Table of Content

    20 November 2020, Volume 28 Issue 11 Previous Issue    Next Issue
    The Impact of Inflation on Executive's Equity Incentive and Work Effort
    FEI Wei-yin, ZHANG Fan-hong, YANG Xiao-guang
    2020, 28 (11):  1-11.  doi: 10.16381/j.cnki.issn1003-207x.2018.0741
    Abstract ( 499 )   PDF (2943KB) ( 136 )   Save
    Equity incentive can make the interests of companies and executives converge and solve the principal-agent problem between companies and executives to a large extent. An executive, characterized by risk aversion and hard work efficiency, can affect the company stock prices through the work-effort strategies. Incorporating inflation uncertainty into the model, it is considered that an executive invests his assets in the risk-free asset, the market portfolio, and own-company stocks for the aim of maximizing his expected utility of the terminal real wealth. First, the dynamic equation of the real wealth process is obtained by using the Itô formula. Secondly, the dynamic programming principle is used to establish the HJB equation of the real value function of the executive's optimal decision. Moreover, the analytical solutions of the HJB equation are found. Finally, the impact of inflation risk on the executive equity-based incentives and work-effort strategies are given by numerical simulations. The research in this paper shows that:in the case of exponential utility, for the long-term contracts, since equity incentive can bring long-term interests to executive, the executive can improve the level of effort and will increase the rate of the stake in personal wealth. Moreover, in this case, the executive is optimistic about the company's prospects. The inflation risks has little effect on executive optimal effort level and the proportion of stake in personal wealth. For the short-term contracts, due to the lack of long-term common interests, when the inflation risk increases, the optimal effort level of executive and the shareholding ratio of personal wealth will decline gradually.
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    Empirical Study on Cross-industry Asset Allocation Model under the Perspective of Flight-to-quality
    JIN Xiu, CHEN Na, WANG Jia
    2020, 28 (11):  12-22.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.002
    Abstract ( 327 )   PDF (1133KB) ( 103 )   Save
    Investors' flight-to-quality behavior results in the flow of funds between industries based to market regime switching and sector rotation. Furfine (2003) divides systemic risk into two dimensions. First, the time dimension. External shock impacts all industries at the same time, leading to time dimension systemic risk. The shock accumulates over time and closely related to macroeconomic cycle. Second, the cross-sectional dimension. When external shock impacts one industry, the flight-to-quality behavior of investors will transfer funds from the industry to other industries, which will in turn cause cross-industry risk spillover. Cross-industry risk spillover contributes to the risk of an industry as a systematic risk of cross-sectional dimension, thus it is necessary to consider the effect of cross-industry risk spillover on asset allocation.
    The cross-industry risk spillover from the perspective of investors' flight-to-quality behavior is studied in this paper. The order flow differential (OFD), constructed as the difference between large- and small-cap stock order flows, is used to measure flight-to-quality behavior.Flight-to-quality behavior causes cross-industry co-movement and risk spillover. The State-Dependent SensitivityVaR model (SDSVaR) is used to quantify risk spillovers among sets of different industries. Based on this, the cross-industry portfolio model with further consideration of sector rotation effect is constructed.
    It is shown that investors' flight-to-quality behavior significantly affectscross-industry co-movement and risk spillover. The portfolio model that considers risk spillover among industries can disperse non-systemic risk and reduce the systemic risk of cross-section dimension, and effectively avoid extreme risk. In addition, considering regime switching and sector rotation in asset allocation can resist market risks and increase investment return. The study on risk spillover and sector rotation in cross-industry portfolio optimization provides valuable reference for investors and regulators.
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    Risk Measurement on Structured Financial Products and Its Application Based on Internet Financial Model
    CHEN Rong-da, ZHOU Han-xian, Yu Le-an, Jin Cheng-lu
    2020, 28 (11):  23-34.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.003
    Abstract ( 319 )   PDF (940KB) ( 101 )   Save
    With the rapid development of Internet Finance and the deepening of financial marketization, the structured bank financial products, which are composed of fixed income products and financial derivatives, have developed rapidly and become an indispensable pillar in global financial markets. However, the associated risks are also increasingly prominent. Considering structured financial products are financial products that use financial engineering technology to combine fixed income products such as deposits, zero interest bonds and options, in addition to market risk and credit risk, the large liquidity risk is a new feature of structured financial products based on Internet platform. Due to the rapid convergence and dispersion of Internet platform financing, the volatility of fund pool of structured financial products based on Internet platform is very large, which makes liquidity risk the most important difference between Internet financial products and other financial products. Therefore, considering the market risk, credit risk and liquidity risk of structured financial products simultaneously, establishing a non-linear risk model of option portfolio of structured financial products based on Internet financial model, using rare event simulation and intelligent control technology to transform uncertain factors into objective probability values and making the hidden risk explicit and easy to manage and control, are all the necessary works to be developed in academia and industry. Aiming at that structured financial products for the portfolio of options and fixed income products,it is discussed and reviewed that research on risk measurement theory, method and application for structured financial products based on internet financial models, and summarized integrated risk measuring models for the portfolio consists of linear and nonlinear assets under the internet financial environment when dependences among different risk factors are depicted by different distributing types. Lastly, the prospects of research on measured the risk of structured financial products based on internet financial models are also suggested.
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    Research on the Influence of Entrepreneur's Social Relations on Associated Credit Risk Contagion——An Dual-layer Network Perspective
    QIAN Qian, XU Kai
    2020, 28 (11):  35-42.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.004
    Abstract ( 338 )   PDF (1670KB) ( 115 )   Save
    With the rapid development of economy and financial market, there are complex relationships between enterprises.Default of some enterprises may lead to other default or increase the possibility of default.This kind of risk is called associated credit risk. The influence of social relationships among entrepreneurs on the associated credit risk contagion among enterprises is studied. Firstly, a two-layer network is constructed, which is formed by entrepreneurs and enterprises. Secondly, the influence path of entrepreneur social relationship on the associated credit risk contagion is analyzed. Thirdly, an associated credit risk contagion model is proposed, and the influence of entrepreneur social network and two-layer network structure on the associated credit risk contagion is also discussed. The results show that:the contagion effect of associated credit riskis affected by the social relationships of entrepreneurs and the topological structure of two-layer network; the associated credit risk contagion in associated enterprise network may be inhibited by improving the similarity of entrepreneur social network and associated enterprise network. The research perspective of credit risk is expanded and decision-making basis to control risk are provided for banks and other financial institutions.
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    Repricing the Default Risk of Financial Institutions Based on the Expectation of an Implicit Government Guarantee Withdrawal
    FENG Ling, WEN Lu, XIAO Yang
    2020, 28 (11):  43-50.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.005
    Abstract ( 361 )   PDF (3435KB) ( 74 )   Save
    Removing the implicit government guarantee will be a policy priority in the future, which will trigger the expectation of withdrawal of implicit guarantees and lead to the repricing of default risk of financial institutions. In the situation of financial institutions asset value random movement, under discrete time and continuous time implicit guarantee the article depicts the rule of the dynamic random movement of the total asset value of financial institutions, and within the framework of the structured model constructs default risk model considering the government's recessive guarantee, in the process of government's recessive guarantee quit measures default probability and expected loss of different risk state financial institutions. The research shows that:(1) with the gradual withdrawal of implicit government guarantee, the probability of default of financial institutions increases gradually and converges to the situation of complete non-guarantee, but the expected loss climbs up and then declines. (2) the higher the volatility of asset value and the leverage ratio of financial institutions, the greater the default probability and expected loss in the process of the withdrawal of implicit government guarantee. Based on the above research conclusions, policy suggestions are put forward to prevent systemic risks.
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    Stability Analysis of Banking System under Dual Channel Risk Contagion
    JIANG Shan-shan, FAN Hong
    2020, 28 (11):  51-60.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.006
    Abstract ( 378 )   PDF (2215KB) ( 175 )   Save
    The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking systems. Overlapping portfolios is an important reason for the spread of financial risks. Existing bank systemic risk models consider the effects of interbank lending (direct contagion channel) or overlapping portfolios (indirect contagion channel) on bank systemic risk, rather than considering interbank lending and overlapping portfolios at same time (dual contagion channel). In order to study the systemic risk of banking system, a dual contagion channel network model with interbank lending (direct contagion channel) and overlapping portfolios (indirect contagion channel) is constructed in this work. This model is based on Lori's interbank lending model [14], establishes a two-part graph structure of interbank lending market with overlapping portfolios. In order to more truly reflect the evolution of systemic risk, the model introduces investment risk brought about by macroeconomic fluctuations, and the rate of return on investment (ROI) is allowed to change dynamically. The proposed model allows banks to compensate for liquidity by selling assets in depreciation, which more reflects truly the operating rules of banking systems. In addition, the model constrains investment, interbank lending funds can only be used to make up for short-term liquidity shortage, rather than for investment. The results show that under various macroeconomic fluctuations, the average savings, the fluctuation of savings, the rate of return on investment, the reserve ratio, and the interest rate of savings have a greater impact on the stability of the banking system, and the quantitative analysis is carried out. (1) The greater the average ROI, the more stable the banking system will be. (2) The stability of banks is sensitive to deposit interest rate. The higher deposit interest rate, the greater systemic risk. (3) The increase of deposit reserve ratio reduces the profit gap between investment income and deposit interest, thus reducing the ability of banks to cope with risks and increasing systemic risks. (4) Increasing the savings rate, reducing the fluctuation of savings and the interest rate of savings can effectively improve the stability of the banking system. This study provides a scheme for quantitative study of bank systemic risk under macroeconomic fluctuations, and provides a reference for policy makers and regulatory departments to prevent bank systemic risk.
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    Economic Policy Uncertainty, Macroeconomic and Asset Price Fluctuation: Based on TVAR Model and Spillover Index
    HU Cheng-chun, CHEN Xun
    2020, 28 (11):  61-70.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.007
    Abstract ( 468 )   PDF (2164KB) ( 94 )   Save
    Concerns about economic policy uncertainty have risen after global financial crisis, the FRB and IMF suggest that the economic policy uncertainty hindered the recovery of the U.S as well as the world economy. The economic policy uncertainty(EPU) index which was developed by Baker et al. shows that the economic policy uncertainty is unusually high in recent years in China, so it is important to identify the impacts of economic policy uncertainty and the mechanism. Based on the TVAR model and Spillover index, EPU index is adopted, empirically examines the nonlinear effects of China's economic policy uncertainty on output and asset prices, as well as the spillover effects of macroeconomic variables through 1997M01 to 2017M09. The results show that:(1) The impact of economic policy uncertainty is asymmetric. When economic policy uncertainty is high, one positive impact of standard deviation caused a decline of output in 0.21% (accumulated), house prices and stock market volatility increased, but when economic policy uncertainty is low, the impacts were much more weaker. (2) Spillover index shows that there is a net spillover of output, house prices and stock market due to economic policy uncertainty. In the period of high economic policy uncertainty, the overall spillover index exceeds 50%, and the linkage between variables is strong. The results of this research have important implications for policy makers.
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    Pricing of the Contingent Convertible Bond with Countercyclical Buffer Mechanism
    WANG Wen-hua, QIN Xue-zhi, WANG Lin
    2020, 28 (11):  71-79.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.008
    Abstract ( 309 )   PDF (1944KB) ( 56 )   Save
    The unexpected bankruptcy of systemically important financial institutions (SIFIs) may even trigger a global economy-wide recession like the global financial crisis of 2007-2009, such that the government regulators have to bail out the troubled SIFIs with taxpayers' money. However, these governments' bailouts will certainly lead to annoying moral hazard problems. In order to enhance the loss absorption capacity of SIFIs and reduce the actual economic impact of its bankruptcy, Basel III proposed in 2012 that SIFIs need to aggrandize countercyclical capital buffers (CCyB) when systemic risks caused by excess credit growth accumulate to a certain risky extent. CCyB is expected to ensure that SIFIs has sufficient capital buffers to cope with future economic and financial crises.
    A contingent convertible bond with countercyclical buffer mechanism (CoCoCb) which is based on the proposals of dual-trigger CoCos in Squam Lake working group, McDonald and Allen and Tang is employed to restrain the moral hazard problems. CoCoCb is expected to promote a more resilient banking sector. When systemic risks accumulate to a certain risky extent, investors could put back CoCoCb at a predetermined discount price in order to avoid potential huge losses. The put-back mechanism provides the issuing bank with a way to recapitalize, which is similar to the primary purpose of the CCyB. Alternatively, investors could convert the bond into common contingent convertible bond (CoCo). Therewith, CoCo could be automatically converted into common equity if the issuer falls into financial distress. The automatic conversion mechanism keeps the CoCoCb with more power in loss absorbing capacity.
    Based on the Black-Scholes model, Jarrow-Turnbull mode and the default-free assumption, a closed-form pricing formula for a zero-coupon CoCoCb is obtained. In addition, the countercyclical buffer property, loss absorbing capacity and investor-friendly property of CoCoCb are also analyzed. A set of data is exployed from the official website of Bank for International Settlements from March 31, 1962 to June 30, 2017, which includes quarterly data on credit and GDP in a total of 39 countries and regions, including the ratio of credit to GDP, the long-term trend of credit and GDP, and the gap between credit and GDP. Credit here refers to generalized credit, and Chinese credit data refers to the total non-financial private sector credit calculated by the People's Bank of China.
    Consequently, the event of that the credit and GDP gap value increases to the peak is subject to the Poisson process; an appropriate putting-back ratios ensure that CoCoCb combines countercyclical buffer property and loss absorbing capacity.
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    Rising Housing Price, Household Debt and Urban Household Consumption Perspective from LTV
    ZHOU Li, YI Xing-jian
    2020, 28 (11):  80-89.  doi: 10.16381/j.cnki.issn1003-207x.2018.1024
    Abstract ( 335 )   PDF (911KB) ( 95 )   Save
    This paper explores the impact of rising house prices and household debt on consumption from both theoretical and empirical perspectives.
    Theoretically we construct a model respectively considering the impact of rising house prices, Loan to Value(LTV) on household consumption for house owners and renters. Empirical results of micro data from China Family Panel Studies (CFPS) of 2010, 2010 and 2014 show that:(1) The leverage effect of household debt on consumption is remarkable, and the leverage effect is still significant even after controlling the economic development of different provinces and different items of consumption; (2) For house owners, rising house prices will significantly promote the consumption, and its positive wealth effect on household consumption is enhanced after including household debts in the model; While for renters or potential houses buyers, rising housing prices will hamper the consumption. (3) Whatever for house owners or homeless households, the effect of loan-to-value ratio on household consumption has obvious threshold effect, that is, only when the loan-to-value ratio increases to a certain level, its influence on household consumption will change from promotion to inhibition. (4) The effect of rising housing prices on household consumption is significantly different among diverse groups. For urban households with higher education degree or those with more than two houses, the effect of rising housing price on the consumption is stronger.
    However, it should be noted that although household debt can fill the gap between expenditure and income, when the amount of household debt level is over large, rigid repayment of larger debt will crowd out household consumption. At that time, the accumulation of household debt will hinder the household consumption.
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    Does China Have the International Pricing Power for Crude Oil?——Based on a Perspective of Independence and Conductivity Between Oil Prices
    TIAN Hong-zhi, YAO Feng, LI Hui
    2020, 28 (11):  90-99.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.010
    Abstract ( 348 )   PDF (2091KB) ( 158 )   Save
    Within the current international crude oil futures market pricing pattern, how to determine whether China's crude oil futures prices have international pricing power is both an urgent theoretical and practical problem. Based on a statistical analysis using the multivariate one-way effect causal measure method, this paper focuses on the independence and conductivity of crude oil futures market pricing, using the Shanghai International Energy Exchange Center crude oil futures price (INE) as an empirical basis. The results are threefold. First, in the short and medium term, INE is not affected by WTI, Brent crude oil futures prices, it also has a price discovery function, but does not yet have long-term independence. Second, under the condition of the sample interval of this paper and the exchange rate between US dollar and RMB, the use of RMB pricing in Shanghai crude oil futures can enhance its influence on WTI and Brent, and a the same time reduce their influence, thus highlighting the dual pricing advantage of RMB pricing. Third, WTI and Brent oil prices being benchmark oil price indicators and INE being a non-benchmark oil price indicator validates the paper's new criteria to determine the long-term independence between benchmark indicators, as well as the conductivity of benchmark oil prices on non-benchmark oil prices, thus reflecting the rationality of this criteria.
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    Research on Cooperative Decision-making of Supply Chain Based on Option Contract
    Tian Jun, Tian Cheng, Dong Zan-qiang
    2020, 28 (11):  100-109.  doi: 10.16381/j.cnki.issn1003-207x.2018.0771
    Abstract ( 325 )   PDF (1757KB) ( 126 )   Save
    In this paper, in view of the application of option contract in supply chain under market demand and price instability, how risk-averse suppliers design the option contract model to maximize the profit is studied. When there is uncertainty or random demand in the supply chain, the risk is more prominent. Option contract is an effective tool to prevent risk. Through the introduction of real options in the two level supply chain, the risk caused by the uncertainty of the buyer's demand will be transferred to the supplier, and the risk of the party is passed from the option contract. The extra profit, which is from the option contract model presented in the paper, is used to balance the risk. In the analysis of the collaborative decision scheme that does consider the option factors, the optimal profit maximization model of the option contract is constructed under the circumstances that market demand changes in the random distribution state. Numerical calculation examples verify the feasibility of the option contract strategy model. This research improves the risk-averse model of the option contract in the supply chain to a certain extent, and provides a useful practical reference value for the decision basis of the risk management of the supply chain enterprises.
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    Tactics for Transnational Ownership Control and Supply Chain Integration with Nash-Rubinstein Bargain
    LI Ji-zi, WANG Zhong-rui, LIU Chun-ling, LIU Fnag-bin
    2020, 28 (11):  110-119.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.012
    Abstract ( 301 )   PDF (1327KB) ( 73 )   Save
    With the development of economic globalization and China's vigorous implementation of the "One Belt and One Road" strategy, while foreign enterprises enter the Chinese market, Chinese enterprises are also looking for suitable partners in the global market to integrate domestic resources to optimize their own supply chain and improve their global competitiveness simultaneously. Hence transnational ownership control in global supply chain is becoming one of current research hotspots. Based on ownership cooperation of downstream local manufacturers and upstream oversea suppliers in the supply chain, focusing on the ownership ratio and ownership control between the supply chain enterprises, taking the two-stage sequential progressive decision-making model (i.e. initial stage and mature stage) for the domestic enterprise into account. The case of the manufacturer in the local market, and the manufacturer transfers to the overseas market due to cost factors in the later stage is first considered in this paper then the analysis framework of transnational ownership cooperation in supply chain is explored.
    Furthermore, through introducing static and dynamic bargaining game methods, considering the ownership cooperation between the local market and overseas market in the transnational supply chain is a multi-stage dynamic game process, Nash and Rubinstein game models for ownership cooperation are established, it studies ownership allocation mechanism and ratio at the initial and mature stage respectively. What is more, it gets the optimal profits of both partners under different cooperation modes, and derives the optimal ownership ratio based on the ownership control. At last, the different optimal options for transnational ownership cooperation are obtained in different scenarios, which will benefit local companies to make right decision. It is found that when the local manufacturer and overseas supplier want to implement the ownership cooperation, the profitability of local manufacturer should be taken into consideration first, and whether to further achieve the ownership cooperation depends on the basic capacity of the domestic market, the difference in income tax rates between the two countries and the internal operation cost of the transnational supply chain. In addition, if the local enterprise wants to acquire the controlling stake, the two sides will have the willingness to cooperate only when the ownership allocation proportion gap is not very large. The case of absolute control of either party will make the cooperation difficult to achieve.
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    Research on Decision-making of Two Supply Chains with RFID Technology
    JIANG Qiu-yang, TAO Feng, FAN Ti-jun, LAI Kin-keung
    2020, 28 (11):  120-129.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.013
    Abstract ( 294 )   PDF (1934KB) ( 266 )   Save
    Two supply chains which are led by retailers consisting of one supplier and one retailer are considered in this paper. The study is divided into three situations:two suppliers have not invested in RFID technology, only one supplier invests in RFID technology and two suppliers simultaneously invest in RFID, respectively. The differences in supplier cost structure and compares are considered and investment decisions in the supply chain are analyzed. Because the analytical solution of the model is too complicated, this paper focuses on the impact of the product replacement rate, RFID tag price and inventory availability on the profit of supply chain members through numerical analysis. The results show that the investment decisions of RFID technology in the two supply chains will change due to the difference in cost structure and product replacement rate. When the production cost difference between the two suppliers is obvious and the product competition intensity is relatively flat, the supplier with higher production cost is more willing to invest in RFID technology, while the supplier with lower production cost is reluctant to invest, and two retailers want to use RFID technology, so there will only be one supply chain that decides to invest in RFID technology. If only one supply chain invests in RFID technology, the impact of RFID tag cost on supplier revenue changes due to the cost of the supplier. When the supplier's production cost is high, his revenue decreases with the tag cost. When the supplier's production cost is low, his revenue increases with the tag cost. When the supplier's production cost is in the middle, the revenue rises and then decreases with the tag cost. The impact of inventory availability on supplier profit is similar to the cost of RFID tags.
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    Incentives for Big Data Investment in Supply Chains with Two-way Partial Transparency
    ZHOU Mao-sen, ZHANG Qing-yu
    2020, 28 (11):  130-144.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.014
    Abstract ( 323 )   PDF (3794KB) ( 124 )   Save
    The rapid growth of big data has provided tremendous opportunities for enterprises to understand the market and make decisions better. However, taking the significant cost into account, practitioners have also raised questions about the financial returns on the big-data investment. Inter-enterprise sharing of big data may be an effective approach to alleviate the big-data investment pressure by avoiding inefficiently redundant development of big-data resources, nevertheless, partial sharing or non-sharing is more common. In this context, the decision and incentive alignment issues arising from big-data investment in a supply chain that consists of one upstream supplier and one downstream manufacturer are investigated. Both members can invest in big data to obtain accurate demand forecasts. The forecasts can be shared partially not only from the supplier to the manufacturer (i.e., top-down transparency), but also from the manufacturer to the supplier (i.e., bottom-up transparency). As the two-way partial transparency is exogenously given, a theoretical analysis model is established to solve the decision problems of big-data investment and then the impacts of the two-way transparency on the utilization value and investment incentives of big data are analyzed.
    The results indicate that the supplier always benefits from two-way transparency, whereas the manufacturer can benefit not only from top-down partial transparency with lower bottom-up transparency, but also from bottom-up complete transparency with lower top-down transparency. Therefore, both members can benefit from two-way increased transparency when the top-down transparency is sufficiently low. In addition, it is most conducive to the feasibility of big-data investment with top-down complete transparency and bottom-up non-transparency. Overinvestment never happens to the manufacturer, while it may happen to the supplier when both the top-down and bottom-up transparency is sufficiently low. To address the incentive alignment issues, a contract scheme based on investment compensation is proposed, which can achieve the optimal investment levels under the centralized investment setting and realize Pareto improvement. Finally, numerical experiments are conducted to obtain more managerial insights, and show that the return on investment can be improved by 5-49% under the contract scheme.
    In summary, the decision making and incentive mechanism for big-data investments of multiple enterprises under partial transparency are studied by employing the game theory. The findings in this paper can provide academic and practical insights for sustainable utilization of big data.
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    Research on Emission Reduction Decision under the Trading Path of Carbon Quota Within and Outside the Supply Chain
    ZHANG Ling-rong, WANG Jian, PENG Bo
    2020, 28 (11):  145-154.  doi: 10.16381/j.cnki.issn1003-207x.2019.1579
    Abstract ( 411 )   PDF (2567KB) ( 439 )   Save
    Cap-and-trade is one of the effective measures to control carbon emissions. China has launched a national carbon emission trading market in 2017. Carbon quota trading is divided into two ways:listed trading and agreement transfer. Therefore, under the two internal and external carbon quota trading paths, how to choose the carbon trading path and carbon emission reduction investment decision is an urgent problem to be solved for the member companies of the supply chain. A two-stage supply chain consisting of a single manufacturer and a single supplier is considered.Manufacturer can meet its carbon emission allowance requirements and have surpluses through carbon emission reduction investment, while the supplier's carbon emission allowance is insufficient.In the context of a perfect carbon quota trading market, supply chain member companies need to choose between the external carbon trading path and the coexistence path of internal and external carbon quota trading.Under different trading paths, corporate emission reduction decisions and internal and external carbon trading prices will have different effects on corporate profits. The trading conditions of internal and external carbon quotas, corporate emission reduction strategies, and profit influencing factors are analyzed by establishing a Stackelberg game model followed by manufacturers leading suppliers. An example analysis is carried out on the data of a manufacturing supply chain member company to verify the validity of the conclusion. The research results show that under the external carbon trading path, the emission reduction decisions of upstream and downstream enterprises in the supply chain affect each other, and when the unit carbon emission and the carbon emission reduction cost coefficient are equal, the carbon emission reduction rate of upstream companies is twice that of downstream companies; simultaneous internal and external carbon quota transactions can lower the wholesale price of intermediate products, increase the carbon emission reduction rate of member companies in the supply chain, and increase corporate profits.The calculation example finds that only when the enterprise carbon quota and the internal carbon transaction price are within a certain range can the internal carbon transaction be reached. At this time, the manufacturer will share the supplier's carbon emission reduction costs. Therefore, when the conditions for coexistence of internal and external carbon trading paths can be reached, the supply chain enterprises jointly formulate internal carbon trading prices can reduce the wholesale price of intermediate products, increase the order quantity of intermediate products and corporate profits; when formulating carbon quota policies, the government should appropriately relax restrictions on manufacturers' carbon quotas, encourage internal carbon trading, and promote carbon emission reductions in the supply chain. In this paper, the above points are taken into account, which can be used for reference in the same type of research.
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    The Periodic Impact of Linguistic Cues to Update Signalson Successful Crowdfunding Campaigns Among Categories
    WANG Wei, HE Ling, KEVIN Zhu, SUN Rui, WANG Hong-wei
    2020, 28 (11):  155-166.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.016
    Abstract ( 313 )   PDF (2408KB) ( 76 )   Save
    During the process of crowd funding, the initiators commonly face a dilemma to choose between integrity and confidentiality of project's idea disclosure. They need to promote the project as specific as possible for one side and leave some in reserve to avoid ideas giving away for the public. Generally, the initiators release the project progress to the investors at the right time by phases through the text updates on the platform. Therefore, the impacts of periodic text updates are investigated on the successful rate of crowd funding campaigns. Text hierarchical clustering is used to classify the updated text of the crowdfunding project. Euclidean distance function d(x,y)=$\sqrt {\sum\limits_{i = 1}^n {{{({x_i} - {y_i})}^2}} } $ is employed to calculate the distance between words that extracted from the update content. Then according to the distance dmax(Ci, Cj)=$\mathop {\max }\limits_{\mathop \to \limits_{{x_i} \in {C_{i,}}} \mathop \to \limits_{{x_j} \in {C_j}_,} } $ distance($\overrightarrow {{x_i}} ,\overrightarrow {{x_j}} $) to maximize the distance between clusters.The aim is to minimize the distance in the cluster and maximize the distance between clusters. Firstly, the update text and extract keywords are pre-processed for topic analyzing. Six categories of topics are obtained through clustering topics of the updated text using hierarchical clustering method, that are (1) progress reports, (2) content updates, (3) reward related content, (4) time reminders, (5) thanks-related content and (6) social promotion respectively. An econometric model Successi=α+U'i.β+Z'i.γ+εi is built to estimate the periodic impact of linguistic cues to updates on successful crowdfunding campaigns. Using 126 593 crowdfunding projects from Kickstarter as research data, with the total number of 407,582 updates, of which 243,730 published during the financing period, accounting for about 60%, while 163,852 updates are generated after fund raising duration. Then, for the three different phases (the early phase, the middle phase and the late phase), the effect of each update topic on the funding results is explored. Since there are some differences between investors' concern between projects, it is examined which update topic should be focused at different phases for each category of the projects. Meanwhile, the different impacts of internal updates and external updates of the update topics on the funding success are tested. Overall, frequent updates improve the successful funding ratio significantly. More specially, it does not exist significant effects in the first phase of funding, while it is much more effective in the middle phase and the late phase. For the update topics, all update topics are positively related to the funding success, but time reminders, thanks related content and progress reports are more powerfully than other three topics. For different categories, the entrepreneurs should focus on updating different topics. The update strategies on experience-related projects and life-related projects are basically the same, while the update strategies of art-related projects are totally different. This study enriched the research of Internet financial and text mining, and provided new perspectives for researches and practices in crowdfunding. It is demonstrated that phased signal transmission plays a role in online financing, which makes up for the deficiency of existing theoretical research. In addition to E-commerce and other trading areas, the investors in online financing will also consider the phased signal transmission, and we set a fire for future theoretical research and practice.
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    Carbon Emission Reduction Investment for Coal-fired Power Plants and Policy Analysis Considering Carbon Price Floor
    ZHANG Xin-hua, HUANG Tian-ming, GAN Dong-mei, YE Ze
    2020, 28 (11):  167-174.  doi: 10.16381/j.cnki.issn1003-207x.2019.1752
    Abstract ( 415 )   PDF (1390KB) ( 98 )   Save
    Reducing carbon dioxide emissions is a national macro goal. To achieve this goal, carbon emission reduction of coal-fired power generation is considered to be crucial. Although the proportion of renewable energy generation is increasing, coal-fired power generation is still the main source and an important guarantee of electricity supply. Therefore, encouraging coal-fired power plants to invest in carbon emission reduction and reducing carbon emissions per unit power generation may be one of the feasible ways to achieve carbon emission reduction target and guarantee sufficient electricity supply.
    Three Geometric Brownian motions are employed to characterize respectively the random fluctuation of carbon emission right price (carbon price), on grid power of coal-fired power plants and unit operation and maintenance cost of carbon emission reduction facilities, and a real option model of carbon emission reduction investment for coal-fired power plants considering carbon price floor is proposed in this paper. Based on the solution of the model, for a 600,000 kW coal-fired power unit, the effect of carbon price floor on the expected investment timing of carbon emission reduction is investigated applied with the numerical simulation whose parameter values come from references or technical data of the generator. Then the effect of the initial carbon price and the initial per unit operation and maintenance costs on incentive carbon price floor are discussed, whose result reveal the valid region of carbon price floor support scheme, and the advantages and disadvantages of carbon price floor support scheme with direct investment subsidies policy is compared.
    The analysis results indicate that, (1) whether carbon price floor can motivate coal-fired power plants to make carbon emission reduction investment is related to the initial carbon price and the initial per unit carbon emission reduction costs. When the initial prices are within the valid region, the expected investment timing can be induced by adjusting carbon price floor. When the initial prices are above the supremum of the valid region, coal-fired power plants will make a carbon emission reduction investment even if there is no carbon price floor support scheme. However, they will not invest within a predetermined timing when the initial prices are below the infimum of the valid region. (2) Compared with direct investment subsidies policy, carbon price floor support scheme can significantly save subsidies funds. Moreover, the combination of direct investment subsidies and tax exemptions can not only save subsidies funds, but also provide more incentives for coal-fired power plants to invest in carbon emission reduction.
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    Price Bubble and Overreaction
    ZHANG Qiang, CAO Yang, ZENG Qing-duo, LIU Shan-cun
    2020, 28 (11):  175-183.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.018
    Abstract ( 385 )   PDF (1063KB) ( 61 )   Save
    Asset price bubbles burst occasionally in security market. The well-known tulip bubble in the Netherlands, the Mississippi bubble in France and the South Sea bubble in the UK impress the word profoundly to this day. With bubble in asset price, learning information from asset price gets less effective for investors, which gives rise to investors' incorrect investment strategy, inefficient capital flows in security market and consequently reduces market stability and disturbs the market's role of efficient resource allocation. So, lots of researchers try to explain price bubble from trading volume, return, turnover etc. based on Efficient-Markets Hypothesis. However, most of them are not as persuasive due to the imperfection of Efficient-Markets Hypothesis. Meanwhile, some researchers turn to overreaction theory in behavioral finance to analyze this anomaly. Overreaction theory documents that investors overreact to some news or information due to cognitive and emotional biases. For example, investors overvalue immediate information while attach less importance on the previous information. In addition, most of these researches examine price bubble by empirical analysis, but scarcely focus on the relation between overreaction and price bubble in framework of microstructure theory.
    Taking into account information delay hypothesis, a two-period model is built to analyze relations between investors' overreaction and price bubble within rational expectation framework. In this model, early-informed investors observe a piece of private information on the fundamental value of the traded asset as well as learn information from price in the first round. In the second period, public information is disclosed and the early-informed investors and late-informed investors both overreact to this public information, that is, they overweight public information relative to their own private information.
    Firstly, with exogenous information acquisition, it is found that the informed investors' overreaction to the public information has no influence on the price informativeness in the first period but increases the price informativeness in the second round. On the other hand, with endogenous information acquisition, overreaction to the public information decreases the mass of investors who become early-informed and thus reduces the price informativeness in the first period and so price bubble generates. In this case, market liquidity might experience a u-shaped change across periods. When new information arrives in the second period, the price informativeness is promoted but still smaller than that with exogenous information acquisition. That implies less private information is incorporated into the price, and the price deviates from the intrinsic value severely. As a result, resources and capital flows are allocated inefficiently across the market and market stability is adversely affected.
    For the regulators, there are two effective ways to get rid of the anomaly of price bubble. One is lowering cost of information acquisition and disclosing more information that can increase the expected utility of informed investors and thereby attract more investors to become informed. The other one is weakening the extent of investors' overreaction. With less aggressive overreaction, more private information can be incorporated into the price and consequently enhances price informativeness. Therefore, our paper supports the regulation of reinforcing information disclosure and weakening investor bias in the financial market.
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    Advance Selling Strategies for E-retailers in the Presence of Online Consumer Reviews
    SUN Yan-hong, ZHAO Qian, WANG Zi-han
    2020, 28 (11):  184-191.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.019
    Abstract ( 495 )   PDF (1413KB) ( 272 )   Save
    Advance selling is increasingly adopted by online retailers to encourage consumers' early purchases.Since consumers in online markets have high valuation uncertainty about product quality, online consumer reviews have become an important factor that affectstheir purchasing decisions and thus has impacts on online retailers' advance selling strategies. This study aims to examine online retailers' optimal advance selling strategies by incorporating the effects of online consumer reviews.To address such challenging question, a theoretical model is developed and it is considered that an online retailer sells a new product to the market over two periods (i.e., the advance period and the regular period). Consumers in the market are composed of two types:the loyal consumers and the common consumers. Online reviews generated by loyal consumers in the advance period will affect the purchasing decisions of common consumers in the regular period. To further examine the impacts of online consumer reviews on the effectiveness of advance selling, two market scenarios are considered:the monopoly market and the competitive market. Through theoretical analysis, it is found that, in both monopoly and competitive markets, if loyal consumers choose to wait until the regular period to buy products, it is beneficial for the online retailer to provide a discounted advance selling price to enhance consumer reviews, and thus lead more consumers to buy in the regular period. It is noteworthy that in the competitive market, if the preference cost of common consumers is very low and the purchasing proportion of loyal consumers in the advance period is small, advance selling at a discount can prevent competitors to enter the market by enhancing online reviews. With the increase of common consumers' preference cost, it is beneficial for the online retailer to focus on loyal consumers, which can mitigate the competition between the online retailer and its competitor.This study enriches extant literature on advance selling by incorporating the effects of online consumer reviews, and the obtained results can provide practical managers with some valuable suggestions.
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    Can Investor Attention Help to Predict Stock Market Volatility? An Empirical Research Based on Chinese Stock Market High-frequency Data
    ZHANG Tong-hui, YUAN Ying, ZENG Wen
    2020, 28 (11):  192-205.  doi: 10.16381/j.cnki.issn1003-207x.2018.0509
    Abstract ( 411 )   PDF (2175KB) ( 150 )   Save
    In this paper, it is argued that investor attentioncan provide more information in forecasting realized volatility of the SSE composite index and SZSE component index. Time-delay detrended cross-correlation analysis (DCCA)is employed to investigate the lead-lag relationships between investor attention and realized volatility. We further use various ARMA and HAR models as benchmarks to verify the possible effect of investor attention on stock market volatility forecasting. The empirical results show that, in a low volatile market environment with few Internet search activities, investor attention represented by Baidu search volume cannot improve the volatility forecasting accuracy in the Chinese stock market. While in a high turbulent market condition with plentiful Internet search activities, the extended ARMA and HAR models incorporating investor attention can offer more accurate volatility forecasts than the benchmarks. Our findings have important implications in practice. For retail investors and institutional investors, they can previously identify stock market tendency and get profit opportunities. As for regulators, they can strengthen the market regulation and foster an efficient stock market.
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    Multiple Attribute Group Decision-Making Method Based on Evidential Reasoning and Generalized Shapley for Extended Probabilistic Linguistic Term Set
    LIU Pei-de, TENG Fei
    2020, 28 (11):  206-218.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.021
    Abstract ( 352 )   PDF (1136KB) ( 387 )   Save
    Extended probabilistic linguistic term set (EPLTS) can be transformed into several linguistic information representation models by adjusting the probability distribution, such as uncertain linguistic variable, linguistic distribution assessment, extended hesitant fuzzy linguistic term set, probabilistic linguistic term set and so on. EPLTS can describe the original evaluation information more fully and objectively so that it is an important tool for dealing with uncertain information. In view of this, with respect to multiple attribute group decision making problems under extended probabilistic linguistic environment, this paper proposes an extended probabilistic linguistic group decision making method based on evidential reasoning and generalized Shapley value. Firstly, the concept and relative theories of extended probabilistic linguistic term set are given. Secondly, the combination of generalized Shapley value and evidential reasoning is used to aggregate evaluation information from multiple decision makers, and the combination of generalized Shapley value and classical TODIM method is utilized to rank multiple alternatives. Thirdly, the weight determination models based on grey relational method are proposed to calculate weights of decision makers and weights of attributes respectively. Finally, taking the green supplier selection as an example, the effectiveness and superiority of the proposed method are verified by comparative analysis with the existing methods.
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    Emission Trading Mechanism and Environment Policy Design under Information Asymmetry of Abatement Costandpollution
    LI Dong-dong, LV Hong-jun, LI Pin, YANG Jing-yu
    2020, 28 (11):  219-230.  doi: 10.16381/j.cnki.issn1003-207x.2020.11.022
    Abstract ( 335 )   PDF (954KB) ( 219 )   Save
    An emission trading mechanism design model is constructed under information asymmetry of pollution and abatement cost. The design of optimal emission trading mechanism is discussed and the optimal environmental policy is given. The result shows that when firm voluntarily abides the law, the government should set the level of supervision at a reasonable level. When firm choose illegal pollution, the government forces the firm to abide thelaw. At this point, government needs to choose an suitable penalties. A theoretical basis for the decision-making of the government's pricing, distribution mechanism, environmental regulation is provided.
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