Defence firms facing liberalization: innovation and export in an agent-based model of the defence industry

The paper presents an agent-based simulation model of the European defence industry. The model resembles some of the key characteristics of the defence sector, and studies how firms in this market will respond to the challenges and opportunities provided by a higher degree of openness and liberalization in the future. The simulation analysis points out that European defence firms will progressively become more efficient, less dependent on public procurement and innovation policy support, and more prone to knowledge sharing and inter-firm collaborations. This firm-level dynamics will in the long-run lead to an increase in the industry’s export propensity and a less concentrated export market.     

基于演化博弈的发电侧电力市场长期均衡模型

研究包含生产同质电力产品的两组 (种群 )企业——低成本发电企业和高成本发电企业的发电侧电力市场的长期均衡问题 .应用演化博弈论的有限种群演化稳定战略概念 ,证明了有限种群的演化稳定战略产量分别等于两组 (种群 )企业的竞争产量 .通过建立基于企业战略模仿和试验的随机演化模型 ,分析了发电侧电力市场长期均衡的演化过程 .     

Strategic capacity planning for light emitting diode (LED) supply chains across Taiwan and China

This paper describes a mixed-integer programming (MIP) model formulated for strategic capacity planning for light emitting diode (LED) makers of Taiwan, major companies in the global LED market. These firms have complex supply chains across Taiwan and China, and the region’s unique political and economic environment has created not only competitive advantages but also challenges in supply chain management: government regulations require that customer orders be accepted from Taiwan or China according to customer attributes; when conducting manufacturing, Taiwanese firms may need to transfer orders across national borders for reasons such as manufacturing technology (the required technology is available only at certain manufacturing facilities) or more efficient capacity utilization; and there are operations to be performed with specific processing requirements to follow, posing substantial challenges for planners. Motivated by the significance of these firms in the global market, we develop a MIP model with novel features to support their strategic capacity planning, covering demand and manufacturing-related decisions, including order acceptance and transfer, manufacturing starts, capacity expansion, and logistics. We illustrate the model’s performance using modified industry data in a numerical example; we also describe the potential impacts the model may create in industry applications.     

Equilibrium two-part cost structures

We consider an oligopolistic product market in which two competing firms instead of paying a competitive input price choose a two-part tariff. Costs for the input are divided up into upfront fixed costs independent of the output level and reductions in marginal costs. We explore under which competitive settings will such a two-part cost structure correspond to equilibrium behavior in a two stage game. We find that firms in a static model do have an incentive to choose a two-part cost structure when competition in the product market is not too strong and oligopoly rents can be shifted form the rival to the own firm. In a dynamic market when firms use Markov strategies competition is so intense that there are no rents to be shifted and firms do not benefit from two-part cost structures.     

高维市场结构与创新

以往的创新研究局限于一维市场结构：所有企业的创新能力都一样，谁也不占有优势。实际上应根据企业不同的创新能力特征，分成若干种类型，形成高维市场结构，在此结构下研究创新竞争。本首先证明在高维市场结构下均衡点唯一；其次指出何种类型企业具有竞争优势，分析企业合资研究对竞争优势的影响；最后讨论竞争企业数量增加时均衡状态的变化，并将市场的结果与社会最优结果作比较。     

Estimating structural credit risk models when market prices are contaminated with noise

In this paper, sequential estimation on hidden asset value and model parameter estimation is implemented under the Black–Cox model. To capture short‐term autocorrelation in the stock market, we assume that market noise follows a mean reverting process. For estimation, Bayesian methods are applied in this paper: the particle filter algorithm for sequential estimation of asset value and the generalized Gibbs and multivariate adapted Metropolis methods for model parameters estimation. The first simulation study shows that sequential hidden asset value estimation using both option price and equity price is more efficient than estimation using equity price alone. The second simulation study shows that, by applying the generalized Gibbs sampling and multivariate adapted Metropolis methods, model parameters can be estimated successfully. In an empirical analysis, the stock market noise for firms with more liquid stock is estimated as having smaller volatility. Copyright © 2015 John Wiley & Sons, Ltd.     

Impact of artificial intelligence investment on firm value

As artificial intelligence (AI) has recently gained momentum and attention, the interest and investment in AI have also accelerated. However, the impact of AI on firm value is rarely discussed. On the basis of the 119 announcements of 62 listed firms who have invested in AI, this study finds that AI investment has a negative impact on the firms’ market value. The stock prices of the firms decrease by 1.77% on the day of the announcement. Nonmanufacturing firms and firms with weak information technology capabilities or low credit ratings suffer a more negative impact compared with other firms. The findings suggest that investors perceive AI investment announcements to be unwelcome news for the majority of firms. Subsequently, the characteristics affecting the shareholders’ reaction towards AI adoption are presented. This research offers one of the first empirical evidence about the market value of AI and provides a reference for firms interested in investing in AI.

     

ST摘帽如何影响公司价值和股价

以2004~2015年的ST公司为研究样本,利用事件研究法和双重差分模型,研究了ST摘帽对公司价值和股价的影响效应。实证结果表明,摘帽公告可以引起显著为正的累计超额收益率。而且,摘帽的部分信息含量可以被市场提前预期到,并立即反应到股价上。因此,仅从摘帽信息的股价反应速度看,我国的股票市场是半强式有效市场。此外,双重差分的实证结果显示,ST摘帽对公司价值没有显著的影响。但是,具体而言,摘帽事件可以同时显著地提高公司的市值和账面价值。这些结果都基本符合ST制度的政策预期。为了缓解内生性问题,在考虑控制变量的影响和倾向值匹配后,双重差分的实证结果是稳健的。     

Oligopoly games under asymmetric costs and an application to energy production

Oligopolies in which firms have different costs of production have been relatively under-studied. In contrast to models with symmetric costs, some firms may be inactive in equilibrium. (With symmetric costs, the results trivialize to all firms active or all firms inactive.) We concentrate on the linear demand structure with constant marginal but asymmetric costs. In static one-period models, we compare the number of active firms, i.e. the number of firms producing a positive quantity in equilibrium, across four different models of oligopoly: Cournot and Bertrand with homogeneous or differentiated goods. When firms have different costs, we show that, for fixed good type, Cournot always results in more active firms than Bertrand. Moreover, with a fixed market type, differentiated goods result in more active firms than homogeneous goods. In dynamic models, asymmetric costs induce different entry times into the market. We illustrate with a model of energy production in which multiple producers from costly but inexhaustible alternative sources such as solar or wind compete in a Cournot market against an oil producer with exhaustible supply.     

On the value of information sharing and cooperative price setting

We consider a setting of two firms that sell substitutable products under price competition. We show that private signals enable firms to improve market forecast and earn higher profits. Provided that their private signals are not perfectly correlated, firms can benefit from sharing signals with each other. This is irrespective of product substitutability. Moreover, information sharing is a strategic complement to cooperative price setting to improve the profit performance of firms.     

现金持有动态调整机制——基于动态面板模型的实证分析

本文通过建立动态面板数据模型,系统地研究了中国企业现金持有的动态调整机制。发现:第一,企业存在最优目标现金持有水平,现金持有策略倾向于围绕这一目标进行动态调整,但是我国资本市场动态调整的成本较高;第二,现金持有不足企业的调整速度快于超额现金持有企业的调整速度,这说明,相对于超额现金持有带来的代理成本负面影响,企业更加倾向于关注现金持有不足所产生的流动性短缺风险。并且统计过程表明系统广义矩方法在动态面板模型估计中具有合理性。     

Controlled predatory pricing in a multiperiod Stackelberg game: an MPEC approach

We analyze a multiperiod oligopolistic market where each period is a Stackelberg game between a leader firm and multiple follower firms. The leader chooses his production level first, taking into account the reaction of the followers. Then, the follower firms decide their production levels after observing the leader’s decision. The difference between the proposed model and other models discussed in literature is that the leader firm has the power to force the follower firms out of business by preventing them from achieving a target sales level in a given time period. The leader firm has an incentive to lower the market prices possibly lower than the Stackelberg equilibrium in order to push the followers to sell less and eventually go out of business. Intentionally lowering the market prices to force competitors to fail is known as predatory pricing, and is illegal under antitrust laws since it negatively affects consumer welfare. In this work, we show that there exists a predatory pricing strategy where the market price is above the average cost and consumer welfare is preserved. We develop a mixed integer nonlinear problem (MINLP) that models the multiperiod Stackelberg game. The MINLP problem is transformed to a mixed integer linear problem (MILP) by using binary variables and piecewise linearization. A cutting plane algorithm is used to solve the resulting MILP. The results show that firms can engage in predatory pricing even if the average market price is forced to remain higher than the average cost. Furthermore, we show that in order to protect the consumers, antitrust laws can control predatory pricing by setting rules on consumer welfare.     

Inverse Variational Inequality Approach and Applications

It is well known that a dynamic oligopolistic market equilibrium problem can be studied as an evolutionary variational inequality and this problem is approached as a problem of profit optimization for the firms. On the contrary, in this article, with the help of an inverse variational formulation, the behavior of control policies for an oligopolistic market equilibrium problem, whose aim is to regulate the exportation through the adjustment of taxes on the firms, is studied. This is considered as a policymaker optimization problem. More precisely, a definition of equilibrium for the firms by using the Lagrange multipliers is provided together to the optimal regulatory tax definition. Moreover an existence result is given and, at last, a numerical example is analyzed.     

On Cournot-Nash-Walras Equilibria and Their Computation

This paper concerns a model of Cournot-Nash-Walras (CNW) equilibrium where the Cournot-Nash concept is used to capture equilibrium of an oligopolistic market with non-cooperative players/firms who share a certain amount of a so-called rare resource needed for their production, and the Walras equilibrium determines the price of that rare resource. We prove the existence of CNW equilibria under reasonable conditions and examine their local stability with respect to small perturbations of problem data. In this way we show the uniqueness of CNW equilibria under mild additional requirements. Finally, we suggest some efficient numerical approaches and compute several instances of an illustrative test example.     

Signaling advertising by multiproduct firms

We consider the use of advertising expenses as quality signals in multiproduct firms, extending previous results on single product firms. In our model, a firm introduces sequentially two products whose qualities are positively correlated. We investigate whether there exist information spillovers from the first to the second market. We show that, when correlation is high, the equilibrium in market 2 depends on the quality reputation the firm has gained in market 1. Moreover, if a firm with a high-quality product 1 wants to separate from its low-quality counterpart, it needs to advertise more in this market than if the qualities of the two products are unrelated. This advertising level signals not only high quality in the first market, but also the likely quality of the second product. Thus, advertising in the first market has information spillovers in the second market.     

Strategic multi-store opening under financial constraint

This paper analyzes strategic store openings in a situation in which firms can open multiple stores depending on the financial constraints of the firm. Specifically, given any upper limit of the number of store openings that two potentially symmetric firms can open, they sequentially determine the number of store openings, including their locations, to maximize their profits. As a result of our analysis in a microeconomic framework, we show that the equilibrium strategy can be wholly classified into only two following opposite strategies according to the level of their financial constraints involved. When firms can afford to invest significant amounts of money in the market, the leader chooses “segmentation strategy,” in which a part of the market can be monopolized by opening a chain of multiple stores and deterring the follower’s entry. In contrast, when the leader has a severe financial constraint so that it can only monopolize less than half of the market, the leader chooses “minimum differentiation strategy,” where firms open each of their stores at exactly the same point as the rival’s. Under this strategy, the leader necessarily captures just half of the market. Furthermore, we show that regardless of potential symmetry between firms, both first and second mover advantages in terms of profit can occur in the equilibrium.     

The technical efficiency of vacuum-pan sugar industry of India: An application of a stochastic frontier production function using panel data

A stochastic production frontier method is used to examine technical efficiency among Indian vacuum-pan sugar factories over a five-year period. Most factories are close to Indian best practice in terms of technical efficiency. Smaller firms and firms with access to sweeter cane are likely to be more efficient than other firms, while publicly owned firms are less efficient. There are transitory positive effects of a long crushing season on technical efficiency.     

Optimal production in a competitive market under yield uncertainty

Motivated by the U.S. influenza vaccine market, we study the impact of random yield and production capacity on the number of firms, total supply, consumer surplus and social welfare in a market with identical suppliers. We formulate a two-stage game with endogenous entry, where each entering firm aims to maximize its profit under yield uncertainty subject to a production capacity constraint. We show that if firms produce full capacity in the equilibrium, then there are fewer firms in the equilibrium compared to the social optimum even for small levels of yield uncertainty. Furthermore, we prove that if firms do not produce full capacity in the equilibrium, they will not produce full capacity in the social optimum.     

三级供应链企业间交叉持股时均衡定价及市场绩效研究

本文构建三级供应链企业间纵向交叉持股时的Stackelberg定价博弈模型,采用逆推归纳法推演出供应链各厂商交叉持股时的均衡定价及其利润公式,分析了交叉持股对三级供应链均衡市场价格、厂商利润、消费者剩余和经济福利的影响。研究结果表明,较之无交叉持股,仅下游厂商对上游厂商单向持股,对供应链的绩效没有影响;而适当增大上游厂商对下游厂商持股,限制下游厂商对上游厂商持股,能有效降低市场价格,提高供应链及各厂商的利润,增加消费者剩余,改善经济福利,实现供应链各厂商与消费者的共赢。     

Dynamic Bertrand Oligopoly

We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies played in the dynamic setting. Within the static game, we characterize the Nash equilibrium when there are N players with heterogeneous costs. In the dynamic game with uncertain market demand, firms of different sizes have different lifetime capacities which deplete over time according to the market demand for their good. We setup the nonzero-sum stochastic differential game and its associated system of HJB partial differential equations in the case of linear demand functions. We characterize certain qualitative features of the game using an asymptotic approximation in the limit of small competition. The equilibrium of the game is further studied using numerical solutions. We find that consumers benefit the most when a market is structured with many firms of the same relative size producing highly substitutable goods. However, a large degree of substitutability does not always lead to large drops in price, for example when two firms have a large difference in their size.