Table of Content

29 April 2012, Volume 20 Issue 2 Previous Issue    Next Issue

Select

Price Fluctuation of Real Estate Industry and Financial Fragility: An Empirical Study Based on Chinese WEN Feng-hua, ZHANG A-lan, DAI Zhi-feng, YANG Xiao-guang 2012, (2):  1-10.  Abstract ( 4713 )   PDF (2724KB) ( 3138 )   Save Recent studies show that there are intimate connections between price fluctuation of real estate and financial fragility. From this perspective, by selecting six index in the two leves of economic face and micro finance measuring the financial fragility of our country, this paper establish the vector auto-regressive model to analysis the relationship between price fluctuation of real estate and financial fragility. The empirical results show that: there is the two-way causality between price fluctuation and financial fragility; Specifically, price fluctuation of real estate has some negative effect on financial fragility in the short term, a positive impact in later period; the banking sector has more sensitive reaction to the shock of real estate price, meanwhile, real estate market fluctuations has certain positive impact on maro-economy and banking sector in the short term, but then exacerbate their fragility and the effects on macroeconomic in relatively larger degree. References | Related Articles | Metrics

Select

Analysis on the Relationship among Microstructure Noise,Jump and liquidity in Stock Market TANG Yong, KOU Gui-ming 2012, (2):  11-19.  Abstract ( 4231 )   PDF (1305KB) ( 2771 )   Save In the field of research about high-frequency data, the scholars pay little attention to the internal relations among different risks. So this article analyses the relationship between microstructure noise and volatility jump in theory for the first time by the high-frequency data. The noise variance is estimated, the volatility jump is separated by constructing the new jump test and the liquidity index is given. The empirical analyses are carried out among microstructure noise jump and liquidity with the data of shanghai composite index. From the empirical analysis, we find the index with higher noise is likely to have volatility jump. The more liquidity index based on financial characteristics has lower noise and is unlikely to have volatility jump. and the corresponding explanations are given. References | Related Articles | Metrics

Select

The Bayesian Inference Research on the Internal Fraud of Chinese Commercial Banks Based on Varying Location Parameter GAO Li-jun, FENG Ji-chuang 2012, (2):  20-25.  Abstract ( 2997 )   PDF (1477KB) ( 2711 )   Save Internal fraud is the most important loss type of Chinese commercial banks and has caused a lot of losses. Since the nature of operational risk, loss data is deficiency, in order to do more accurate and robust calculation with little data, this paper uses the Bayesian posterior forecasting distribution to calculate the parameters. Since the chosen of location parameter is important to the evaluation, we set the location varying with linear trend to get more robust parameters estimation. The loss frequency is Poisson distribution, and we set the prior Gamma distribution, while the loss severity is Generalized Pareto distribution, and we set the prior distribution mixture Gamma distribution, then we get the posterior predictive distributions of loss frequency and loss severity, with Monte Carlo simulation we get the combined distributions. Compared to the classical method of Poisson-GPD, The results are better and we get much stable parameters and much lower capital charge for internal fraud. And Bayesian analysis is helpful to calculate accurately the parameters with small sample. References | Related Articles | Metrics

Select

Oil Price Shocks and Economic Volatility Risk Minimization Based Analysis of Money Supply Mechanism LI Shuang, JIAN Zhi-hong, ZHENG Jun-yao 2012, (2):  26-33.  Abstract ( 2881 )   PDF (1320KB) ( 2302 )   Save This paper constructs a DSGE model to investigate the issue of how oil price shocks impact on China’s money supply mechanism based on economic volatility risk minimization. Firstly, we use Bayesian method to estimate parameters, and then we compare monetary policy frontiers to find out whether China’s money supply mechanism should and how to respond to oil price shocks. The results indicate that China’s money supply doesn’t respond to oil price shocks. However, policy frontiers provide strong support for the rule in which money supply mechanism responds to the oil prices as well as inflation and output growth for the sake of economic volatility minimization. References | Related Articles | Metrics

Select

Fractional Net Premium Reserve in Life Insurance Based on Rational Interpolation Method LI Shi-long, ZHAO Xia 2012, (2):  34-40.  Abstract ( 3347 )   PDF (1078KB) ( 2188 )   Save In the risk management of insurance companies, insurance reserve is an important measure index. It is very important for the healthy development of insurance companies to calculate the premium reserve precisely and reasonably. Because the calculation of the net premium reserve at a fractional age depends on the actuarial assumption, this paper attempts to discuss the net premium reserve at the fractional age of the whole life insurance based on a rational spline method for estimating the mortality of fractional ages. In this discussion, the calculation formula and the bounds range of the net premium reserve at the fractional ages are obtained; Furthermore, we analyze the influence of the change of the adjustable parameter on the net premium reserve. The data analysis shows that not only it is sensitive for the net premium reserve at the fractional age to change the adjustable parameter, but also this reserve value based on the UDD assumption is just a boundary value using our method. So the calculation of the net premium reserves at the fractional ages based on rational spline method is very flexible, and it also has the important guiding significance for the risk management of the insurance reserve. References | Related Articles | Metrics

Select

Comparative Research on Forecast Ability of Double-Long-Memory GARCH Family Models ——Empirical Analysis of Shanghai and Shenzhen Stock Markets CAO Guang-Xi, CAO Jie, XU Long-bing 2012, (2):  41-49.  Abstract ( 3498 )   PDF (950KB) ( 2383 )   Save GARCH family models have been widely used in financial risk measurement. There is double long memory characteristic in stock market. That is returns and fluctuations series of stock prices usually have long memory feature respectively. Hereby, by using Shanghai and Shenzhen stock markets returns series, double-long-memory GARCH family models with different distributions are comparative analyzed, based on the instruction of VaR computation and PCS indicator which can be used to measure investment risk and risk disgust degree respectively. As fitting and forecasting results shown, skewed t distribution can describe the "fat tail" feature of stock markets, and under the small VaR condition the ARFIMA(2,d1,0)-FIAPARCH(1,d2,1)-skt model show stronger forecast ability to the fluctuation risk of stock market while the ARFIMA(2,d1,0)-HYGARCH(1,d2,1)-skt model present stronger ability to the trends of rise and fall. References | Related Articles | Metrics

Select

Financing Decision in Chinese Listed Companies: A Perspective of Dual Heterogeneous Beliefs MA Jian, LIU Zhi-Xin, ZHANG Li-Jian 2012, (2):  50-56.  Abstract ( 2552 )   PDF (959KB) ( 2232 )   Save Investor heterogeneous beliefs and Investor-manager heterogeneous beliefs are important characters in Chinese capital market. This paper analyzes the effect of dual heterogeneous beliefs on security issuance choices between equity and debt made by a firm. Firstly, the theoretical analysis generates predictions that the greater the investor heterogeneous among outside investors, and the less the investor-manager heterogeneous beliefs between outside investors and manager, the more likely the firm is to choose to issue equity rather than debt. Secondly, using a sample of debt and seasoned equity issues from ShangHai & ShenZhen A-stock listed companies, this paper empirically analyzes the above predictions. The empirical results support for the above predictions and explain some anomalies in China financing market. References | Related Articles | Metrics

Select

A Cyclic Growth Model Based on Input-Output Coefficient Matrix LIU Xin-jian, LU Jing-hui 2012, (2):  57-61.  Abstract ( 4023 )   PDF (990KB) ( 2435 )   Save On the basis of cyclic growth theory of Richard Goodwin and Andrew Brody, this paper constructs a nonlinear cyclic growth model of an open economy with an input-output coefficient matrix. The periodic frequency spectrums of Chinese economic growth are calculated with a simplified form of that model based on the 42 sector input-output tables of China. The results show that the model is appropriate and robust to China economy’s cycles. The data unveils that Chinese economy performs cyclic motions mainly in about 6 year wave length since 1978 and is extending to about 10 years. References | Related Articles | Metrics

Select

Supply Chain Coordination with Multi Multi-Factors Disruptions under Two Retailers’ Competition WU Zhong-he, CHEN Hong, ZHAO Qian, WU Xiao-zhi 2012, (2):  62-67.  Abstract ( 4248 )   PDF (907KB) ( 2591 )   Save The paper investigates the coordination mechanism for a supply chain with one manufacture and two competing retailers when the product cost, market demand and price sensitive coefficient are disrupted simultaneously under the Bertrand game. We analyze how the linear quantity discount contract may take its effect to coordinate the supply chain. The study shows that the concentrated supply chain can be coordinated by linear quantity discount contract after the three factors disrupted simultaneously, and the study also shows the original coordination mechanism has no longer robustness to the decentralized supply chain. The decentralized supply chain can be coordinated only when the manufacture adopts a new linear quantity discount contract. Finally, a numerical example is given to illustrate the findings. References | Related Articles | Metrics

Select

Pricing and Sales Efforts Decisions for a Supply Chain Under Different Channel Power Structures and Information Structures ZHANG Ting-long, LING Liang 2012, (2):  68-77.  Abstract ( 2939 )   PDF (1583KB) ( 2261 )   Save This paper investigates pricing and sales efforts decisions for a supply chain with one manufacturer and one retailer. The demand is sensitive to both sales effort and retail price. We establish and compare several models which are based on non-cooperative games and cooperative game to reflect different channel power structures and different information structures by using game theory approach and numerical analysis. The findings show that the power shifting from manufacturers to retailers reduces the profit of the manufacturer. But to the retailer, the outcome is determined by the sensitivities of the customers towards price and sales effort level, the sales effort cost, and the information structure. The dominant agent may increase his profit through getting more information about the other side. If the dominant retailer has to depend on prior probability distribution of the manufacturer’s cost, the moderate variance may lead to a favorable price for the retailer who overvalues the manufacturer’s cost. A wholesale price with effort sharing is founded to coordinate the supply chain. Further, we establish the conditions and the feasible region where the manufacturer and the retailer can bargain to divide the extra-profits accrued from coordination. References | Related Articles | Metrics

Select

Performance Analysis of S-M Closed-loop Supply Chain under Different Channel Power Structures ZHAO Xiao-min, LIN Ying-hui, SU Cheng-ming 2012, (2):  78-86.  Abstract ( 3052 )   PDF (1635KB) ( 2620 )   Save Different from traditional supply chain, closed-loop supply chain focuses on remanufacturing or reusing the used products after their consumption, which is of great importance in reducing environmental pollution, decreasing resource consumption and fundamentally promoting the sustainable development of manufacturing industries. In order to explore the influence of remanufacturing strategy on the member enterprises in a closed-loop supply chain, we use game theory to develop the models of a two-echelon closed-loop supply chain with one manufacturer and one supplier. We particularly analyze the pricing decisions and system’s performance under different power structures, including supplier-dominated, manufacturer-dominated or balance of power between channel members. The results show that with remanufacturing strategy implementation, the sale price of products will decrease, the sales volume increase, and the wholesale price of components goes up. For the channel members, the remanufacturing strategy is more conductive to the manufacturer’s profitability. However, the influence of remanufacturing on supplier depends on the power of supplier in a chain. The dominant supplier can get extra profit from remanufacturing by considerably raising the wholesale price of components; and the weak supplier may incur loss due to the competition of remanufacturing. As for the performance of the whole supply chain, the remanufacturing strategy plays an important role in improving the whole system’s profitability, but the power structures have different effects on the economic value of remanufacturing. In general, the structure where power is equally split between members provides the best performance, then is the manufacturer-dominated, the worst is the supplier-dominated supply chain. References | Related Articles | Metrics

Select

The Influence of Manager’s Risk Attitude to Procurement Decision When System’s Capacity Was Partially Injured BAO Xing, SUN Qi 2012, (2):  87-92.  Abstract ( 3522 )   PDF (1306KB) ( 2166 )   Save Decision-makers of some large-scaled operation system, such as communication, power grid and petrol-chemic plants, seldom obey the decision rule of "risk aversion" while the critical capacities are partially injured by unexpected events. Thus, for the aim to cut down the disruption cost, should decision maker take aggressive or conservative risk attitude while in decsioning? In order to validate this point of view, we make the extension research of reference [3], further consider two kinds of capacity support, which regular and expedite modes, and also the decision maker’s risk attitude factor when splitting the capacity orders. Through theoretic and numerical analysis, we find 3 interesting managerial insights: First, decision maker’ risk attitude is not always "the more aggressive the better"; Second, "bi-sourcing under extreme events" is not the optimal choice, Third, which does most contribution to cut down the disruption price is, decision maker should do best to obtain the recovery technique support from partnership during the disruption period. References | Related Articles | Metrics

Select

The Study of Carbon Dioxide Emission Intensity Abatement Mechanism of Iron and Steel Industry Based on Two-Stage Game Model LI Chang-sheng, FAN Ying, ZHU Lei 2012, 20 (2):  93-101.  Abstract ( 295 )   PDF (1974KB) ( 2715 )   Save Reducing greenhouse gas emissions, energy-intensive industries will bear the main task. However, how to distribute the emission intensity reduction task among firms with different technologies will has a impact on abatement costs, the competitiveness of firms and social economic welfare. Tax on emissions discharged in production process is widely recognized as one of the effective policies. This paper constructs a two-stage dynamic game model based on two representative iron and steel firms (eastern and western) to examine uniform or discriminated emission tax levied by central government effects on abatement costs, social economic welfare and the competitiveness of firms. The empirical results show that: under a unified emissions tax, the steel industry production declines smaller, the emission intensity reduction task is distributed more average among firms and the western steel firm competitiveness losses smaller; Under discriminated emission tax regime, a smaller emission abatement cost is achieved, social economic welfare loss is smaller, eastern steel company competitiveness is improved with a bigger margin, but the negative impact on western iron and steel enterprises is obvious. Therefore, it should take full account of the emission intensity reduction task distribution, iron and steel industry production, social economic welfare, the specific impact the competitiveness of firms on designing the emissions tax and trade-offs between lower abatement cost and the less affected competitiveness of individual firms. References | Related Articles | Metrics

Select

A Model for Obnoxious Effect of Waste Disposal Facilities Measurement Based on Improved Gaussian Plume Model WANG Hai-yan, ZHANG Qi-shan 2012, (2):  102-106.  Abstract ( 2799 )   PDF (949KB) ( 2909 )   Save As the environment consciousness of people is enhanced, more and more public concentration focuses on the location and operation decision of waste disposal facilities. The measurement of obnoxious effect is not only the focus in location optimization of these facilities, but also the key factor in the evaluation and control of noxious effect of facilities in operation. In this paper, some improvement is made on Gaussian Plume Model to make it applicable to measurement of pollutant concentration of waste disposal facilities. A mathematic model based on various scenarios is established to calculate the gas concentration, the multi-facilities, multi-kinds of gas, multi-directions of wind and multi-kinds of atmospheric stability are taken into account simultaneously in the model. An obnoxious effect measuring function is devised. A virtual example is designed to test the model and the parameter analysis is carried based on the example. References | Related Articles | Metrics

Select

Evaluation Model and Empirical Study of A Three-Stage Semiparametric Efficiency Evaluating Model Taking Environmental Factors into Account LI Lei, LI Ming-yue, WU Chun-lin 2012, (2):  107-113.  Abstract ( 2844 )   PDF (1033KB) ( 2049 )   Save Since it is originally proposed, Data envelopment analysis (DEA) has been broadly applied because of its various advantages in evaluating the relative effectiveness of decision-making units. However, it has a significant limitation, i.e. the requirement of the same properties of inputs and outputs. In order to overcome this shortcoming, this paper applies parametric approaches to DEA so as to take the external environmental factors into account. It constructes a new three-stage semiparametric model, with the main feature of the effective processing of environmental variables and nondiscretionary ones. Then, it further applies the new model to the subsidiaries of a domestic oil corporation, and succeedes in testifying its practicability and effectiveness. References | Related Articles | Metrics

Select

The Research on Two-stage DEA Projection Generation Problems ——Evaluate the Operational Performance of List Bank in China Stock Market WANG He-yi, ZHANG Yi-shan 2012, (2):  114-120.  Abstract ( 3620 )   PDF (962KB) ( 2334 )   Save DEA (data envelopment analysis)is an empirical method which is used to evaluate the relative effectiveness of decision-making units (DMUs). The DEA has long been applied to assess operational performance in public and private sectors and a two-stage DEA method has been developed. Relative to the traditional DEA approach, two-stage DEA method has the advantage that it can not only provide the overall efficiency values of the evaluated objects, but also the values of each stage. But because of the existence of intermediate elements, two-stage DEA method can not follow the way which the traditional method does to adjust the inputs and outputs of the optimization process to project onto the effective frontier. Based on two-stage DEA method, by adding "virtual intermediate elements",we embed a "virtual stage" into the stages. Thus we can not only improve the logical structure of two-stage DEA, but also yield a frontier projection successfully. We apply the method to accomplish empirical analysis of operating performance of listed banks in China stock market. The empirical results surprise us that the operating performances of state-owned commercial banks are superior than the joint-stock banks. References | Related Articles | Metrics

Select

Hybrid Vehicle Routing Problem Based on Improved Fuzzy Genetic Algorithm ZHANG Qun, YAN Rui 2012, (2):  121-128.  Abstract ( 3594 )   PDF (1927KB) ( 2517 )   Save A hybrid mathematic model is proposed with multi-depot, multi-type and multi-product vehicle routing problem. An improved fuzzy genetic algorithm is presented to solve the hybrid vehicle routing problem. Crossover probability and mutation probability are dynamic adjusted by improved fuzzy logistic controller, in order to speed up algorithm convergence and avoid falling into local optimal solution. Compared with standard example fuzzy genetic algorithm has good results and efficiency. Fuzzy genetic algorithm is used for the experiment of hybrid vehicle routing model, and the experiment get a good result. References | Related Articles | Metrics

Select

The Improvements and Applications of Forecasting Method in GM(1,1) Model Based on Combinative Interpolation WANG Xiao-jia, YANG Shan-lin 2012, (2):  129-134.  Abstract ( 3079 )   PDF (1287KB) ( 2289 )   Save In this paper, we analyze the background value calculation in GM(1,1) model, put forward the idea of combination interpolation and construct a new class of gray prediction model which used piecewise linear interpolation function and Newton interpolation method. This model could overcome the lack of existed improved gray model and give a new way to improve the prediction accuracy. The simulation example using the improvement method is presented to demonstrate the effectiveness of our approach. References | Related Articles | Metrics

Select

The Maximum Entropy Empowerment Model for Evaluating Index Considering the Expert Evaluation Information JIN Jia-jia, MI Chuan-min, XU Wei-xuan, WA NG Qun-feng, WEI Heng-wu 2012, (2):  135-143.  Abstract ( 3482 )   PDF (931KB) ( 2850 )   Save For comprehensive determining indexes’ weight of the multi-attribute decision-making, the article proposes a method considering prior subjective information and objective information into constraints from the angle of the association to estimate the indexes’ synthesis weight. Based on solving the objective weight using the grey correlation deep coefficient on the actual decision problem, this paper focuses on building the subjective constraint condition constructed with the potential ratio of index weight confirmed by specialist which confirm that the subjective and objective factors can be reflected simultaneously in the constraint conditions of the optimization model. The maximum entropy optimization model is built to ensure the credibility of the weight judgment, thus establishing the maximum entropy optimization model for synthesis weights. This method overcomes the uncertainty of weight because of the subjective and objective parameter selection when the subjective and objective conditions are directly grouped through the linear objective function. Finally, comparison with another methods based on a numerical example shows a better effectiveness and practicability of this method. References | Related Articles | Metrics

Select

Deterioration Item Manufacturers Decision-making on RFID Technology Investment Based on Critical Price ZHANG Li-hao, HU Ji-ling, Fan Ti-jun, YANG Hui-xiao 2012, (2):  144-151.  Abstract ( 4263 )   PDF (1128KB) ( 3108 )   Save RFID technology can optimize the flow speed of deterioration item and reduce the losses of deterioration rate. Because the modern market is an open system and the cost of RFID technology is one of the major barriers, we need to study the feasibility of deterioration item manufacturers with different costs in open system adopting RFID technology. In this paper a competitive game pricing model as well as a cooperative game pricing model are established and compared between the deterioration item manufacturers with different costs before adopting RFID technology. Calculating the critical price can maintain high profit for existing manufacturers but has no attraction for new investors considering the number of deterioration products.We study the influence of RFID technology investment to deterioration item manufacturer profits and determine the cost of tag thresholds at which RFID technology investment becomes profitable based on the critical price. This can be used as quantitative and modeling basis by deterioration item manufacturers in making decision on RFID technology investment.A numerical simulation analysis is given to illustrate the model at last. References | Related Articles | Metrics

Select

Research on the Priority Method of Three-point Interval Number Reciproca Judgment Matrix ZHANG Na, ZHU Jian-jun 2012, (2):  152-158.  Abstract ( 2733 )   PDF (1069KB) ( 2286 )   Save The consistency and the priority method of three-point interval number Reciproca judgment matrix are studied. Based on the definition of three-point interval number reciproca judgment matrix, the relations between the consistency and the the weight vector for three-point interval number reciproca judgment matrix discussed.Then, a linear programming model is established,and the weight vector of three-point interval number reciproca judgment matrix is obtained. By using the expectations of three-point interval number reciproca judgment matrix, the decision alternatives are ranked. Finally, some numerical examples illustrate the effectiveness and practicality of the proposed methods. References | Related Articles | Metrics

Select

How CO2 Emissions Structure Evolves With the Process of Industrialization ZHANG Yi, XIA Yan 2012, (2):  159-166.  Abstract ( 2898 )   PDF (1125KB) ( 2198 )   Save In order to dynamically investigate the historical evolution of CO2 emissions induced by consumption and fixed capital investment, this paper defines the concepts of consumption-based CO2 emissions (CPE) and construction-based CO2 emissions (CTE), and proposes the ratio of consumption-based CO2 emissions to construction-based CO2 emissions (RCC) as a partial indicator of the CO2 emissions structure which synchronously considers the consumption-based CO2 emissions and construction-based CO2 emissions. The study employs an environmentally extended input-output analysis model (EE-IOA) to estimate the carbon emissions of consumption-based CO2 and construction-based CO2. By analyzing data totaling 86 samples from 32 countries, the study evaluates the evolution of RCC during the process of industrialization (including post-industrialization period). The empirical results indicate that RCC increases with the advance of industrialization; we should set the carbon emission reduction goals that considering the reduction potentials of consumption-based CO2 emissions and construction-based CO2 emissions, and enhance the enterprise carbon emission reduction activity by the market power through transforming consumer’s consumption habit into low-carbon. The significant outcome of this paper is the development of a method for correctly evaluating the emissions levels of countries at different stages of development, in order to establish reasonable emissions reduction targets. References | Related Articles | Metrics

Select

Research on Restraining Role of New Investment Opportunity in Tunnelling Private Benefits of Control LIU Xing, WU Jiang-lin, DOU Zhong-qiang 2012, (2):  167-175.  Abstract ( 2508 )   PDF (925KB) ( 2295 )   Save Based on the given existence of new investment opportunities, this paper constructs an extended model of controlling shareholder’s expropriation to extend the classical single-term expropriation model, and analyzes theoretically the private benefits of control from the aspects of cash flow rights proportion, legal protection of mid-small shareholders and new investment return rate. According to the unique institutional context and legal environment, this paper examines empirically the theoretic results summarized formerly based on data of Chinese listed companies which controlling rights diverted in A stock markets of Shanghai and Shenzhen from 2000-2008. The conclusions show that: it is the negative relationship between the level of private benefits of control and new investment return rate, and the increase of new investment return rate which can decrease the level of private benefits of control; we find an inverted "U"-type relationship between them through adjusting the regression model, but this conclusion is not significant; Furthermore, we examine the relation between the level of private benefits of control and legal protection of mid-small shareholders using the proportion of independent director in board of directors, and find it is not relational significant between them, once again our independent director system in corporate governance is proved non-efficient. References | Related Articles | Metrics

Select

Research About Symbiotic Evolutionary Model of Producer Services and Manufacturing Industry in China PANG Bo-hui 2012, (2):  176-183.  Abstract ( 3762 )   PDF (1601KB) ( 2996 )   Save In this paper, the interactive development mechanism between producer services and manufacturing industry is explained based on biologic symbiosis theory. Based on symbiotic evolution Logistic model, the interactive stage of producer services and manufacturing is divided and the specific characteristics are given. A segmented Logistic function is used to describe accurately the symbiotic evolution process. Based on the data of China from 1983 to 2007, the symbiotic evolutionary process of producer services and manufacturing industry is analyzed practically. And the maximum population capacities are also modeled and predicted. The results show that the interaction between product services and manufacturing are asymmetric mutualism mode and are both in growth stage. Production services play a more important role in promoting the development for manufacturing, manufacturing have a relatively weak effect on producer services. References | Related Articles | Metrics

Select

Cognitive Bias, Debt Policy Preference and the Effect of Tax on Capital Structure LI Yan-xi, CHEN Ke-jing, YAO Hong, ZHANG Bo-tao 2012, (2):  184-192.  Abstract ( 4245 )   PDF (1504KB) ( 2593 )   Save The influence of managerial cognitive bias over debt policy choice is studied in this paper. From the perspective of behavioral finance, this paper analyzes the tax effect of debt policy choice through establishing the model of optimal capital structure decision considering the impact of cognitive bias. Applying sample data of Chinese listed companies from 2006 to 2009, this paper also makes an empirical verification on the related theories by multiple regression analysis etc. The research indicates that the debt policy of listed company is influenced by cognitive bias, namely, with the continuous increase of financial distress cost, the sensitivity of listed company towards its change decreases; when the managerial cognitive bias is serious, listed company may choose management in over-conservative or over-active debt, which causes the optimal capital structure to have no correlative relationship with the tax rate; Conversely, when the managerial cognitive bias isn’t serious, listed company may choose management in moderate debt, and the debt level is positively correlated to the tax rate. The result reveals that listed companies in China are required to be more objective about the evaluation of financial distress cost, utilize the tax revenue of debt more rationally, and avoid the damage to enterprise value caused by cognitive bias as much as possible. References | Related Articles | Metrics