Pricing and momentum of syndicated credit in Europe

We investigate the determinants of syndicated loan prices for European borrowers, spanning the entire period of credit expansion and crisis. We construct a large data base consisting of 2102 rated syndicated loan deals from 1990 to 2008 in twenty three countries and ten economic sectors. We investigate the effects on the spread paid over the risk free rate of three major groups of factors: loan characteristics, borrower characteristics and characteristics of country of the borrower, using both qualitative and quantitative variables in a hedonic regression. The results show that all three groups are significant joint determinants of prices of syndicated credit. Our results confirm the existing literature but also provide for first time results stemming form the risk characteristics of the borrower and the country of the borrower. It is shown that distance-to-default as well as aggregate risk associated with country of the borrower are of great concern to the lenders and hence significantly affect the pricing of syndicated loans. Furthermore, we report that financial institutions and public utilities are able to negotiate for cheaper loans, but this result is reversed when financing is for acquisition purposes. Overall, risk, liquidity, solvency and sustainable performance by both the borrower and its domicile country are key determinants of syndicated loan prices.     

国有企业再融资得到了政策倾斜——基于间隔期模型的实证分析

采用间隔期模型对中国上市公司首次公开发行与上市后的第一次再融资的融资间隔期进行了实证分析.研究表明,国有股比例越高,则首发后融资间隔期越短,而且这一结论在考察了公司的特征属性后是稳健的.更进一步的研究发现,国有股比例高的公司往往更达不到发行主管机构制定的关于再融资的净资产收益率标准.这2点发现表明:在股票发行核准制度框架下,国有企业再融资得到了政策倾斜.     

Leadership across hierarchical levels: Multiple levels of management and multiple levels of analysis

We examined differences in leadership influence processes, perceptions, and multiple levels-of-analysis effects between close and distant charismatic and contingent reward leadership across three hierarchical levels in 13 Korean companies. Multi-source data revealed that followers' commitment to the leader mediated relationships between leadership and followers' attitudinal, behavioral, and performance outcomes in close situations, but not in distant relationships. Leadership at higher levels of management was positively related to leadership at the next lower level, which in turn related to follower outcomes at the lowest echelon. Multivariate within and between analysis indicated multiple-level effects differing by leader–follower distance and for the variables of interest.     

我国开放式基金的风险度量模型研究

开放式基金作为一种收益共享、风险共担的集合投资工具,日益受到投资者的青睐.本文首先对开放式基金传统的风险度量方法,以及Bangia、Diebold、Schuermann&Stroughair模型、Hisata&Yamai的L-VaR模型和Shamroukh的流动性风险调整VaR模型进行了综述,指出其适用性与局限性.在此基础上,提出改进的开放式基金流动性风险度量指标,通过改进的指数化换手率来避免因换手率的差异而导致流动性风险测量的失真,构建我国开放式基金的资产流动性风险价值和条件风险价值度量模型.同时,考虑股票停牌、权重股等因素,在实证中反映我国开放式基金的流动性风险,形成基于流动性风险调整的开放式基金资产变现方法.     

利益相关者影响企业财务绩效的理论分析与实证研究

本文从利益相关者视角出发,综合价值链理论、契约理论和期望理论,分析了利益相关者影响企业财务绩效的机理,指出利益相关者满足是影响企业财务绩效的关键因素,并在理论上分析了实现企业财务绩效最大化的条件.在此基础上,采用面板数据模型对中国上市公司数据进行了实证分析.研究表明:利益相关者满足与企业财务绩效之间存在着显著的相关性,β值的分析显示中国上市公司对不同利益相关者的满足水平并不合理,公司可按照β值对不同利益相关者的投入产出效率进行调整,从而提升其财务绩效.     

供电行业用户满意度模型构建及实证研究

在相关理论研究基础上,构建了供电行业用户满意度模型,模型数据采集于江苏省电力公司的800位客户,并采用SAS8．1统计软件包的CALIS功能模块对模型进行了验证分析。研究结果表明：用户期望对用户感知质量、感知价值和用户满意的影响不显著,故在模型中予以删除;企业形象对用户满意和用户忠诚的影响以间接为主,直接影响不显著;修正模型中5个内生隐变量R2的平均值为0．69,经综合考虑,修正后的模型有效可靠。最后,为供电行业提升客户满意度和忠诚度提出建议。     

Manufacturing network configuration in supply chains with product recovery

Efficient implementation of product recovery requires appropriate network structures. In this paper, we study the network design problem of a firm that manufactures new products and remanufactures returned products in its facilities. We examine the capacity decisions and expected performance of two alternative manufacturing network configurations when demand and return flows are both uncertain.     

Sharing inventory risk in supply chain: The implication of financial constraint

A supply chain may operate under either preorder mode, consignment mode or the combination of these two modes. Under preorder, the retailer procures before the sale and takes full inventory risk during the sale, while under consignment, the retailer sells the product for the supplier with the supplier taking the inventory risk. The combination mode shares the risk in the supply chain. The existing research has examined the supply chain modes from various operational aspects. However, the impact of financial constraint is neglected. This paper examines the impact of financial constraint and investigates the supply chain efficiency under each mode. Based on a Stackelberg game with the supplier being the leader, we show that without financial constraint the supplier always prefers the consignment mode, taking full inventory risk. Whereas, in the presence of financial constraint, the supplier will sell part of the inventory to the retailer through preorder, which shares the inventory risk in the supply chain. We show that with financial constraint, the combination mode is the most efficient mode even if the retailer earns zero internal capital.     

The Microeconomics of Efficient Group Behavior: Identification1

Consider a group consisting of S members facing a common budget constraint p'ξ=1: any demand vector belonging to the budget set can be (privately or publicly) consumed by the members. Although the intragroup decision process is not known, it is assumed to generate Pareto‐efficient outcomes; neither individual consumptions nor intragroup transfers are observable. The paper analyzes when, to what extent, and under which conditions it is possible to recover the underlying structure—individual preferences and the decision process—from the group's aggregate behavior. We show that the general version of the model is not identified. However, a simple exclusion assumption (whereby each member does not consume at least one good) is sufficient to guarantee generic identifiability of the welfare‐relevant structural concepts.