This paper tries to find out whether some individual concerns will affect the behaviors of independent directors, specifically voting against proposals during the board meeting.We analyze career concern,compensation c...This paper tries to find out whether some individual concerns will affect the behaviors of independent directors, specifically voting against proposals during the board meeting.We analyze career concern,compensation concern,reputation concern and term concern.The results show that individual director with longer career horizon,who is better compensated,with less board seats in other firms,and whose term is earlier than that of the board chairman is more likely to dissent.展开更多
We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,...We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,degree,betweenness,closeness,and eigenvector centralities,to detect whether network properties drive the currency risk premia.We observe that closeness and betweenness centralities can negatively drive currency excess returns but do not exhibit a relationship with forward spread.Thus,our developed network centralities are independent of an unconditional carry trade risk factor.Based on our findings,we develop a trading strategy by taking a long position on peripheral countries’currencies and a short position on core coun-tries’currencies.The aforementioned strategy generates a higher Sharpe ratio than the currency momentum strategy.Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic.展开更多
Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price l...Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.展开更多
In this paper,we examine some principles in managing manufacturing systems.These principles are concerned with the variability,the utilization,the rework,the lead time,and the constant work-in-process efficiency.Whil...In this paper,we examine some principles in managing manufacturing systems.These principles are concerned with the variability,the utilization,the rework,the lead time,and the constant work-in-process efficiency.While these principles are developed through analyzing some simpler disconnected flow line manufacturing systems,we examine whether they can have broad applications.For some of these principles,we provide sufficient conditions,while for others,we provide counterexamples.Our analysis suggests that we should be very cautious about these laws when applied to non-Markov and non-tandem systems.展开更多
This paper examines the role of collateral in sudden stop models that feature occasionally binding constraints and endogenous growth.It shows how different assumptions regarding the nature and valuation of collateral ...This paper examines the role of collateral in sudden stop models that feature occasionally binding constraints and endogenous growth.It shows how different assumptions regarding the nature and valuation of collateral alter the dynamics of crisis episodes and the welfare costs of pecuniary externalities.For example,in a model with land as collateral,valuing collateral at the“expected future price”leads to substantially weaker Fisherian deflation efects than the case with collateral valued at the“current price.”However,the average size of sudden stops in the two economies are similar because households endogenously avoid the region where large sudden stops would occur.The differences between different collateral valuations and the size of sudden stops are amplified when we abstract from endogenous growth.In another case,assuming collateral is income rather than land leads to smaller sudden stops as income is less volatile than asset prices.Finally,we show that some choices lead to constrained or conditionally eficient allocations whereas others generate inefficiencies,but these inefficienciesare small.展开更多
This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics.We use not only the traditional Fama-MacBeth regressio...This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics.We use not only the traditional Fama-MacBeth regression,but also the"big-data"econometric methods:principal component analysis(PCA),partial least squares(PLS),and forecast combination to extract information from all the 75 firm characteristics.These characteristics are important return predictors,with statistical and economic significance.Furthermore,firm characteristics that are related to trading frictions,momentum,and profitability are the most effective predictors of future stock returns in the Chinese stock market.展开更多
In this paper,we aim to study the structure choice of supply chains under competitive environment with uncertain demand.We consider two competing supply chains,each of which chooses to either vertically integrate or d...In this paper,we aim to study the structure choice of supply chains under competitive environment with uncertain demand.We consider two competing supply chains,each of which chooses to either vertically integrate or decentralize with coordinating contracts.We first analyze firms’strategic behavior under given supply chain structures:two integrated chains(II),two decentralized chains(DD),and a mixed structure with one decentralized chain and one integrated chain.We then compare different supply chain structures and examine the equilibrium structure choice.We find that the equilibrium structure depends on the product characteristics.For substitutable products,DD is the equilibrium supply chain structure choice,whereas for complementary products,II is the equilibrium structure.Furthermore,a high demand uncertainty strengthens these equilibrium choices.展开更多
文摘This paper tries to find out whether some individual concerns will affect the behaviors of independent directors, specifically voting against proposals during the board meeting.We analyze career concern,compensation concern,reputation concern and term concern.The results show that individual director with longer career horizon,who is better compensated,with less board seats in other firms,and whose term is earlier than that of the board chairman is more likely to dissent.
基金supported by the Natural Science Foundation of Guangdong Province,Grant No.2023A1515030221.
文摘We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,degree,betweenness,closeness,and eigenvector centralities,to detect whether network properties drive the currency risk premia.We observe that closeness and betweenness centralities can negatively drive currency excess returns but do not exhibit a relationship with forward spread.Thus,our developed network centralities are independent of an unconditional carry trade risk factor.Based on our findings,we develop a trading strategy by taking a long position on peripheral countries’currencies and a short position on core coun-tries’currencies.The aforementioned strategy generates a higher Sharpe ratio than the currency momentum strategy.Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic.
文摘Previous literature on price limit offers mixed empirical evidence on the effectiveness of price limits.This study complements the literature by providing a quasi-natural experiment to study the performance of price limit. We examine the effectiveness of price limit rule using cross-listed stocks in the Chinese stock markets and Hong Kong stock market. We find that the influence of price limit becomes weaker as limit-hitting stocks are traded more actively. Among stocks with high trading activity, the delay of efficient price discovery, the volatility spillover and the trading interference become statistically insignificant. This challenges the views of price limit critics. Additionally, we find that the effect of price limits on the trading is asymmetric for A-shares in the upward and downward price movements.
基金the Natural Science and Engineering Research Council of Canada,the National Natural Science Foundation of China(No.71271131)the Academic Research Fund and the E-Business Center of National University of Singapore,and the Central Research Grant of Hong Kong Polytechnic University(G-YN82).
文摘In this paper,we examine some principles in managing manufacturing systems.These principles are concerned with the variability,the utilization,the rework,the lead time,and the constant work-in-process efficiency.While these principles are developed through analyzing some simpler disconnected flow line manufacturing systems,we examine whether they can have broad applications.For some of these principles,we provide sufficient conditions,while for others,we provide counterexamples.Our analysis suggests that we should be very cautious about these laws when applied to non-Markov and non-tandem systems.
基金the National Natural Science Foundation of China(No.72063030,72141305)the Ministry of Education Social Sciences Foundation for Youths(No.20YJC790018)the Bankard Fund for Political Economy at the University of Virginia.
文摘This paper examines the role of collateral in sudden stop models that feature occasionally binding constraints and endogenous growth.It shows how different assumptions regarding the nature and valuation of collateral alter the dynamics of crisis episodes and the welfare costs of pecuniary externalities.For example,in a model with land as collateral,valuing collateral at the“expected future price”leads to substantially weaker Fisherian deflation efects than the case with collateral valued at the“current price.”However,the average size of sudden stops in the two economies are similar because households endogenously avoid the region where large sudden stops would occur.The differences between different collateral valuations and the size of sudden stops are amplified when we abstract from endogenous growth.In another case,assuming collateral is income rather than land leads to smaller sudden stops as income is less volatile than asset prices.Finally,we show that some choices lead to constrained or conditionally eficient allocations whereas others generate inefficiencies,but these inefficienciesare small.
基金We are grateful to seminar participants at Beijing University,Central University of Finance and Economics,Georgia State University,Hunan University,Indiana University,Renmin University,Shanghai University of Finance and Economics,Washington University in St.Louis,and conference partidpants at the 20(71872195,71602198)Beijing Natural Science Foundation(9174045)+1 种基金Hunan Natural Science Foundation(2019JJ50058)the Fundamental Research Funds for the Central Universities.
文摘This paper presents a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics.We use not only the traditional Fama-MacBeth regression,but also the"big-data"econometric methods:principal component analysis(PCA),partial least squares(PLS),and forecast combination to extract information from all the 75 firm characteristics.These characteristics are important return predictors,with statistical and economic significance.Furthermore,firm characteristics that are related to trading frictions,momentum,and profitability are the most effective predictors of future stock returns in the Chinese stock market.
基金the National Natural Science Foundation of China(No.71271131)。
文摘In this paper,we aim to study the structure choice of supply chains under competitive environment with uncertain demand.We consider two competing supply chains,each of which chooses to either vertically integrate or decentralize with coordinating contracts.We first analyze firms’strategic behavior under given supply chain structures:two integrated chains(II),two decentralized chains(DD),and a mixed structure with one decentralized chain and one integrated chain.We then compare different supply chain structures and examine the equilibrium structure choice.We find that the equilibrium structure depends on the product characteristics.For substitutable products,DD is the equilibrium supply chain structure choice,whereas for complementary products,II is the equilibrium structure.Furthermore,a high demand uncertainty strengthens these equilibrium choices.
