Table of Content

20 February 2023, Volume 31 Issue 2 Previous Issue    Next Issue

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Dynamic Investment and Consumption Decisions and Firm’s Asset Pricing of Entrepreneurs with Liquidity Preferences LUO Peng-fei, LU Ting 2023, 31 (2):  1-8.  doi: 10.16381/j.cnki.issn1003-207x.2020.1040 Abstract ( 570 )   PDF (1181KB) ( 900 )   Save In 2018, trade frictions between China and the US result in a downward trend in the stock market. The central bank reduces the reserve requirement and continue to increase the policy easing, which ensure the improvement of liquidity and stabilize the market trend. With the outbreak of COVID-19, the liquidity crisis causes four stock circuit-breakers in the United States and leads to turbulence in global stock markets. Thus, the liquidity problem affects the stability of the financial market, which in turn affects the development of firm. From the micro side, liquidity can also bring the entrepreneur utility to a certain extent. Therefore, entrepreneurs have liquidity preferences. What influence will entrepreneurs' liquidity preferences have on investment and consumption decisions and asset pricing? In addition, product technology innovation causes firm’s business cycle, which has the effect on investment and consumption decisions and asset pricing. How do the liquidity preferences affect the impact of business cycle on the solutions. As far as the author knows, there exit no paper to study the above problem, so this paper aims to fill this gap. References | Related Articles | Metrics

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Cognitive Biases, Limited Competition and Asset Pricing LIU Xia, LIU Shan-cun, ZHANG Qiang 2023, 31 (2):  9-17.  doi: 10.16381/j.cnki.issn1003-207x.2020.1373 Abstract ( 477 )   PDF (1065KB) ( 891 )   Save Based on market microstructure theory, a Kyle-type market maker model is developed to explore the completion between traders who bear cognitive biases on the same private information they both observe and the consequent impacts on market outcomes. Firstly by analyzing informed traders’ trading pattern and asset pricing in the base model where both informed traders process the private information rationally and correctly, it is found that informed traders adopt identical trading strategy in equilibrium and divide profits equally. Then, the main model assumes that one of the two informed traders is rational and has objective and right view on the information while the other one is not rational and have subjective bias on that information, either over-optimistic or over-pessimistic. On the premise of those cognitive biases, these informed traders’ trading strategies, competition effect between them and the consequent asset pricing are examined. Then, it compares informed traders’ strategic behaviors, and the market outcomes of asset pricing with and without cognitive biases, and finds that a unique equilibrium exists when and only when the cognitive biases are within certain limits, or else the market breaks down. In equilibrium, the rational informed trader trades on this private information only, whereas the subjective informed trader trades not only on this private information but also on the difference between his views on the shared information and the rational informed trader’s. As a result, the rational trader’s trading intensity on the private information, expected trading volume, and expected profits are larger(smaller) than those of the subjective informed traders when he is over-pessimistic (over-optimistic), respectively. That is, the over-pessimistic (over-optimistic) informed trader competes against the rational informed trader in this trading game and gains more(less) than the rational informed trader does due to his cognitive biases. In respect to market liquidity and efficiency for price discovery, they are smaller when the subjective informed trader has pessimistic (optimistic) cognitive biases than those when there are no cognitive biases, respectively. Furthermore, the relations between cognitive biases and asset price bubbles are explored and it is found that informed trader’s over-pessimistic (over-optimistic) bias would lead to underpricing (overpricing) and thus trader’s optimism would generate price bubble gradually. References | Related Articles | Metrics

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Credit Risk Warning of Listed Companies Based on Information Disclosure Text:Empirical Evidence from Management Discussion and Analysis of the Chinese Annual Report LI Cheng-gang, JIA Hong-ye, ZHAO Guang-hui, FU Hong 2023, 31 (2):  18-29.  doi: 10.16381/j.cnki.issn1003-207x.2020.2263 Abstract ( 875 )   PDF (1230KB) ( 1790 )   Save With the economic globalization, the international economic situation becomes more and more complex, and Chinese listed companies will face greater challenges. The unstable economic situation such as trade friction and financial market volatility will increase the credit risk of listed companies. The establishment of credit risk early warning system is conducive to the operators to find the company’s financial problems in time, and make response and prevention. A large number of text documents disclosed by listed companies can extract certain effective information, which can be used as an effective supplement to the traditional quantitative financial indicators. As an important part of the annual report, “Management Discussion and Analysis (MD & A)” in the enterprise annual report includes the evaluation of the company’s historical operation by the company’s managers and the prospect of the future market development. Therefore, deep mining the valuable text information contained in MD&A can effectively supplement the company’s financial index information and predict the company’s credit risk. References | Related Articles | Metrics

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EV Manufacturer’s Per-Use Rental Adoption Strategy——An Evolutionary Analysis Framework Based on Comparison of Business Models WAN Mi-yu, LIU Jian, ZHANG Zhi-jian, LUO Chun-lin 2023, 31 (2):  30-39.  doi: 10.16381/j.cnki.issn1003-207x.2021.1062 Abstract ( 460 )   PDF (1708KB) ( 1431 )   Save Per-use rental models had experienced rapid growth in China from 2016 to 2019, many electric vehicle (EV) manufacturers adopted per-use rentals, even with profit loss. There are three explanations for the motivations of the manufacturers’ adoption of per-use rental: First, low EV technology level is not fit for selling models. Second, for acquiring EV subsidies, manufacturers sell EVs to per-use rental operators of their own to meet the policy requirements. Third, servicizing provides the incentives for the adoption of per-use rentals. In this paper, the business model adoption strategy is investigated. Combining three incentive factors of policy, technology and servicizing, an evolutionary analysis framework is established based on a comparison of business models, in which the government makes decisions on subsidies and manufacturers decide on business models. The adoption strategy of per-use rentals is analyzed, the interaction among subsidies, technology and per-use rentals is revealed. The conclusions show that, the pooling effect in servicizing and the level of EV technology are the two basic dimensions to determine business model adoption: the pooling effect determines the adoption of per-use rentals, the level of technology determines the adoption of the selling model. There exist interactions between the two basic dimensions, that is, the pooling effect can supplement and replace the technology factors. The EV subsidies change the manufacturers’ decisions on business models by influencing two basic dimensions. The fundamental motivation for manufacturers to adopt per-use rentals is the pooling effect brought by servicizing, rather than subsidies. When the pooling effect is strong, per-use rentals could improve consumer surplus and EV demand at the same time. References | Related Articles | Metrics

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Optimal Patent Licensing Contracts Design and CRS Investment Decisions under Patent Protection JIN Liang, LU Chun-hong, CHENG Yong-sheng, WANG Xue-fang 2023, 31 (2):  40-50.  doi: 10.16381/j.cnki.issn1003-207x.2020.0006 Abstract ( 420 )   PDF (1499KB) ( 669 )   Save According to Ministry of Science and Technology of the People’s Republic of China, the number of granted patents reached 723.90 billion yuan in the first half of 2019, up 23.6 percent year on year. However, in the process of patent authorization, patent infringement often occurs when there is an unreasonable patent licensing contract. As a result, the licensing of patent technology and the competition and cooperation among enterprises become complicated, which easily leads to the misalignment of decision-making incentives and performance losses of enterprises. In this context, the following questions are studied: how patent holder should choose the form of patent licensing contracts, how should brand manufacturer choose CSR investment strategies, and what impact CSR investment and asymmetric information will have on the equilibrium of the system and other issues. References | Related Articles | Metrics

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Does Geopolitical Risk Drive China’s Crude Oil Futures Market? A Wavelet-based Nonparametric Causality-in-Quantiles Test YANG Kun, WEI Yu, LI Shou-wei, HE Jian-min 2023, 31 (2):  51-62.  doi: 10.16381/j.cnki.issn1003-207x.2020.1136 Abstract ( 619 )   PDF (1160KB) ( 1336 )   Save The crucial effects of sudden geopolitical turmoil on crude oil markets have long been widely recognized, but there is no direct evidence that geopolitical risk changes drive China’s crude oil futures market. Introducing the news-based geopolitical risk (GPR) index, the nonlinear impacts of geopolitical risk on the returns and volatility of China’s crude oil futures are detailedly disussed, from the perspectives of multi-time scales and different conditional distributions, using the maximal overlap discrete wavelet transform and nonparametric causality-in-quantiles test. On that basis, seven types of oil intraday volatility are calculated by the 5-minute high-frequency transaction data of Shanghai crude oil futures, and are further used to analyze the effect of geopolitical risk on crude oil high-frequency price dynamics. References | Related Articles | Metrics

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Research on R&D Project Investment Decision and Optimal Government Subsidies GAN Liu, LI Qun-chi 2023, 31 (2):  63-72.  doi: 10.16381/j.cnki.issn1003-207x.2020.0896 Abstract ( 431 )   PDF (1223KB) ( 868 )   Save One of the key strategic decisions in firms concerns the timing and financing of an investment. However, bonds are not the only source of financing key strategic investments. Government subsidy is an important source of financing. The government uses the subsidy to help the R&D enterprises to solve the problems of insufficient investment. According to a recent report by National Bureau of Statistics. The total expenditure on R&D activities in China was 2,173.7 billion yuan in 2019, with an average annual growth rate of 10.73% from 2015 to 2019. Among them, the total expenditure on R&D activities by companies in 2019 can account for about 79%, and the government accounts for 21%. The state’s financial science and technology funds are increasing year by year at an average annual rate of 12.9%. References | Related Articles | Metrics

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Research on TT&C Scheduling Methods of Multi-satellites and Multi-stations Based on Maximal Cliques HU Xue-jun, WANG Jian-jiang, SUN Qing, BAI Jian, HAN Xue 2023, 31 (2):  73-83.  doi: 10.16381/j.cnki.issn1003-207x.2020.0150 Abstract ( 349 )   PDF (1065KB) ( 536 )   Save TT&C scheduling of satellites refers to the allocation of limited TT&C resources to satisfy a large number of tracking, telemetry and remote-control requests. With the development of space technology, satellites are widely used in remote sensing, navigation, communication, mapping and other fields. The TT&C demands of satellites are increasing continuously, and the scarce TT&C resources become more and more valuable. In order to alleviate the contradictions between the limited resources of ground stations and the increasing TT&C demands, the multi-satellite and multi-station scheduling problem is studied. References | Related Articles | Metrics

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Study on Supervision Strategy of PPP Project Considering the Participation of Higher-Level Government ZHOU Yi-ning, LIU Ji-cai 2023, 31 (2):  84-94.  doi: 10.16381/j.cnki.issn1003-207x.2020.0801 Abstract ( 415 )   PDF (1452KB) ( 680 )   Save In PPP projects, investor speculation will damage the public interest and even affect the success of the project. Therefore, many government regulatory structures have been studied. However, considering the cost-effectiveness and perception bias of the government and investors, there is often the possibility that the incentive paradox will lead to invalid supervision. It is necessary to consider third parties from outside the regulatory structure to achieve effective regulation. Therefore, based on the prospect theory and the assumption of bounded rationality, the game revenue perception matrix is established and analyzed which introduces the administrative supervision mechanism of higher-level government departments. This can provide a theoretical basis for strategies to suppress speculation by investors in PPP projects. Studies have shown that the participation of higher-level government departments in the supervision of PPP projects has a significant effect on curbing investor speculation. Increasing the reference point of the project's basic performance standards, the penalty factor of the project, and the supervision probability of higher-level government departments can achieve the purpose of suppressing investor speculation. The effects of reward coefficients, local government supervision costs, and local government political performance penalties on suppressing investor speculation vary according to the initial project conditions. Formulating different supervision strategies according to the initial conditions of the project will facilitate the improvement of the PPP project supervision system and promote the sustainable development of the PPP project. References | Related Articles | Metrics

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Pricing and Cold-chain Logistics Service Decisions of Fresh Agriculture Products Supply Chain under Different Trade Modes YE Jun, GU Bo-jun, FU Yu-fang 2023, 31 (2):  95-107.  doi: 10.16381/j.cnki.issn1003-207x.2020.0751 Abstract ( 1006 )   PDF (1403KB) ( 2140 )   Save Though China is a major producer and consumer of fresh agricultural products, cross－border trade in fresh agricultural products is booming due to limitation of production resource and imbalance productivity. However, easy to deterioration as well as long－distance and long-time cross－border journey lead to higher transportation cost and higher risk of goods loss for cross－border trade in fresh agricultural products. Therefore, the logistics provider is desired to improve the cold－chain logistics service so as to minimize the deterioration rate during the transportation. In addition, FOB (Free on Board), CIF (Cost, Insurance and Freight) and DAP (Delivered at Place) are three different trading modes, and the cost of cold－chain logistics service and the loss of goods in transportation are undertaken by the different parties under different trading modes. Therefore, in the cross－border trade of fresh agricultural products, the choice of different trading modes and cold chain logistics service will directly affect the risk of cross－border transportation and the degree of decay of fresh agricultural products, and then have a significant impact on the profits of each party of the fresh agricultural products supply chain. To solve these problems, this study focuses on the cross－border trading mode choice and freshness preservation of fresh agricultural products. References | Related Articles | Metrics

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Agreement Enterprise’s Decisions on the Emergency Material Production and the Raw Material Pre-storage ZHANG Lin, TIAN Jun 2023, 31 (2):  108-117.  doi: 10.16381/j.cnki.issn1003-207x.2020.2158 Abstract ( 360 )   PDF (1124KB) ( 663 )   Save Uncertainties in disasters and emergency material demands make the government authorities and rescue agencies prefer the procurement contracts with flexibilities. However, flexible procurement increases the risks faced by the agreement enterprises, and then requires them to make reasonable emergency material production and reserve plans. This is because, compared with the production capacity reserve, the response speed of pre-production materials (physical reserves) is faster and the production cost is lower. However, production capacity reserve can reduce the agreement enterprises’ risk of overstocking and value loss since the government authority may not execute or partially execute the procurement contract. In this regard, most of the existing studies balance the advantages and disadvantages of the physical reserves and production capacity reserves. However, they commonly ignore a premise. That is, sufficient inventory of the raw materials that can be rapidly put into production is necessary. If the government authority dose not execute or partially executes the procurement contract, the raw material reserve will lose value as well. References | Related Articles | Metrics

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Optimal Load Dispatch for Microgrid with Distributed and Centralized Energy Storage Systems YIN Hui, LU Xin-hui, , ZHOU Kai-le, 2023, 31 (2):  118-128.  doi: 10.16381/j.cnki.issn1003-207x.2020.0762 Abstract ( 505 )   PDF (1177KB) ( 1490 )   Save The development of microgrid is an important way for rational utilization of renewable energy. Energy storage system (ESS) plays an important role in the process of coordinating multiple energy sources and achieving efficient collaborative optimization of microgrid. An optimal load dispatch model is constructed for microgrid, in which both distributed and centralized energy storage systems are considered. And demand response (DR) are considered in the proposed model. The proposed optimal load dispatch model comprehensively considers the economic cost and stability of the microgrid, thereby ensuring the stability of the microgrid while reducing the economic cost of the microgrid at same time. The proposed optimization problem is formulated as a mixed integer linear programming (MILP) problem, which is solved efficiently using commercial solver CPLEX. In the experimental part, the impacts of different ESSs and DR on the economic cost and stability of the microgrid load dispatch process are discussed. The results show that the microgrid with distributed energy storage systems and centralized energy storage system can effectively reduce the economic cost of the microgrid and improve the stability of the microgrid. And the results reveal that the implementation of DR can further reduce the economic cost and improve the stability of microgrid. In addition, the experiment deeply explores the impact of the economic cost and stability weight factors on the objective function. The results show that the selection of the weight factors is a trade-off between the economy and stability of the microgrid, the best compromise between economic cost and stability is calculated in this paper. The research in this paper has important practical significance for the economic and stable operation of microgrid with distributed and centralized energy storage systems. References | Related Articles | Metrics

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Trading Signal Index Optimization of Co-integration Strategy Based on Wavelet GARCH Model CUI Feng, HAN Chuan-feng, LIU Xing-hua, TENG Min-min 2023, 31 (2):  129-137.  doi: 10.16381/j.cnki.issn1003-207x.2020.0027 Abstract ( 452 )   PDF (2532KB) ( 781 )   Save The trading signal index system of cointegration strategy based on the fixed threshold is easy to trigger the trading too early, which leads to the cointegration strategy closing the stop loss at the peak of spread fluctuation, which is not suitable for the volatility aggregation time series. Based on the state space model, the time-varying coefficient cointegration statistical arbitrage strategy is constructed, the time series data of five state-owned banks’ A-share closing price are used for empirical analysis, GARCH model is used to extract the volatility agglomeration information of spread series, and wavelet de-noising technology is used to optimize the time-varying trading signal index system. The Sharpe ratio of wavelet de-noising GARCH time-varying threshold cointegration strategy is as high as 2.284 in the turbulent period from January to June of 2018, which is 18.4% higher than that of non de-noising time-varying threshold cointegration strategy and 109.5% higher than that of fixed threshold cointegration strategy in the same period; In the stable period from July to December of 2018, the sharpe ratio of the three strategies was lower than -2, and the sharpe ratio after noise reduction was slightly lower than that of the non noise reduction strategy. The empirical results show that: in the period of market turbulence, the time-varying trading threshold based on GARCH model can effectively capture the volatility agglomeration information, improve the accuracy of the model position when the jump spread occurs, and the wavelet de-noising optimization can reduce the possibility of triggering trading due to the wrong noise signal, and significantly improve the bank strategy Sharpe ratio. In the stable period, wavelet de-noising time-varying threshold cointegration strategy and non de noising, fixed threshold cointegration strategy are not suitable for the stable period. References | Related Articles | Metrics

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A Measure for Financial Distress based on ST Predictive Model and the Cross-section of Stock Returns LIANG Mo, LI Hong-xiang, ZHANG Shun-ming 2023, 31 (2):  138-149.  doi: 10.16381/j.cnki.issn1003-207x.2020.1532 Abstract ( 620 )   PDF (1650KB) ( 1246 )   Save Financial distress may lead to company bankruptcy in severe conditions. In fact, financial distress is a gradual process and it is predictable. Predicting financial distress is of great significance. On one hand, effective prediction of financial distress is beneficial to the protection of investors’ rights and interests. On the other hand, financial distressed companies are facing greater business risks, and it’s important to study whether the financial distress risk is effectively priced by the stock market. In China’s stock market, to better remind investors of market risks and guide investors to invest rationally, the China Securities Regulatory Commission requires stock exchanges to implement special treatment (ST) for listed company stock transactions in abnormal conditions. This is a policy unique to China’s stock market. References | Related Articles | Metrics

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Advance Payment Strategy of Non-instantaneous Food Based on EOQ Model LI Ye-mei, HUANG Shao-an 2023, 31 (2):  150-161.  doi: 10.16381/j.cnki.issn1003-207x.2020.0729 Abstract ( 340 )   PDF (1272KB) ( 640 )   Save Given the characteristics of low efficiency and serious waste in the development of food industry, it has become the focus of national green supply chain construction. Due to the small scale of most food enterprises, it is hard to seek external financing. Internal financing in the supply chain becomes an important way to improve efficiency and reduce the waste caused by the mismatch between supply and demand in the upstream and downstream of the supply chain. Based on the above, the supplier, retailer food enterprises and consumers are brought into the secondary trade credit system. For the method, the adjusted EOQ model is adopted to describe the above practical problems. Through the calculation of analytical solution and the numerical analysis of M enterprise in Jianghua County, the results show that food retailers do not bear the cost of non-instantaneous deterioration due to the existence of non-instantaneous deterioration time, so the strategy is usually better than the enterprise decision without considering the non-deterioration time. The discount factor of endogenous decision can make enterprises make better use of external conditions, set market segmentation price, improve the efficiency of supply chain decision-making, and the credit cycle and capital cost have a significant impact on retailers’ decision-making. In view of the low operational efficiency of the food supply chain, the classical EOQ model is adopted, and the endogenous and exogenous discount factor is brought into the advance payment strategy framework. Furthermore, the influence of the above two discount factors on the retailers’ decision of instant and non-instantaneous deteriorating food enterprises is compared, which to some extent enriches and perfects the classical EOQ research framework. In addition, some policy suggestions are provided for the construction and upgrading of China’s food supply chain, and certain theoretical and practical significance is proposed. References | Related Articles | Metrics