宏观调控视角下我国土地储备法律制度的完善

世界各国的土地储备制度主要有以下几种类型:土地银行制度、土地优先购买权制度、土地规划制度、土地征用制度.土地储备制度于20世纪90年代从香港地区引进以后,已成为我国许多地方政府调控土地市场的重要手段.但是目前我国土地储备制度存在诸多问题:土地储备法律很不完善;土地储备中的一些基本制度欠缺.因此,应当借鉴国外和相关地区的经验来完善我国的土地储备法律制度.     

碳交易机制下供应链CCS投资时机研究

在碳交易机制下,碳价格不确定性对发电商的碳捕获与封存(Carbon Capture and Storage,CCS)投资时机具有重要影响。基于实物期权理论,考虑碳价格不确定性及CCS投资成本递减情况下CCS投资的期权价值,建立集碳捕获-运输-封存于一体的CCS投资时机决策基本模型。在此基础上,进一步构建考虑供应链内发电商与CCS运营商合作的CCS投资博弈模型,分析发电商与CCS运营商在收益转移比例与投资时机之间进行决策的均衡条件。基于上述模型,结合数值算例进一步分析了CCS投资时机的影响因素。结果表明:碳价格波动率、政府对CCS投资补贴系数、CCS技术学习效应以及供应链内部企业间的收益转移比例等都将对CCS投资门槛产生影响,供应链企业应综合考虑各因素的影响,科学选择投资时机与收益转移比例,以实现CO2减排的同时保证各方的经济利益,保障供应链的协调运行与CCS投资优化。     

Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework

Abstract

A key question for understanding the cross-section of expected returns of equities is the following: which factors, from a given collection of factors, are risk factors, equivalently, which factors are in the stochastic discount factor (SDF)? Though the SDF is unobserved, assumptions about which factors (from the available set of factors) are in the SDF restricts the joint distribution of factors in specific ways, as a consequence of the economic theory of asset pricing. A different starting collection of factors that go into the SDF leads to a different set of restrictions on the joint distribution of factors. The conditional distribution of equity returns has the same restricted form, regardless of what is assumed about the factors in the SDF, as long as the factors are traded, and hence the distribution of asset returns is irrelevant for isolating the risk-factors. The restricted factors models are distinct (nonnested) and do not arise by omitting or including a variable from a full model, thus precluding analysis by standard statistical variable selection methods, such as those based on the lasso and its variants. Instead, we develop what we call a Bayesian model scan strategy in which each factor is allowed to enter or not enter the SDF and the resulting restricted models (of which there are 114,674 in our empirical study) are simultaneously confronted with the data. We use a Student-t distribution for the factors, and model-specific independent Student-t distribution for the location parameters, a training sample to fix prior locations, and a creative way to arrive at the joint distribution of several other model-specific parameters from a single prior distribution. This allows our method to be essentially a scaleable and tuned-black-box method that can be applied across our large model space with little to no user-intervention. The model marginal likelihoods, and implied posterior model probabilities, are compared with the prior probability of 1/114,674 of each model to find the best-supported model, and thus the factors most likely to be in the SDF. We provide detailed simulation evidence about the high finite-sample accuracy of the method. Our empirical study with 13 leading factors reveals that the highest marginal likelihood model is a Student-t distributed factor model with 5 degrees of freedom and 8 risk factors.     

碳税制度下企业产品升级及信息披露策略研究

在实行碳税制度的背景下,本文构建了包含两家制造商的双寡头模型,以其中一家制造商是否投资产品升级减排作为关键信息,分别研究信息不公开(模型1)和信息公开(模型2)时两家制造商的均衡定价与最优利润以及制造商产品升级的条件,并且进一步研究当制造商同时掌握技术决策权和信息披露权时选择四种不同决策方案的条件。理论结果表明,如果升级后单位实际生产成本变大,制造商选择不升级且不公开;如果升级后单位实际成本变小,当升级后利润增值大于固定成本投入时,制造商选择升级并不公开,反之,选择不升级并公开。无论升级前后单位实际成本大小关系如何,制造商都不会选择升级且公开信息。数值试验部分表明,当制造商同时掌握技术选择权和信息披露权时,碳税是驱动制造商进行升级减排的主要因素,随着碳税的提高,制造商会依次从不升级不公开,不升级公开到升级不公开做决策。当不升级的概率越大时,制造商会在较低的碳税点越早开始升级;当减排努力越大时,制造商会在较高的碳税点才开始升级。     

Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter

In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a Markov Chain Monte Carlo (MCMC) sampling algorithm. Candidate draws for the unobserved volatilities are obtained in blocks by applying the Kalman filter and simulation smoother to a linearization of a nonlinear state space representation of the model. Crucially, information from both the spot and option prices affects the draws via the specification of a bivariate measurement equation, with implied Black-Scholes volatilities used to proxy observed option prices in the candidate model. Alternative models nested within the Heston (1993) framework are ranked via posterior odds ratios, as well as via fit, predictive and hedging performance. The method is illustrated using Australian News Corporation spot and option price data.     

Optimal procurement of long-term contracts in the presence of imperfect spot market

B2B spot market has grown rapidly and become an effective trading channel for commodity products. Besides long-term contract procurement from conventional suppliers (forward and option), a buyer can procure or sell commodities at any time in B2B spot market to adjust her inventory level. However, spot prices are generally volatile and the market is imperfect in the sense that spot trading may be realized with uncertainty in a given period of time and often comes with extra transaction cost. This paper considers a commodity buyer who can order forward and option contracts in advance and trade in a B2B spot market when spot price and demand are observed stochastically. Based on a single-period newsvendor model, we discuss three optimal order strategies and derive respective expected profits when the buyer is risk-neutral. The sensitivity of purchase costs, market liquidity and transaction cost is investigated. We also compare the optimal expected profits for different strategies to illustrate the effects of the two long-term contracts in the presence of the B2B spot market. We then extend our model to a multi-period setting and derive the optimal strategy. Finally, we numerically compute the optimal order strategy for a risk-averse buyer and analyze the impact of spot market, risk aversion, as well as the correlation between customer demand and spot price.     

确定性等值法在经理股票期权定价中的应用研究

布莱克-斯科尔斯模型是国际上通用的期权定价模型,但这一模型应用于经理股票期权价值的确定却遭到越来越多的批判。针对经理股票期权的特征,文章拟采用“确定性等值法”来科学、合理地解决经理股票期权价值的确定问题。这将有利于股权激励机制的优化,从而达到最优激励效果。     

不同CSR分担模式下的闭环供应链销售努力与定价决策

本文研究考虑企业社会责任(CSR)闭环供应链的定价及销售努力问题,在制造商、零售商以及二者联合承担CSR三种模式下,分析了CSR行为对闭环供应链销售努力及定价策略的影响。研究表明,无论在何种CSR分担模式下,成员企业的CSR行为不仅有利于降低产品价格,提高零售商的销售努力水平、产品销量及废旧产品回收效果,还有效的增加了制造商的社会福利、第三方及系统的总利润。当制造商或零售商单独承担CSR时,第三方及闭环供应链整体的利润均相等且大于二者联合承担CSR时。当制造商和零售商联合承担CSR时,二者的社会福利均大于其单独承担CSR时,且主导零售商的社会福利较之制造商更大。     

股权结构对新股价格影响的实证研究

本文以股权结构与公司价值的基本理论和信号传递理论为基础提出了以股权结构来判断新股发行定价和上市首日市场定位合理性的观点,并通过实证分析对我国新股价格对公司内在价值反映的程度进行了检验,认为新股价格反映公司内在价值的观点是值得怀疑的,并揭示了深层次原因。