Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets

In this paper the insurer＇s solvency ratio model with or without jump diffusion process in the presence of financial distress cost is constructed, where an insurer＇s solvency ratio is characterized by a Markov-modulated dynamics. By Girsanov＇s theorem and the option pricing formula, the expected present value of shareholders＇ terminal payoff is provided.

How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast

This paper derives a new method for comparing the weak-form efficiency of markets.The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process.For empirical purposes,the Sharpe ratio can be formulated with a monotonic increasing function of R-squared if the sample size is large enough.One can utilize the Sharpe ratio to compare weak-form efficiency among different markets.The results of stochastic simulation demonstrate the validity of the proposed method.The author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index.

Operation Benefit of Fruit Dealers in Shizishan Street Farm market

This paper mainly discussed the operation benefits of fruit dealers in farm market. Taking fruit dealers in Shizishan Street Farm market in Wuhan City as the research object,this paper introduced current operation situation of fruit dealers and made a descriptive statistical analysis on characteristics of operators,operation situation,and cognitive status. Besides,it introduced the concept of net cost-benefit ratio to reflect the operation benefits. From further analysis on the operation benefits of fruit dealers,it found that there is little difference in the costbenefit ratio between dealers in the farm market. The average net cost-benefit ratio was 11. 94%. Specifically,if the total cost is 100 yuan,the dealer can obtain 12 yuan net profit. In order to find out how cost factors affect the operation benefits,it established a regression model for cost factors and net cost-benefit ratio. According to the survey results,when the wholesale cost increases 10000 yuan,the cost-benefit ratio will increase by 1. 454 percentage points,thus increasing the wholesale investment is helpful for increasing the net cost-benefit ratio; when the loss cost increases 10000 yuan,the cost-benefit ratio will increase by 7. 501 percentage points,thus the dealers can increase the operation benefits through controlling the loss cost and reducing the operation cost. Finally,it came up policy recommendations from the perspective of government and operators.

BM(book-to-market ratio) factor: mediumterm momentum and long-term reversal

To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.

市场环境下运行的光热电站子系统容量优化配比研究

依托于聚光型太阳能发电技术的光热电站(concentrating solar power,CSP)可充分应对新能源发电的不确定性,为“双碳”愿景下新型电力系统的转型与建设提供有力保障。然而,CSP电站如何摆脱高昂建设成本的制约,为自身赢得更多可持续发展的机会是亟需解决的关键难题。因此,该文提出了一种考虑电力市场机制的CSP电站子系统容量优化规划方法。首先,围绕借助CSP电站灵活调控特性在运行时间尺度下提升CSP电站自身经济收益这一问题,提出CSP电站以价格制定者这一角色参与电力市场的竞价策略。然后,构建以经济效益最大为目标的CSP电站聚光、储热、发电容量配比双层随机规划模型,并采用离散线性化转换方法将规划模型转化为混合整数线性模型,解决模型重构后非线性模型带来的求解难问题。最后,基于我国西北某地区实际历史数据的算例仿真验证所提优化配比方法的有效性,并分析说明与价格接受者相比电力市场中的议价权能使CSP电站获得更好的市场经济效益。

性别比失衡是否会削弱男孩偏好?

人口长期均衡发展是国家的重大战略要求,人口性别结构的均衡则是其关键内涵之一。而我国长期以来存在着强烈的男孩偏好,这种传统观念是否会因婚姻市场的竞争压力而发生改变?本文旨在研究当前性别结构失衡所导致的婚姻挤压对我国适龄生育主体的生育性别偏好的重塑效应。文章基于婚姻市场供需视角、婚姻挤压理论和生育成本收益权衡理论,利用全国1%人口抽样调查数据和中国劳动力动态调查(CLDS)数据定量分析地区性别比对个体男孩生育偏好的影响。实证结果表明:城市层面100名女性人口相对应的男性人口每增加10人,个体具有男孩偏好的概率平均下降2.24%,并且这一结果在剔除无生育意愿样本、替换解释变量与被解释变量、控制地区初始男孩偏好以及使用PSM模型后依旧稳健。在机制分析部分,文章首先考察了性别比对个体初婚年龄的影响,发现无论是在农村还是城市,性别比上升均显著推迟了男性初婚年龄,而对女性初婚年龄无影响。研究进一步发现:对于婚姻支付压力越大、承受婚姻支付能力越低的个体,性别比上升对其男孩偏好的负向影响程度更大且更显著。这些结果显示性别比上升增加了男性在婚姻市场的竞争压力,男性及其家庭需要承担更高的婚姻支付以提高自身婚配竞争力,从而导致生养男孩的潜在成本上升,并因此抑制了男孩偏好。按照个体和地区特征进行的异质性分析,表明性别比上升对低年龄段、低受教育程度、已有多个儿子和始终为非农户口的人群以及西部地区个体的男孩偏好抑制作用更强。人口性别比存在一种类似生物学的“负反馈调节机制”,但这种所谓“自然合理”的回归通常周期长且通过提高婚姻支付来实现,背后隐藏的是年轻人及其家庭对于高额结婚成本的负担,不仅不利于居民生活幸福感的提升,还会对宏观经济产生负面影响,如推高房价、扭曲储蓄行为、抑制消费、降低生育率等。因而,政府应积极主动采取措施,从源头上弱化重男轻女的传统观念,促进人口性别比回归正常的区间。

灌溉水盐分组成对番茄生长及土壤盐碱的影响

[目的]为探究适宜于干旱、半干旱区番茄大田栽培的灌溉水盐度和盐分组成。[方法]在宁夏银北灌区开展3年番茄膜下滴灌野外田间试验,设置3种不同盐分浓度(1,2,3 g/L)和5个Na∶Ca摩尔浓度比(1,3,5,7,9)的灌溉水源。[结果]在较低的灌溉水盐度(1 g/L)下,适当增加灌溉水Na∶Ca摩尔比有利于番茄植株的干物质和氮磷钾素积累;番茄单果重、商品果产量和总产量随灌溉水Na∶Ca摩尔比增加而线性下降,且灌溉水Na∶Ca摩尔比每增加1,番茄商品果产量下降5761.7~6036.7 kg/hm^(2);“高盐度(2,3 g/L)、低Na∶Ca摩尔比(1,3)”的灌溉水较“低盐度、高Na∶Ca摩尔比”的灌溉水,更有利于番茄增产;膜内表层40 cm土壤钠吸附比和表层100 cm土壤积盐量随灌溉水Na∶Ca摩尔比的增加线性增加。[结论]为在宁夏银北灌区大田栽培番茄生育期内减少积盐并获得相对高产,推荐土壤基质势控制下限-20 kPa下膜下滴灌的适宜灌溉水盐度为2 g/L且Na∶Ca摩尔浓度比为5。

账面—市值比分解视角下的价值溢价成因:风险还是预期差

尽管多因素定价模型为学术界广泛接受,但其因子有效性源于公司基本面风险差异还是投资者预期差,依然存在分歧。选取账面—市值比B/M测度价值溢价,将其分解为账面—价值比(B/V)和价值—市值比(V/M),研究已有记载的7种风险假说是否能够充分呈现价值溢价的因果逻辑。结果发现,B/M对预期收益率的解释力与V/M相当,而B/V的差异则不能解释预期收益率差异。进一步地,财务困境风险假说、个股现金流风险假说,既不能一致地解释B/M之间的差异,亦不能解释V/M之间的差异;股权隐含违约风险假说、系统性风险敏感性假说、市场现金流风险假说、营运杠杆风险假说、股权久期风险假说这五类理论,虽可解释B/V的差异,但无法解释V/M的差异。基于线性外推偏差假说和套利风险理论,讨论了V/M在市场上产生和持续存在的原因。研究支持行为金融学中价值溢价成因的预期差假说,对以Fama and French(1993)为代表的多因素模型在中国A股市场上是否可由风险理论所解释提出质疑,由此基于“价值溢价消失之谜”这一前沿学术问题提供了重要参考。

我国企业杠杆率对股票市场稳定性的影响研究

本文针对近年来我国企业杠杆率不断攀升的情况,从理论上分析了企业杠杆率对股票市场稳定性的影响,并利用我国沪深两市2813家A股非金融企业从2005年第一季度到2021年第一季度的数据进行了实证检验,发现我国企业杠杆率上升会加剧股票市场波动,但具有滞后效应;企业杠杆率通过影响企业财务风险和企业投资,对股票市场稳定性产生影响;货币政策具有调节效应,宽松的货币政策会强化企业杠杆率对股票市场稳定性的负向影响。最后提出提升企业综合实力、强化高质量转型发展等相关建议。

A new analytical approach for identifying market contagion

This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short-and long-term relationships and correlatedness in the linked model.The results demonstrated that a short-term relationship representing the market speed ratio between two markets plays a key role in contagion dynamics.When a long-term relationship or correlatedness is broken(comovement change)due to a break in the short-term relationship(market speed ratio),contagion is highly likely and should be formally declared.Bayesian posterior probabilities were calculated to determine the cause.Furthermore,this study applied this analytical Bayesian approach to empirically test the contagion effects of the U.S.stock market during the global financial crisis between 2007 and 2009 using 22 developed equity markets.

The Relationship Between Intellectual Capital （IC） and Stock Market Performance： Empirical Evidence From Italy

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.

The effect of financial ratios, firm size, and cash flow from operating activities in the interim report to the stock return

The objective of this study is to examine the value relevance of accounting information in explaining stock return. The study uses profitability, liquidity, leverage, market ratio, size and cash flow as proxies of accounting information. Cumulative abnormal return and market adjusted return are used as stock return variables. The samples of the study are listed companies in manufacturing industries that actively trading between 2003-2006 in Indonesia Stock Market. The study finds that profitability, turnover and market ratio has significant impact to the stock return. The result consistent with previous studies Hobart （2006）, Utama and Santoso （1998） and Restraningsih （2007）.

Market Regulation and Fiscal Replenishment: An Analytical Framework for the Space Control Intensity for Regulatory Detailed Planning

Regulatory detailed planning is the most direct management tool for urban development and construction activities. Through theoretical deduction, this paper demonstrated the elastic relationship between the land-transferring price and the floor area ratio(FAR) of residential land, which represented the space control intensity for regulatory detailed planning. Based on the two dimensions of market regulation and fiscal replenishment, this paper also established an analytical framework for the space control intensity for regulatory detailed planning. The results showed that the space control intensity for regulatory detailed planning decreased with the expansion of urban scale and that the weaker the market regulation and the stronger the land finance dependence, the weaker the space control intensity for regulatory detailed planning. Based on this, this paper proposed that local governments should strengthen the scientificity and openness of regulatory detailed planning, institutionally resolve the predicament due to fiscal decentralization, and reduce the dependence on land transfer income.

Market Analysis of Typical Products in Italy： Bivariate Statistical Relationships Between Qualitative Variables

The denominations of origin being perceived by the consumers in terms of both intrinsic qualities and of extrinsic qualities, have contributed in no uncertain manner to the increase of the typical products in question, positively influenced also by the noted emergencies coming from verified alimentary alarms during the beginning of the XXI century. The objective of this paper, is to determine the habits of purchase of typical and traditional products of the people of Messina （Sicily, Italy）. To do this a ＂motivational＂ survey was carried out by traditional methodology of descriptive researches. The adopted methodology of research was quantitative and random. The random research strives to identify the factors that depend on the behaviour of purchase and the appraisal of the existing relationships of cause-effect in a determined population. The interviewed were given a questionnaire composed of 17 questions on their knowledge of the typical products characteristics, the frequency of consumption, the monthly amounts destined to the purchase, the motivations that push them to the purchase of typical products rather than pre-packed. Methodologically, our statistical analysis has been performed using the log-likelihood ratio test in order to investigate the existence of association between the joint distributions of qualitative measured variables.

Measuring Bubble Levels in China＇s Urban Housing Market

In this paper we demonstrate that price-to-income ratio （PIR） is the most precise indicator of measuring bubble levels in China＇s urban hoasing market under current conditions. We have built a model to measure the reasonable PIR ceiling. Based on current mortgage rates, loan terms and down payment ratios, we conclude that the reasonable PIR for China ＇s urban residents should lie between 4.38-6.78 and should not exceed 7. 7hen, using statistical data, we calculate current PIR in China ＇s major cities. With reference to proper PIR, we conclude the existence of bubbles in China ＇s urban housing market; in particular, bubbles hace grown enormously large in some first-tier cities, which pose a huge financial risk. Based on the above analysis, we propose some policy suggestions to carefully deflate the bubbles in these housing markets.

绿色证书交易下可再生能源参与现货市场的过渡机制

随着电力市场改革的深化以及风电和太阳能为主的间歇性可再生能源发电(IREG)机组在电力系统中的占比不断升高,目前,对IREG机组采用的全额固定电价收购模式将按计划逐步终止,IREG机组将作为市场竞争主体参与电力市场,包括电力现货市场的运营。在此背景下,考虑绿色证书交易,通过建立三层决策模型优化政府对IREG机组的补贴政策,并引导其参与电力现货市场运营。首先,提出了过渡机制并建立了多市场多主体交易框架。然后,分别以求解最优合约覆盖率、社会效益最大化的市场出清和发电机组参与现货市场的最优投标策略为目标,建立了考虑绿色证书交易的多主体三层优化决策模型,并以市场出清结果作为这三层模型间的交互数据。接着,基于KKT(Karush-Kuhn-Tucker)条件,将该三层优化决策模型转化为混合整数线性规划模型,以提升求解效率。最后,通过算例对所提过渡机制的可行性和有效性进行了验证。

Impact of Exchange Rate Threshold Level on Stock Market Performance- Evidence from Ghana

The exchange rate plays a significant role in an economy and also the purpose of this study is to examine the impact of exchange rate threshold level on the capital market performance.The study used a Threshold Autoregressive model introduced by[24]and[12].The study used quarter-time series data for thirty years from 1990 to 2019.The capital market performance was measured by the value of shares traded;market turnover;market capitalization and all-shares index.However,the results unconcealed the subsequently estimated threshold level of exchange rate for every performance indicator:7.94%;25.33%;25.33%,and 7.80%respectively.In all,the threshold level of the exchange rate estimated was 8 and 25 percent.The findings suggest that a low rate is performance-enhancing.Additionally,the exchange rate above the threshold level is harmful to the capital market performance.The findings of this investigation may be helpful to the government of Ghana and policymakers as they decide on an exchange rate target to implement to avoid the prejudicious effects of high exchange rates whereas getting the growth advantages of the low exchange rate.The finding of the study shows that the exchange rate impacts the economy more than inflation however,not many works in the subject area have been done in Sub-Saharan Africa.Therefore,I suggest that more threshold studies ought to be meted out on the exchange rate in the other sectors of the economy to determine its impact on the economy.

The market reaction on the human resources information disclosure in Chinese listed companies

In this paper, the author uses the listed company＇s annual report and financial statements to do the empirical research, the selected areas are information technology industries. The results show that the average age of employees, professional proportion, and the average assesses and executives＇ shareholdings have no significant impact with P/B. The industry statistics revealed no significant impact between average age and P/B because each group of age has its own advantages. By using these indicators, the author can improve the human resources information voluntary disclosure, make the disclosure of information comparable, and provide the empirical reference to the listed companies.

Analysis of the interest rate marketization risk of local banks in Henan Province --Taking four joint stock commercial banks as an example

With the accelerating process of interest rate marketization, the local banks in Henan Province face a greater risk of interest rate marketization, managing risk effectively can promote the development of local banks in Henan Province and the economic development of Henan Province. This paper analyzes the present situation of management of interest rate marketization in Henan Province, then puts forward some suggestions, such as promoting the development of intermediate business; promoting the product innovation; strengthening the management of assets and liabilities, improving the quality of employees, strengthening the management of non-performing loans, and etc.

中国木浆进口风险的多维度分析与评价

【目的】中国是世界纸和纸板生产和消费第一大国,造纸是国民经济重要支柱产业。作为造纸基本原材料的木浆,自1995年起就成为中国木质林产品中进口额第一大品类,具有进口量大、增速快、价格高的特点,需关注中国木浆进口风险,以保证造纸工业产业链供应链安全。【方法】规范和确定中国木浆消耗的进口对外依存度、中国木浆进口市场集中度、中国木浆进口国际市场占有率算法并设定其引致中国木浆进口风险的风险分区,构造中国木浆进口风险乘法指数和加法指数,科学设定其风险分区,通过比较确定中国木浆进口风险指数的合理评价方法。【结果】中国木浆消耗的进口对外依存度、中国木浆进口市场集中度、中国木浆进口国际市场占有率是引致中国木浆进口风险的核心因素。2000—2021年中国木浆消耗的进口对外依存度呈现较高水平上的波动减少中缓慢下降的趋势,2021年为62.34%,其所引致的进口风险处于高风险区,接近极高风险区;2000—2021年中国木浆进口市场集中度CR8呈现高水平上的波动中缓慢下降的趋势,2021年为89.69%,其所引致的进口风险处于极高风险区;2000—2021年中国木浆进口国际市场占有率呈快速上升态势,2021年为43.28%,其所引致的进口风险处于高风险区。基于多维度的中国木浆进口风险整体评价方法宜采用因子相乘方式构造,但不管构造的是乘法指数还是加法指数,均显示中国木浆进口风险处于极高风险区。【结论】为减少中国木浆进口风险,应推进工业纸浆林建设,扩大国产木浆供给;从纸和纸板生产、消费、出口3方面,引导国内浆纸需求;以纸代浆,调整浆纸贸易产品结构;加大海外投资,优化木浆进口市场来源结构等。