生产率差异与企业对外直接投资进入模式选择

基于企业异质性视角,借鉴演化博弈理论探究企业通过OFDI“走出去”时的跨国并购方和标的方在全要素生产率上的差异对企业OFDI进入策略选择的影响机制。利用Hotelling模型构造资本密集型企业与劳动密集型企业OFDI进入策略选择博弈模型,讨论两类企业OFDI进入方式决策在并购双方生产率差异变化之下的变迁机理。研究发现:当并购方和被并购方生产率差异较小时,市场达到两类企业都倾向于跨国并购策略的演化稳定状态;当并购双方生产率差异较大时,企业的生产要素密集度及其结构对其OFDI进入模式决策具有重要的作用,知识或技术密集度较高的资本密集型企业与综合实力强势的部分劳动密集型企业采取跨国并购战略,而另一部分劳动密集型企业选择绿地新建方式进入国际市场。即企业OFDI进入策略选择因其所属的行业生产要素密集度及其结构不同而具有差异性。研究结论在一定程度上弥补了现有研究的不足,为以后的研究工作提供一定的理论参考。     

基于多项有序Logistic回归的商业银行企业并购的影响因素分析

商业银行作为中介机构,不仅可以满足企业的并购融资需求,并且可以从降低企业的并购成本、提高并购成功率的角度出发,为并购企业提供专业的并购方案.从商业银行角度出发,基于多项有序Logistic回归研究商业银行企业并购业务的影响因素.结果显示,宏观经济、金融市场、政策因素以及商业银行自身发展状况均会对商业银行并购业务产生影响.商业银行应在相关政策指导下,完善自身建设,为企业提供全方位并购整合业务,推进商业银行转型发展.     

人力资本、自然资本与最优经济增长要素分析

通过把人力资本、自然资本与社会生产总量联系起来 ,由消费物资多少、获得知识多少及自然资本存量大小这三因素来确定效用 ,提供了物质、人力和自然资本三种重要资产增长的模型框架 ,得到了经济的消费增长率、均衡时各种资本的增长率之间的关系和实现最优经济增长的控制策略 .     

奈特不确定条件下企业有成本可逆投资策略研究

风险是企业投资决策关键影响因素之一,采纳奈特不确定性来刻画风险,并在此基础上构建了模糊规避偏好和投资有成本可逆条件下企业投资决策模型.模型结果表明企业最优投资策略为双阈值策略:企业增加投资以避免资本边际收益大于上限阈值,削减资本存量以避免资本边际收益低于下限阈值,当资本边际收益处于上下限阈值之间时,企业既不增加投资也不削减资本.比较静态分析显示奈特不确定性增加会降低最优投资策略上下限阈值范围.     

李雷：买人心比买资产难得多

中国企业在海外投资数据上的成绩固然喜人,但整合失败的案例也屡见不鲜。事实上,能够持续经营和维持被收购企业的业务模式、技术、产品、市场,以及与客户的关系,一方面是并购方已经得到被收购企业员工的人心、管理层的人心．以及客户、供应商的人心的最好印证,另一方面也反映出并购企业对收购目标企业的整合效果,而这些因素通常也决定了企业整个并购活动的成与败。     

公共资本对产出及私人资本的动态冲击效应研究

估算了我国总的资本存量和公共资本存量,并从资本存量的角度基于结构向量自回归模型(SVAR)研究了公共资本对私人资本和产出的动态影响.通过实证研究得出以下结论:1)在我国公共资本对私人资本具有先"挤入"后"挤出"的效应.给公共资本一个百分点的冲击,在第'三年使得私人资本增加0.5个百分点.2)产出对公共资本冲击的响应更加快速和直接,给公共资本一个百分点的冲击会使得产出在第2期时增长0.8个百分点,但是这种正的响应会逐渐减弱,并在第6期后不再显著.3)方差分解的结果表明,私人资本对产出的贡献率要大于公共资本对产出的贡献率,私人资本对产出贡献率的最大值为61%,而公共资本对产出贡献率的最大值为28%.     

成功并购“三部曲”

兼并收购作为企业外延式发展的重要手段,已经被国内外企业所广泛采用,然而据统计资料显示,在已发生的众多并购案例中,并购成功率是很低的,不到40%。其实并购作为企业的一项重大投资决策行为,如何去正确实施,应该重点关注哪些环节,怎样才能成功实现并购活动,日益成为企业关注的课题。大体来说,知己知彼、交易多赢、平稳整合构成了成功并购＂三部曲＂。     

上市公司资本运营绩效评价及实证研究

从资本运营的角度对上市公司经营绩效进行评价,由于以股价变动为基础的反常收益评估法不适用于我国现实情况,采用以财务指标为基础的评价体系并通过因子分析法构造评价企业并购绩效的综合函数,对上市公司并购前后的业绩情况进行对比;并据此对中国石油天然气股份有限公司2005年并购事件的绩效进行了评价分析.在此基础上,提出一套引入非财务指标定性定量相结合的综合指标评价体系.     

基于永续盘存法的中部六省农业资本存量核算

农业是国民经济的基础,农业的发展与人民的日常生活和根本利益息息相关.利用永续盘存法,假定资本折旧与农业经济增速有关,将折旧率拆分为固定折旧和可变折旧两个部分,从而对1990-2017年中部六省的农业资本存量进行了估算.结果表明:经过二十多年的发展,农业资本格局发生了较大变化,河南省成为中部地区农业资本第一大省,且资本存量大幅领先其余五个省份;各省份该期间农业GDP年均增长率均低于物资资本积累速度,存在着"资本深化"的现象.     

政府花费改变对经济影响的理论分析

本文采用无限期内生时间偏好率模型,研究了政府花费对经济的影响.指出长期的政府花费增加可以使资本存量水平上升,消费水平下降和债券持有量上升;同时,短期分析表明政府花费增加可以减少初始投资率,增加政府债务率水平;但短期的政府花费增加同样导致资本存量水平上升,消费水平下降和债务水平的增加.     

Upper and lower bounds for dividends in the discrete model

A discrete model of the capital of an insurance company applying a barrier strategy is considered. Properties of the expected discounted dividends until ruin are studied. Assuming that the company can function after ruin and its shareholders cover the deficit and raise the capital up to some positive level, the total expected discounted profit is studied. Upper and lower bounds for dividends and profit are obtained.     

An approach to two-sided M&A fits based on a cross-efficiency evaluation with contrasting attitudes

Two-sided mergers and acquisitions (M&A) fits have been regarded as a critical step, which should always be taken by a bidder company when trying to identify suitable target companies prior to an M&A. This paper proposes an approach to two-sided M&A fits based on a cross-efficiency model with contrasting attitudes. In this approach, firstly, feasible M&A fits are screened using a preference function from an M&A fit matrix, according to the preferences of both the bidder companies and target companies in terms of efficiency and return to scale. Secondly, two-sided M&A fits are selected from a feasible M&A fit matrix, according to the value of cross-efficiency with contrasting attitudes. This allows for the existence of contrasting attitudes of peers toward an M&A fit, as opposed to the aggressive, benevolent or neutral cross-efficiency evaluation which consists of just one attitude (either aggressive, benevolent or indifferent). Finally, an illustrative example is given to explain the feasibility and validity of the two-sided M&A fit strategy.     

Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies

The present paper investigates the net loss of a life insurance company issuing equity-linked pure endowments in the case of periodic premiums. Due to the untradability of the insurance risk which affects both the in- and outflow side of the company, the issued insurance claims cannot be hedged perfectly. Furthermore, we consider an additional source of incompleteness caused by trading restrictions, because in reality the hedging of the contingent claims is more likely to occur at discrete times. Based on Møller [Møller, T., 1998. Risk-minimizing hedging strategies for unit-linked life insurance contracts. Astin Bull. 28, 17–47], we particularly examine the situation, where the company applies a time-discretized risk-minimizing hedging strategy. Through an illustrative example, we observe numerically that only a relatively small reduction in ruin probabilities is achieved with the use of the discretized originally risk-minimizing strategy because of the accumulated extra duplication errors caused by discretizing. However, the simulated results are highly improved if the hedging model instead of the hedging strategy is discretized. For this purpose, Møller’s [Møller, T., 2001. Hedging equity-linked life insurance contracts. North Amer. Actuarial J. 5 (2), 79–95] discrete-time (binomial) risk-minimizing strategy is adopted.     

Optimal dividend strategies in discrete risk model with capital injections

In this paper we consider a doubly discrete model used in Dickson and Waters (biASTIN Bulletin 1991; 21 :199–221) to approximate the Cramér–Lundberg model. The company controls the amount of dividends paid out to the shareholders as well as the capital injections which make the company never ruin in order to maximize the cumulative expected discounted dividends minus the penalized discounted capital injections. We show that the optimal value function is the unique solution of a discrete Hamilton–Jacobi–Bellman equation by contraction mapping principle. Moreover, with capital injection, we reduce the optimal dividend strategy from band strategy in the discrete classical risk model without external capital injection into barrier strategy , which is consistent with the result in continuous time. We also give the equivalent condition when the optimal dividend barrier is equal to 0. Although there is no explicit solution to the value function and the optimal dividend barrier, we obtain the optimal dividend barrier and the approximating solution of the value function by Bellman's recursive algorithm. From the numerical calculations, we obtain some relevant economical insights. Copyright © 2010 John Wiley & Sons, Ltd.     

Ruin probabilities under capital constraints

In this paper, we generalise the classic compound Poisson risk model, by the introduction of ordered capital levels, to model the solvency of an insurance firm. A breach of the higher capital level, the magnitude of which does not cause further breaches of either the lower level or the so-called intermediate confidence level (of the shareholders), requires a capital injection to restore the surplus to a solvent position. On the other hand, if the confidence level is breached capital injections are no longer a viable method of recapitalisation. Instead, the company can borrow money from a third party, subject to a constant interest rate, which is paid back until the surplus returns to the confidence level and subsequently can be restored to a fully solvent position by a capital injection. If at any point the surplus breaches the lower capital level, the company is considered ‘insolvent’ and is forced to cease trading. For the aforementioned risk model, we derive an explicit expression for the ‘probability of insolvency’ in terms of the ruin quantities of the classical risk model. Under the assumption of exponentially distributed claim sizes, we show that the probability of insolvency is in fact directly proportional to the classical ruin function. It is shown that this result also holds for the asymptotic behaviour of the insolvency probability, with a general claim size distribution. Explicit expressions are also derived for the moment generating function of the accumulated capital injections up to the time of insolvency and finally, in order to better capture the reality, dividend payments to the companies shareholders are considered, along with the capital constraint levels, and explicit expressions for the probability of insolvency, under this modification, are obtained.     

资本配置视角下财产保险公司承保决策分析

探讨了产险公司在资本和收益双重约束条件下的承保决策问题．首先,从保险理论和实践的角度选择了TVaR资本配置方法,然后构造综合资本、收益双重因素的承保决策模型并进行了实证分析,结论显示从资本的角度进行承保决策是可行的．     

营运资本与公司综合治理对公司价值影响研究

拓展Faulkender和Wang(2006)模型,引入公司综合治理水平变量,分析了公司综合治理水平和营运资本对公司价值的影响.运用我国A股市场2008~2013年数据进行实证,证实公司综合治理水平与营运资本对企业价值影响显著;边际营运资本价值小于边际现金价值,企业在现有营运资本水平下增加营运资本投资,将降低企业超额收益率,减少企业投资价值;商业性企业比工业性企业、高治理效率企业比低治理效率企业、受融资约束企业比不受融资约束企业具有更高的边际营运资本价值.     

Complete discounted cash flow valuation

This paper concerns discounted cash flow valuation of a company. When the company is in trouble, the owners have an option to provide it with a new capital; otherwise it is liquidated. In the absence of capital outflows and inflows, the company’s own funds are modelled by a spectrally negative Lévy process. Within this framework, we look for a strategy of dividend payments and capital injections which maximizes the firm’s value. We provide an optimal strategy as well as the corresponding valuation formula. Illustrative examples are given.     

“清除太空垃圾”是否存在商机呢?

对太空轨道碎片清理的商业运营模式和是否存在商机问题建模进行研究。首先,提出了太空轨道碎片清理公司的商业运营模式,即以清理公司、保险公司和卫星公司为主体的三位一体的系统运营模式;其次,给出私营清理公司商机的定义,通过对运营系统资金费用的分析,定量建立系统正常运营的保险公司最低保单价格和卫星公司最高保险价格求解的模型,并分析了模型的可计算性,给出了商机存在的条件以及商机大小的计算方法;最后,借助于清除效率,建立3种不同轨道碎片清除模式下清除成本的模型,给出了计算不同清除方式下保险公司最低保单价格和卫星公司最高保险价格的模型,验证了定义的商机是合理的并可计算的。     

A doubly optimal stopping of a risk process (Poster Presentation)

Problems which lead to an optimal stopping of a risk process are considered. Let an insurance company be endowed with an initial capital a > 0, receive insurance premiums and pay out successive claims. The losses occur according to renewal process. At any moment the company may broaden or narrow down the offer, what entails the change of the parameters. These changes concern the rate of income, the intensity of renewal process and the distribution of claims. The model of the risk process with two types of claims stream is considered. After the change the management wants to know the moment of the maximal value of the capital assets. Our goal is to find two optimal stopping times: the best moment of change the parameters and the moment of maximal value of the capital assets. A dynamic programming method to calculate the expected capital at that times is used. Based on the model which combine two types of risk the model of reinsurance with two firms is formulated. In this case the aim is to find for the firms the equilibrium strategy. The equilibrium is constructed in class of strategies driven by their risks. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)