通过对构建的五因素情绪资产定价模型的实证分析,探讨投资者情绪作为条件信息在资产定价中的作用,以及市场因素、规模因素、账面市值比因素、流动性因素和动量因素这五类因素对资产定价的影响.实证结果表明,投资者情绪和公司特征因素的综合作用对股票资产价格形成产生了重要的显著影响,而五因素也分别对资产定价产生了不同程度的显著影响.其中,前三个因素是影响资产定价的最主要因素,而动量和流动性因素在中国资本市场中虽对资产定价有显著影响,但贡献较小.

考虑金融时间序列出现非正态性及非线性相关的特征,构建了基于混合Copula函数的投资组合风险度量及优化模型.采用GARCH模型对各个金融时间序列缘分布进行建模,并利用可以灵活反映上、下尾部相关和对称相关的混合Copula连接各个边缘分布.运用BFGS算法和极大似然估计相结合的方式对模型进行参数估计,通过数学优化和Monte Carlo模拟方法求得投资组合的最优权重,以及相应的VaR和CVaR值.最后,利用中国股市四个行业指数的数据进行实证分析,检验了模型的可行性和有效性,为高维非线性相关的投资组合决策提供有价值的参考.

产业链金融是一种能够有效整合上下游相关企业金融需求的金融创新.当前的产业链金融参与主体仍然是商业银行,而信托业具有管理资金量大、产品设计更为灵活等优势,应在这一领域扎根并进行多元化的金融创新.根据产业链运营中的五个核心环节:采购环节的应收账款、销售环节的预付款、经营环节的存货质押、资本运营环节的并购融资和项目建设环节的项目融资,结合信托业的特性,提出五类信托模式和产品设计实例,以期能为信托业在产业链金融创新中提供有价值的参考.

本文在经典跨期资产定价模型(ICAPM)的基础上考虑了对冲市场因素,构建了二因素ICAPM-BEKK-GARCH模型.通过对我国证券市场的数据进行实证检验发现,没有考虑对冲因素的ICAPM模型确实会出现市场收益与风险关系不显著的模型设定偏差;进而利用两个对冲因素的代理指标实证检验考虑对冲因素的ICAPM模型,发现以房地产市场作为对冲因素时能够得到市场收益与风险成正比的结论,并证明市场中交易费用、税收等因素对收益率有显著影响.本文的实证研究结果表明对冲因素是跨期资产定价模型需要考虑的重要因素,同时也验证了房地产市场是我国股票市场的重要对冲市场.

通过对2010年至2012年在创业板上市的268家企业进行实证分析,发现我国创业板IPO抑价率在逐年下降,由2010年的42.98%下降到2012年的21.62%;创业板上市企业中的风险投资参与度超过70%,持股比例超过15%,并且二者都有逐年上升的趋势;风险投资由于处在初级阶段,对企业影响力较弱,导致对创业板IPO抑价率的影响较小;同时风险投资对创业板IPO抑价率的影响发生了由正到负的方向性转变,二者之间的影响机制由逐名效应转变为认证和监督效应,这种机制的转变可能是由风险投资机构的发展以及政策法规的合理引导所促成的.最后针对风险投资如何积极地降低创业板IPO抑价率,提出了建议.

本文利用我国国债期货的真实数据首先从期现套利和跨期套利两个方式出发对我国国债期货的套利策略进行了实证研究,发现市场中存在套利机会;其次分别利用静态套期保值模型和动态套期保值模型对我国国债期货的套期保值效率进行了实证研究,发现国债期货可以起到规避风险的作用;最后,分别对不同机构投资者的国债期货投资策略进行了分析,提出了相应的建议.

利用系统动力学的方法测算出京津冀区域的相对土地资源承载力、相对经济资源承载力和相对综合资源承载力,结果表明相对土地资源承载力和相对经济资源承载力对综合承载力贡献程度分别约为1/3和2/3,区域的相对综合资源承载力已经处于超载状态.在此基础上,利用Vensim软件对区域土地综合承载力进行系统动力学动态仿真,通过对5种发展方案下未来几年土地综合承载力发展状况的比较,发现该区域的最佳发展方案是人口低速增长(自然增长率4‰、机械增长率2‰),经济稳定发展(14％),粮食单产快速增长(5.5％).

＂滞胀＂之争不断升温传统经济学曾经认为,经济停滞和通货膨胀不会同时出现。但是20世纪70年代,美国等西方发达国家出现的经济停滞与通货膨胀并存局面,打破了这一神话。中国就目前发展阶段而言,尚难以出现美国70年代那样的＂滞胀＂局面,但是,对于是否会出现＂中国

京津冀区域经济的快速发展和人口数量的不断增长，给区域生态带来巨大压力。本文采用生态足迹法分别核算了2007-2011年区域的生态足迹、生态承载力和生态赤字状况。计算的结果表明，在核算时间区间内，京津冀区域的生态足迹在逐渐增大，生态承载力在不断降低，总的生态赤字和人均生态赤字均在逐年升高；区域生态可持续发展的压力也随之增大，区域的生态平衡主要依赖外部区域的资源供给。

股权和债券是上市公司进行融资的两种主要方式.本文探讨在卖空限制下,投资者的异质信念对公司融资工具选择的影响.选取中国沪深A股2009年1月1日至2011年12月31日发布融资公告的上市公司为样本,以超额收益波动率和分析师预测离差作为异质信念代理变量,并且引入公司规模、资产实物性和盈利能力三个控制变量,利用二元Probit回归模型对期间的融资工具选择进行实证研究.实证结果表明:投资者信念异质程度越大,公司越倾向于股权融资;三个控制变量对融资工具选择也有重要贡献.

This paper constructs an improved HIV pathogenesis model by introducing cure rate into the classical HIV pathogenesis model.It proves the global stability of the uninfected equilibrium,and obtains the parameter region where the infected steady state is globally stable.Moreover,the corresponding numerical simulations are carried out,which further shows that there exist periodic solutions in the model when infected steady state is unstable.The results of investigation indicate that improving the cure rate is an important way to control HIV infection efficiently.

According to the behavioral finance experiments with real people,a mathematical model which describes relationship between the average market investment attitude and stock price is constructed.Firstly,the stability of the model is investigated by the related theory of nonlinear discrete dynamic system,and then contagion effect is identified based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.It can make the stock price convergence to equilibrium price with the fastest speed.Furthermore,the relationship between capital structure and stock price volatility is also investigated in the region.Specifically,under the influence of rational contagion effect,when the numbers of long position traders and short position traders are roughly equal in the market,share price volatility shows a parallel trend with slight amplitude;when the number of long position traders are more(less) than the number of short position traders,share price volatility shows a decline(an upward) trend in huge amplitude.

对中国企业对外直接投资(Foreign Direct Investment,FDI)风险进行科学评估,是企业成功"走出去"的必要前提。通过采用公理化的可信性测度和经典的层次分析法,本文构建一个基于可信性理论的风险评估模型。模型在评估多层次风险指标时,能够避免选取隶属函数存在主观性的问题。此外,可信性测度具有自对偶性,使得模型的评估结果更容易理解和接受。针对风险因素的复杂性,本文建立FDI风险评估的多层次指标体系,并运用所构建的模型对企业FDI风险进行评估。实例证明评估模型的可行性与有效性。

<正>地方金融办的设立,最初定位是代表地方政府,协调与金融监管机构和各类金融机构的关系。随后,地方金融办的职能逐渐充实,开始具备一些金融监管职能,特别是美国金融危机以来,赋予地方金融办在培育金融产业、服务中小企业、支持小额贷款、实现农村土地流转等方面的职能。随着中国新一轮区域经济版图的形成,地方政府金融办对区域经济发展的推动作用日益显著,自身的发展空间也越来越大。

To explore the relationship between traders' capital structure and stock price volatility,we design and implement ten behavioral finance experiments with the same contents.According to the experimental phenomena and the principle that the positions of traders reflect their investment attitude towards market,this paper constructs a mathematical model describing the average market investment attitude and stock price.We first study the stability of the model by the related theory of nonlinear discrete dynamic system,and then identify contagion effect based on whether financial market is stable.Numerical simulations indicate that there exists an optimal contagion effect in the region of rational contagion effect.Furthermore,it also investigates the relationship between capital structure and stock price volatility when contagion effect is rational.Specifically,under the influence of rational contagion effect,when the numbers of long position traders and short position traders are roughly equal in the market,share price volatility shows a parallel trend with slight amplitude;when the number of long position traders are more(less) than the number of short position traders,share price volatility shows a decline(an upward) trend in huge amplitude.

Commercial banks are the most important external financing channels for small and medium-sized enterprises,but limited to some factors,such as information asymmetry,the line of credit for commercial banks to small and medium-sized enterprises far cannot satisfy the needs of the development of them.In this context,it is an important measure to effectively solve the difficulty of financing by scientifically evaluating credit risk of small and medium-sized enterprises and enhancing the safety of credit activities by commercial bank.By introducing axiomatic credibility measure and classical analytic hierarchy process,this paper constructs a risk assessment model based on credibility theory.The model can avoid the subjective problem for selecting membership function when evaluate multi-level risk index.Moreover,credibility measure has self-duality,which makes the evaluation results are more easily understood and accepted.For the complexity of multiple credit risk factors,it establishes a multi-level index system for the credit risk assessment of commercial banks,and then evaluates the credit risk of small and medium-sized enterprises by the model proposed in this paper.The actual case demonstrates the feasibility and effectiveness of the model.

Applying empirical mode decomposition（EMD） method,this paper decomposes times series of both steel futures prices and spot prices into several intrinsic modes functions（IMFs） and the average trend terms.It makes statistics and quantitative analysis for the decomposed data of different component,which indicates that：1） compared with the correlation of the futures prices and the spot prices,the trend terms of futures prices are more correlated with that of the spot prices;2） the dominant IMFs of futures guide the dominates IMFs of spot prices on the shape;3） medium-term and long-term volatility component have good Granger relationship between futures and spot prices.All these show that the steel futures market has achieved the price discovery function.

随着银行利率市场化的呼声加强,商业银行自身信用风险问题日益突出,对商业银行信用风险进行科学评估成为信用风险管理的关键.针对国内上市商业银行样本数量偏少的情况,本文引入适合小样本学习的支持向量机(SVM)来评估信用风险.通过对财务数据的主成分分析构建了商业银行信用风险评估指标体系.以贷款违约率作为输出指标,利用v-SVR(Support Vector Regression)模型对16家上市银行的主成分进行评估.通过评估结果与历史数据对比发现,模型能很好地预测商业银行的信用风险,比BP神经网络模型和ε-SVR模型具有更高的预测精度.

Undertaking the transfer of industries from the eastern regions of China is an important way to promote the western provinces' economic development.This article analyzes current situation and characteristics of the industrial westward firstly,then take use of industrial gradient coefficient to obtain the competitive advantage industry of ten western provinces.Combined with the industry basis and natural resources of each regions,we can determine the key industries which undertake the industrial transfer from the Yangeze River Delta,Pearl River Delta and Bohai Economic Rim.

将治愈率以及饱和感染率引入基本的HIV病理模型,构建一个改进的HIV病理模型.利用微分动力系统的相关理论,证明改进模型中无病平衡点和染病平衡点的全局渐近稳定性,然后执行相关的数值模拟以验证所得结论.研究结果表明:在饱和感染率的条件下,HIV感染进程变缓；同时提高治愈率能有效地控制HIV感染.