Abstract:In order to obtain advanced technology, technology buyers usually adopt the bundled procurement strategy which includes both product and technology’ Technology buyers’ decisions on purchase quantity and allocation proportion in different suppliers will directly determine their total revenue when there are multiple technology suppliers on the market. Using a Cobb-Douglas function to express the utility in bundled procurement and a MNL model of technology bundle purchase to model the consumer behaviors, the paper studies the optimal decisions of purchase quantity and allocation proportion in different suppliers and the technology importer’s optimal decision in the process of technology introduction. With the MNL model, the optimal purchase quantity and allocation proportion can be determined to maximize technology buyers’ revenues. Further-more, the bi-parameter decision problem is studied and the optimal conditions are given. At last, a numerical example is given to show the effectiveness of the model.

Abstract:This paper establishes a pricing game to study ATM service fees in both one-way access and two-way access, and compares the differences of service fees between independent and collective pricing scheme. The model yields some new insights on ATM pricing which contribute to explaining the pricing practices in China. It shows that, in an independent pricing scheme, banks or independent ATM deployers (IAD) would set the interchange fee in a plus pricing pattern based on average withdrawal costs. Among them, the unit transport cost of cardholder makes up the basis for the plus term. Regardless of the independent or collective pricing scheme, large banks are prone to set higher foreign fees using the unit transport cost of cardholder as an additive term, but the cost difference between home and agent bank as a subtracted term. The collective-setting interchange fee abides by marginal cost pricing rule and is socially efficient in the one-way access. As a comparison, the collective-setting interchange fee abides by Ramsey pricing principle in the two-way access, i. e. it amounts to the average cost of all banks. Notably, the collective pricing scheme lowers the two-way interchange fee as long as the unit transport cost of cardholders is high enough.

Abstract:In the supply chain system comprising of one supplier and several retailers, retailers are likely to face two kinds of market demand in a dynamic environment: demand under no sales promotion and demand under sales promotion. In this situation, we assume that the retailers adopt the order-up-to level policy to play orders from suppliers according to the information of market demand. On the other hand, the retailers in the same market may take each other’s order-decision behavior into account. In this article, we discuss the down-stream suppliers’ decisions of ordering from upstream suppliers when retailers have different correlations. Furthermore, we investigate the retailers leveraging the portfolio management approach from securities investment theory to adjust the retailers’ quantity of ordering which can reduce the total variance of ordering to suppliers and the bullwhip effect. And we investigate the retailers’ motivation on order adjustment by analyzing and comparing inventory cost, loss of out of stock and profit which the inventory level before and after order adjustment. Our numerical findings show that portfolio management approach can help to reduce the total variance of ordering to the supplier. Also, this method can reduce the bullwhip effect in the supply chain to some extent when multiple retailers have different correlation coefficients of the decision-making behavior in the same market. The greater the correlation coefficient among the retailers is, the more significant the effect on eliminating the bullwhip effect in supply chain will be. Moreover, at the same correlation coefficient, the greater the variance of the market demand forecasted by the retailers, the greater the effect on reducing the bullwhip effect is with the application of the portfolio management approach.

Abstract:This paper studies how star analyst’s following decreases stock price synchronicity and argues that stars perform this function by inducing market over-reaction based on behavioral finance. The paper finds that, even if both star and non-star analysts have similar abilities (as proxied by similar earnings forecast error), star analyst’s coverage continues to be negatively related to synchronicity, while non-star analyst’s coverage does not. Secondly, the average Ｒ2 of firms followed by stars with the most accurate earnings forecasts is insignificantly different from that followed by stars with the worst accurate earnings forecasts. These results suggest that information is not the only mechanism through which stars lower price synchronicity. Finally, stars cover-age and bullish recommendation revision are positively related to short-term momentum, mid-and long-term reversal and abnormal trading volume, respectively. The above results are consistent with our hypothesis. Over-all, these findings help us understand the roles analysts played in emerging markets and the mechanism through which stock price synchronicity is linked to analyst’s coverage.

Abstract:This paper derives the stochastic process of Delta hedge gain under the general jump diffusion process. Theoretically, Delta hedge gain contains four components, including jump risk and risk premium of jump risk in our assumption. The theoretical result is tested with SPX option data. The empirical result indicates that complex roles jump affects option prices. The result is significant when the model risk and market efficiency effects are controlled. It is found that in different financial environments, different types of options are affected differently by the jumps.

Abstract:This paper extends the discrete time sentiment asset pricing model to the continuous time setting using the consumption based pricing model. By incorporating heterogeneity in Lucas’s pure exchange economy, a dynamic sentiment asset pricing model for heterogeneous investors is established, and a central planning problem is studied. The investors’ subjective drift rate of the stock price is derived by considering the sentiment factors, and then used in a dynamic asset pricing problem for heterogeneous investors to portray the differences between rational investors and sentiment investors. Contrary to the conventional wisdom that equilibrium stock price is not affected by investors’ sentiment, this paper finds that investors’ sentiment has a significant impact on the equilibrium stock price. Numerical examples and sensitivity analyses show that false expectation will lead to an increase in the drift rate of the stock price.

Abstract:Based on the 5-minute high frequency data from the Chinese stock market，and with the non-para-metric method， the realized jump volatility components ( the size，mean，standard deviation and arrival rate)are estimated，and the empirical results show that: 1) the realized jump volatility components can predict the excessive return of most of the 25 portfolios，with the linear and non-linear time series regression model; 2 )the realized jump volatility components have some explanation power for the portfolio return，with the linear cross Based on the 5-minute high frequency data from the Chinese stock market, and with the non-para-metric method, the realized jump volatility components ( the size, mean, standard deviation and arrival rate)are estimated, and the empirical results show that: 1) the realized jump volatility components can predict the excessive return of most of the 25 portfolios, with the linear and non-linear time series regression model; 2) the realized jump volatility components have some explanation power for the portfolio return, with the linear cross sectional regression model; 3) the realized jump volatility is possibly the drive force for the size effect and B / M ratio effect in the Fama-French 3-factor model.sectional regression model; 3) the realized jump volatility is possibly the drive force for the size effect and B / M ratio effect in the Fama-French 3-factor model．

Abstract:Based on the credit default swaps (CDS) agreement, this paper proposes a reverse credit default swap (RCDS) agreement to avoid credit loan risk. It defines the reverse CDS agreement, designs the pricing contracts about the reverse CDS agreement, and discusses the risk “captivity” principle about the reverse CDS agreement. Under the no arbitrage principles, the paper establishes a reverse CDS agreement pricing model with unknown default probability. Assuming the asset value movements of a corporation abides by a Brownian motion and a compound Poisson process with the synthesis of a plurality of independent Poisson process, under the risk neutral measure, the paper establishes a stochastic differential equation about the asset value movements of the corporation with both Brownian motion and the compound Poisson process. The default probability and the reverse CDS agreement pricing formula are derived. Finally, through a numerical analysis, it discusses the relationship between interest rates, reverse CDS prices, loan terms, default probabilities, the ratio of the initial assets over default boundary and other factors. Corresponding risk avoiding measures are given. The research has a good reference value for the practical applications.

Abstract:This paper studies the optimal investment with random exchange rates under Knightian uncertainty and regime switching. Firstly, by using an It formula, the dynamics of profit flow under regime switching is obtained. Secondly, α- maxmin expected utility (α-MEU) model is utilized to characterize an investor’s expected value of the investment. Thirdly, the profit flow calculation formula with random exchange rates are de-rived by the stochastic calculus, and the critical present values of the profit flow are also given. Finally, numerical simulations are provided to explain the effect of the parameters on an investor’s investment decisions.

Abstract:Debt rating of small enterprises means a system that evaluates the size of a small enterprise’s credit level and LGD (Loss Given Default) . It concerns the risk management of bank loans and whether small enterprises can get financing. Therefore, the indicators of credit rating must be able to identify the status of non-compliance of small enterprises. Existing credit rating system, aiming to rate scale and sort, does not evaluate the size of a debt LGD, and does not give evidence that its rating system is relevant to identify non-compliance. This article selects a index system according to the ability to identify the default status of enterprises, and establishes a credit rating system of small enterprises. This article has some innovations and features. Firstly, the paper deletesan index whose F-value is small and whose ability to distinguish the status of non-compliance of small enterprises is weak between one pair of highly related indicators which have partial correlation coefficients greater than 0. 7 and reflect the duplication of information. This avoids information redundancy of the rating system after first section and at the same time avoids mistakenly deleting the index that has a big influence on the status of non-compliance. This paper improves the situation that existing credit rating system’s selection is unrelated to the ability to identify non-compliance. Secondly, the paperbuilds the Wald statistic to test for the significant of the Probit regression coefficient, β, through solving the regression coefficient, β, and the standard error, SEβ, of the regression coefficient between the default state variables and evaluation, and deletes the index that has a small influence on the status of non-compliance and whose regression coefficient, β, is not significant. The index can distinguish significantly the status of non-compliance of enterprises after the second selection. Thirdly, the AUC area of the indicator system’s experience curve built by this paper is greater than 0. 9, and this guarantees the index system has a strong identification ability for the status of non-compliance. Fourthly, the results show the weight of the non-financial indicators, for small enterprises having a higher the credit rating and lower LGD, in the credit rating system is 56%. Finally, the empirical analysis for 1 231 small enterprises shows there are 23 indicators, involving the quick ratio, total asset growth, industry sentiment index, which can be used to distinguish the status of non-compliance of small enterprises.

Abstract:This paper investigates the influence of economic policy uncertainty on corporate cash holding strategies. It is found that firms hold more cash reserves with increasing economic policy uncertainty, which is more evident in firms with more severe financial constraints, lower ownership concentration, or lower learning ability. More importantly, this paper uses intermediary effect analysis to find that at least a part of the increase of firms’ cash holding is at the cost of abandoning investment opportunities.

Abstract:The paper analyzes the relationship between the bid-ask spread and stock short-run return reversals in individual stocks. This paper extends the assumption that the “true” price remains constant or follows random walk. Contrasted paths of observed price and “true” price between successive time periods, and adjacent period joint distribution of observed price change and the “rue” price change in three cases, we analyze the impact of the bid-ask bounce on the return reversal. The results show, the bid-ask spread is the only reason for stock observed return reversal when the first order autocorrelation coefficient of the stock “true” return is close to 0; the role of the bid-ask spread on observed return reverse is not obvious and may even weaken the reverse when the “true” return has a strong negative first order autocorrelation; the bid-ask spread intensify the volatility of observed return. Based on the identity relation between bid-ask spread and stock return, we establish the return decomposition model to isolate the “true” return from the observed return, and cross section regression and variance-ratio test are adopted to support these conclusions using individual stocks daily, weekly and monthly data in NASDAQ market respectively.