• Current Issue
  • Online First
  • Archive
  • Most Downloaded
  • Most Read
  • Most Cited
  • Special issue
    Article Search
    Search by issue
    Select AllDeselectExport
    Display Method:
    The impact of frequent appeals to authority on public response to climate change communication: Evidence from text analysis and online experiments
    HU Sai quan, LIU Zhan yu, YUAN Yi ge, ZHU Jun ming
    2024(11):1-16
    [Abstract] (2) [PDF 542.47 K] (0)
    Abstract:
    Appeal to authority is a well recognized strategy in climate communication aimed at improving public response. However, existing research has primarily assessed the inclusion of this strategy, neglecting the impact of its frequency on public response. This study explores how the frequency of appeals to authority influences public response to climate communication and how the type of authority structure moderates this influence, using comprehensive text analysis and two experimental studies. The results reveal that frequent appeals to authority, compared to occasional ones, significantly reduce public attitude and emotional response to climate communication, mediated by the perceived intent to persuade. This conclusion holds only under a low equilibrium authority type structure. Conversely, in a high equilibrium authority type structure, frequent appeals to authority significantly enhance public attitude and emotional response, independent of the perceived intent to persuade. These insights offer valuable guidance for effectively utilizing the appeal to authority strategy in climate communication, aiming to improve public response.
    On pricing strategies of digital information goods with strategic consumers
    ZHOU Xue guang, HUANG Shuo
    2024(11):17-27
    [Abstract] (2) [PDF 313.29 K] (0)
    Abstract:
    In practice, Apple iTunes can sell digital music through a secondary market approach, while Amazon Kindle still utilizes dynamic pricing to sell e book without resale. Compared to dynamic pricing, under what conditions should the platform use a secondary market to sell digital information goods？To solve this problem, two dynamic game models are established to compare the secondary market and dynamic pricing, and some interesting conclusions are as follows: (i) If all consumers are strategic, the optimal markdown pricing strategies will lead to no consumers waiting to buy, which is equivalence to a fixed price. (ii) The optimal price for opening secondary market is not greater than the first period price under dynamic pricing, and secondary markets can increase total consumers’surplus. (iii) Results show that the secondary market outperforms dynamic pricing as long as the wholesale price is larger than a certain threshold value. At last, a numerical experiment is conducted to do sensitivity analysis on the related parameters.
    Stimuli of investment for SMEs under Knightian uncertainty
    NIU Ying jie, YANG Jin qiang, WANG Ying jue
    2024(11):28-39
    [Abstract] (1) [PDF 498.53 K] (0)
    Abstract:
    This paper considers the effect of ambiguity on optimal capital structure with a subsidy to investment in combination with a taxation of future profits. It is shown that it might be optimal for the government to provide an investment subsidy when the current tax rate is lower and to provide a tax cut when current tax rate is higher. In addition, quantitative analysis displays that the presence of model uncertainty reduces firm value, raises credit spread, and leads to de leveraging. However, agency costs decrease when decision makers are concerned about ambiguity. From this standpoint, our model provides a behavioral justification for the higher financing cost and zero leverage for small and medium enterprises.
    Does report uniqueness of mutual funds attract attention? Evidence from mutual fund’s periodic reports
    YU Hong hai, LEI Xin nan, ZHANG Si yan, WANG Shuo
    2024(11):40-62
    [Abstract] (1) [PDF 641.67 K] (0)
    Abstract:
    Unique text narratives can capture attention and leave a lasting impression on readers. In the Chinese fund market, managers write periodic reports to introduce fund products to investors.Fund managers summarize their past investment strategies and outline future plans without adhering to strict templates in the sections titled “An Analysis of Fund’s Investment Strategy and Operation” and “A Brief Outlook on Macroeconomic, Securities Market and Industry Trends” of the periodic reports. In this case, can the uniqueness of fund texts attract investors’attention? This paper measures the uniqueness of fund texts based on the texts of analysis and outlook section of the fund’s annual and semi annual reports from 2010 to 2022. Our findings indicate that investors are attracted by funds with higher report uniqueness when making investment decisions. This suggests that greater textual uniqueness can lead to greater cash inflows in the future, primarily among individual investors.In this way, managers of underperforming funds are more motivated to produce uniquely crafted texts to compensate for outflows caused by the funds’ poor performance.Furthermore, from the perspective of investor preferences, this flow attracting ability can be affected by factors including degree of information asymmetry, the historical performance of the fund, and market macro〖JP2〗 performance to some extent. Finally, the paper finds that report uniqueness fails to imply beneficial information, which means investors won’t 〖JP〗obtain higher returns from it. Our study reveals how fund managers take advantage of investors’ irrational preferences for unique text in order to make a profit, provides further evidence of fund managers’catering behavior, and suggests that supervisory bodies should develop appropriate guidelines to direct the content of reports while also educating investors to approach fund reports with a rational and holistic perspective.
    The influence of marco policy release on the capital market: Evidence from the “Carbon Neutrality” concept stocks
    GAO Ya
    2024(11):63-77
    [Abstract] (2) [PDF 338.44 K] (0)
    Abstract:
    The realization of carbon peaking and “Carbon Neutrality” has become one of the main goals of government and enterprise reform. Based on data from the “Carbon Neutrality” concept plate from iFinD, this paper empirically analyzes the supporting role of the capital market on the macro policy release, studies the feedback of the capital market on this policy goal, and gives an empirical explanation of the policy effect based on various order trading data and social attention data. The findings show that, compared with the control group of stocks with similar characteristics, “Carbon Neutrality” concept stocks have significantly positive return performances after the announcement of the dual carbon goal, and this positive feedback occurs in advance. Further, trading data form different kinds of orders play heterogeneous roles in the policy effect. The positive return feedback of “Carbon Neutrality” concept stocks mainly comes from the super large trades, which appears after the policy is announced and before the concept stocks are launched. In contrast, medium and small trades fail to play a supporting role, revealing the essential role of institutional investors. Additionally, social level attention also plays a vital role in the feedback on the dual carbon policy. Baidu search index data can significantly improve the return of “Carbon Neutrality” concept stocks, strengthen the significant positive impact of super large trades, and speed up information absorption. To sum up, this paper reports the positive feedback of the capital market on the national macro policies and reveals the essential role of super large orders in the market. The findings are important to encourage enterprises to develop and expand double carbon related initiatives and ultimately achieve the joint promotion of the capital market and the real economy.
    The power of sharing: Common institutional ownership and stock price synchronicity
    LI Yu min, WU Xiao hui, QIN Li bin, ZHU Lei, KE Yan rong
    2024(11):78-101
    [Abstract] (1) [PDF 1.29 M] (0)
    Abstract:
    Based on the diversified investment of institutional investors in the industry, this paper explores the influence of common institutional ownership on the pricing efficiency of the capital market from the perspective of stock price synchronicity. It is found that common institutional ownership can generate a “synergy effect” and reduce firms’ stock price synchronicity to maximize the portfolio value. This result is mainly driven by an “information efficiency effect”, excluding the “noise trading” hypothesis. The mechanism analysis shows that common institutional ownership can improve the information disclosure quality by “voting with hands” and “voting with feet”, with the impact of “voting with feet” being stronger than “voting with hands”. The heterogeneity test finds that under conditions of low economic policy uncertainty, intense industry competition, and non SOEs, common institutional ownership had a more significant inhibitory effect on stock price synchronicity. In addition, different types of common institutional ownership have heterogeneous effects on firms’ stock price synchronicity. This paper not only enriches the study of the factors influencing stock price synchronicity but also discovers a new mechanism of corporate governance. The findings provide a theoretical basis for regulating institutional investors’ diversified investment behaviors in the industry and improving the pricing efficiency of the capital market.
    Confidence of Chinese mutual fund managers and fund performance
    ZHANG Xiang, HU Ke, LU Hang lin, HU Yan
    2024(11):102-118
    [Abstract] (1) [PDF 357.95 K] (0)
    Abstract:
    This paper finds that fund managers’confidence is a new factor, in addition to the traditional optimistic (pessimistic) tone, that affects the performance of Chinese mutual funds. This paper uses the annual and semi annual reports of mutual funds in China from 2010 to 2020 to construct fund managers’confidence indicators. The empirical results show that the managers’ confidence indicator has a positive predictive ability for mutual fund’s future performance. After being adjusted by the Chinese three factor model, the arbitrage portfolio significantly earns an annualized excess return of more than 2.4〖WTXT〗%〖WTBZ〗. Further, fund managers’confidence contains incremental information beyond the traditional optimistic (pessimistic) tone. On average, arbitrage portfolios earn an annualized excess return of more than 2〖WTXT〗%〖WTBZ〗 when controlling for indicators of the manager’s optimistic (pessimistic) tone. Finally, managers’confidence and “overconfidence” also distinguished. Confident fund managers are more committed to their investment philosophy and reduce the frequency of future trades. Fund managers benefit from the fact that fund turnover decreases as confidence increases.
    Do the stock exchange comment letters affect management tone? Evidence from textual analysis of listed companies’ annual reports
    LIU Chun lin, SHI Rui
    2024(11):119-135
    [Abstract] (1) [PDF 358.44 K] (0)
    Abstract:
    The comment letter policy represents a systematic innovation made by Chinese Securities Regulatory Agencies based on foreign experience. While recent literature has examined the impact of comment letters on standardized financial information disclosure, research on their impact on non standardized textual information disclosure is limited. This paper uses textual analysis of company annual reports to investigate the influence of comment letters on management tone. Our findings indicate that comment letters significantly reduce the tone of top management, particularly through increased use of negative words in the annual report text. This effect is more pronounced for firms with poorer performance, smaller scale, and lower analyst attention. Meanwhile, comment letters on financial issues have a greater impact than those on non financial issues. Mediation effect model results show that comment letters can significantly reduce insider trading behavior by negatively influencing management tone, indicating a governance effect on non standard textual information tone. This paper expands research on comment letters’outcomes from quantitative financial information to qualitative text intonation and provides direct evidence of the impact of macro policies on management intonation.
    Dynamic early warning of bond default based on optimal threshold
    CHI Guo tai, YANG Jia qi, ZHOU Ying
    2024(11):136-158
    [Abstract] (1) [PDF 449.19 K] (0)
    Abstract:
    Early warning of bond default risk is to predict the future bond default status based on the enterprise’s financial factors, non financial factors, and external macro factors. For different combinations of variables, the effect of default prediction is different; there must be an optimal combination of indicators, which can minimize the error of default prediction. For different thresholds, the effect of default prediction is different, and there is bound to be an optimal threshold of default judgment, which can distinguish between the bonds that default from those that do not to the greatest extent. This paper uses the random forest model to select the feature combination, and studies the default risk of bonds based on Logit model. The first contribution of this paper is in the optimal feature selection. Under the premise of the minimum 〖WTBX〗Type II Error〖WTBZ〗, an optimal random forest is obtained by maximizing the 〖WTBX〗AUC〖WTBZ〗 for different numbers of decision trees. According to the ranking of the importance of indicators, the optimal feature combination can be obtained by forward selection to maximize 〖WTBX〗AUC〖WTBZ〗. The second contribution is in the determination of the optimal default judgment threshold. Taking the minimum weighted sum of the 〖WTBX〗Type I Error〖WTBZ〗 and 〖WTBX〗Type II Error〖WTBZ〗 as the objective function, the optimal threshold of logical regression is deduced. The third is the prediction accuracy of this model is higher than popular big data prediction models. Based on data from bonds issued by Chinese bonds listed companies from 2014 to 2018, the empirical research shows that the key indicators affecting China’s medium and short term default prediction are： Monetary capital / short term debt, net profit, the number of bonds issued by issuers, industry prosperity index, and industry entrepreneur confidence index. The key indicators affecting short term default prediction are： Monetary assets, quick ratio, fixed asset investment price index, and money supply 〖WTBX〗M〖WTBZ〗0. The key indicators that have an impact on the medium term default forecast are registered capital of the issuer, repayment amount of bonds at maturity, and bond maturity index.
    Article Search
    Search by issue
    Select AllDeselectExport
    Display Method:
    Mode selection and pricing strategy of paid membership video platforms
    Jiang Zhongzhong12, Li Kunyang12, Zhang Yingxiang3, He Na12
    Available online:  March 15, 2023
    [Abstract] (3072)
    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] (1619)
    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] (1409)
    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] (2256)
    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] (904)
    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] (1561)
    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] (1481)
    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] (1180)
    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] (951)
    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] (835)
    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] (619)
    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] (1106)
    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] (877)
    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] (3056)
    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] (1164)
    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.
    Article Search
    Search by issue
    Select AllDeselectExport
    Display Method:
    Current research status and prospects of FinTech
    WU Chong-feng, LIN Yan-yan
    2024(6):1-20
    [Abstract] (1204) [PDF 310.88 K] (9857)
    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] (1275) [PDF 1.30 M] (6408)
    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.
    Article Search
    Search by issue
    Select AllDeselectExport
    Display Method:
    Routing problem of multiple trucks and drones cooperative delivery
    ZHEN Lu, GAO Jia-jing, TAN Zhe-yi
    2024(7):1-18
    [Abstract] (1275) [PDF 1.30 M] (6408)
    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.
    Current research status and prospects of FinTech
    WU Chong-feng, LIN Yan-yan
    2024(6):1-20
    [Abstract] (1203) [PDF 310.88 K] (9857)
    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．
    Article Search
    Search by issue
    Select AllDeselectExport
    Display Method:
    Article Search
    Search by issue
    管理科学十四五优先发展领域专辑
    View

External Links


Editor in Chief：Ding Lieyun

ISSN 1007-9807

CN 12-1275/G3

WeChat

You are the th visitor Address：Room 908, Building A, 25th Teaching Building, Tianjin University, 92 Weijin Road, Nankai District, Tianjin Postcode：300072
Telephone：022-27403197 Email：jmsc@tju.edu.cn