Table of Content

    28 December 2004, Volume 12 Issue 6 Previous Issue    Next Issue
    Estimation on Treasury Bond Yield Curve with Generalized Bootstrap Method
    YANG Bao-chen, LI Biao
    2004, (6):  1-5. 
    Abstract ( 1886 )   PDF (2089KB) ( 1835 )   Save
    In this paper,a generalized bootstrap method was proposed to estimate the yield curve for any available data sets of bond price with cubic spline interpolation method.In the meanwhile,the paper solved the interpolation equations and the nonlinear equation system in order to obtain the points on the yield curve.In order to investigate the effect on yield curve,whil e the People’s Bank of China decresaes the benchmark interest rates,the paper estimated the treasury bond yield curves on January 21 and March 21,2002 with the price data sets of Shanghai Stock Exchange respectively, and conducted comparison of the two yield curves.
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    An Empirical Research on the"Book-to-Market Effect" for Shanghai Stock Market
    SHAO Xiao-yang, SU Jing-qin, YU Sheng-rui
    2004, (6):  6-11. 
    Abstract ( 2014 )   PDF (2135KB) ( 1435 )   Save
    This paper adopted the data of A shares from 1994 to 2003 listed on Shanghai Securities Exchange to test and analyze the"book-to-market effect"based on annual yield.In order to eliminate the influence of financial reporting,this paper measured stocks’ annual yields from every June to the next May,and measured book-to-market ratios with the data at the last trading day of every May.The research shows:①The"book-to-market effect"exists on Shanghai Stock Market;②Book-to-market ratios can predict the expected returns on stocks because of the positive correlation between them;③The semistrong form efficiency in Shanghai Stock Market is untenable;④Investing on value stocks in Shanghai Stock Market can get abnormal returns.
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    Cross-Sectional Variations and Three Factors Asset Pricing Model:Empirical Evidences from China A Share Market
    CHEN Zhan-hui
    2004, (6):  12-17. 
    Abstract ( 2108 )   PDF (2288KB) ( 2275 )   Save
    We study the cross-sectional expected stock returns and test the Fama-French three factors model in A shares of Shanghai and Shenzhen Stock Exchange.The empirical findings confirm the size effect and book-equity to market equity effect.Fama-French three factors model can capture the common variation of cross-sectional expected stock returns,but fails to account for the momentum and contrarian effects.
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    A Research on Distribution Characteristics of Stock Market Returns in China
    LU Fang-yuan
    2004, (6):  18-22. 
    Abstract ( 1907 )   PDF (892KB) ( 2380 )   Save
    this paper researches the distribution status of Shanghai synthesis index returns and Shenzhen composition index returns by use of modified Weibull distribution.The results show that the modified Wibull distribution can completely depict the distributions of Shanghai synthesis index returns and Shenzhen composition index returns through the simple shift transformation;The big returns obeys sub-exponential distribution and the small returns obeys super-exponential distribution;There are a few differences between the probability distributions of two stock index returns.The fluctuatio of Shanghai synthesis index in bigger than that of Shenzhen composition index;After 1996,the probability distributions of stock market returns in Shanghai and Shenzhen have biggish change and the change of Shanghai stock index returns is more big.
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    An Empirical Study on Cash Flows’ Information Content in Financial Distress Prediction——Evidence from ST firms during the period of 2003-2004
    ZHANG Zhi-wang
    2004, (6):  23-28. 
    Abstract ( 1943 )   PDF (1880KB) ( 2007 )   Save
    Based on 60 financially distressed samples and 120 healthy samples during the period of 2003-2004,this study tests cash flows’ relative and incremental information content in financial distress prediction via unvariate and multivariate logistic analysis.The results of this study include:(1)Operating cash flows have more information content than accrued variables except net income/total assets and assets turnover 1 year in advance of financial distress;(2)Cash flow variables provide significant incremental information content based on accrued model both 1 and 2 year in advance of financial distress.The results above give the following implications:(1)Cash flow information should be employed in financial distress prediction model;(2)Cash flow statements provide useful information to investors in China.
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    Saddlepoint approximation of Creditrisk+ Basing on Severity Variation
    CAI Feng-jing, YANG Yi-dang, LI Yuan,
    2004, (6):  29-33. 
    Abstract ( 1905 )   PDF (2063KB) ( 1457 )   Save
    The traditional Creditrisk+ assumes severity is given and invariable,but recent researchs prove that severity is variable in financial market.Due to this unreasonable assumption in the model,Credit Risk+ is improved in this paper.Severity variation which distribution is a beta distribution is taken into account and saddlepoint approximation,in stead of traditional recurrence relation,is used for credit risk measurement in the new model.Finally,simulations show that the method is effective.
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    A Decision Model of Optimizing CS Indices Based on QFD
    XIE Jia-ping, KONG Ling-cheng, CHEN Rong-qiu, XUE Bei
    2004, (6):  34-41. 
    Abstract ( 1912 )   PDF (1933KB) ( 1648 )   Save
    First of all,based on the customers’ assets,the weight of the customers is defined,which improves the AHP model.Then,a fuzzy clustering model is established,which can assess the customers’ satisfaction.Finally,the paper employs linear programming to establish the mathematical optimizing model,which is constrained by the resources of customer,enterprises,employees and competitor,in order to find out the decision goal of the CS indices.
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    The Quantity Discount Policy of Supply Chain under Quadratic Game
    LIU Jian-hong, DENG Yi-hua
    2004, (6):  42-45. 
    Abstract ( 1809 )   PDF (793KB) ( 1696 )   Save
    The paper brings forward four game models under quadratic game:static state-static state game,static state-dynamic state game,dynamic state-static state game and dynamic state-dynamic state game,analyzes the equilibrium under the four game models,at last calculates a mixed strategy Nash equilibrium through an example,and by contrast to the cost under quadratic game and simple game draws a conclusion that under normal condition the cost of supplier,retailer and supply chain under simple game is lower than that under quadratic game.
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    Study of Basic Mathematical Model and Algorithm for Designing Large Scale Supply Chain
    FAN Ti-jun, HU Qing-huai
    2004, (6):  46-51. 
    Abstract ( 1969 )   PDF (1765KB) ( 2663 )   Save
    The great advances of information technique and the tendency of global economic cooperation as an organic whole make the supply chain a warm issue in field of worldwide management science.On the basis of analysis of the various strategic supply chain models with MIP formulation in both the world and China,this paper presents a basic MIP mathematical model for supply chain design with generality and easy use.An algorithm of generalized upper bounds for large-scale supply chain problems using microcomputers is proposed.It manifests by example that both the model and method proposed are basic not only,but also reliable and practical.
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    The Model for Partial Flexible Job-Shop Scheduling Problem Based on Fuzzy Logic
    LU Bing-yuan, CHEN Hua-ping, GU Chun-sheng, GU Feng
    2004, (6):  52-55. 
    Abstract ( 1845 )   PDF (1201KB) ( 1564 )   Save
    The corresponding conceptions of Partial Flexible Job-Shop Scheduling problems is described in this paper firstly,then an improved scheduling model based on fuzzy logic is given to deal with the partial flexible job-shop scheduling problems in fuzzy environment.Finally,an example is described to approve its effectiveness.
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    The Analysis of Passenger Transport Demand
    FAN Li-li, ZHANG Hu
    2004, (6):  56-61. 
    Abstract ( 1775 )   PDF (1964KB) ( 1394 )   Save
    The main influence factors on passenger transport demand characteristic are studied in this article.The stable demand and active demand are put forward.In this paper, two kinds of demand characteristic, time function, increasing style and optimal price are analyzed.On the basis of above research, the common function expression on passenger transport demand and the recent demonstration form of passenger transport demand function of China are given.
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    The Metric of Process Quality of R&D Project Based on SVM
    JI Yan-guang, XU Qi-hua, HAN Zhi-jun
    2004, (6):  62-67. 
    Abstract ( 1911 )   PDF (2288KB) ( 1420 )   Save
    The metric of process quality is the base of quality control in R&D project.This paper constructs an index system for evaluating the process quality state according to the R&D project quality’s characters,and the technique of support vector machines(SVM) has been applied to evaluate the process quality of R&D project.The method developed in this paper has been practically proved to deal quite with the management of the process quality of R&D project.
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    The Improvement of Forecasting Model Based on BP Neural Network of Self-Adjusted All Parameters
    LI Xiao-feng, XU Jiu-ping
    2004, (6):  68-72. 
    Abstract ( 1712 )   PDF (891KB) ( 2411 )   Save
    In accordance with the shortcoming that BP neural network exists,there are many kinds of improvement methods.This paper has carried on the synthetical improvement at the aspect of algorithm and the network structure design on the foundation of document[3] work.It not only improves the rate of studying but also improves the network structure,and increases the adaptive ability of BP neural network.Application to forecasting China’s energy consumption has acquired good impact.
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    A Heuristic of RCPSPDC
    MA Meng-meng, CAI Chen, WANG Zhao-xiang
    2004, (6):  73-80. 
    Abstract ( 1905 )   PDF (1305KB) ( 1723 )   Save
    How to maximize the net present value of the project subject to the resource constraints is the focus of project scheduling.This article studies the RCPSPDC related to lump-sum contracts and develops a heuristic algorithm named Min{L&F},which ranks the schedule sequence of the activities in the eligible set according to their Min{L&F} and will contribute to the objective of the maximization of the net present value.In order to prove its effectiveness,the heuristic is applied to a numerical example for comparison.
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    The Utility Measure of Consumer and Demand Functions of Industry
    JIANG Shu-yuan, JIANG Qing-fang
    2004, (6):  81-85. 
    Abstract ( 1910 )   PDF (1505KB) ( 2229 )   Save
    If a probability is interpreted by Ramsey’s degree of belief,commodity utility endowed with the properties of von Neumann-Morgenstern’s utility can be measured.On the ground that a consumer’s preference for alternative commodities is the dual system of separable value,this paper constructures the new model of demand,and derives the nonlinear demand function used in strictly analysis of a model industry,which afford scientific basis for observing and studying activities of modern industrial organization and competition behavior.
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    Income and Cost Allocation Mechanisms with Vertical R&D Cooperation
    AI Feng-yi, HOU Guang-ming
    2004, (6):  86-90. 
    Abstract ( 1926 )   PDF (1149KB) ( 2081 )   Save
    For a two-tier market structure included of one downstream monopolist and some upstream oligopolists,an income and two cost allocation mechanisms are put forward for a R&D cooperation mode in which upstream and downstream firms invest and the downstream monopolist carries on a R&D project.In income allocation mechanisms,we get the solutions of output,price and income by backward induction.In cost allocation mechanisms,the limitation of R&D capital, the size of alliance and the cost allocation coefficient are researched.Some inclusions are acquired,such as the optimal size of a R&D alliance only includes of an upstream firm.Last,proportional cost allocation and fixed fraction cost allocation are compared.
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    Study on the Choice of Compatibility and the Lock-In Tactics under Network Economics
    WANG Guo-cai, ZHU Dao-li
    2004, (6):  91-95. 
    Abstract ( 1863 )   PDF (2285KB) ( 2001 )   Save
    Based on a two-stage Hotelling model,the paper regards network externalities and goods compatibility as the main factors that lock in the consumers,and analyzes the competitive strategies with switching cost and network externalities in the game of duopoly companies.
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    Evolutionary Model of Industrial Dynamics for Product Competition
    GAO Jie, SHENG Zhao-han
    2004, (6):  96-102. 
    Abstract ( 1816 )   PDF (1852KB) ( 1484 )   Save
    This paper proposed an evolutionary model of industrial dynamics based on NW model.It described firms’ product competition.And the competing dynamics in the industry,which allows new firms’ continuous and random entry,could be analyzed by using the model.The paper studied the evolution of industry structure and the interaction between firms’ investment decision-making,R&D strategies,technology transformation,product innovation as well as other aspects of industry characteristics.The evolution of industrial structure was simulated by computer experiment,and the simulation showed that the model could make reappearance of the stylized facts in the evolution of the industrial that produces and sells heterogeneous product.
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    Study on the Price-Regulation Mechanism in Asymmetric Information
    YANG Bo, TANG Xiao-wo, MA Yong-kai
    2004, (6):  103-108. 
    Abstract ( 1683 )   PDF (1704KB) ( 1704 )   Save
    This paper studied price regulation mechanism in asymmetric information,we have got the truth-telling equilibrium contract between the monopolist and the dealer.Also,we compared the social wealth loss between symmetric information and asymmetric information,then compared the social wealth improvement between regulation and unregulation in asymmetric information.
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    A New Method on Group Decision-Making with Interval-Number Judgment Matrices
    LI Bing-jun, LIU Si-feng
    2004, (6):  109-112. 
    Abstract ( 1682 )   PDF (1147KB) ( 1976 )   Save
    With regard to the group decision- making under interval-number judgment matrixes, a new method is proposed. Based on the theory of set-value statistics, a new judgment matrix consisting of some defining-numbers with certain reliabilities is constructed equivalent to judgment matrixes with interval-number, and the model of computing and revising the reliable degree of the aggregated values of group information is established. A simple algorithm for making alternatives is given through dealing with the new judgment matrix by the sum-product method. Finally,a numerical example is used to illustrate the validity and the application of the method.
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    Dependent - Chance Programming Model for Stochastic Network Bottleneck Capacity Expansion
    WU Yun, ZHOU Jian, YANG Jun
    2004, (6):  113-117. 
    Abstract ( 1984 )   PDF (1405KB) ( 1439 )   Save
    This paper considers how to increase the capacities of the elements in a set E efficiently so that probability of the total cost for the increment of capacity can be under an upper limit to maximum extent, while the final expansion capacity of a given family F of subsets of E has a given limit bound.The paper supposes the cost is a stochastic variable with some distribution.Network bottleneck capacity expansion problem with stochastic cost is originally formulated as dependent-chance programming model according to some criteria.For solving the stochastic model efficiently,network bottleneck capacity algorithm,stochastic simulation and genetic algorithm are integrated to produce a hybrid intelligent algorithm.Finally a numerical example is presented.
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    The Collusion of Large Shareholder with Manager and Legal Shareholder Protection
    PAN Ze-qing, ZHANG Wei
    2004, (6):  118-122. 
    Abstract ( 1806 )   PDF (954KB) ( 1959 )   Save
    The expropriation on the benefit of small shareholders by large shareholders is achieved through the latter’s collusion with manager to seek private benefits.When acting in collusion,large shareholders take more intensive supervising measures than usual.The collusion between large shareholders and manager not only leads to decrease in earnings of the small shareholders due to large shareholders’ expropriation on their due benefit,but also results in decrease in companies’ return.Requiring large shareholders to shoulder fiduciary duty is thus the major legal method to bring their acts in control.
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    Analysis on the Structural Foundational Factors for Engendering the Energy Dynamics of Enterprises
    YAN Ze-tao, JI Lei
    2004, (6):  123-129. 
    Abstract ( 1759 )   PDF (1005KB) ( 1460 )   Save
    The main theories that scholars have advanced on the energy dynamics of enterprises are non-structural.This paper introduces the theory progress of research about the energy dynamics of enterprises in stock,then analyses several structural foundational factors that determine the energy dynamics of enterprises,and expounds the structural factor for engendering the energy dynamics of enterprises.At the same time,this paper also takes that non-structural factors that affect the energy dynamics of enterprises are also very important,but their value is behind the value of structural foundational factors,and to a certain extent are comprised in structural factors.
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    Study on the Behavior Models and Mutual Economical Benefit of Enterprise Symbiotic
    ZHAO Hong, CHEN Shao-yuan, CHEN Rong-qiu
    2004, (6):  130-136. 
    Abstract ( 1976 )   PDF (1383KB) ( 1907 )   Save
    This paper takes enterprise symbiotic as the objective of the study,based on the given definition and survival condition analysis,firstly puts forward four behavior models of enterprise symbiotic and the relationship between them and then analyzes the mutual economical benefit of the enterprise symbiotic.Furthermore,studies how can keep mutualism for enterprise symbiotic and gives an explanation using mathematical model by setting up an equation of single enterprise growth and studies rule of mutualism and real meaning of enterprise symbiotic.The purpose of doing this research is to provide some useful advices for the companies about how to enhance their capabilities of competing and sustainable development in the complex business ecosystem.
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    Capabilities of the Enterprise's Sustainable Innovation:Key Factors and Evaluation Model
    XIANG Gang, WANG Ying-luo
    2004, (6):  137-142. 
    Abstract ( 1922 )   PDF (1136KB) ( 2581 )   Save
    This paper devotes to analyze the Capabilities of the Enterprise’s Sustainable Innovation(COESI).First,the literatures of the innovation capabilites’research are reviewed and then,the definition and critical features of the COESI are provided.Furthermore,a key factor-structured model for analyzing and then a model for evaluating the COESI are developed.Finally,an initial application of evaluating the COESI of two famous enterprises in China is implemented.
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    An Empirical Analysis of Company's Ownership Structure and Influence Factor
    LI Zhi-tong, ZHANG Rui-jun
    2004, (6):  143-148. 
    Abstract ( 1874 )   PDF (2314KB) ( 1846 )   Save
    This paper regards observation value of 821 listed companies in 1999-2001 years,analyses some key elements of company’s ownership structure,namely maximal size of company’s value,control potential and systematic regulation,and introduces special risk of the company,etc.as with the unstable and closely linked factors.The research finds the change of company’s ownership structure,and goes on by way of maximizing the compatible one with value all the time.Average concentration degree of ownership to control company is more important than that of other company.The ownership structure of the public utilities company is influenced by those control more greatly than finance industry.The paper has offered the experience evidence in decreasing of state shares and shares diversification.
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