Table of Content

29 August 2012, Volume 20 Issue 4 Previous Issue    Next Issue

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Stochastic Discount Factor-Based Approach for Warrant Pricing WU Xin-yu, ZHOU Hai-lin, MA Chao-qun, WANG Shou-yang 2012, (4):  1-7.  Abstract ( 4247 )   PDF (986KB) ( 3791 )   Save By applying the stochastic discount factor methodology, the problem of warrant pricing when the underlying asset follows the stochastic volatility model with leverage effect (SV-L) is considered in this paper. First, the stochastic discount factor is specified as an exponential-affine function of the state variable, which corresponds to an Esscher transform used in actuarial. Based on this exponential-affine specification of the stochastic discount factor, economically consistent and unique price is given for a warrant in incomplete market. Then, the risk-neutral dynamics of the underlying asset return is derived by combining the exponential-affine specification of the stochastic discount factor with the SV-L model. Finally, an empirical study of call warrants for trading on Shanghai and Shenzhen stock exchanges is presented. Empirical results show that the proposed warrant pricing model is more accurate than the classical Black-Scholes (B-S) model. References | Related Articles | Metrics

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The Pricing of Defaultable Bond Based on Claim Termination CUI Chang-feng, LIU Hai-long 2012, (4):  8-17.  Abstract ( 3396 )   PDF (2255KB) ( 3021 )   Save Recent empirical studies have shown that liquidity risk and its correlation with default risk are important factors to explain defaultable bond yields. However, the models incorporatoing liquidity risk for defaultable bond pricing are either too simple to deal with various risk correlation or too complex to be applied in practice. The common property of liquidity risk and default risk is that they are both claim-termination event driven risk. This faciliates the work in extending traditional default risk model for defaultable bond to incorporate liquidity risk and risk correlation. The pricing model based on claim-termination has three main advantages over traditional models: easy to implement in practice, allowing time-varying liquidity risk, and easy to deal with various correlation between liquidity risk and default risk including tail dependence. References | Related Articles | Metrics

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Does the Trade from Institutional Investors Induce Stock Bubble XU Hao-feng, ZHU Song 2012, (4):  18-26.  Abstract ( 2920 )   PDF (606KB) ( 2620 )   Save In this paper, the microstructure trading behavior of institutional investors is verified and the phenomenon that institutional investors induce speculative bubble and amplify the effect of earnings announcement on stock price is found. The findings provide evidence to the trading style of institutional investors. References | Related Articles | Metrics

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Accounting Standards Reform, Stock Liquidity and Cost of Equity Capital: Evidence from Chinese A-Share Listed Companies GAO Fang, FU Ren-hui 2012, (4):  27-36.  Abstract ( 3307 )   PDF (1087KB) ( 2982 )   Save The application of new accounting standards is one of the most important accounting reforms. What it brings to capital market is a main concern to accounting standard setters and users. For the first time, Chinese A-share listed companies are used to examine the capital market consequences of the accounting standards reform. Empirical evidence shows that the accounting standards reform significantly improves stock liquidity, reduces the cost of equity capital, and increases firm value. References | Related Articles | Metrics

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Research on the Incompletely Commodity Future Pricing Based on the Random Convenience Yield WEI Hui-hui, FAN Chen-lin, ZHU Xin-rong 2012, (4):  37-44.  Abstract ( 3324 )   PDF (1000KB) ( 3278 )   Save Based on the convenience yield a commodity futures pricing model is proposed, by which the imperfection and the Poisson jump of the spot price by the linking of the random discount rate and the convenience yield are discussaed. The parameters are estimated by the Kalman filter and maximum likelihood estimator. To test the practicability, the sample of the cooper futures of Shanghai Futures Exchange is used and the empirical evidence is given. The results indicate that the volatility on the futures market caused by the incomplete ness should be attributed to the random convenience yield. References | Related Articles | Metrics

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Research on House Money Effect at the Market Level WEN Feng-hua, CHAO You-cong, LIU Zhi-feng, YANG Xiao-guang 2012, (4):  45-51.  Abstract ( 3293 )   PDF (899KB) ( 2674 )   Save The house money effect describes the psychological tendency of investors to become increasingly risk-seeking follwing prior gains. While previous empirical studies of house money effect are largely carried out through psychological experiments or individual investors trading account data, in this paper, by taking the behavior of the whole stock market as an entire entity, the daily return data from stock market of 14 representative countries or regions are used, and the TVRA-GARCH-M model is constructed to make an empirical research on the influence of prior outcomes to current risk attitude at the market level. Empirical results show that prior gains lead to less risk aversion in the current period, and prior losses increase the current risk aversion. References | Related Articles | Metrics

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Statistical Testing of Efficient Subset of Portfolio and Some Empirical Studies JIANG Chun-fu, YANG Yu-kuan 2012, (4):  52-59.  Abstract ( 2446 )   PDF (1125KB) ( 2646 )   Save In this paper, the issue of choosing an efficient subset from the whole stock set is considered in portfolio management. By analyzing the relation between efficient subset and mean-variance spanning, a testing method of portfolio efficient subset from statistical framework is provided. Some results that extend the conditions for mean-variance spanning given by Huberman and Kandel are also obtained. The empirical results show that our methods are more robust in contrast to the present searching method of subset by comparing rank of matrix. References | Related Articles | Metrics

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Consumer’s Investment Decision Based on Product Safety Responsibility of Manufacturer-Retailer Supply Chain Alliance MENG Jiong, TANG Xiao-wo, NI De-bing, LI Sheng 2012, (4):  60-66.  Abstract ( 2860 )   PDF (899KB) ( 2694 )   Save Applying the basic idea of game theory, starting from the product safety (one perspective of the corporate social responsibilities) influence on the consumers, consumer’s investment decision base on product safety responsibility of manufacturer-retailer supply chain alliance is studied in this paper. The results show that in order to make g manufacturer-retailer alliance respond essentailly to the consumers’ requirement of fulfilling safety responsibilities, consumers should make contribution to the consumers’ organization in order to ensureg manufacturer-retailer alliance is targeted by the consumers’ organization. The low-σ consumer chooses to give personally to product safety causes, holds no shares in the g manufacturer-retailer alliance, and does not contribute to the the consumers’ organization. The high-σ consumer which holds shares in the g manufacturer-retailer alliance or contributes to the the consumers’ organization is a better substitute for personal giving to product safety causes. Both the low-σ and the high-σ consumers may hold shares in the b manufacturer-retailer alliance. Valuable guidances to the consumer’s investment decision base on product safety responsibility are provided in this study. References | Related Articles | Metrics

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Quality Control and Coordination Mechanism in Supply Chain Based on Revenue Sharing Contract XIAO Di, PAN Ke-wen 2012, (4):  67-73.  Abstract ( 3557 )   PDF (1251KB) ( 3426 )   Save It this paper, coordination of revenue sharing contract for quality control decision of members is studied in supply chain that consists of one supplier and one retailer. Equilibrium is analyzed in three different scenarios which include using revenue sharing contract, cooperation, and using wholesale price contract. Strength and limitation of revenue sharing contract for supply chain quality control are discussed. It shows that when the change of demand is sensitive to product quality improvement, revenue sharing contract can get better effect of coordination. Unfortunately, though retailer gets higher profit than using wholesale price contract, the share of profit decreases, which means that revenue sharing contract is more favorable for supplier. References | Related Articles | Metrics

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An Analysis of SMEs’ Financing in Industrial Clusters Based on a Signal Transmission Game Model XU Ling-fang, CHEN Guo-hong 2012, (4):  74-78.  Abstract ( 3380 )   PDF (1017KB) ( 3368 )   Save Most of the SMEs in industrial clusters use mutual guarantee mode for their financing. Successful financing not only provides opportunities for the development of innovation of the SMEs themselves, but also promotes the transmission and upgrading of their industrial clusters. In this paper, a signal transmission game model is put forward to tackle the adverse selection problem existing in the financial process of SMEs in industrial clusters. After analyzing the separating equilibrium, the results show that: guarantee companies should set up an effective security mechanism, that can reduce the investment amounts F1 for companies with high-yield ability when they join to the guarantee projects, increase the investment amounts F2 for those with low-yield ability, and raise the guarantee ratio n1 for high-yield companies. Besides, SMEs in industrial clusters should strive to improve their earning capability θ, to widen the gap of θ2 from the low-yield companies as much as possible. References | Related Articles | Metrics

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Study of Regional Energy-Intensive Industry’s Exit Mechanism Based on Evolutionary Game GUO Ben-hai, FANG Zhi-geng, LIU Qing 2012, (4):  79-85.  Abstract ( 2896 )   PDF (7135KB) ( 2597 )   Save The exit of energy-intensive industry is a kind of basic approach improving the energy efficiency of the regional economic system through industrial restructuring. It is the process of evolutionary game based on local government and related enterprises. In this paper, based on the basic principle of evolutionary game, the regional energy-intensive industry’s exit mechanism is built, typically the factors affecting strategy selection of each game subject are analyzed, the payment function of the main parties involved under different strategies is proposed, the corresponding replicator dynamic equation is established, and evolutionary stable strategy is disussed. References | Related Articles | Metrics

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Research on Sales Rebate Contract with Promotional Effort in VMI LI Xin-ran, MU Zong-yu, LI Gao 2012, (4):  86-94.  Abstract ( 2598 )   PDF (1266KB) ( 2800 )   Save The optimal promotional effort and supply quantity of the center control mode and VMI mode are analyzed in a single-period supply chain facing stochastic effort dependent demand. Then, a sales rebate contract model with retailer's paying the supplier a surplus subsidy for the products that are not sold out is established in VMI. Whether the retailer pays the surplus subsidy to take part in the sales rebate contract or not is also analyzed and that the contract can improve the supply chain revenue is shown. Furthermore, the contract is modified to be possible to realize the optimal revenue in supply chain. Finally, a numerical example is presented to illustrate that the sales rebate contract can increase supply quantity and promotional effort and significantly improve supply chain revenue. References | Related Articles | Metrics

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Evaluation on Collaborative Performances of a Service-Manufacturing Network Considering the Fuzzy Correlations of Multicriteria FENG Bo, SUO Wei-lan, FAN Zhi-ping 2012, (4):  95-103.  Abstract ( 2376 )   PDF (1788KB) ( 2851 )   Save An evaluation method considering the fuzzy correlations among multicriteria is proposed for solving the problem of collaborative performance evaluation of partners in a service-manufacturing network. In the proposed method, firstly, the framework and criteria are constructed for evaluating the collaborative performances of partners in a service-manufacturing network. And then, fuzzy linguistic information is transformed into the form of two-tuple linguistics. A two-additive Choquet (TAC) integral operator is then extended to 2-tuple linguistics scenario to process and aggregate linguistic correlation information and evaluation information, and further to obtain the bi-dimensional results, i.e., complementary collaboration and interactive collaboration performances. Finally, a numerical example is used to illustrate the applicability of the proposed method. References | Related Articles | Metrics

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The Study of Multiple Attribute Decision Making Based on Bi-objective Combined Weights Model WANG Peng-fei, LI Chang 2012, (4):  104-108.  Abstract ( 2569 )   PDF (869KB) ( 3241 )   Save In this paper, the distance entropy of the interval grey number is defined, and grey number distance entropy is used as the measurement standard of interval grey number distance. The grey distance entropy maximizing deviations model of the attributes of uncertain multiple attribute decision making is build. Then the bi-objective combined weight model based on the grey distance entropy and maximum-entropy is discussed. There by the transformation from the interval weights to certain weights is achieved. At last an example is used to verify this effectiveness of the decision making method. References | Related Articles | Metrics

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A Hybrid Multi-Criteria Group Decision Making with TOPSIS Method LIANG Chang-yong, QI Xiao-wen, DING Yong, LENG Ya-jun 2012, (4):  109-117.  Abstract ( 4093 )   PDF (1176KB) ( 2645 )   Save A new TOPSIS decision making approach is proposed for hybrid multi-attribute group decision making problem with linguistic information and intuitionistic fuzzy values. Firstly, A new conversion function is defined to transfer multi-granularity linguistic information into intuitionistic fuzzy numbers. Then, based on the theory of intuitionistic fuzzy value entropy, a model is established to judge the expert’s weight. Next, Intuitionistic fuzzy weighted averaging (IFWA) operator is utilized to aggregate individual opinions of decision makers, and TOPSIS is used to rank alternatives. Finally, an example for ERP selection is given to illustrate the effectiveness of intuitionistic fuzzy TOPSIS method. References | Related Articles | Metrics

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The Short-Term Load Forecasting Model Based on Bayesian Neural Network SHI Hui-feng, NIU Dong-xiao, Lu Yan-xia 2012, (4):  118-124.  Abstract ( 3863 )   PDF (892KB) ( 4762 )   Save A short term load forecasting model based on Bayesian neural network learned by the Hybrid Monte Carlo (HMC) algorithm is presented in this paper. The weight vector parameter of the Bayesian neural network is considered as multi-dimensional random variables. Using the weather factors and load recorders in training set, HMC algorithm is used to learn the weight vector parameter with respect to normal prior distribution and Cauchy prior distribution respectively. Two Bayesian neural networks learned by Laplace algorithm and HMC algorithm and the artificial neural network learned by the BP algorithm are used to forecast the hourly load of 25 days of April(spring), August(summer), October(autumn) and January(winter) respectively. There are eleven nodes in input layer, ten nodes representing the ten weather factor variables of current hour and the previous hour and one hour variable. There is one node in output layer, corresponding to the load on each hour. The experimental result shows that the roots mean squared error (RMSE) and the mean absolute percent errors (MAPE) of the Bayesian neural network learned by hybrid Monte Carlo algorithm both are much smaller than those of the neural networks learned by Laplace algorithm and BP algorithm. Hence, the forecasting model based on BNN learned by the HMC algorithm has higher forecasting precision, and can be used to short-term load forecasting. References | Related Articles | Metrics

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Research on Subsidiaries’ Behavior of Intentionally Decreasing Performance Target and the Design of Incentive Mechanism LUO Biao, LI Jia-ling 2012, (4):  125-135.  Abstract ( 2463 )   PDF (2705KB) ( 2311 )   Save In this paper, the game between enterprise group’s headquarters and subsidiaries that affects the setting of performance target is analyzed. Subsidiaries often use their information superiority to intentionally decrease performance target. This manipulation, which reduces the effectiveness of incentives, will mislead headquarters’ decision-making and affect efficiency of resource allocation. A principal-agent model of subsidiaries’ deflated manipulation is designed based on adaptive expectations hypothesis and subsidiaries’ two-period income. Then, the trigger conditions of subsidiaries’ manipulation and feasible control method of headquarters are explored, and accordingly the corresponding incentive mechanism recommendations of headquarters are put forward. References | Related Articles | Metrics

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The Analysis of Information Rent Extraction-Efficiency Trade-off with Adverse Selection under Bayesian Rule ZHU Jun, GU Wei-dong, SHI Zhi-yuan 2012, (4):  136-143.  Abstract ( 2636 )   PDF (1615KB) ( 2654 )   Save The informational impact and information rent extraction-efficiency trade-off with adverse selection in principal-agent problem are researched in the paper. First, the optimal contract with complete information and the second-best contract with incomplete informational anterior probability, both of them are represented based on the comprehensive review of the related literature. Second, the information rent extraction-efficiency trade-off with Bayesian posterior probability is researched, and the constraint of signal procurement cost budget is described. As a result, the Bayesian method is helpful for making the optimal decision on information rent extraction-efficiency trade-off, and designing the incentive contract in practice. References | Related Articles | Metrics

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Simulation of Risk Transfer in Enterprise Group Based on Cellular Automata XU Chao, YANG Yang, ZHOU Zong-fang 2012, (4):  144-150.  Abstract ( 2669 )   PDF (1376KB) ( 2647 )   Save The enterprise group has always been seen as the key customer of the commercial bank. The research on system simulation and prediction in the credit risk contagion of the enterprise group has been a key issue of risk control concerned by commercial bank. But the traditional simulation methods either do not take into account the corporate group of its own structural characteristics or over-reliance on the specific assumptions of random process, that makes a significantl reduction of the reliability of conclusions. So in this paper the Cellular Automata model, which is widely used in the field of biological and computer science, is introduced into the research on system simulation in the credit risk contagion of the enterprise group. It is found out that the credit risk of the enterprise changes into two different modes: the diversification of risk and the expansion of risk. Parent company can choose the optimal control of each subsidiary to reach the lowest default probability. References | Related Articles | Metrics

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Contagion Analysis Based on Correlations and Volatilities Driven by Hidden Markov Chain OUYANG Hong-bing, SU Hai-jun 2012, (4):  151-159.  Abstract ( 2391 )   PDF (2174KB) ( 2462 )   Save A hidden Markov chain is introduced to drive both volatilities and correlations into dynamic conditional correlation multivariate GARCH model, which can put direct analysis to volatilities and correlations under one framework. Then the contagion resulted from American subprime mortgage crisis and European sovereign debt crisis among the major stock markets is in restigated. The findings are firstly, the regime of high volatility with high correlation, which dominates the market during crises, provides a direct way of expression to the concept of comovement. Second, the American subprime mortgage crisis and European sovereign debt crisis are contagious and emerge in the form of intervals, and show the market transfer between different regimes more frequent in the early stage of these crises. So it is arbitrary to investigate crisis contagion based on dividing sample into subsamples according to prior breakpoints. Third, it is necessary for countries to cooperate with each other because the contagion resulted from American subprime mortgage crisis and European sovereign debt crisis both are a systemic risk among the investigated markets. Finally, there is evidence that American subprime mortgage market encounters dilemma in mid-2006 and the countries involved miss the time to analyze and response to the crisis. References | Related Articles | Metrics

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Plant Growth Simulation Algorithm for Solving Nonlinear Bilevel Programming LI Tong, CHEN Chou-yong 2012, (4):  160-166.  Abstract ( 3537 )   PDF (988KB) ( 2568 )   Save Based on plant phototropism growth pattern as its heuristic criterion, an intelligence optimization algorithm for solving nonlinear bilevel programming is proposed herein. In this algorithm, the upper solution space and lower reaction set of bilevel programming are looked as two growth environments of plant. Then the plant system evolution style based on growth regulation and the probability growth model based on plant phototropism theory are established. The optimization model combined with above two realizes the evolution of artificial plant from initial status to whole final status (that means no new branch growing), thus the optimal solution of bilevel programming can be found. This algorithm herein shows its high accuracy and strong astringency. Comparing with typical optimal solutions obtained from western scholars worked on actual test problems of nonlinear bilevel programming, plant growth simulation algorithm herein also shows its good effectiveness and feasibility. References | Related Articles | Metrics

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The Effects of Ultimate Ownership Structure on the Choice of Capital Structure: Empirical Evidence from Chinese Listed Companies Xiao Zuo-ping 2012, (4):  167-176.  Abstract ( 3182 )   PDF (920KB) ( 2976 )   Save In this paper, the cross-section data of non-financial listed companies in China is adopted and a series of OLS is applied to empirically test the effect of ultimate ownership structure on the choice of capital structure. The result shows that ultimate ownership structure does affect the choice of capital structure. To be specific: (1)Cash flow rights is positively correlated with debt levels; (2)Control rights is negatively correlated with debt levels; (3)The degree of divergence between control rights and cash flow rights is negatively correlated with debt levels; (4) Firm with more control rights than cash flow rights maintains a significantly low debt levels; (5) Debt levels of the firm whose ultimate controlling shareholder is state-owned enterprise is significantly lower than that of firm whose ultimate controlling shareholder is non-state-owned enterprise like private company; (6) The more board members assigned by the ultimate controlling shareholder of the firm, the higher debt levels of the firm is. There is empirical evidence supporting the argument that in the case that control rights exceeds cash flow rights, the ultimate controlling shareholder is likely to tunnel listed companies through utilizing its control rights, therefore the effect of the preference for equity financing and reducing debt financing so as to shake off the constraints of tunneling behavior is significant. References | Related Articles | Metrics

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An Empirical Research of Boundary Spanning on IT Outsourcing Performance DU Rong, FENG Jun-song, LI Min 2012, (4):  177-184.  Abstract ( 3756 )   PDF (1379KB) ( 2464 )   Save Boundary spanning is becoming more and more important in IT outsourcing companies, but only a few researchers have paid attention to this subject. During previous research, it is found that boundary spanning exists in Chinese IT companies. Therefore, a suitable research design is followed and an empirical analysis of boundary spanning and its impacts on outsourcing performance are made. For this purpose, in the year of 2010, 20 companies that provide IT outsourcing services in Xi’an, Beijing and Shanghai are visited, and surveys are conducted in those companies. Totally 292 valid answered questionnaires are collected, and SPSS16.0 and AMOS17.0 are used to do statistical analysis. The empirical results show that boundary spanning has great flexibility. It has both direct and indirect impacts on IT outsourcing performance. Knowledge sharing has a strong mediating effect, through which boundary spanning, relation norm, and technical innovation all have indirect impacts on IT outsourcing performance. Also, boundary spanning, relation norm and knowledge sharing have a stronger effect on IT outsourcing performance than technical innovation. References | Related Articles | Metrics

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The Formation of Organizational Improvisation: An Emotional Reaction View PAN An-cheng, LI Xiao-nan 2012, (4):  185-192.  Abstract ( 8280 )   PDF (1038KB) ( 2963 )   Save In high uncertain environment, quick growth of firms mainly depends on the capabilities of flexible responses, and emotional arousal in the very situations underlies organizational improvising. Organizational improvisation may be a series of coherent actions driven by organizational emotion which continually try to activate organizational memory and deviate from the previous organizational cognitive mode. First, the relationship of organizational emotion and organizational improvisation is discussed and thus the corresponding generation model is built. The findings suggest that the convergence between organizational emotional reactions and activities, the intensity of emotional reactions and the efforts of organizational shifts can arouse extemporaneous activities. At last, the statement that organizational improvisation is a series of coherent actions driven by organizational emotion is revified by a case study. References | Related Articles | Metrics