Intellectual capital （IC） is an important source of value for companies. The competitive firm invests in new productive ideas through scientific and technological researches of the human factor and services. The tra...Intellectual capital （IC） is an important source of value for companies. The competitive firm invests in new productive ideas through scientific and technological researches of the human factor and services. The traditional factors of＂old economy＂ based on physical assets have been replaced or at least reinforced, with the belief that the ＂new economy＂ takes its steps mainly through IC. The knowledge workers, at every organizational level, have the knowledge that allows the organization to be competitive and deal with the complexity of the environment by creating intellectual added value. In particular, the proposed analysis consists with an empirical way to show other financial indicators and market-to-book （MTB） value from the perspective of creating value for shareholders based on the dynamics of companies＇ performance, as value-added intellectual capital （VAICTM） is capable of expressing a direct relationship with the return on equity （ROE）. The traditional financial information cannot ensure the high efficiency of a stock market and the need for IC reporting to explain intangible asset contribution in company performance.展开更多
This paper investigates 218 related party transactions （RPTs） in Israel, an economy characterized by a high percentage of closely-held finns and identifies a non-linear inverted U connection between the value effect...This paper investigates 218 related party transactions （RPTs） in Israel, an economy characterized by a high percentage of closely-held finns and identifies a non-linear inverted U connection between the value effect of RPT and the level of finn ownership concentration. This non-linear connection is similar to the worldwide documented quadratic （inverted U） relation between ownership concentration and a finn＇s Tobin＇s Q. The relation becomes even statistically stronger, when measuring ownership concentration using a strategic power approach, in an attempt to identify the source of this puzzling connection.展开更多
This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payo...This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.展开更多
Employee stock options （ESOs） have become an integral component of compensation in the US. In view of their significant cost to firms, the Financial Accounting Standards Board （FASB） has mandated expensing ESOs si...Employee stock options （ESOs） have become an integral component of compensation in the US. In view of their significant cost to firms, the Financial Accounting Standards Board （FASB） has mandated expensing ESOs since 2004. The main difficulty of ESO valuation lies in the uncertain timing of exercises, and a number of contractual restrictions of ESOs further complicate the problem. We present a valuation framework that captures the main characteristics of ESOs. Specifically, we incorporate the holder＇s risk aversion, and hedging strategies that include both dynamic trading of a correlated asset and static positions in market-traded options. Their combined effect on ESO exercises and costs are evaluated along with common features like vesting periods, job termination risk and multiple exercises. This leads to the study of a joint stochastic control and optimal stopping problem. We find that ESO values are much less than the corresponding Black-Scholes prices due to early exercises, which arise from risk aversion and job termination risk; whereas static hedges induce holders to delay exercises and increase ESO costs.展开更多
This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three ...This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three factors from the microeconomic indicators （interest rate, remittances of Jordanian expatriates, and the loans provided by the Jordanian banks）. The results show that the stock market is more sensitive to the microeconomic indicators than the real estate market, and responds more rapidly than the real estate market for the changes in the microeconomic indicators. The study presents some recommendations for the Jordanian companies who own or manage any investment portfolio to be aware for the existing relationship between the two markets, and to reflect this awareness in their strategic Plans, Particularly in the regression atmosphere that causes by global crisis.展开更多
The declining share of labor compensation in China＇s GDP has raised intense public concern. Using statistics since 1978, this research paper examines, in detail, the changing patterns of labor compensation since refo...The declining share of labor compensation in China＇s GDP has raised intense public concern. Using statistics since 1978, this research paper examines, in detail, the changing patterns of labor compensation since reform and opening- up. Following international practices. this paper has adjusted China＇s labor compensation statistics.The results show that, iu contrast to a significant drop in the share of labor competsation in GDP before making an adjustment, the adjusted share has actually remained stable for the most part after the late 1970s.There has been no discernable fall until the last several years, The real prablem in China＇s functional distribution of national income since the late 1970s has not been the declining share of labor compensation in GDP. Actually, the share has always remained consistently low.It can be characterized as beiag ＂stable at a low level on a long-term basis＂.How to increase the labor share,which is in the interest of the average worker is a major question that must be addressed in China＇s future economic development.展开更多
Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valui...Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results.展开更多
Compared with Karl Polanyi’s first Great Transformation,the emergence of the even more influential financial capitalism can be called the second Great Transformation.The global expansion of financial capitalism has e...Compared with Karl Polanyi’s first Great Transformation,the emergence of the even more influential financial capitalism can be called the second Great Transformation.The global expansion of financial capitalism has extended its power beyond the remit of nation-states as governments,firms,families and individuals are increasingly guided and reshaped by financial markets,producing a trend toward the financialization of social life.An important social consequence is the ever more marked separation of financial markets from society,a separation that has gradually eroded the power of the state,trade unions and civil society and aggravated the employment crises,the polarization of rich and poor and the structural inequality of developed capitalist countries.In the face of society’s erosion by financial capital,the West has taken measures of social self-protection,but these have so far had little effect.To establish a new financial and market governance structure at the global level that will effectively cope with the negative impact of financial capitalism is a long and arduous task.展开更多
The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equi...The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equity valuation.The risk premium is determined explicitly,by meansof solving a corresponding partial differential equation (PDE),in two forms:one,time-dependent,corresponding to a finite time contract expiration,and the simpler version corresponding to perpetualcontracts.As stocks are perpetual contracts,when solving the problem of equity valuation,the latterform of the risk premium is used.By means of solving the general pricing PDE,an efficient equityvaluation method was developed that is a combination of some sophisticated explicit formulas,and anumerical procedure.展开更多
The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. While many empirical works were done on the detection of long memory in return series, very few investigati...The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. While many empirical works were done on the detection of long memory in return series, very few investigations focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. So, using modified rescaled range analysis and ARFIMA model testing, this study examined long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significantly long-term dependence. It would be beneficial to encompass long memory structure to assess the behavior of stock prices and research on financial market theory.展开更多
文摘Intellectual capital （IC） is an important source of value for companies. The competitive firm invests in new productive ideas through scientific and technological researches of the human factor and services. The traditional factors of＂old economy＂ based on physical assets have been replaced or at least reinforced, with the belief that the ＂new economy＂ takes its steps mainly through IC. The knowledge workers, at every organizational level, have the knowledge that allows the organization to be competitive and deal with the complexity of the environment by creating intellectual added value. In particular, the proposed analysis consists with an empirical way to show other financial indicators and market-to-book （MTB） value from the perspective of creating value for shareholders based on the dynamics of companies＇ performance, as value-added intellectual capital （VAICTM） is capable of expressing a direct relationship with the return on equity （ROE）. The traditional financial information cannot ensure the high efficiency of a stock market and the need for IC reporting to explain intangible asset contribution in company performance.
文摘This paper investigates 218 related party transactions （RPTs） in Israel, an economy characterized by a high percentage of closely-held finns and identifies a non-linear inverted U connection between the value effect of RPT and the level of finn ownership concentration. This non-linear connection is similar to the worldwide documented quadratic （inverted U） relation between ownership concentration and a finn＇s Tobin＇s Q. The relation becomes even statistically stronger, when measuring ownership concentration using a strategic power approach, in an attempt to identify the source of this puzzling connection.
文摘This paper proposes a dimension reduction technique on lattice model, an extension of the discrete CRR （1979） model, for option pricing. Applications are demonstrated on pricing some vulnerable options with the payoff functions including two stochastic processes： the underlying stock price and the assets value of the option writer. Instead of building a bivariate tree structure for these correlated processes, a univariate binomial tree for the underlying stock price is only constructed. The proposed univariate binomial tree model is sufficient to undertake, though two underlying assets are involved.
文摘Employee stock options （ESOs） have become an integral component of compensation in the US. In view of their significant cost to firms, the Financial Accounting Standards Board （FASB） has mandated expensing ESOs since 2004. The main difficulty of ESO valuation lies in the uncertain timing of exercises, and a number of contractual restrictions of ESOs further complicate the problem. We present a valuation framework that captures the main characteristics of ESOs. Specifically, we incorporate the holder＇s risk aversion, and hedging strategies that include both dynamic trading of a correlated asset and static positions in market-traded options. Their combined effect on ESO exercises and costs are evaluated along with common features like vesting periods, job termination risk and multiple exercises. This leads to the study of a joint stochastic control and optimal stopping problem. We find that ESO values are much less than the corresponding Black-Scholes prices due to early exercises, which arise from risk aversion and job termination risk; whereas static hedges induce holders to delay exercises and increase ESO costs.
文摘This study aims at the relationship between the real estate market and Amman Stock Exchange, through the impact of three macroeconomic factors （GDP, inflation rate, and the population growth rate） and another three factors from the microeconomic indicators （interest rate, remittances of Jordanian expatriates, and the loans provided by the Jordanian banks）. The results show that the stock market is more sensitive to the microeconomic indicators than the real estate market, and responds more rapidly than the real estate market for the changes in the microeconomic indicators. The study presents some recommendations for the Jordanian companies who own or manage any investment portfolio to be aware for the existing relationship between the two markets, and to reflect this awareness in their strategic Plans, Particularly in the regression atmosphere that causes by global crisis.
文摘The declining share of labor compensation in China＇s GDP has raised intense public concern. Using statistics since 1978, this research paper examines, in detail, the changing patterns of labor compensation since reform and opening- up. Following international practices. this paper has adjusted China＇s labor compensation statistics.The results show that, iu contrast to a significant drop in the share of labor competsation in GDP before making an adjustment, the adjusted share has actually remained stable for the most part after the late 1970s.There has been no discernable fall until the last several years, The real prablem in China＇s functional distribution of national income since the late 1970s has not been the declining share of labor compensation in GDP. Actually, the share has always remained consistently low.It can be characterized as beiag ＂stable at a low level on a long-term basis＂.How to increase the labor share,which is in the interest of the average worker is a major question that must be addressed in China＇s future economic development.
文摘Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results.
基金This paper is a phased result of a National Social Science Fund of China project“Research on the Social Mechanism of Stable Development of China’s Stock Market”(16BSH075).
文摘Compared with Karl Polanyi’s first Great Transformation,the emergence of the even more influential financial capitalism can be called the second Great Transformation.The global expansion of financial capitalism has extended its power beyond the remit of nation-states as governments,firms,families and individuals are increasingly guided and reshaped by financial markets,producing a trend toward the financialization of social life.An important social consequence is the ever more marked separation of financial markets from society,a separation that has gradually eroded the power of the state,trade unions and civil society and aggravated the employment crises,the polarization of rich and poor and the structural inequality of developed capitalist countries.In the face of society’s erosion by financial capital,the West has taken measures of social self-protection,but these have so far had little effect.To establish a new financial and market governance structure at the global level that will effectively cope with the negative impact of financial capitalism is a long and arduous task.
基金supported in part by the Center for Financial Engineering at the Suzhou University, Chinathe Taft Research Center at the University of Cincinnati, USA
文摘The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equity valuation.The risk premium is determined explicitly,by meansof solving a corresponding partial differential equation (PDE),in two forms:one,time-dependent,corresponding to a finite time contract expiration,and the simpler version corresponding to perpetualcontracts.As stocks are perpetual contracts,when solving the problem of equity valuation,the latterform of the risk premium is used.By means of solving the general pricing PDE,an efficient equityvaluation method was developed that is a combination of some sophisticated explicit formulas,and anumerical procedure.
基金This project is supported by National Natural Science Foundation of China （70471030）.
文摘The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. While many empirical works were done on the detection of long memory in return series, very few investigations focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. So, using modified rescaled range analysis and ARFIMA model testing, this study examined long-term dependence in Chinese stock market returns and volatility. The results show that although the returns themselves contain little serial correlation, the variability of returns has significantly long-term dependence. It would be beneficial to encompass long memory structure to assess the behavior of stock prices and research on financial market theory.
