生物药品制造行业竞争战略影响企业绩效的时滞效应研究——基于VAR模型的脉冲响应分析

本文利用中国医药生物制品上市公司2003年1季度-2012年1季度的季度财务数据进行了验证性因子分析,构建了差异化和低成本两个因子以反映公司的竞争战略。在此基础上,利用向量自回归(VAR)和脉冲响应的思路考察了战略制定及实施后企业的绩效表现,确定了战略绩效的滞后程度。研究发现:竞争战略影响企业绩效表现出一定的时滞效应;且差异化战略影响企业绩效的滞后期长于低成本战略;同时竞争战略影响企业绩效具有持续性,即竞争战略能够给企业带来持续的竞争优势,且差异化战略影响企业绩效的持续时间相比低成本战略也更长。最后,实证结果还发现,在医药生物制品行业,差异化战略相比低成本战略实施难度更大,风险更高,实施成功的可能性越小。     

法律渊源、关系异象与资本结构决策机理:基于17个国家地区制造业的面板证据

本文选取处于不同法律渊源的17个国家(地区)制造业上市公司2004-2008年的公司特征数据和国家宏观经济指标,研究国际间资本结构动态决定的宏观与微观因素的交互作用关系.结果发现:一是经济增速、资本形成和法治制度等国家宏观经济制度因素主要通过公司特征因子依次间接调整目标资本结构水平且作用关系路径和效应强弱排序相对不变;二是宏观要素对制造业上市公司资本结构直接效应存在英美法系国家(地区)显著高于大陆法系国家(地区),而在大陆法系国家(地区)范围内法国大陆法系最高,德国大陆法系(地区)次之,斯堪的纳维亚大陆法系国家最低的现象;三是发展中国家公司特征因素与目标资本结构的关系异象根源于特定经济制度背景,而在不同法律渊源国家(地区)范围内特定微观因素对资本结构的作用效应强弱顺序具有相对稳定性.     

全球性股市恐慌下的股市日内风险传染:来自欧债危机时期的证据

本文主要着眼于全球性股市恐慌下的中国内地与中国香港、中国台湾、日本股市之间的日内风险传染现象,使用日内5分钟数据,应用FFF回归、FIEGARCH模型、ARFIMAX模型的波动溢出三步检验法,对内地股市与其他三个东亚股市之间的日内波动溢出效应进行了实证分析.本文的主要结论是:中国内地与中国香港股市之间存在着强烈的双向波动溢出效应;中国内地与日本股市互不影响;中国内地与中国台湾股市之间,虽然在非恐慌时期几乎不存在波动溢出效应,但进入恐慌时期后中国台湾股市显著受到内地股市影响.股票市场之间的波动溢出效应具有非对称性特征,并且股市下跌时的波动溢出效应比上涨时要大.     

Linking perceived organizational support with employee work outcomes in a Chinese context: Organizational identification as a mediator

Perceived organizational support (POS) is viewed as an important explanatory framework for understanding the relationship between employees and the workplace, and is regarded by some researchers as central in understanding job-related attitudes and behaviors of employees. However, less research has taken into account the role of organizational identification, which reflects how individuals define the self with respect to their organization, as a potential influence on such relationships. Drawing on a cross-organizational sample of 238 subordinate-supervisor dyads from the People’s Republic of China, we examined whether organizational identification mediates the effect of perceived organizational support (POS) on work outcomes including turnover intentions, work performance, and organizational citizenship behavior (OCB). Results from the current study showed that organizational identification fully mediates the relation of POS to OCB-directed to individuals, and partially mediates relations between POS and other work outcomes (turnover intention, work performance, OCB-directed to organization). Implications for management theory and practice are discussed.     

Antecendents and effects of decision comprehensiveness: The role of decision quality and perceived uncertainty

On the basis of a sample of 184 top executives, we investigated the roles of decision quality and perceived uncertainty in the relationship between decision comprehensiveness and performance. Our results show that decision quality mediates a large proportion of the comprehensiveness–performance relationship and may thus provide a more proximate outcome measure of the effect of comprehensiveness. In addition, we found that perceived uncertainty directly affects the level of comprehensiveness in organizations rather than moderating its effect on performance as conceptualized by previous research. Based on the integration of behavioral and information processing theories we suggest that more process-oriented measures such as decision quality and perceived uncertainty may overcome conflicting empirical results in the field.     

市场时机对资本结构影响的持续度研究

市场股价信息会不断影响股权融资决策,对资本结构的影响甚至出现累积效应。为此,从中长期的角度探寻历史市场时机对公司资本结构形成和杠杆累计变动的影响,并具体测算出市场时机对资本结构影响的持续程度。研究表明,市场价格高的公司不仅在短时间内愿意进行股权融资,而且过去的市场价格信息也会对资本结构产生中长期的影响,在一定时间里不断累积。这种信息的影响大约会持续5年左右。     

Generic Assessment Endpoints Are Needed for Ecological Risk Assessment

This article presents arguments for the development of generic assessment endpoints for ecological risk assessment. Generic assessment endpoints would be ecological entities and attributes that are assumed to be worthy of protection in most contexts. The existence of generic assessment endpoints would neither create a requirement that they be used in every assessment nor preclude the use of other assessment endpoints. They would simply be a starting point in the process of identifying the assessment endpoints for a particular assessment. They are needed to meet legal mandates, to provide a floor for environmental degradation, to provide some consistency in environmental regulation, as exemplars for site- or project-specific assessment endpoints, to allow development of methods and models, to give risk managers the courage to act, for screening and site-independent assessments, to support environmental monitoring, to facilitate communication, and to avoid paralysis by analysis. Generic assessment endpoints should include not only a list of entities and attributes, but also explanations of each endpoint, guidance on their use and interpretation, and measures and models that could be used to estimate them.     

我国银行间同业拆借利率的动态研究———基于跳跃 扩散 机制转换模型的实证分析

针对我国短期利率易受政策影响,波动较大并存在结构变化等特点,构建了跳跃 扩散 机制转换模型,同时考察了银行间 7 天同业拆借利率的波动、跳跃和结构变化三种效应,发现我国同业拆借利率不仅具有均值回归特性而且还存在明显的跳跃与机制转换,并且该模型 比其嵌套的受限模型表现更佳． 在高波动状态下利率波动的水平效应和 ARCH 效应可以忽略; 低波动状态下,水平效应可以忽略． 另外,跳跃具有聚类效应,高( 低) 的跳跃概率和高( 低)状态概率对应着高( 低) 利率和较高( 低) 的波动率,跳跃主要发生在高状态机制下,低状态机 制下发生跳跃的可能性很小．     

上海股票市场股票收益率因素研究

根据上海股票市场从1995 年7 月到2000 年6 月所有A 股股票的月收益率、价格、市值和 公司财务数据,利用Fama-Macbeth 回归分析方法及构造动态组合方法,分析总市值、流通市值、 价格、账面市值比、市盈率、账面资产负债比等因素对股票回报率的影响. 发现上海股票市场具 有显著的市值效应、账面市值比效应、市盈率效应和价格效应. 这些效应不能用股票的beta 值 来解释. 同时发现Fama- French 的三因子模型不能完全解释这些效应,但在三因子模型的基础 上再加上一个市盈率因子可以很好地解     

VaR-APARCH模型与证券投资风险量化分析

基本统计分析发现,上证综合指数回报率分布存在尖峰肥尾性,不服从正态分布,并且还具有杠杆效应。本文应用APARCH模型在三种分布假设下对上证综合指数通过事后模拟和条件单步预测来计算上证综合指数的VaR风险值,然后把它与应用GARCH模型的估计结果进行比较分析。通过返回检验,我们发现,APARCH应用于VaR估计是统计有效的,并且明显优于GARHC模型。