equivalent convex optimization which can be solved efficiently and effectively using interior-point methods. In addition, we propose a practical implementation of the model, where the stochastic characteristics of parameters are obtained from regression analysis on past sales and production data, and ellipsoidal representations of the parameter uncertainties are obtained based on a combined use of genetic algorithm and Monte Carlo simulation. An illustrative example is provided to demonstrate the model and its implementation.     

Shattering the Myth of Costless Price Changes

Despite its centrality to the topic, very little attention has been paid to the topic of price changes. Indeed, for the most part, organisations operate under the myth of costless price changes. This article broadens the definition of the costs of changing price and then presents strategic recommendations for improving the way in which prices are changed within organisations.     

内部劳动市场定价理论框架下的国有商业银行人力竞争力分析

调查结果表明,现实存在的人力竞争并没有动摇国有商业银行员工队伍的基本稳定.晋升工资体制的理论基础是内部劳动市场定价理论,该理论对低工资率制度下的中国国有商业银行员工队伍的稳定提供了合理解释.在新一轮的金融人才竞争中,国有商业银行只要能把与外资金融机构的收入差距缩小到职业稳定性可以抵补的范围内,就可以预期能够避免人才流失危机.职业稳定性抵补收入差距的均衡状态是国有商业银行薪酬制度改革的切入点.