现金分红的连续性、投资效率与公司价值——基于面板结构VAR模型的实证分析

本文以1998-2009年间我国1383家上市公司为样本,分别按最终控制人的性质和派现行为是否连续对样本进行了划分,运用面板的结构VAR模型研究了现金股利、投资效率和公司价值之间的关系。基于模型的脉冲响应函数和方差分解,本文对连续派现的公司和非连续派现的公司进行了比较。研究发现：自然人控制的上市公司中,非连续派现公司的投资挤占了现金股利的积极效应,并给公司价值带来了负的冲击效应,连续派现公司的现金分红与投资存在相互促进的效应,公司价值对投资冲击的响应函数值为正;地方政府控制的上市公司整体上投资对现金分红冲击的响应函数值为负,其对公司价值的冲击效应也为负;中央政府控制的上市公司中,连续派现公司的现金分红具有抑制过度投资的效应,但其对投资波动的影响作用较小,若对非连续派现的公司实施以分红为条件的融资政策,则可能会制约其发展。     

Introduction to the Special Issue on Humanitarian Operations and Crisis Management

The Genesis of this Special Issue came from the Board of the POMS College on Humanitarian Operations and Crisis Management (HO&CM). It was seen as a necessary initiative to define the field and examine research opportunities. This Special Issue shows that humanitarian operations pose challenges for P/OM researchers and practitioners that differ markedly from those of conventional supply chains associated with profitable enterprises. On the basis of the eight articles in this Special Issue, we have described and demonstrated the unique characteristics of the POM/HO&CM interaction. We have also identified those attributes that tend to overlap with conventional aspects of POM. In addition to wanting to be cost effective, the issue of equity fairness is pervasive in humanitarian operations, and so is the need to always base considerations on “last‐mile logistics,” that is, getting aid to those in most need. Research is essential to determine how to train researchers to scout out and map the territory of the real problems. One of the most vexing problems is the lack of robust data in the humanitarian domain which is as richly varied as the types of disasters that can occur.     

Measuring the Contribution of Workers' Health and Psychosocial Work‐Environment on Production Efficiency

Increasingly many firms have started to implement programs intended to improve the workers' health and the psychosocial work‐environment, as well as other attributes of labor quality. Motivated by the need for evaluating to what extent the programs affect a firm's productivity performance, this study discusses a model for analyzing the contribution of labor quality attributes toward firm productivity. To assess the contribution from the labor quality attributes, we model firm productivity as the outcome of two separate processes within a firm: the physical production process and the labor quality process. Firm productivity is measured by a Malmquist‐like productivity index and is computed by Data Envelopment Analysis. Based on bootstrap methods we analyze potential statistical bias and provide bias‐corrected productivity estimates. The labor quality attributes are first modeled at an individual worker level as latent variables using Item Response Theory, and then aggregated to a firm‐level. The model is empirically validated using data from three manufacturing plants that participated in a coordinated worksite health promotion program. Over a 4‐year period (2000–2003), we observed a general improvement in efficiency of 2–5%, half of which could be attributed to an improvement in workers' health and psychosocial work‐environment. A key benefit with the model is that it is practical, easy to implement, and very fast to compute. The model also constructively contributes to the discourse on sustainability by providing a framework for deriving meaningful metrics and providing tangible measurements on the effect of sustainability‐related issues.     

Non‐Manipulable House Allocation With Rent Control

In many real‐life house allocation problems, rents are bounded from above by price ceilings imposed by a government or a local administration. This is known as rent control. Because some price equilibria may be disqualified given such restrictions, this paper proposes an alternative equilibrium concept, called rationing price equilibrium, tailored to capture the specific features of housing markets with rent control. An allocation rule that always selects a rationing price equilibrium is defined, and it is demonstrated to be constrained efficient and (group) non‐manipulable for “almost all” preference profiles. In its bounding cases, the rule reduces to a number of well‐known mechanisms from the matching literature. In this sense, the housing market with rent control investigated in this paper integrates several of the predominant matching models into a more general framework.     

基于利他属性的双渠道供应链研究

针对电子渠道和传统零售渠道之间复杂的关系,本文构建了一个基于利他属性的双渠道供应链模型,探讨了渠道替代率和利他属性对模型的影响。首先,分析集中决策模型,给出了均衡解和供应链的最优收益,结果表明渠道替代率越高,供应链的最优收益越低;然后,在分散决策模型中,采用斯坦格尔伯格博弈的方法,探讨渠道替代率对决策变量和目标函数的影响,并研究利他属性与渠道效率的关系,结果表明利他属性的存在有助于提高供应链的渠道效率。在此基础上,讨论了供应链模型的帕累托改进区间,给出了获取改进区间的条件。最后,通过数值分析,揭示了利他属性与供应商和零售商收益的关系。     

Money in Search Equilibrium,in Competitive Equilibrium,and in Competitive Search Equilibrium

We compare three market structures for monetary economies: bargaining (search equilibrium); price taking (competitive equilibrium); and price posting (competitive search equilibrium). We also extend work on the microfoundations of money by allowing a general matching technology and entry. We study how equilibrium and the effects of policy depend on market structure. Under bargaining, trade and entry are both inefficient, and inflation implies first‐order welfare losses. Under price taking, the Friedman rule solves the first inefficiency but not the second, and inflation may actually improve welfare. Under posting, the Friedman rule yields the first best, and inflation implies second‐order welfare losses.     

Integrated framework for robustness analysis using ratio-based efficiency model with application to evaluation of Polish airports

We consider a problem of evaluating efficiency of Decision Making Units (DMUs) based on their deterministic performance on multiple consumed inputs and multiple produced outputs. We apply a ratio-based efficiency measure, and account for the Decision Maker׳s preference information representable with linear constraints involving input/output weights. We analyze the set of all feasible weights to answer various robustness concerns by deriving: (1) extreme efficiency scores and (2) extreme efficiency ranks for each DMU, (3) possible and necessary efficiency preference relations for pairs of DMUs, (4) efficiency distribution, (5) efficiency rank acceptability indices, and (6) pairwise efficiency outranking indices. The proposed hybrid approach combines and extends previous results from Ratio-based Efficiency Analysis and the SMAA-D method. The practical managerial implications are derived from the complementary character of accounted perspectives on DMUs׳ efficiencies. We present an innovative open-source software implementing an integrated framework for robustness analysis using a ratio-based efficiency model on the diviz platform. The proposed approach is applied to a real-world problem of evaluating efficiency of Polish airports. We consider four inputs related to the capacities of a terminal, runways, and an apron, and to the airport׳s catchment area, and two outputs concerning passenger traffic and number of aircraft movements. We present how the results can be affected by integrating the weight constraints and eliminating outlier DMUs.     

The efficiency of mutual fund companies: Evidence from an innovative network SBM approach

This paper is the first DEA (Data Envelopment Analysis) evaluation of the efficiency of a sample of mutual fund companies in a large Euro fund industry, i.e. Spain. Our novel network model links the efficiency of the core activities (portfolio management and marketing/distribution) of a mutual fund company to the efficiency of its operational management function. Our results highlight the important networking effects at the marketing stage and question the prime role of portfolio management skills in the overall efficiency of a mutual fund company. The evaluation of robust efficiency clusters indicates that the efficiency rankings obtained with our network model persist significantly along our sample period. Finally, the application of the SBM (Slacks-Based Measure) Variation III to our network model allows us to identify a large number of globally inefficient but locally efficient companies with reference to competitors with similar management resources.     

适应性市场假说及其在中国资本市场的实证

金融危机近些年爆发频繁,传统市场理论如有效市场假说和行为金融面对复杂的现实金融世界未能给出合理解释.Lo提出的适应性市场假说则弥合了这两个学派的分歧,逐渐引起了学术界的重视.本文尝试从动态市场效率、时变贝塔和技术交易策略演变这三个角度对适应性市场假说能否解释我国资本市场进行实证研究.研究发现:我国股票市场效率在动态变化,无效的时段与金融危机或政策巨变等重大事件联系密切;股市风格指数贝塔随市场环境变化而改变;技术交易策略绩效随投资者适应环境变化而演变.研究结果表明,适应性市场假说相比有效市场假说和经典资本资产定价模型,能够更好地解释我国资本市场上述现象.最后对投资者如何根据市场环境变化制定适应性投资策略给出几点建议.     

不确定性、学习与新技术序列投资决策

以不同性质不确定性与其解决方式(学习)和效率对投资价值的影响为切入点,研究新技术序列投资行为背后的决策机制与路径.在现有研究基础上,引入企业内部学习的异质性特征,把技术不确定性的解决效率分解为学习能力、累积学习效应与边际学习效应3个层次进行讨论.运用实物期权方法构建包含学习效应的新技术序列投资决策模型,并得到最优决策规则,通过数值方法对不同参数进行比较静态分析,并阐述结果的经济与管理涵义.