中国上市公司资本结构影响因素之实证研究

资本结构不仅是财务理论研究中的热点及难点,也日益成为公司理财决策的关键问题.本文从影响因素角度对资本结构进行实证研究.文中以深沪两市部分非金融类上市公司为样本,利用本世纪最初三年的企业财务数据,选取可能影响企业资本结构的多个指标为解释变量,利用单因素方差分析、主成分分析、逐步回归分析找出了主要影响因素及其影响方式,试图为国内上市公司资本结构决定因素提供最新实证研究证据,并为企业财务决策提供支持.     

我国化学纤维新品种的发展

本文紧紧围绕发展我国化纤新品种的现状和展望,提出由“产品先导型”向“技术先导型”、由“市场开发型”向“发展型”过渡的发展展望。按化纤新品种几种主要发展途径,侧重就我国化纤新品种的成就,如:合成新的高聚物,化学、物理(包括结构)改性和纱线、织物后整理等,特别对共聚、共混、多种复合技术改性等,进行了重点讨论。     

Projecting average family size in rural India by the analytic hierarchy process

In this study, cultural, economic as well as certain crucial demographic factors are considered as the determinants for projecting the average family size in rural India. We use the Analytic Hierarchy Process to analyze influences of the factors which enter implicitly in a rural couple's decision‐making to determine the number of children they want to have as time goes by. We did not attempt to make distinctions among the regional differences in rural India. The outcome projected in our analysis compares favorably with the results of other demographic studies.     

基于灰色聚类分析的风险评价方法研究——以江苏民间资本进入金融领域风险评价为例

运用灰色系统理论,结合AHP方法,建立灰色聚类分析模型,对风险进行评价,并以江苏民间资本进入金融领域风险评价为例进行研究.结果表明,民间资本进入金融领域的风险属于高风险范畴,其中进入风险中的产业风险和社会风险属于高风险,信用风险属于较高风险,政治风险属于中等风险.并针对上述风险的等级,提出了相应的政策建议.模型具有一定的实用价值,它对于正确认识民间资本进入金融领域的风险和有针对性地制定相应的政策措施具有一定的理论和现实意义.     

Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.     

On log-normal convolutions: An analytical–numerical method with applications to economic capital determination

We put forward an efficient algorithm for approximating the sums of independent and log-normally distributed random variables. Namely, by combining tools from probability theory and numerical analysis, we are able to compute the cumulative distribution functions of the just-mentioned sums to a high precision and in a relatively short computing time. We illustrate the effectiveness of the new method in the contexts of the individual and collective risk models, aggregate economic capital determination, and economic capital allocation.     

Back to the future: A retrospective assessment of model‐based scenarios for the management of the shrimp fishery in French Guiana facing global change

While the number of models dedicated to predicting the consequences of alternative resource management strategies has increased, instances in which authors look back at past predictions to learn from discrepancies between these and observed developments are scarce. In the past decades, the French Guiana shrimp fishery has experienced shrimp market globalization and decreasing levels of shrimp recruitment due to environmental changes. In 2006, a bio‐economic model of this fishery was developed to simulate its possible responses to economic and environmental scenarios up to 2016. Here, we compare here these predictions to the observed trajectories. While the number of active vessels corresponds to that which was predicted, the estimated shrimp stock does not. Important driving factors had not been anticipated, including a general strike, natural disasters, and the end of the global financial crisis. These results show the importance of participative approaches involving stakeholders in the co‐construction and shared representation of scenarios. Recommendations for resource managers

• Effective fisheries resources management and a fortiori, the capacity of the fisheries to adapt to global change, requires understanding of both ecological and economics dynamics.
• The temporal trajectory of the trawling shrimp fisheries has been well monitored, and the decline of both stock and fleet is understood regarding ecological and economic changes: Changes in the environmental conditions of shrimp recruitment, and oil price increase and selling price decrease.
• However, our bio‐economic modeling work showed that, even with a good understanding of the dynamics explaining past trajectories, unpredictable events (strike, natural disasters…) have acted as other key driving factors altering the capacity of the model to represent possible futures.
• These results led us to recommend a better integration of the expertise of social and political scientists in developing models of bio‐economic systems to increase the quality of scenario predictions, and to argue for more participative approaches involving the stakeholders.

     

Asset portfolio securitizations and cyclicality of regulatory capital

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis.