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关键词： 非参数方法   跳跃风险   股票收益   高频数据  

摘要： 将股票按不同的特征分类,选出各类中最具代表性的股票构造组合。采用非参数方法处理不同类型股票组合高频收盘价数据,识别出各个组合收益率的跳跃行为。以沪深300股指的跳跃风险作为基准,对不同类型股票收益的跳跃风险进行统计分析。结果表明:中国股票市场存在跳跃风险,且主要以正向跳跃为主。不同类型股票收益跳跃风险不同,相对于其他类型,股价高交易活跃的小盘股的跳跃风险更高。

关键词： 净现值法   投资决策   二重属性   折现率  

摘要： 本文从项目现金流具有的收益性和支付性双重属性角度出发,分析了净现值法下项目决策时的折现率选择,指出折现率的选择需结合企业及拟决策项目的现金流分布的实际情况,兼顾项目现金流测算的收益性与支付性,才能在项目投资决策中运用净现值法做出相对正确的决策。

关键词： 利息力   风险模型   矩母函数   积分-微分方程  

摘要： 研究带有固定利息力风险模型的破产问题,将理赔过程从齐次Poisson过程推广到对现实描述能力更强的更新过程,进而得到累积分红现值的矩母函数及其所满足的积分-微分方程。

关键词： 等比数列   年金   现值  

摘要： 主要考虑等比数列的前n项和公式在n期标准期末年金现值计算方面的一个应用.

关键词： Stock payment   Cross-border M&A   Institutional distance   Cultural distance   Shareholder value   Event study   AGENCY THEORY   ACQUISITION INTEGRATION   NATIONAL CULTURE   MERGERS   PERFORMANCE   OWNERSHIP   RETURNS   FOREIGN   FIRMS   ENVIRONMENTS  

摘要： Recognizing that cross-border mergers and acquisitions (M&As) are not alike in terms of how the payment method is structured, this paper investigates the role of stock payment that results in ownership sharing with foreign targets. Based on our empirical analysis using a sample of 4720 cross border M&A deals during 1997-2012, we find that stock payment in cross-border M&As has a detrimental effect on shareholder value because of the negative signaling effect. We further show that stock payment can be beneficial when a foreign target located in a weaker institutional environment and when the cultural distance is larger. This implies that stock payment can be beneficial in deals with particularly large information asymmetry and agency problem. Upon the completion of a cross-border M&A, the acquirer and foreign target will form a new principal-agent relationship and our findings propose that stock payment can serve as an effective incentive mechanism that aligns the goals of the acquirer and target. (C) 2016 Elsevier Ltd. All rights reserved.

关键词： Residential building typology   Residential building stock   Building energy refurbishment   Energy efficiency measures   Cost-effective energy refurbishment   EFFICIENCY MEASURES   RENOVATION   PERFORMANCE   CONSUMPTION   STATE   MODEL  

摘要： The European residential building stock is largely composed of buildings with poor energy performance, therefore basic retrofit actions could lead to significant energy savings. However, energy refurbishment measures should be identified in accurate way, taking into account the technical viability and aiming both to increase the building energy performance and to restrain the costs. The present article investigates the effects of different measures applied to the Italian residential building stock by using the building typology, which consists of 120 building types, representative of six construction ages, four building sizes and five climatic zones. A quasi-steady state model has been used to calculate the energy performance; the economic evaluation has been carried out as specified in the EU cost-optimal comparative methodology (Directive 2010/31/EU). The most effective measures and packages of measures, in terms of energy saving and global cost reduction, are identified and discussed. The results are addressed to important purposes for energy policy, as for instance: (a) to provide political authorities with the most effective energy efficiency measures as to encourage retrofit processes through the allocation of financial incentives, (b) to offer a knowledge-base for developing energy refurbishment scenarios of residential building stocks and forecasting future energy resource demand.

关键词： Econophysics   random matrix theory   Partial correlation   stock market   financial crisis   eigenvalue   CROSS-CORRELATIONS   EIGENVALUES   FINANCE   RISK  

摘要： The correlation structure of a stock market contains important financial contents, which may change remarkably due to the occurrence of financial crisis. We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 Chinese stocks. Both raw correlation matrix and partial correlation matrix with respect to the market index in two time periods of one year are investigated. We find that the Chinese stocks have stronger average correlation and partial correlation in 2008 than in 2007 and the average partial correlation is significantly weaker than the average correlation in each period. Accordingly, the largest eigenvalue of the correlation matrix is remarkably greater than that of the partial correlation matrix in each period. Moreover, each largest eigenvalue and its eigenvector reflect an evident market effect, while other deviating eigenvalues do not. We find no evidence that deviating eigenvalues contain industrial sectorial information. Surprisingly, the eigenvectors of the second largest eigenvalues in 2007 and of the third largest eigenvalues in 2008 are able to distinguish the stocks from the two exchanges. We also find that the component magnitudes of the some largest eigenvectors are proportional to the stocks' capitalizations.

关键词： Energy investment structure   Listed energy company   Inward and outward investment   Energy investment preference   Bilateral relation   Powerful group   OIL TRADE   CHINA   SHAREHOLDERS   CHALLENGES   EVOLUTION   COMPANIES   SECURITY   OPPORTUNITIES   TRANSMISSION   FRAMEWORK  

摘要： Energy is not only an important international commodity but is also an important financial product. Many studies address the global energy structure by considering energy as commodity, but few study it based on energy's financial attributes. In this paper, we analyzed the global energy investment structure based on the shareholding relationships between listed energy companies and their shareholders by taking the frontier approach to complex network theory and treating these relationships as a heterogeneous complex network from a global angle. We constructed a primitive investment network of listed energy companies and their shareholders (two sets of actors). Then, based on the two-mode affiliation relationships between two sets of actors and countries, we constructed a derivative investment network of 112 countries (and regions). By calculating different topological features, we quantitatively analyzed the national diversity of outward and inward energy investment, the energy investment preference, the strength of the bilateral energy investment relationship between countries (and regions) and the most powerful group of energy investing countries based on the shareholding relationships of global listed energy companies. It is found that the vast majority of outward and inward investment relationships are still in the hands of a few countries: traditional developed countries, emerging countries, and a few particular island countries (and regions) that are tax havens. This study is helpful for analyzing the roles and investment relationships of nations as well as the global energy investment structure taking the perspective of the energy stock market. (C) 2016 Elsevier Ltd. All rights reserved.

关键词： 宏观经济   我国煤炭   煤炭经济形势变化  

摘要： 现今,我国的经济发展方式是宏观发展,因此在它的影响下,我国的煤炭产业也不断地发展。煤炭产业是我国的支柱产业,不仅能够帮助我国的市场经济发展,还能够帮助我国整体经济发展。由于现今社会的不断发展使得许多的新兴产业也逐渐地发展起来,许多的新能源开始应用,这就造成了煤炭产业的发展开始变得较为落后,使得煤炭企业发展困境较为艰难。文章先是介绍了现今我国煤炭产业发展的形势,接着提出了在其经济形势发展变化下煤炭产业发展的相关建议。

关键词： 温室投资   时间价值   风险报酬   年均净现值法  

摘要： 为探究温室投资风险与报酬率之间的关系,将时间价值和风险报酬这两项基本价值因素引入温室风险管理研究,并借鉴国外净现值投资决策理论,运用投资评价的净现值法和时间价值、风险报酬的测算方法,分别对2014—2015年浙江省杭州市郊3种类型温室的投资回收额、期望报酬率、风险报酬率、净现值、年均净现值进行计算和分析。结果表明,资金时间价值上,3种类型温室的投资回收额从低到高依次为:单栋塑料温室<连栋塑料温室<玻璃自控温室。投资风险价值上,玻璃自控温室的投资总报酬率最高。3种类型温室的期望报酬率介于14.25%~17%,单栋塑料温室期望报酬率的标准离差最小,投资风险也最小。玻璃自控温室的年均净现值最大,投资方案最优,但其投资回收期较长。针对不同类型温室提出调整温室产业结构、优化投资组合、规避投资风险的建议,以期为中国温室投资决策分析提供科学依据。