交易成本、基于消费的资产定价与股权溢价之谜:来自中国股市的经验分析

本文使用广义矩法(GMM)估计了无买卖价差的标准的基于消费的资本资产定价模型(Hansen-Singleton模型)和具有买卖价差的标准的基于消费的资本资产定价模型(Fisher模型),发现:(1)我国股票市场并不像美国等发达国家资本市场那样存在股权溢价之谜现象;(2)在2001年6月以后,我国股票市场上投资者由理性的风险规避者变为非理性的风险追逐者;(3)风险并不是决定资产期望收益的唯一因素,资产期望收益也与换手率和交易成本有关。     

突发信息影响下的投资、消费及风险溢价

本文在CCAPM模型及行为经济学理论基础上建立突发信息影响下的资产定价模型,借此探讨突发信息对投资者主观决策以及风险溢价的影响,并利用数值迭代法给出了风险溢价的数值解。研究结果表明:突发信息所产生的正面影响会提高风险溢价,反之则降低溢价值,为解释"追涨杀跌"现象提供新视角;同时发现,投资者先期投资决策的结果好坏与风险溢价呈正向关系。最后利用中美两国证券市场数据进行数据模拟,结果表明本模型较好的避免了"股权溢价之谜"和"无风险利率之谜"。     

生产还是消费——中国股市生产资本资产定价模型实证检验

生产资本资产定价模型从企业利润最大化角度出发,推出资产的均衡价格.相较于消费资本资产定价模型,生产资本资产定价模型能更好的满足信息完全和决策者理性的假设条件.本文从生产资本资产定价模型出发,利用现值模型将生产的系统性风险因子,即生产的贝塔因子分解为现金流贝塔和折现率贝塔,并采用社会总投资和股市数据进行实证检验.本文发现生产-现金流贝塔是中国股市的重要定价因子,可较好地解释股权溢价的截面差异.相比之下,消费资本资产定价模型对不同资产之间风险溢价的解释能力较弱.     

一种新的金融动态横截面估计方法——基于中国股票市场条件定价模型评估的应用与扩展

大多数资产定价模型常常用静态横截面回归(the static cross-sectional regression)进行定价表现评估,从而投资组合回报率的时间变化性并不能被时变的风险承载或者(和)时变的风险溢价所解释.本文从经济学的角度,运用一种新的金融动态横截面回归(the dynamic cross-sectional regression),首次考察了基于中国股票市场和美国股票市场的条件资产定价模型的定价表现:股票市场投资组合回报率的时变性是否能被时变的风险溢价所解释.本文发现,短期收益反转和流通市值加权市场换手率为条件变量的条件资本资产定价模型和基于消费的条件资本资产定价模型,能更好的解释中国股票投资组合的回报时变性,其时变性主要来自于时变的风险溢价.另外,本文发现一些拥有持续(persistence)和缓慢变化(slow-moving)特性的条件变量更能够解释横截面投资组合的时变回报.     

消费习惯、异质偏好与资产定价

建立了拥有两类投资者的模型:一类具有“内在性消费习惯”,该习惯依赖于其自身的消费,投资者在进行消费选择时均要考虑内在消费习惯的影响;另一类具有“外在性消费习惯”,该习惯依赖于总的消费水平但不影响消费决策.用这种模型来分析异质偏好对资产定价的影响.发现在通常情形下,内在消费习惯增加股权溢价水平,而外在性消费习惯对股权溢价...     

基于过度外推的资产定价

基于卢卡斯纯交换经济模型和部分信息假设,研究了消费者在学习过程中表现的过度外推信念偏差对市场均衡和资产价格的影响.研究发现基于较低的风险厌恶系数,代表性消费者的过度外推信念偏差不但降低了无风险利率,而且提高了风险溢价和风险资产收益率的波动性.因此,研究结论在统一的框架内为“股权溢价之谜”、“利率之谜”和“波动之谜”提供了理论解释。     

投资者情绪与IPOs之谜——抑价或者溢价

本文的主要贡献在于运用不完全理性投资者的情绪譹全面解释国内市场IPOs之谜,并且论证投资者情绪是资产定价的重要因素。首先论证国内理性解释的前提不成立;其次全面解释IPOs之谜的三大现象;进而利用其他反映情绪的指标间接证明新股首日收益是情绪指标;最后,证实情绪和市场收益之间存在双向反馈关系,以及情绪对市场收益的跨期反向影响(长期收益反转)和短期市场收益与情绪的相互正向影响(短期收益惯性),从而论证了投资者情绪是资产定价的重要因素。而一旦证实情绪可解释市场短期收益惯性、长期收益反转的现象,逻辑上就可以解释行为金融学中著名的"过度波动之谜"和"股权溢价之谜",因此本文的贡献将不限于解释IPOs之谜的范畴。     

中国股票市场的高阶矩波动特征研究

最近的研究表明,除资产收益二阶矩外,高阶矩(包括三阶矩和四阶矩)同样是反映金融资产波动行为的重要方面.以中国股票市场最具代表性的两种股价指数--上证综指和深证成指 10 年的股价数据样本为例,通过构建可以刻画时变高阶矩的自回归条件方差-偏度-峰度模型,实证研究中国股票市场的高阶矩波动特征.研究表明,中国股票市场收益的偏度、峰度具有显著的时变性和波动聚类性;中国股市不但存在二阶矩(方差)风险,还存在显著的三阶矩(偏度)风险和四阶矩(峰度)风险,并且三阶矩风险和四阶矩风险具有同步性;将偏度方程和峰度方程引入波动模型会抵消原有方差波动的杠杆效应.初步提出将高阶矩波动模型运用于金融风险管理的思想.     

高维时变协高阶矩建模及其投资组合应用——基于半参数分布因子模型

本研究提出了一种基于半参数分布时变因子模型的动态协高阶矩建模方法，给出了模型设定、模型估计和时变高阶矩的检验.通过因子模型有效缓解了动态协高阶矩估计存在的“维数灾难”问题，同时通过引入半参数分布增加了模型的稳健性.实证研究表明：相比于现有协高阶矩估计方法，基于因子模型的动态建模能够有效捕捉资产收益率协高阶矩的时变结构，同时更加契合金融资产收益率的潜在特征；动态投资组合能够应用于高维场景，并产生更高且更稳定的经济价值，稳健性分析进一步证实了这一点.     

流动性风险、投资者流动性需求与资产定价

依据证券市场的交易特点把投资者面临的市场流动性风险分解为外生和内生流动性风险,并引入流动性需求状态变量随机化了的投资者对证券的持有期限,得出基于流动性风险调整的资产定价模型.模型能够解释实证研究发现的投资者对流动性风险中不可分散的系统性部分要求相应的风险补偿现象.而且模型揭示出,流动性水平和市场流动性风险的补偿要求是投资者的流动性需求紧张程度的增函数,解释了流动性风险溢价的时变性现象.     

Power,authority and legitimacy

Management, human resources, organization, control, leadership, etc., all seem to be just so many euphemisms for power, and this suggests a discourse of management and organization that calls things by their proper name. This paper on the contrary stresses the need to resolve the concept of ‘power’ itself into more differentiated notions, and proposes that clarification may be derived from distinctions once explicit in the vocabulary of Classical antiquity, but lost in modern European languages. It argues that nothing but confusion in thinking about organizations, management and legitimation can result from the failure to recognize that the phenomena this vocabulary identifies and distinguishes are irreducibly different.     

Criteria for selecting a production control philosophy

Logistic objectives constitute a compromise between having short leadtimes and a low volume of work in progress on the one hand and a high resource loading and due date obligation on the other. Miscellaneous production planning approaches offered today provide different combinations of logistic objectives for satisfying a manufacturing strategy. To combine the strength of the various approaches into a unified system, a new approach based on a dynamic and distributed production planning methodology is proposed. To customize the approach, various analyses and specifications have to be made and for that reason some important characteristics and criteria for analysing production control philosophies will be given.     

The social construction of the meaning of acute stressors: a qualitative study of the personal accounts of police officers using a stress counselling service

The police profession is one in which acute stressors are encountered more frequently than in other occupations. Using the personal accounts of 35 police officers attending an in-house stress counselling clinic, the aim of the present study was to provide a qualitative examination of how the institutional context of policing influenced the ways in which acute stressors signified to individual police officers experiencing felt distress. Using the framework of Rational Emotive Behaviour Therapy as an analytical tool, it is argued that beliefs contributing to the experience of felt distress are related to the way in which policing as both an identity and an activity is constructed through the police organizational culture. Not only do these constructions influence the ways in which officers perceive themselves and their environments, but they also operate at the collective level to 'normalize' some emotional responses and to 'pathologize' others which, it is argued, could impact upon the outcomes of interventions such as stress counselling.     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.     

Job stress, job strain, and psychological withdrawal among Dutch university staff: towards a dualprocess model for the effects of occupational stress

This study examined the antecedents of job strain (emotional exhaustion, health complaints) and withdrawal behaviour (e.g. lowered organizational commitment) among a cross-sectional sample of 131 academic staff members of the law department of a large Dutch university. Conservation of resources theory (Hobfoll, 1989) provided the theoretical background for this study. Strains and withdrawal behaviours were expected to be most prominent among those who reported having few resources and/or who reported high job demands. Structural equation modelling revealed that this was indeed the case. As predicted, differential patterns of effects emerged for job demands and job resources. Analysis of the effects of four job-specific stressors revealed that especially the structural aspects of a staff member's teaching task (e.g. the number of students in their classes) contributed strongly to perceived job demands. Theoretical and practical implications of the study are discussed.     

Dermal Uptake of 18 Dilute Aqueous Chemicals: In Vivo Disappearance‐Method Measures Greatly Exceed In Vitro‐Based Predictions

Average rates of total dermal uptake (K_up) from short‐term (e.g., bathing) contact with dilute aqueous organic chemicals (DAOCs) are typically estimated from steady‐state in vitro diffusion‐cell measures of chemical permeability (K_p) through skin into receptor solution. Widely used (“PCR‐vitro”) methods estimate K_up by applying diffusion theory to increase K_p predictions made by a physico‐chemical regression (PCR) model that was fit to a large set of K_p measures. Here, K_up predictions for 18 DAOCs made by three PCR‐vitro models (EPA, NIOSH, and MH) were compared to previous in vivo measures obtained by methods unlikely to underestimate K_up. A new PCR model fit to all 18 measures is accurate to within approximately threefold (r = 0.91, p < 10^?5), but the PCR‐vitro predictions (r > 0.63) all tend to underestimate the K_up measures by mean factors (UF, and p value for testing UF = 1) of 10 (EPA, p < 10^?6), 11 (NIOSH, p < 10^?8), and 6.2 (MH, p = 0.018). For all three PCR‐vitro models, log(UF) correlates negatively with molecular weight (r² = 0.31 to 0.84, p = 0.017 to < 10^?6) but not with log(vapor pressure) as an additional predictor (p > 0.05), so vapor pressure appears not to explain the significant in vivo/PCR‐vitro discrepancy. Until this discrepancy is explained, careful in vivo measures of K_up should be obtained for more chemicals, the expanded in vivo database should be compared to in vitro‐based predictions, and in vivo data should be considered in assessing aqueous dermal exposure and its uncertainty.     

Systems Resilience for Multihazard Environments: Definition,Metrics, and Valuation for Decision Making

The United Nations Office for Disaster Risk Reduction reported that the 2011 natural disasters, including the earthquake and tsunami that struck Japan, resulted in $366 billion in direct damages and 29,782 fatalities worldwide. Storms and floods accounted for up to 70% of the 302 natural disasters worldwide in 2011, with earthquakes producing the greatest number of fatalities. Average annual losses in the United States amount to about $55 billion. Enhancing community and system resilience could lead to massive savings through risk reduction and expeditious recovery. The rational management of such reduction and recovery is facilitated by an appropriate definition of resilience and associated metrics. In this article, a resilience definition is provided that meets a set of requirements with clear relationships to the metrics of the relevant abstract notions of reliability and risk. Those metrics also meet logically consistent requirements drawn from measure theory, and provide a sound basis for the development of effective decision‐making tools for multihazard environments. Improving the resiliency of a system to meet target levels requires the examination of system enhancement alternatives in economic terms, within a decision‐making framework. Relevant decision analysis methods would typically require the examination of resilience based on its valuation by society at large. The article provides methods for valuation and benefit‐cost analysis based on concepts from risk analysis and management.     

UNIX系统性能监控简述及shell系统资源统计程序

本文简要阐述了unix系统中(主要以IBM的AIX为例)进行系统性能管理的几种命令行工具,并通过编写shell实例程序,运用其中提到的工具实现系统资源利用率的统计程序,为做好unix系统管理和调优提供参考.