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A Tale of Two“Skewness”:Managerial Epidemic Experience,Probability Weighting and Financial Market Stability

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Social Sciences in China 2024年第1期45卷 157-181页

作者： Gu Leilei Ni Xiaoran Peng Yuchao Business School Central University of Finance and Economics School of economics Xiamen University School of finance and Belt&Road finance institute Central University of Finance and Economics

Under probability weighting,entrepreneurs with skewness preference tend to seek rightskewed and avoid left-skewed risks.We show that Chinese firms managed by CEOs with professional epidemic experience,i.e.,who previously experienced the outbreak of SARS during their tenure as high level executives,have a lower stock price crash risk measured by the negative skewness of stock prices in subsequent periods.In particular,those firms intentionally avoid stock price crashes by adopting more conservative strategies in decisionmaking.Overall,we provide the first evidence on the unintended effect of entrepreneurs'subjective judgments of the probabilities of disease outbreaks on financial market stability.These have long-term implications for the financial system.

关键词： SARS epidemic experience probability weighting skewness preference stock price crash risk

Foreign Ownership and International Trade Performance in China

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China & World Economy 2024年第2期32卷 42-72页

作者： Zhiyuan Li Yichun Lin Mingyao Xu School of economics Fudan University Shanghai institute of International finance and economics China School of economics Fudan UniversityChina

We investigate the causal relationship between foreign ownership and international trade performance by comparing foreign-acquired firms with similar domestic-acquired firms in China with regard to changes in their post-acquisition international trade performance.Our findings indicate that foreign ownership significantly enhanced the probability of both exporting and importing,and strongly increased trade value.Foreign ownership took effect from the year of the acquisition and persisted for at least 2 years.It stimulated both processing trade and ordinary trade,and expanded products and trading partners.Post-acquisition trade performance also exhibited heterogeneity based on the different pre-acquisition and post-acquisition ownership.As for the underlying mechanisms,we show that firms experienced significant output expansion,increased export dependence,and eased financial constraints after foreign acquisition.

关键词： domestic acquisition foreign acquisition foreign ownership international trade performance

Sliced Average Variance Estimation for Tensor Data

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Acta Mathematicae Applicatae Sinica 2024年第3期40卷 630-655页

作者： Chuan-quan LI Pei-wen XIAO Chao YING Xiao-hui LIU School of Statistics Jiangxi University of Finance and EconomicsNanchang 330013China Key Laboratory of Data Science in finance and economics Jiangxi University of Finance and EconomicsNanchang 330013China Biostatistics and Medical Informatics University of Wisconsin MadisonMadison 53726USA

Tensor data have been widely used in many fields,e.g.,modern biomedical imaging,chemometrics,and economics,but often suffer from some common issues as in high dimensional statistics.How to find their low-dimensional latent structure has been of great interest for statisticians.To this end,we develop two efficient tensor sufficient dimension reduction methods based on the sliced average variance estimation(SAVE)to estimate the corresponding dimension reduction subspaces.The first one,entitled tensor sliced average variance estimation(TSAVE),works well when the response is discrete or takes finite values,but is not■consistent for continuous response;the second one,named bias-correction tensor sliced average variance estimation(CTSAVE),is a de-biased version of the TSAVE method.The asymptotic properties of both methods are derived under mild conditions.Simulations and real data examples are also provided to show the superiority of the efficiency of the developed methods.

关键词： tensor data sliced average variance estimation sufficient dimension reduction central subspace

New Rural Community Construction or Retention Development:A Comparative Analysis of Rural Settlement Transition Mechanism in Plain Agriculture Area of China Based on Actor Network Theory

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Chinese Geographical Science 2024年第3期34卷 436-452页

作者： QU Yanbo DONG Xiaozhen MA Wenqiu ZHAO Weiying School of Public Administration and Policy Shandong University of Finance and EconomicsJinan 250014China institute of Land Science and Policy Shandong University of Finance and EconomicsJinan 250014China College of Engineering China Agricultural UniversityBeijing 100083China

It is an important way to realize rural revitalization and sustainable development to guide rural settlement transition(RST)in an appropriate way.This paper uses actor network theory(ANT)to construct a theoretical framework for the study of RST.Taking two typical villages with different transition paths in rural areas of North China Plain as examples,this paper reveals the mechanism of RST and makes a comparative analysis.The results show that:1)after identifying problems and obligatory passage point,key actors recruit heterogeneous actors into the actor network by entrusting them with common interests,and realize RST under the system operation.2)Rural settlements under different transition paths have similarities in the problems to be solved,collective actions and policy factors,but there are differences in the transition process,mechanism and effect.The actor network and mechanism of RST through the path of new rural community construction are more complex and the transition effect is more thorough.In contrast,the degree of RST of retention development path is limited if there is no resource and location advantage.3)Based on the applicable conditions of different paths,this paper designs a logical framework of‘Situation-Structure-Behavior-Result’to scientifically guide the identification of RST paths under the background of rural revitalization.

关键词： rural settlement transition(RST) actor network theory(ANT) transition path transition mechanism plain area China

Private information and investment-q sensitivity:Evidence from new products

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China Journal of Accounting research 2024年第1期17卷 28-44页

作者： Ganbing Li Kai Zhu Shanghai University of finance and economics China

This study shows that a decline in investment efficiency due to information asymmetry may not necessarily devalue a firm but may enhance its value instead.Firms base their investment decisions on both public and private information.However,effectively transmitting private information to investors in a competitive market is quite challenging,as it leads to stock prices inadequately reflecting a firm’s true value.Simultaneously,firms must invest to achieve their business objectives,which results in a deviation between a firm’s actual investment level and the market’s expected investment level,thereby reducing investment-q sensitivity.However,this deviation does not imply a waste of societal resources;instead,it improves a firm’s core competitiveness in the product market.We consider the future launch of new products as a proxy for firm private information.We find that(1)private information is negatively associated with investment-q sensitivity,and that the greater the sales of the new product,the lower the investment-q sensitivity;(2)the negative effect is more pronounced for firms with higher revenue volatility and ownership concentration than for those with lower revenue volatility and ownership concentration.This study helps us to further understand how to evaluate firm investment efficiency from the perspective of private information and provides empirical evidence of the costs of the new product launch process.

关键词： Private information New product Investment-q sensitivity

Interregional Value-Added Tax in the Era of E-Commerce: Tax Policy Design Based on Big Data from Online Retailing

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Journal of Social Computing 2024年第1期5卷 46-57页

作者： Yu Chen Luwei Xiang Hu Yang School of Public finance and Taxation Central University of Finance and EconomicsBeijing 100008China School of Management and economics The Chinese University of Hong KongShenzhen 518172China School of Information Central University of Finance and EconomicsBeijing 100008China

The value-added tax(VAT)in China is levied and allocated based on the origin principle.Under the background of the increasing substitution of online retail for traditional offline retail,this mechanism will exacerbate the disparity of regional tax revenue,and intensify tax competition among local governments.Therefore,reconsidering the allocation mechanism of value-added tax in China can be an important policy decision,and it is influenced by various economic and social factors.Firstly,we utilize large-scale retail transaction data from an e-commerce platform to measure regional disparities in retail and consumption among different regions and then reveals present tax policy results in revenue imbalance in different regions.Secondly,we establish a model based on game theory to illustrate how the origin principle leads to fierce tax competition among regions.Furthermore,by establishing and solving tax allocation models between local governments and the central government,this study simulates and calculates the degree of revenue imbalance under different scenarios and attempts to propose policy measures.The results indicate that implementing the destination principle will reduce regional tax imbalances.Moreover,adjusting the allocation ratio between the central government and local governments based on city levels is advantageous for further reducing regional tax revenue disparities.

关键词： value-added tax e-commerce destination principle origin principle

Optimal Reinsurance Strategy Based on the Lundberg Exponent

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Journal of Systems Science & Complexity 2024年

作者： WANG Yeshunying MENG Hui LIAO Pu School of Insurance Central University of Finance and Economics Beijing 100081 China China institute for Actuarial Science Central University of Finance and Economics

In this paper, the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer’s ruin probability based on the Lundberg exponent. Considering reinsurance participants’ diversified risk preferences, the authors assume that the reinsurance premium is calculated by a combined premium principle, including the expected value premium principle and upper moment premium principle. Then, the authors derive the insurer’s optimal reinsurance strategy satisfying the principle of indemnity and the incentive compatibility condition in an infinite reinsurance space based on the point-wise optimization approach. Besides, the proposed work emphasizes the optimality and admissibility of the combination of the excess of loss reinsurance and its dual form when a piecewise reinsurance premium principle is considered. As a special case, the optimal reinsurance strategy under the expected value premium principle reduces to the classic result.Furthermore, the numerical analyses are provided to illustrate the effects of the main parameters on the maximal Lundberg exponent and the optimal reinsurance strategy.

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Exploring the impacts of major events on the systemic risk of the international energy market

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Petroleum Science 2024年第2期21卷 1444-1457页

作者： Ming-Tao Zhao Su-Wan Lu Lian-Biao Cui School of Statistics and Applied Mathematics Anhui University of Finance and EconomicsBengbu233030AnhuiChina Anhui Province Key Laboratory of Philosophy and Social Science of Low-Carbon Development and Carbon finance Anhui University of Finance and EconomicsBengbu233030AnhuiChina

This study examines the systemic risk caused by major events in the international energy market(IEM)and proposes a management strategy to mitigate it. Using the tail-event driven network(TENET)method, this study constructed a tail-risk spillover network(TRSN) of IEM and simulated the dynamic spillover tail-risk process through the cascading failure mechanism. The study found that renewable energy markets contributed more to systemic risk during the Paris Agreement and the COVID-19pandemic, while fossil energy markets played a larger role during the Russia-Ukraine conflict. This study identifies systemically important markets(SM) and critical tail-risk spillover paths as potential sources of systemic risk. The research confirms that cutting off the IEM risk spillover path can greatly reduce systemic risk and the influence of SM. This study offers insights into the management of systemic risk in IEM and provides policy recommendations to reduce the impact of shock events.

关键词： International energy market Tail-risk spillover Cascading failure mechanism Systemic risk management

RMB Exchange Market Pressure and Central Bank Exchange Market Intervention

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China & World Economy 2009年第3期17卷 75-92页

作者： Xiaohui Liu Jing Zhang Lecturer,Chinese finance research institute,Southwestern University of finance and economics,Chengdu,China. Lecturer,finance Department,Southwestern University of finance and economics,Chengdu,China. Lecturer Chinese Finance Research Institute Southwestern University of Finance and Economics Chengdu China. Email: libyxiaohui@*** Lecturer Finance Department Southwestern University of Finance and Economics Chengdu China. Email: libyzhang@***.

The present paper uses the model-dependent and the modeL independent approach to measure the RMB exchange market pressure （EMP） and the central bank＇s intervention using monthly data from January 1999 to June 2008. It is determined that the RMB has been under great appreciation pressure over the past decade. However, the pressure has been weakening since 2005. The two approaches provide significantly different results in terms of the estimated RMB EMP indices and the estimated central bank＇s interventions. The differences may lead to different predietions of potential currency crises. According to the estimation of the RMB EMP, and based on the model-independent approach, the paper shows that China has been under threat of an appreciation currency crisis since 2008. Therefore, China should adopt a moreflexible exchange rate regime to prevent a potential crisis.

关键词： exchange market intervention exchange market pressure model-dependent approach model-independent approach