心理帐户视角下基于电子优惠券的零售商渠道整合策略——以“优衣库”为例

当前, 零售商的渠道策略从以往各自为政的经营模式转向于关注渠道整合程度。越来越多的零售商开始通过为搜索产品中的线上消费者提供电子优惠券, 以此吸引其转移到线下渠道购买产品。本文基于对“优衣库”渠道整合案例的梳理, 引入心理账户收入幻觉, 建立了不同渠道策略下两个零售商之间的Hotelling模型。研究发现电子优惠券能够实现消费者从线上向线下渠道的转移, 零售商在一定条件下能够借此扩大市场规模并获利。此外, 优惠券策略受消费者到店产生的额外购买给零售商带来的收益的影响。同时, 消费者心理账户形成的收入幻觉、消费者对线上渠道的偏好异质性也影响优惠券策略。     

心理账户、损失厌恶与行为资产配置实证研究

基于前景理论和三参照点理论,建立了单心理账户和三心理账户下的线性损失厌恶行为投资组合模型,并利用中证基金指数数据构建了不同市场状态下的行为投资组合,实证研究不同损失厌恶系数、不同参照点、不同心理账户资金配置条件下模型的最优资产配置策略和投资组合绩效,研究发现线性损失厌恶模型更关注下侧损失,损失厌恶系数影响资产配置,注重安全性的投资者偏好低风险资产,而寻求实现抱负水平的投资者更偏好高收益资产。     

江苏经济社会关联性的SAM乘数分析

通过江苏社会核算矩阵(SAM)乘数分解,研究了江苏经济社会关联联系.主要研究结论:第一,要素和部门账户受到外生冲击时,对其它账户产生的交叉影响大于经过系统循环后对自身的影响;第二,作为基础性产业的农业、建筑业等对江苏具有较大的影响力,以旅游业、餐饮业以及一些社会服务业为代表的第三产业对经济发展正发挥着龙头拉动作用;第三,农业产出、土地外资本收入和农村居民收入的提高对非技术人员要素收入的依赖性较强;第四,技术人员要素初始投入的增加对城镇居民收入的提高具有正向效应.     

多心理账户下机构投资者的风险优化研究

从决策有限理性角度，引入行为金融理论于机构投资风险优化系统，对多心理账户条件下机构投资的风险优化设计进行了研究。以Friedman和Savage之谜为释例，对机构投资风险优化中的诸多非标准金融异像进行了解释。以Shefrin和Statman行为证券组合理论为核心，建立了多心理账户条件下机构投资的风险优化模型，为机构投资的风险优化实践提供了一种量化分析工具。     

现收现付制和名义账户养老保险制度的可持续性分析

目的是通过理论研究现收现付制和名义账户养老保险制度的可持续性问题.在小型开放经济体中,构建具有内生生育率、死亡率和人力资本积累等因素在内的世代交叠模型.结果表明,养老金收入与人力资本积累之间存在正相关关系;无论在现收现付制还是名义账户制养老保险制度中,退休者的消费与年轻世代工作者的消费成固定比例.应该从制度外的其他因素方面寻找导致养老保险制度偿付能力不足的原因.     

医疗保险个人账户机制创新及其可行性研究——基于患者道德风险的分析

我国目前实行“统账结合”的医疗保险模式,其医疗个人账户的设计与统筹账户中设定的起付线、封顶线以及患者自付比例等限制性参数都是为了控制医患双方的“道德风险”及其“串谋”的频率。但本文对患者道德风险产生过程与机理的实地调研表明:在“统账结合”的医疗保险模式下,患者的各种道德风险均是以其个人账户为基础的;我国现行的医疗保险个人账户缴费机制也因此存在进一步改进和创新的空间。本文将根据先验保费原理以及个人账户实行社会医疗保险卡(IC卡)制度,设计出一种新的个人账户缴费机制。这种机制创新无论对于被保险人道德风险的规避,还是缓解个人账户纵向积累的矛盾都将起到重要作用。     

性别差异对研发投资决策影响的实验研究

基于Z-Tree实验平台利用研发投资自然博弈实验研究发现风险规避导致女性的研发投入强度低于男性,但女性在研发投资过程中愿意投入的研发努力程度高于男性。随着时间推移,男性的研发努力程度明显下降,但女性的研发努力程度反而上升。男性和女性在决策中均表现出心理账户效应,女性更加愿意通过努力来提高业绩。男性在投资中更多体现期权思想,而女性更多表现出长期倾向下的持续努力。文章在揭示性别因素影响研发投资机理基础上,为董事会性别多样性、分级董事会以及递延薪酬等治理机制发挥作用机理提供了新解释。研究结论可以为企业职位的性别配置、分级董事会以及激励契约设计提供借鉴。关键词:性别差异;研发投资;实验研究;心理账户;风险规避;长期倾向     

中国高校教师薪酬心理与管理策略研究:基于心理账户的视角

本文基于心理账户的视角,根据问卷调查资料实证检验了中国高校教师的薪酬心理账户。研究结果表明,高校教师具有稳定的薪酬心理维度和目录编码,对学校各类薪酬激励反映出不同的满意度和重要性。高校教师不仅非常看重学校各种津贴补助、教师住房和绩效工资等货币性薪酬,而且也比较注重学校能够提供进修培训及学术交流的机会、加强实验室建设和改善教学办公环境等非货币性薪酬。此外,高校教师要求提高非货币性薪酬的期望意愿与货币性薪酬水平相关,只是在一定的货币性薪酬水平条件下,高校教师才具有强烈的提高非货币性薪酬的意愿;若货币性薪酬超过一定水平,这种意愿强度会逐渐减弱。     

考虑决策者心理行为的证券投资组合决策方法研究

在现实的证券投资组合决策中,决策者的心理行为是不可忽视的重要因素。本文针对考虑决策者心理行为的证券投资组合问题,给出了一种基于累积前景理论和心理账户的决策分析方法。首先,依据累积前景理论,将决策者对不同市场状态下的预期收益率作为参考点,计算各备选证券收益率相对于参照点的收益和损失,并计算不同市场状态下针对所有备选证券的综合前景价值;然后,依据决策者的心理账户,即以证券投资组合的收益总体综合前景价值最大为目标、以投资期末总财富阈值以及满足财富约束的概率不小于决策者设定的概率阈值为约束,构建了具有概率约束条件的证券投资组合优化模型,通过将概率约束转化为线性约束并求解优化模型,可得到最优的证券投资组合方案。最后,通过一个算例对本文提出方法的可行性和有效性进行了验证。研究结果表明,本文提出的方法能够较好地解决考虑决策者心理行为的证券投资组合问题。     

基于行为金融视角的基金申赎行为实证研究

以开放式证券投资基金申购、赎回行为背后的行为金融机理为研究对象,通过分析相关变量作用于基金投资者心理的方式和路径,探讨其对基金申购、赎回所产生的影响。在理论分析的基础上,提出基金业绩、规模、存续时间、价位、分红等变量能够各自基于信号传递、心理账户、预期框定偏差、预期惯性、处置效应等多元化路径影响投资者心理,并作用于基金申购、赎回和基金流量,并据此提出了相关假设。进一步地,通过建立结构方程模型,以我国327只股票型开放式证券投资基金为样本,对2011至2013年三组年度截面数据进行了检验。实证结果表明信号传递、预期框定偏差路径始终稳定存在,预期惯性路径仅在2011、2013年实证检验中存在,处置效应路径只在2012年检验中存在、且呈现非对称性特征,而心理账户路径则无法得到证实,据此得出结论认为基金业绩对基金申赎影响最为显著但不具稳定性。最后,从投资者行为模式和基金市场发展环境等角度对实证结果进行了分析。     

基于投资的我国再保险预测性定价新探讨

从系统的观点出发,把保险公司的赔付情况与投资收益结合,对非比例再保险建立在一类在较弱的市场假设条件下进行投资的线性正倒向随机微分方程的改进模型.根据一类特殊线性倒向随机微分方程的显式解,加入时间序列预测方法,给出了基于投资的非比例再保险定价公式,为保险公司厘定非比例再保险的保费提供新的可行性方法.     

中国城市人口死亡率的预测

死亡率是随时间变动的具有不确定性的变量,基本养老保险的养老金给付必须考虑动态死亡率的影响,因此需要对中国城市人口的未来死亡率变动进行预测。针对部分年的中国城市分性别人口死亡率数据缺失的实际状况,本文运用死亡人数服从Poisson分布的Lee-Carter模型进行了预测,结果表明该模型的拟合较好。由上述预测得出,随时间的延续,中国城市人口的预期寿命将明显增加,为基本养老保险的支付带来严重的风险,该风险导致基本养老保险个人账户的收入远不足以支付未来的养老金,必须引起重视。本文就如何规避这一风险给出了一些政策建议。     

Longevity risk and retirement income tax efficiency: A location spending rate puzzle

In this paper we model and solve a retirement consumption problem with differentially taxed accounts, parameterized by longevity risk aversion. The work is motivated by some observations on how Canadians de-accumulate financial wealth during retirement — which seem rather puzzling. While the Modigliani lifecycle model can justify a variety of (pre-tax) de-accumulation or draw down rates depending on risk preferences, the existence of asymmetric taxes implies that certain financial accounts should be depleted faster than others. Our analysis of data from the Survey of Financial Security indicates that Canadian retirees maintain approximately two-thirds of their financial wealth in tax-sheltered accounts and a third in taxable accounts regardless of age. The ratio of taxable to tax-sheltered wealth increases slightly or remains relatively constant depending on household income which is not what one would expect from the lifecycle model. Indeed, using our model we cannot locate a plausible tax function that justifies a constant “account ratio” regardless of age. For example under flat rates taxable accounts should be depleted well before tax-sheltered accounts are ever touched. The account ratio should go to zero quite rapidly in the absence of government mandated withdrawals. We also demonstrate that under progressive income taxes withdrawals are made from both accounts but at different rates depending on account size, pension income and longevity risk preferences. Again, the “account ratio” should eventually decline. We postulate that this sort of behavior is likely due to irrational considerations linked to mental accounting, etc. It remains to be seen whether this will persist over time and under a more careful analysis of Canadian cohorts or if retirees in other countries exhibit the same behavior.     

The private value of public pensions

As individual retirement savings accounts replace public pensions and defined benefit schemes, more retirees will decumulate using commercial income streams rather than public or corporate annuities. Here we use an approximation to the retirement income problem [Huang, H., Milevsky, M.A., Wang, J., 2004. Ruined moments in your life: How good are the approximations? Insurance: Math. Econom. 34, 421–447] to compute the cost of replicating a public real life annuity (the Australian Age Pension) using commercial decumulation products. We treat the public pension as a phased withdrawal plan, matching insurance and payment features, and back out the stochastic present value of the plan under an arbitrarily small ruin probability. To reproduce the pension payment with 99% certainty, a male retiree needs 3.6 times the current average retirement savings account balance, and a female retiree needs more than 10 times the average female account balance. At 95% certainty, required wealth falls by around 25%. We measure separately the impact of gender, investment strategy, retirement age and management fees on this valuation.     

基于剩余收益模型:银行股票定价的实证分析

利用会计信息对股票价值进行评估的研究是理论界一个长期关注和重视的热点,运用剩余收益模型结合杜邦财务分析体系,对上海浦东发展银行在2005年以及2006年前三个季度的股票价值进行了估计,通过与实际市场价值的比较,发现估计的股票价值与实际市场价值存在差异,但差异不大,并分析了可能产生差异的原因,最终得出该模型对股票的价值具有一定的解释和预测能力.     

Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment

The current economic crisis fuels the financial social responsibility after an epoch of many excesses with damaging effects. This work tackles two emerging streams in the financial literature: the behavioral portfolio theory with mental accounting and the socially responsible investment (SRI). Promoting SRI is regarded by a lot of financial experts, policymakers and researchers from the field of economic and social sciences, as one of the potential solutions in order to avoid future crises. Therefore, new models for this investment approach are necessary. We try to support the class of investors that select their investments under a mental accounting framework and also they want to achieve a certain level of SR quality in their portfolios. In order to reconcile the two choice frames, avoiding unnecessary sacrifices in financial performance, we have designed a model based on goal programming that integrates the two cornerstones of the investor. Furthermore, we propose a fuzzy inference system to determine the amount of money allocated to each mental account as well as the confidence level assigned to each mental account. This tool is based on expert knowledge modeled by fuzzy if–then rules.     

Mathematics of currency and exchange: arithmetic at the end of the thirteenth century

In western Europe, a sophisticated banking system for the purposes of international trade had evolved by the end of the thirteenth century. It was based upon the ‘bill of exchange’, which enabled an exporter of goods to receive payment in his own currency, by means of a balancing payment made in the currency of the importer. This paper discusses the arithmetical tools that were available for use in accounting for transactions made in different currencies. It is argued that algorithmic methods based on the Hindu-Arabic numerals were used at the higher levels of banking, in order to prepare tables of foreign exchange such as those collected by the Florentine banker, Francesco Pegolotti. On the other hand, the clerks who were responsible for routine book-keeping would have used a simple abacus and counters, and recorded their transactions in Roman numerals. The paper is based on a talk given to the BSHM at Gresham College on 25 April 2008.     

基于能值理论的中国进出口贸易生态足迹实证研究

生态足迹可以用来定量地分析国际贸易的生态影响和可持续性.传统的生态足迹测算法具有参数不稳定性且忽略了各地区之间真正的生态比较优势,测算的结果误差较大.提出用能值理论模型测算国际贸易中内涵的生态足迹.能值理论模型所使用的能量折算系数、能值转换率等参数在自然生态系统中相对稳定,测算结果相对更加准确.为了反映国际贸易的生态资源利益分配,基于测算的贸易足迹定义了生态贸易条件.对1991-2010年中国贸易足迹的实际测算显示,1991-1995年中国进出口贸易足迹基本平衡,生态贸易条件在波动中趋于上升;而1995年以后进口足迹增长远快于出口足迹增长,净进口足迹不断增大,生态贸易条件不断下降.对净进口足迹影响因素的实证分析表明,总人口、人均收入、每千美元GDP的能源使用量对净进口足迹有显著的正向作用,而第三产业比重对净进口足迹也有不太显著的正向影响.