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    Construction and macroeconomic forecasting of the chief economist confidence indexes based on text analysis
    ZHANG Tao, TANG Ke, XIE Hai hua
    2025(3):1-18
    [Abstract] (1) [PDF 1.66 M] (0)
    Abstract:
    Economists’comprehensive judgments and confidence levels are increasingly valuable in today’s environment of heightened economic fluctuations and uncertainty. However, existing economist confidence indexes are not sufficiently regarded due to their low frequency, high compilation costs, and lack of timeliness. This study constructs a monthly Chief Economist Confidence Index and its sub indexes (CECI) by leveraging online text data from the “Chief Economists Forum” and employing cutting edge natural language processing technologies, specifically the TextRank+FinBERT method. The paper finds that the CECI trends consistently with the National Bureau of Statistics’Quarterly Economist Confidence Index, but features stronger timeliness and a higher update frequency. Compared to the confidence indexes of other economic entities, the confidence of chief economists serves as a more effective indicator of the business cycle. In terms of macroeconomic forecasting, the CECI series can significantly enhance the out of sample forecasting performance for key macroeconomic variables. This study represents a valuable attempt to construct business cycle indicators and conduct macroeconomic forecasts using artificial intelligence methods. The methodology can be applied to the construction of other high frequency business cycle indexes.
    The impact of windfall money on purchase intention for new products: The mediating role of perceived risk
    CAI Feng yan, ZHAO Xiao hong, GUO Wei cheng
    2025(3):19-33
    [Abstract] (1) [PDF 1.27 M] (0)
    Abstract:
    Based on mental accounting theory, this research explores the effect of windfall money on purchase intention for new products through six studies. The results show that consumers who receive unexpected windfall money are more willing to purchase new products than those who do not receive unexpected windfall money (Studies 1a, 1b, and 2). Moreover, perceived risk is the underlying mechanism (Studies 3a and 3b). Product involvement plays a moderating role: The effect of windfall money on purchase intention disappears for high involvement new products but persists for low involvement new products (Study 4). This research expands the research scope of windfall money, enriches the influencing factors of purchase intention for new products, and provides evidence for companies to present the discount information.
    The impact of business environment on entrepreneurs’subjective well being: Empirical evidence from 69 countries
    YU Xiao yu, MENG Xiao tong, DI Ya qin
    2025(3):34-58
    [Abstract] (0) [PDF 1.47 M] (0)
    Abstract:
    Drawing on the uncertainty management theory, this study explores whether the business environment influences entrepreneurs’subjective well being and how this relationship varies by entrepreneurial type. Specifically, this study examines the effect of business environment on the subjective well being of opportunity entrepreneurs and necessity entrepreneurs. Using data from the Global Entrepreneurship Monitor, the World Bank’s Doing Business Report, and the World Development Index, a multilevel database is constructed, covering 69 countries and 19 577 individuals. The model is tested using multilevel linear regression. The results show that the business environment has a positive effect on entrepreneurs’subjective well being, and the subjective well being of opportunity entrepreneurs is higher than that of the necessity entrepreneurs. Furthermore, the positive effect of the business environment on subjective well being is stronger for opportunity entrepreneurs than for necessity entrepreneurs. This study extends the significance of optimizing the business environment from encouraging entrepreneurial entry to enhancing entrepreneurs’subjective well being. However, it also highlights that such optimization may widen the well being gap between opportunity and necessity entrepreneurs. These findings contribute to the literature on the antecedents of entrepreneurs’well being by integrating macro and micro level perspectives. This study provides valuable insights for improving the business environment in China to enhance the well being of both opportunity and necessity entrepreneurs.
    Public environmental pressure and firms innovation
    LIN Zhou yu, DENG Xing hua, LIU Lu
    2025(3):59-78
    [Abstract] (0) [PDF 1.27 M] (0)
    Abstract:
    The beautiful ecological environment carries people’s expectations for a better life in the new era.Using the “demand willingness ability” analytical framework, this study investigates the economic impact of public environmental pressure on corporate innovation. It is found that environmental protection pressure from the public promotes enterprises innovation, reflected in both the increased quantity and improved quality of innovation.High public visibility boosts the positive impact of public environmental protection pressure on enterprise innovation.From the perspective of transmission mechanism, this promoting effect is achieved through mechanisms such as enhancing enterprise environmental governance needs through government environmental law enforcement, developing long term willingness through orientation, and facilitating knowledge spillover of environmental technology.Depending on specific situations, enterprises strongly constrained by organizational rigidity enjoy a more significant promoting effect, whereas state ownership and employment dependence can weaken the effect. The findings of this study are of great value for deepening our understanding of the relationship between environmental governance and economic transformation and upgrading.
    Inventor mobility, source enterprise linkage and reverse knowledge spill in
    YANG Jin yu, PENG Qiu ping, LUO Yong gen, GE Zhenting
    2025(3):79-99
    [Abstract] (0) [PDF 1.35 M] (0)
    Abstract:
    The knowledge spillover effect of inventor mobility is bidirectional, and there is also a knowledge spill in effect on the source enterprises. Based on a matched dataset of inventors and patent citations from Chinese listed enterprises, this paper investigates the impact of inventor mobility on knowledge spill in effect. The paper finds that the mobility of inventors has a knowledge spill in effect on source enterprises, which lasts 1 2 years. Further, the mobility of higher performance inventor has a more obvious effect on the knowledge spill in. The mobility of inventors also has a more significant effect on knowledge spill in when the source enterprises are non SOEs or the target enterprises are SOEs. Besides, it is demonstrated that the mobility of inventors takes effect mainly through the following channels: Cooperative R&D between source enterprises and target enterprises, and a favorable network position in the inventors’directed mobility network. Additional analyses suggest that this positive effect varies based on different enterprise characteristics. This paper contributes to the current research on human capital flow from the direction of the inventors’mobility and knowledge spill in, providing important practical insights for enterprises to accumulate firm social capital and promote knowledge spill in to improve enterprise innovation.
    Customer allowance for doubtful accounts and the duration of supply chain relationship
    ZHOU Ze jiang, DING Xiao juan, WANG Shun
    2025(3):100-115
    [Abstract] (0) [PDF 1.12 M] (0)
    Abstract:
    Supply chain stability is an important component of national economic security. As a common item in supply chain purchase and sale transactions, the allowance for doubtful accounts is particularly noteworthy for its potential impact on the duration of supply chain relationships. The paper examines the impact of customer allowance for doubtful accounts on the duration of supply chain relationships, using a research sample of A share listed companies on Shanghai and Shenzhen Stock Exchanges from 2008 to 2022. The study finds that customer allowance for doubtful accounts is significantly negatively related to the duration of the supply chain relationship. Mechanism tests indicate that customer allowance for doubtful accounts increases firms’finance, credit, and market risks through the supply chain risk contagion effect, prompting firms to interrupt current supply chain relationships due to risk aversion motivations. Further analysis shows that the negative impact of customer allowance for doubtful accounts is more significant in samples with lower prudence in allowance for doubtful accounts, higher downstream discourse power of suppliers, lower upstream discourse power of customers, and lower supply chain relationship survivability. Economic policy uncertainty exacerbates the negative impact of customer allowance for doubtful accounts on the duration of supply chain relationships, while a good business environment can weaken this adverse effect. The paper enriches the research related to the supply chain risk contagion effect and the duration of supply chain relationships from the perspective of customer allowance for doubtful accounts, and also has policy implications for enhancing supply chain resilience and risk resistance, as well as maintaining supply chain security and stability.
    Two pillar regulation and bank risk taking: Micro mechanisms and cross sectional and time heterogeneity
    GU Hai feng, YU Jia jun
    2025(3):116-147
    [Abstract] (0) [PDF 1.40 M] (0)
    Abstract:
    Two pillar policies constitute a crucial part of the post crisis financial stabilization framework. As regards ameliorating the two pillar regulatory framework and mitigating banking sector risks, it is crucial to examine the effect of two pillar policies on bank risk taking in a systematical way. Hence, this paper analyzes the transmission mechanism between the two pillar policies and bank risk taking from a micro perspective. Based on this, an empirical study is conducted using bank level panel data from 262 commercial banks in China from 2007 to 2020, to test the effects. The findings are as follows: Contractionary monetary policy and macro prudential regulation both exert a marginal reducing effect on bank risk taking, while loose monetary policy exerts a risk spillover effect on banks, which can be mitigated by macro prudential regulation. Mechanism analysis shows that macro prudential regulation mitigates the spillover effect of monetary policy by alleviating the negative impact of low interest rate monetary policy on bank charter value and by attenuating the procyclical adjustment of bank leverage, thereby performing a coordinated risk abating effect. In terms of cross sectional dimension, interbank connection exerts an asymmetric influence on the coordination effect of two pillar policies on bank risk taking. In a monetary easing environment, an increase in the interbank connection level weakens the mitigating effect of macro prudential regulation on the risk spillover generated by loose monetary policy. In a monetary tightening environment, an increase in interbank connection level worsens the weakening effect of macro prudential regulation on the risk reducing effect of contractionary monetary policy. Besides, two pillar policies generate a better coordinated risk abating effect on larger banks or those with a lower proportion of non interest rate revenue. In terms of the time dimension, interest rate marketization strengthens the coordinated risk abating effect of two pillar policies, while increased monetary policy uncertainty weakens that effect.
    Asymmetric interdependence structure and risk transmission between Shanghai, Shenzhen and Hong Kong stock markets with the common influencing factors removed
    CAO Guang xi, XIE Wen hao
    2025(3):148-161
    [Abstract] (1) [PDF 1.36 M] (0)
    Abstract:
    Since the multifractal detrended partial correlation analysis method (MF DPXA) cannot measure the asymmetric dependence relationship under different trends (upward and downward), this paper proposes the multifractal asymmetric detrended partial cross correlation analysis method (MF ADPXA). Furthermore, the paper proposes a removing factors time delayed detrended cross correlation analysis (ETD DCCA) to study the risk transmission direction between stock markets. Taking Shanghai Component Index, Shenzhen Component Index, and Hang Seng Index as research objects, this paper empirically analyzes the asymmetric cross correlation and risk transmission between pairwise stock markets after removing the common influencing factors. The results show that, after removing the influence of one stock market, the long memory cross correlation between the other two stock markets is weak. When the return trend is upward, the long memory cross correlation increases, and when the return trend is down, the cross correlation shows anti persistence. The degree of asymmetry is greater when the fluctuation is large. The local cross correlation between the pairwise stock markets shows a weakening trend over time. As the time lag increases, the anti persistent cross correlation between the two two stock markets is enhanced. The risk of the Shenzhen Component index is mainly transmitted to the Shanghai Component Index, and the risk of the Shanghai Component Index is mainly transmitted to the Hang Seng Index. The Hang Seng Index has a stronger impact on the Shenzhen Component Index. This study has implications for re understanding the intrinsic dependent structure and risk transmission of Shanghai, Shenzhen, and Hong Kong stock markets, cross market portfolio, and risk management.
    Idiosyncratic volatility and fund investor behaviors: A perspective from the horizon based decomposition
    LIU Yang yi, TIAN Zheng lei, LUO Rong hua
    2025(3):162-190
    [Abstract] (0) [PDF 1.32 M] (0)
    Abstract:
    Chinese mutual fund investors tend to chase funds with better historical performance and higher idiosyncratic volatility, leading to huge losses when fund performance reverses in the future. By incorporating the uncertainty of the fund return generating process into the investor learning model, this paper theoretically shows that investors with insufficient financial literacy are subject to the optimism bias while assessing the fund’s skills. This behavior results in an asymmetric impact of a fund’s idiosyncratic volatility on fund flow performance sensitivity: When a fund performs well (poorly), the higher the fund’s idiosyncratic volatility, the higher (lower) the fund flow performance sensitivity. The results show that a fund’s idiosyncratic volatility can explain the fund flow performance convexity puzzle: The higher the fund’s idiosyncratic volatility, the more significant the fund flow performance convexity relationship. Furthermore, by decomposing a fund’s idiosyncratic volatility into a persistent component (long run idiosyncratic volatility) and a short term volatile component (short run idiosyncratic volatility), the paper finds that only long run idiosyncratic volatility has a significant impact on the fund flow performance convexity, while short run idiosyncratic volatility does not. Long run idiosyncratic volatility does not help to improve the predictive power of historical fund performance on future performance. It significantly impacts individual investors’ fund flows, suggesting that this effect is due to investors’ behavioral biases. The research in this paper has important policy implications: The regulation of fund companies’ marketing should be strengthened to prevent funds from going viral. More importantly, investor education should be vigorously strengthened to enhance investors’sophistication and help them circumvent the optimism bias when learning the fund’s skills for investors with limited financial literacy.
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    Mode selection and pricing strategy of paid membership video platforms
    Jiang Zhongzhong12, Li Kunyang12, Zhang Yingxiang3, He Na12
    Available online:  March 15, 2023
    [Abstract] (3499)
    Abstract:
    With the development of online video industry, a new profit model (paid membership), and a new supply chain mode (account sharing mode) were emerged. However, the existing online video pricing theories and methods based on the traditional supply chain mode (buyout mode) are difficult to meet the needs of practical development. Therefore, we study the pricing strategies of paid membership video platforms under two different supply chain modes, and then analyze the impact of supply chain modes and video quality on the pricing, profit and demand of the paid membership video platform. The result shows that: the video platform will adopt “free to members”, “discount to members” and “symmetrical pricing” successively with the increase of video quality in the buyout mode, while only “discount to members” and “symmetrical pricing” will be adopted successively with the increase of video quality in the account sharing mode. Meanwhile, the selection strategy of the optimal supply chain mode is mainly determined by video quality. Further analysis indicates that the high copyright rate under the buyout mode has a negative impact on the development of the online video industry, and the account sharing mode can make up for the deficiency of the buyout mode. At the same time, the research shows that the paid membership video platform does not directly obtain VOD revenue from ordinary users, and its revenue structure is determined by the proportion of existing members. In addition, the results of extending the model to member-only videos prove the robustness of the main conclusions of the paper. The conclusion of the study can provide useful management implications for paid membership video platforms and online video industry.
    Research on the value co-creation incentive mechanism of platform ecosystem in the context of emerging field
    Wei Jiang, Yang Jia Ming, Yang Sheng Xi
    Available online:  July 06, 2023
    [Abstract] (1917)
    Abstract:
    The blurred boundaries, temporary absence of regulation, and dynamic changes in the roles and interactions of members in the emerging field have led to the difficulty for actors with complementary resources in the field to form a clear perception of the "advanced" value proposition of platform enterprises, challenging the original logic of value co-creation within the platform ecosystem based on the premise of the comprehensible value proposition. In this vein, how platform enterprises promote the value co-creation in the context of emerging field has become an important theme that needs to be clarified in practice and theoretical research. Through the comparative analysis of two case companies, i.e., Weiyi and Xinye, this paper identifies two major value co-creation dilemmas in the platform ecosystem in the emerging field context, namely "ambiguous co-creation goals" and "ambiguous co-creation modes", which impede the complementors ' initiative to co-creating value in the focal platform ecosystem. Based on this, we further refines the strategic paths for platform enterprises to stimulate value co-creation of complementors in this context - the "traction" model with the core of explaining value proposition and the "boost" model with the core of co-creating value proposition. The identity positioning of platform enterprises as "leader of the ecosystem" or "partner of other complementors" is the core motive of their strategic actions. Overall, the theoretical model of "co-creation dilemma—identity position—strategic actions" is built, which is the driving mechanism of value co-creation in the platform ecosystem. Based on the characteristics of the emerging field, this paper proposes a strategic path for platform enterprises to promote ecological value co-creation under the premise of participants within the ecosystem have ambiguous perceptions of platform value proposition, and contributes to the research on value co-creation in platform ecosystems.
    The “Fourth Statement” of enterprises driven by big data: Theoretical analysis, data realization, and research opportunities
    CHEN XINYUAN, HE XIANJIE, ZOU RUKANG, HAN SONGQIAO
    Available online:  June 20, 2023
    [Abstract] (1556)
    Abstract:
    An enterprise’s financial statements provide investors with highly verifiable and comparable information about its financial position, operating results, and cash flows, and this information plays an important role in company valuation, contract formation, and capital market supervision. The advent of big data, however, has presented many challenges for traditional financial statements in terms of integrity and timeliness due to strict reviews of information, requirements of accounting standards, and restrictions on the form and frequency of disclosure. Based on the valuation function and contract function of accounting information, this paper researches the elements and the methods of realization of the “Fourth Statement”. Then, this paper further proposes the potential application scenario of the “Fourth Statement” in company valuation, contract signing, and capital market supervision.
    Stock Market Asymmetric Information Would Have an Effect of Contributing to Stock Price Crash: From a New Perspective of Uncertainty
    MAO Jie, LIU Hongzhong
    Available online:  August 02, 2022
    [Abstract] (2459)
    Abstract:
    We build a market microstructure model within the framework of Rational Expectations Equilibrium and deliberately factor uncertainty into our model so as to study from the perspective of uncertainty whether and how stock market information asymmetry would contribute to stock crash. Our model demonstrates that market information asymmetry does contribute to stock crash, and that the greater the information asymmetry, the deeper stocks would plunge, the greater the uncertainty in the market, the greater the impact information asymmetry would have on stock crash. We then calculate the probability of informed trading of A equities listed on the Shanghai and Shenzhen stock markets according to the relevant tick data from 2010 to 2015 and use the calculated probability of informed trading as a measure of information asymmetry of the Shanghai and Shenzhen stock markets. And we conduct empirical tests according to the calculated probability of informed trading to find that there exists a significant positive correlation between market information asymmetry and stock crash, and usually the greater the market information asymmetry, the deeper stocks would plunge. In addition, we also formulate uncertainty indexes for A equities listed on the Shanghai and Shenzhen stock markets, using the uncertainty indexes for measuring stock market uncertainty, and in the light of the uncertainty indexes we discover that market uncertainty tends to increase the impact information asymmetry would have on stock crash, i.e. the greater the uncertainty in the market, the greater the impact information asymmetry would have on stock crash. Our findings do not only add to the existing knowledge about the causes of stock crash, but also sheds new light on how to prevent abnormal volatility on stock markets.
    Do convex incentives boost asset prices and volatility?: Based on the perspective of investors' heterogeneous beliefs
    Xu Si, Sheng Jiliang
    Available online:  August 02, 2022
    [Abstract] (1015)
    Abstract:
    This paper analyzes the impact of convex incentives in delegated portfolio management to prices and volatility of the risky assets by using a theoretical model in continuous-time financial framework. First of all, we establish a multiple-stock dynamic equilibrium pricing model in which the institutional and retail investors have heterogeneous beliefs, and the institutional investors facing convex incentives which are associated with a benchmark portfolio's performance. Secondly, using the martingale method, we derive closed-form solutions for the risky asset’s equilibrium price and volatility. Finally, numerical results show that the stock in benchmark portfolio has higher price and volatility than the stock not in. The convex incentives to institutional investors can always boost the risky asset prices and the volatility of stock in benchmark portfolio. When institutional investors are more pessimistic than retail investors, the increase of convex incentives will reduce the volatility of the stock not in benchmark portfolio, and the increase of institutional market share will reduce the degree of bubble of stock not in benchmark portfolio.
    Born in Drought, Save against A Rainy Day: Does CEOs’ Childhood Drought Experience Improve Corporate Water Protection Performance?
    DU Xing-qiang, XIAO Liang, LIN Qiao
    Available online:  August 02, 2022
    [Abstract] (1649)
    Abstract:
    As an important and basic resource of social production and civil life, water plays a crucial role in constructing national ecological civilization and realizing healthy economic development. Based on the utilization efficiency of water resources and water pollution of Chinese listed firms during 2007-2017, this study examines the impact of the CEO's drought experience in the childhood on water protection performance. The findings show that the CEO's drought experience in the childhood (5-15 years old) is significantly positively associated with water protection performance, implying that the drought experience and risk awareness towards water imprint the CEO's behavior and improve water protection performance. In addition, CEOs' current perception of water shortage strengthens the positive effect of the CEO's drought experience in the childhood on water protection performance. Above results are still valid after a series of robustness tests and using the change model to address the potential endogeneity. Furthermore, results in additional tests show that the pollution control department has an intermediary effect between CEOs’ childhood drought experience and corporate water protection performance, the implementation of the Environmental Protection Law strengthens the positive effect of the CEO's drought experience in the childhood on water protection performance, and the positive relation between CEOs’ childhood drought experience and corporate water protection performance is more pronounced for firms in manufacturing and polluting industries.
    Market Sentiment and Fund Investment Strategy: Catering or Contrarian
    WANG JIAN, Yi Shangkun, Jiang Zhongzhong, Qin Xuwei
    Available online:  August 02, 2022
    [Abstract] (1661)
    Abstract:
    The investment strategy of mutual funds is the focus of common concern among academia, regulators and market participants. Based on the behavioral asset pricing theory, this paper quantifies fund investment strategies as the market sentiment sensitivity of portfolio returns and it is classified as sentiment catering strategy and contrarian strategy according to market conditions for the first time at the micro-level. To explore the systematic influence of investment strategy selection on fund flow, risk and manager’s effort by theoretical models and empirical tests, and analyze the influence mechanism of fund performance from the perspective of behavioral principal-agent. The result shows that, funds are more attractive to investors, especially individual investors when adopting the sentiment catering strategy, however, it will cause hidden infringements on the interests of investors, which is manifested by increased risks and reduced returns of the fund in the future, and fund managers achieve higher returns without having to pay more efforts. Further analysis shows that the passive laissez-faire behavior of fund managers only to please investors is an important reason for their poor performance; when the fund adopts the contrarian strategy, the effects are completely opposite. This study provides new approaches and enlightenment for the investment practice of small- and medium-sized, fund governance and supervision, and the explanation of fund market anomalies.
    SOEs Reform, Optimization of State-Owned Capital and Value Creation: Evidence from M&As of Chinese Central SOEs
    zhangchenyu, maoxinshu, maoju
    Available online:  August 02, 2022
    [Abstract] (1311)
    Abstract:
    This paper examines the effectiveness of the optimization and adjustment of state-owned capital layout from the perspective of value creation using the setting of Chinese central state-owned enterprises (CSOEs) M&As. The results show that the optimization and adjustment of state-owned capital layout has the effect of value creation, which can improve the efficiency of state-owned capital, but this effect only exists after the reform of the Third Plenary Session of the 18th CPC Central Committee. Further research shows that the value creation effect of state-owned capital layout optimization is heterogeneous. Compared with the CSOEs of specific functional and public service, the value creation effect of state-owned capital layout optimization is more significant in the commercial CSOEs, and the value creation effect of CSOEs through professional integration and holding merger is more significant. The study also confirm that the optimization of state-owned capital layout reduces the competition among CSOEs, and achieves the advantage of resource integration. Overall, this paper provides a new perspective for understanding the optimization of state-owned capital distribution, which has important practical guiding value for SASAC to promote the strategic reorganization of state-owned capital at microcosmic level and achieve the goal of state-owned economy.
    China’s Banking Systemic Risk under the Shock of Cross-border Lending
    Fang yi, Jing Zhongbo, Zeng Yanqi
    Available online:  August 02, 2022
    [Abstract] (1065)
    Abstract:
    Based on the improved Greenwood et al. (2015) model, this paper studies China’s banking systemic risk caused by cross-border lending. The results show that: (1) Under the impact of cross-border lending, the systemic risk is mainly determined by the asset side’s shock, and China’s banking systemic risk has four stage characteristics. (2) Systemic risk is affected by risk exposure, institutional asset size, leverage and indirect correlation, and these factors play different roles in different shocks and different stages. As an external shock, the risk exposure is less important than the internal characteristic factors such as the scale of institutional assets and indirect correlation. (3) The increase of systemic risk caused by cross-border lending can lead to adverse changes of macroeconomic variables in the future, and the systemic risk’s index is effective.
    Bank income tax and the deposit insurance price
    Ming Lei, Tang Hui, Yang Shenggang, Huang Yuanbiao
    Available online:  June 25, 2022
    [Abstract] (911)
    Abstract:
    In the context of continuous economic downturn, China has launched a fiscal policy of tax and fee reduction in recent years. This paper studies the pricing problem of deposit insurance considering bank income tax and obtains the explicit solution of deposit insurance price. We also test the mechanism of bank income tax affecting deposit insurance price. It clearly shows that the premium per unit deposit decreases with the decrease of income tax rate, which proves the positive effect of tax and fee reduction policy on banks. The empirical results show that the increase of bank income tax rate will increase the deposit insurance rate by increasing the risk-taking level of the bank. The study in this paper provides theoretical basis and practical reference for further promoting the implementation of tax and fee reduction policies in the commercial bank system in the future.
    Asymmetric Time-Varying Effects of zone transfer Monetary Policy on consumer Prices: A Study based on Pigou Effect and Overadjustment Theory
    HuaYufei, lujin, wangqiusu
    Available online:  June 25, 2022
    [Abstract] (701)
    Abstract:
    Based on the theory of price overadjustment and Pigou wealth effect, this paper first analyzes the dynamic mechanism of monetary policy on CPI from the theoretical level. It is found that the increase of money supply will not only directly increase CPI, but also indirectly affect CPI through the overshoot effect of asset prices. Secondly, markov zone transfer model is further introduced to analyze the zone system of monetary policy. Finally, TVP-SV-VAR model and NARDL model are used to measure the dynamic influence relationship of monetary policy on asset price and CPI from the perspective of time variation and asymmetry. The results show that: first, monetary policy has obvious characteristics of two zones of expansion and contraction. Second, in the short run, monetary policy has an overshoot effect on asset prices compared with CPI, while in the long run, monetary policy indirectly affects CPI through the Pigou vian intermediary effect of asset prices. Thirdly, monetary policy has asymmetric effects on both asset prices and CPI. The effect of expansionary monetary policy is smaller than that of contractionary monetary policy. Meanwhile, asset prices also have asymmetric effects on CPI, and the "loss aversion" effect is obvious.
    Investor Irrationality and Stock Anomalies in China
    LI Linbo, LIU Weiqi, HE Yanan, ZHAI Xiaoying
    Available online:  June 25, 2022
    [Abstract] (1242)
    Abstract:
    The investor irrationality in China"s stock market has always been important in asset pricing. In order to test the influence of investor irrational, Using stock trading data from 1997 to 2018, this paper builds an irrational belief variable based on the heterogeneous belief variable, and empirically explores the influence on stock anomalies. The results show that irrational beliefs have negative predictive power for future returns. To test the variable to explain the anomalies returns ability, this paper builds a belief factor model including market factor (MKT), size factor (SMB) and belief factor(FMG). And we copy the 102 anomalies of market friction, momentum-reversed, value-growth, investment, profits and intangible assets. Finally, this paper uses the CAPM model, FF-5 model, CH-3 model and B-3 model and finds that belief factor model has relative advantage from the results of both adjust alpha and significance of GRS tests. This suggests that irrational belief may be the main factor of stock anomalies.
    Estimating time-varying higher-order co-moments with single factor semi-nonparametric model and its application in portfolio selection
    HUANG Guang-lin, Lu Wanbo
    Available online:  June 25, 2022
    [Abstract] (960)
    Abstract:
    We proposed a time-varying higher-order co-moment estimate based on a single factor time-varying semi-nonparametric (SF-TVSNP) model. The model specification, model estimation and model selection approaches are given in this paper. The single factor model can efficiently reduce “the curse of dimensionality” problem in the time-varying higher-order co-moments estimation, and the semi-parametric structure can improve the robustness of the SF-TVSNP model. The empirical studies show that the SF-TVSNP model can effectively capture the time-varying structure of higher-order co-moments of asset returns, and it is more suitable for the latent structure of asset returns. High-dimensional dynamic portfolio based on the SF-TVSNP model can generate higher and stable economic value, which is further confirmed by robust analysis.
    Research Hotpots and Thematic Evolutionary Trends of Management Science and Engineering in China
    Zhang Peng, Xie Yundong, Wu Qiang, Liu Yuanyuan, Hou Li, Gao Xingyu, Ding Xiulian, Zheng Shengming, Yu Yugang
    Available online:  June 25, 2022
    [Abstract] (3308)
    Abstract:
    Revealing the subject research hotpots and thematic evolutionary trends have been the focus of the academic community. Using 12,920 papers published in 46 international authoritative journals from the year 2010 to 2019, this study explores the research progress and development trends of Management Science and Engineering (MSE) subject in China using the author keywords of the papers. The results show that: first, the MSE research hotspots of China have changed significantly; second, the MSE research hotspots of China have fully considered its own actual scenario, and show a trend of keeping in line with the global research hotspots; third, the MSE of China has maintained a stable expansion in core research fields, and have made significant shifts in new research themes; fourth, the research hotspots of the main MSE subfields of China focus on the topics such as China, pricing, dynamic programming, social networks and supply chain management.
    Spatial spillover and credit risk of urban investment bonds: Based on the gravitational network of production factors within Yangtze River Delta Urban Agglomeration
    LI Hao-hua, FANG Li-bing, YAO Chu-han
    Available online:  June 24, 2022
    [Abstract] (1275)
    Abstract:
    The technical default of urban investment?bonds and the default of urban?investment companies' non-standard financing have broken the long-standing “belief” in the rigid payment of urban investment?bonds, and the credit risk has become the focus of attention. Under the background of the implementation of the urban agglomeration strategy in China, based on the gravitational network of production factors within the Yangtze River Delta Urban Agglomeration, this paper empirically analyzes the impact of urban agglomeration spatial spillover on the credit risk of urban investment bonds. The study finds that: 1) There is a spatial overflow of credit risk within the urban agglomeration, and the credit risk premiums of urban investment?bonds in different cities fluctuate in the same direction. 2) The financial development of other cities especially peripheral cities is positive externality, which can reduce the risk. 3) There may be negative externalities in the economic development of urban agglomerations especially the peripheral cities, which will increase the credit risk. It provides a theoretical and factual basis for local governments to make effective use of the development opportunities of urban agglomeration, reasonably formulate fiscal policies and prevent and control regional financial systemic risks.
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    Current research status and prospects of FinTech
    WU Chong-feng, LIN Yan-yan
    2024(6):1-20
    [Abstract] (1884) [PDF 310.88 K] (11135)
    Abstract:
    FinTech is a comprehensive term that encompasses various financial activities aimed at promoting financial services to be more convenient，cheaper，more inclusive，and safer in virtue of mobile internet，blockchain，artificial intelligence，big data，and other ways of scientific and technological innovations． It tightly combines financial services with application scenarios in a digitized，intelligent，and secure way． It accomplishes the goals of financial service suppliers for liquidity，profitability，and security，as well as meeting the functional demands of financial service demanders for paying，financing，investment，and trading． Starting from the analysis of mobile internet，big data，artificial intelligence，blockchain，and other emerging technologies and the financial innovations promoted by them，this paper takes the three major business processes of financial services as the breakthrough point． It combs the documents from three aspects: payment and settlement，credit and financing，and asset management services． In addition，the study considers and reflects financial regulation from four perspectives: the reformation of the regulatory concepts，the expansion of regulatory content，the reconstruction of regulatory mechanism，and the innovation of regulatory technology． Finally，it discusses prospects for future research．
    Routing problem of multiple trucks and drones cooperative delivery
    ZHEN Lu, GAO Jia-jing, TAN Zhe-yi
    2024(7):1-18
    [Abstract] (1840) [PDF 1.30 M] (6869)
    Abstract:
    The application of collaborative delivery systems based on trucks and drones have attracted more and more attention from the academia. This study investigates a routing problem of multiple trucks and drones cooperative delivery, and formulates a mixed-integer programming model with the objective of minimizing the total cost. A solution method based on column generation is proposed to solve the model. An accelerating technique based on variable neighborhood search is also embedded in the solution method to reduce the computation time. Numerical experiments are also conducted to validate the effectiveness of the proposed model and efficiency of the proposed solution method. Some potentially useful managerial implications are also outlined based on some sensitivity analysis.
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    How can government subsidies promote technological innovation of new energy enterprises?
    ZHANG Yue-jun, LIU Wen-li
    2025(2):1-14
    [Abstract] (4515) [PDF 1.17 M] (642)
    Abstract:
    In order to stimulate the technological innovation of new energy enterprises, the Chinese government has issued a large number of relevant subsidy policies. However, the complex influence mechanism of government subsidies on technological innovation of new energy enterprises is still unclear, and the incentive effect has not yet reached a consensus. Therefore, this paper focuses on the data of China’s A-share listed new energy manufacturing enterprises from 2011 to 2020, and constructs a two-way fixed effect model of panel data to investigate the influence of government subsidies on technological innovation of new energy enterprises. The findings are as follows: 1) Government subsidies generally promote the technological innovation of new energy enterprises. In the sample interval, for every 1〖WTXT〗%〖WTBZ〗 increase in government subsidies, the patent applications of new energy enterprises increase by 0.82〖WTXT〗%〖WTBZ〗; 2) R&D investment and innovative human capital play a partial intermediary role in the process of government subsidies to promote technological innovation of new energy enterprises, while enterprise financialization plays a moderating effect which enhances the promoting role of government R&D subsidies to the technological innovation of new energy enterprises; 3) There are significant differences between R&D and non-R&D subsidies on technological innovation of new energy enterprises: for every 1〖WTXT〗%〖WTBZ〗 increase in R&D subsidies in the short term, the patent applications of new energy enterprises increase by 1.064〖WTXT〗%〖WTBZ〗, and the relationship between R&D subsidies and technological innovation of new energy enterprises shows an inverted U-shape in the long term; for every 1〖WTXT〗%〖WTBZ〗 increase in non-R&D subsidies, the patent applications of new energy enterprises increase by 0.61〖WTXT〗%〖WTBZ〗; 4) The promoting effect of government subsidies on technological innovation of new energy enterprises is significant in the areas with high intellectual property development level, but not in the areas with low intellectual property development level. These research results will provide powerful decision-making reference for the government to formulate new energy industry policies and new energy enterprises to make good use of government subsidies.
    Current research status and prospects of FinTech
    WU Chong-feng, LIN Yan-yan
    2024(6):1-20
    [Abstract] (1884) [PDF 310.88 K] (11135)
    Abstract:
    FinTech is a comprehensive term that encompasses various financial activities aimed at promoting financial services to be more convenient，cheaper，more inclusive，and safer in virtue of mobile internet，blockchain，artificial intelligence，big data，and other ways of scientific and technological innovations． It tightly combines financial services with application scenarios in a digitized，intelligent，and secure way． It accomplishes the goals of financial service suppliers for liquidity，profitability，and security，as well as meeting the functional demands of financial service demanders for paying，financing，investment，and trading． Starting from the analysis of mobile internet，big data，artificial intelligence，blockchain，and other emerging technologies and the financial innovations promoted by them，this paper takes the three major business processes of financial services as the breakthrough point． It combs the documents from three aspects: payment and settlement，credit and financing，and asset management services． In addition，the study considers and reflects financial regulation from four perspectives: the reformation of the regulatory concepts，the expansion of regulatory content，the reconstruction of regulatory mechanism，and the innovation of regulatory technology． Finally，it discusses prospects for future research．
    Routing problem of multiple trucks and drones cooperative delivery
    ZHEN Lu, GAO Jia-jing, TAN Zhe-yi
    2024(7):1-18
    [Abstract] (1840) [PDF 1.30 M] (6869)
    Abstract:
    The application of collaborative delivery systems based on trucks and drones have attracted more and more attention from the academia. This study investigates a routing problem of multiple trucks and drones cooperative delivery, and formulates a mixed-integer programming model with the objective of minimizing the total cost. A solution method based on column generation is proposed to solve the model. An accelerating technique based on variable neighborhood search is also embedded in the solution method to reduce the computation time. Numerical experiments are also conducted to validate the effectiveness of the proposed model and efficiency of the proposed solution method. Some potentially useful managerial implications are also outlined based on some sensitivity analysis.
    The influence mechanism of human AI collaboration on organizational learning: The exploratory and exploitative perspectives
    WU Xiao long, XIAO Jing hua, WU Ji, DENG Hong lin
    2024(9):11-28
    [Abstract] (1309) [PDF 1.42 M] (709)
    Abstract:
    The rapid development of artificial intelligence (AI) means that humans are no longer the only subject of knowledge generation, so how to achieve effective collaborative learning between humans and AI becomes a focal issue. In the practice of human AI synergy to achieve organizational learning, this paper explores the impact mechanism of adding AI on the existing organizational learning approach. Based on a multi subject modeling and simulation approach, the paper finds that: 1) When environmental dynamics are not taken into account, high learning ability AI has a substitution effect of on organizational members. On the one hand, the exploratory learning needs of organization members are weakened, and on the other hand, the exploitative learning of organization is replaced. 2) The degree of collaboration between human and AI has a nonlinear effect on organizational knowledge level. When the organization is dominated by exploitative learning, the growth rate of organizational knowledge will slow down gradually as the synergy degree increases. When the organization is based on exploratory learning, only a higher degree of collaboration can improve organizational knowledge. 3)In the scenarios of high uncertainty, high learning ability AI has a complementary effect with organization members. The improvement of the organization’s knowledge level depends on more exploratory learning by the organization members, and the new knowledge generated by the cooperation between the organization members and AI needs to be quickly transformed into the organization’s routine. This paper breaks through the implicit assumption that human is the only learner in an organization, and reveals the characteristics and rules of collaborative learning between human and AI in different scenarios based on simulation, which provides enlightenment for promoting the rational allocation of scarce resources and the improvement of organizational learning performance in the era of digital economy.
    Asset pricing research based on autoencoder machine learning: A financial big data analysis perspective of the Chinese stock market
    TANG Guo hao, ZHU Lin, LIAO Cun fei, JIANG Fu wei
    2024(9):82-97
    [Abstract] (1124) [PDF 1.25 M] (843)
    Abstract:
    This paper predicts stock returns in the Chinese market by using an improved autoencoder machine learning approach and financial big data encompassing approximately one hundred firm characteristics. The findings demonstrate that the autoencoder factor can extract predictors from a large amount of information containing company characteristics to forecast returns and can achieve significant excess returns in the cross sections. Additionally, the analysis on the significance of factors reveals that the anomalies are time varying in the Chinese stock market. Additionally, the predictive efficiency of the autoencoder method correlates with macroeconomic conditions and economic policies. The autoencoder based long short portfolios can effectively mitigate market risk especially during substantial market bubbles and heightened speculative periods, demonstrating well resilience to the shifts of fiscal and monetary policy induced economic conditions.
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