Resource utilization as an internal driver of alliance portfolio evolution: The Qatar Airways case (1993–2010)

This article aims to understand the role played by resource utilization levels as a driver of alliance portfolio evolution over time. Based on our theoretical framework and on a case study of Qatar Airways (199.3–2010), we develop insights into the micro-dynamics of resource structuring in firms that possess an alliance portfolio. Our research shows that firms can create either their own or network resources with different deployment modes according to their resource utilization levels to remain profitable. We also emphasize that optimized resource utilization is a key driver of resource-structuring efforts in firms. Finally, we show that based on the focal firm's life cycle phase, the level of resource utilization changes and leads to various resource-structuring mechanisms that can be observed at the alliance portfolio level.     

Development of a purchasing portfolio model: an empirical study in a Brazilian hospital

This study was motivated by the complexity of managing hospital purchases. This area of activity is characterised as having a great diversity of items to be purchased, classes and suppliers, which impacts the business, costs and health risks for patients in many ways. Our paper presents the development of an approach to managing a purchasing portfolio for a large Brazilian hospital, using Kraljic’s model, the Fuzzy-TOPSIS method and decision rules as methodological resources. We discuss the results and summarise a set of managerial implications for our case study, thereby demonstrating the effectiveness of our proposal. This study also contributes to expanding the application domain of Kraljic’s model, in which the Fuzzy-TOPSIS method has proved a flexible tool, and supports solving sorting problems.     

黄金是否为原油的“避险天堂”?——基于组合收益及其波动视角

本文从资产组合极端收益以及资产组合波动两个视角分析了原油与黄金资产的风险问题。实证结果表明,原油与黄金市场间的联动关系具有动态变化特征,在市场极端危机阶段显著减弱。在资产组合收益视角下,当原油市场处于极端风险时,黄金不是原油的"避险天堂"资产。然而,在资产组合收益的波动视角下,原油与黄金投资组合在一定程度上可以降低资产风险暴露,特别是在2008年下半年金融危机阶段以及2014年下半年原油市场暴跌阶段,资产风险显著降低。     

股东为什么在解禁后会减持股票?——基于背景风险分析的股票解禁效应研究

背景风险指投资者因持有非交易性资产而承担的风险,会降低投资组合效率。本文以2016年全年1502家公司限售股解禁事件为样本,从背景风险的角度分析了股东的解禁减持行为,并对限售股解禁的价格效应进行了研究。实证结果表明,背景风险因素对解禁后股价异常收益具备显著负向影响。基于背景风险的投资组合调整效应相较于"高位套现"效应对股价变动的影响更为显著。研究还发现解禁规模对股票异常收益具备显著负向影响;公司规模及异常换手率,在解禁期间缓解了股价的下降;不同的解禁性质对股价也有一定影响,相较于定向增发解禁,首发IPO解禁对股价的影响更大。     

基于养老金入市的中国通胀指数债券定价与模拟

随着我国人口老龄化程度的不断加剧和养老金缺口的不断扩大,以及通货膨胀上行的压力,养老基金如何投资实现保值增值已经成为关系国家发展和社会稳定的重要课题。在此背景下本文构建了一个两因子连续时间定价模型,求解出风险中性测度下通胀指数债券的理论价格,并通过数值模拟分析了通胀指数债券对通货膨胀的抵御作用,以及名义利率、通货膨胀率、波动率和债券期限等因素对通胀指数债券价格的影响。研究表明：通胀指数债券价格与通货膨胀率、波动率正相关,与利率负相关,且波动率对通胀指数债券的影响系数要大于通货膨胀率,更大于利率;当预期通货膨胀率高于利率时,通胀指数债券会溢价发行,而且期限越长价格越高。本文的研究为养老基金多元化投资规避通胀风险、实现保值增值提供了可能,也为国家推进金融衍生工具的创新提供依据。     

Paternity Leave‐Taking and Father Engagement

Evidence suggests that paternity leave‐taking is associated with higher levels of father involvement, but research has been limited in its focus on cross‐sectional analyses and indicators of father involvement used. This study uses national longitudinal data to examine whether paternity leave‐taking is associated with 2 indicators of father engagement when children are infants, whether paternity leave‐taking is associated with trajectories of father engagement during the first few years of a child's life, and whether the relationships between paternity leave and father engagement are explained by fathering commitments and attitudes. The results suggest that longer periods of leave are associated with more frequent engagement in developmental tasks and caretaking when children are infants as well as during the first few years of children's lives. There is also evidence that father attitudes partially explain the relationships between length of paternity leave and father engagement.     

Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

The aim of this work is to study in a first step the dependence between oil and some commodity prices (cotton, rice, wheat, sucre, coffee, and silver) using copula theory, and then in a second step to determine the optimal hedging strategy for oil–commodity portfolio against the risk of negative variation in commodity markets prices. The model is implemented with an AR-GARCH model with innovations that follow t distribution for the marginal distribution and the extreme value copula for the joint distribution and parameters and dependence indices are re-estimated in each new day which allow taking into account nonlinear dependence, tails behavior, and their development over time. Various copula functions are used to model the dependence structure between oil and commodity markets. Empirical results show an increase in the dependence during the last 6 years. Volatility for commodity prices registered record levels in the same time with the increase in uncertainty. Optimal hedging ratio varies over time as a consequence of the change in the dependence structure.     

厚尾分布情形下的信用资产组合风险度量

本文研究风险因子多元厚尾分布情形下的信用资产组合风险度量问题.用多元t-Copula分布来描述标的资产收益率分布的厚尾性,同时将三步重要抽样技术发展到基多元t-Copula分布的资产组合模型中,拓宽和丰富了信用资产组合风险度量模型.同时,并运用了非线性优化技术中的Levenberg-Marquardt算法来解决重要抽样技术中风险因子期望向量估计.模拟结果表明该算法比普通Monte Carlo模拟法的计算效率更有效,且能很大程度上减少所要估计的损失概率的方差,从而更精确地估计出信用投资组合损失分布的尾部概率或给定置信度下组合VaR值.     

Support for new mothers and fertility in the United Kingdom: Not all support is equal in the decision to have a second child

Low fertility across Europe highlights the need to understand reproductive decisions in high-income countries better. Availability of support may be one factor influencing reproductive decisions, though within high-income countries availability varies between environments, including socio-economic environments. We test whether receiving higher levels of support, from different sources (informal and formal) and of different types (practical and emotional), is positively correlated with second births in the United Kingdom (UK) Millennium Cohort Study, and whether these relationships differ by socio-economic position (SEP). Our hypothesis is only partially supported: receiving emotional support correlates with higher likelihood of second birth, but the opposite is true for practical support. Availability of different types of support varies across SEP, but relationships between support and fertility are similar, with one exception: kin-provided childcare increases the likelihood of birth only among lower-SEP women. Our results highlight that not all support is equal in the decision to have a second child.     

The “ugly” face of social investment? The politics of childcare in Central and Eastern Europe

In this article, we aim to understand the development dynamics of a specific area of social investment (SI), that is, childcare policies, in the context of postcommunist politics and the recent right-wing turn that took place in the Czech Republic, Hungary, and Poland. This article identifies varieties of channels for promoting SI. First, in taking the perspective of the “mixed economy of welfare,” we argue that attempts made to introduce elements of SI to the childcare policies involved various leading roles available for either the private sector or state/public domain. Second, it is important to distinguish between implicit/unintended and explicit/intended projects both in relation to cases in which SI strategy is applied via marketization/privatization and when it involves a government-led project. Third, we take into account the politics of SI implementation that might involve applying certain principles central to policy concepts (such as “investment”) in justifying policy instruments incompatible with original ideas. Although arguments about SI have been extensively used by Eastern European leaders, their goal has been to justify welfare reforms that were implicitly or explicitly directed towards the middle class while excluding the “nondeserving” often based on ethnic identity. We characterize Poland as a case of “implicit marketization,” the Czech Republic as a case of “explicit privatization,” and the Hungarian version of SI as a case of “explicit public dualization.” In this, we show that in some cases, the implementation of SI approaches by right-wing populist parties might rear its “ugly” head.