Based on a compound random process including geometric Brownian motion and Poisson process, we established a model which can describe the environmental uncertainty more flexible. And then, we use a stochastic optimal control model to address the issue of resource allocation. Our study conclusions indicate the following: (1) if rare events can be described using a Poisson process, then the fixed-point theorem can be used to solve resource allocation scheme; and (2) if a certain asset or a certain department’s facing a rare event leads to a reduction in value, then the rare event will not only affect investment in this asset or department but will also have ramifications for investment in related assets or departments. After that, we briefly discuss the resource allocation issues of financial institutions and manufacturing enterprises. The results show that the uncertain, flexible environmental of financial institutions can improve the efficiency of asset allocation. Manufacturing companies can respond effectively and positively to such uncertainty through a flexible asset allocation strategy. The contribution of our paper lies mainly in its use of new methods to describe uncertainty. When we re-define the environment of uncertainty, the flexible resource allocation scheme can effectively mitigate the impact of random adverse effects of the environment. In addition, if the description methods are closer to the facts themselves, then the scheme for flexibility in resource allocation may also bring about an excess return.

In this paper, based on Acharya and Pedersen’s [Journal of Financial Eco- nomics (2006)] overlapping generation model, we show that liquidity risk could influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity adjusted returns (LAr) directly, was employed to incorporate liquidity risk in VaR measure in this study. Under such an approach, China’s stock market is specifically studied. We estimate the one-day-ahead “standard” VaR and liquidity adjusted VaR by forming a skewed Student’s t AR-GJR model to capture the asymmetric effect, non-normality and excess skewness of return, illiquidity and LAr. The empirical results support our theoretical arguments very well. We find that for the most illiquidity portfolio, liquidity risk represents more than 22% of total risk. We also find that simply adding of the two risk measure would underestimate the risk. The accuracy testing show that our approach is more accurate than the method of simply adding.

This paper investigates the impacts of background risk on investors’ portfolio choice in a mean-variance framework and analyzes the properties of the selected portfolio and investors’ hedging behaviour. Our model implies that the optimal portfolio with background risk can be separated into two independent components: the traditional mean-variance optimal portfolio and the self-financing portfolio constructed to hedge against background risk. Our results show that both the composition and risk of the optimal portfolio are greatly affected by a number of background risk factors, including the quantity and risk of the assets that are exposed to background risk, as well as the correlation between background assets and those in the portfolio.

This paper investigates CEO pay and pay-performance relationship in China’s listed firms. We distinguish four firm types based on their controlling owners: state owned enterprises affiliated with state asset management bureaus (SAMBs), state owned enterprises affiliated with the central government (SOECGs), state owned enterprises affiliated with a local government (SOELGs), and private firms controlled by private investors. We also distinguish between firms with foreign investors and those without. Because the different types of controlling owners have different objectives, motivations, and political interests, they affect managers’ compensation in the firms in which they invest. Our results indicate that CEO pay is lowest in SAMB controlled firms and highest in SOECG controlled firms. Not only is CEO pay positively associated with firm performance, the positive pay-performance relationship is stronger in both types of SOE firms but weaker in privately controlled firms. In addition, firms with foreign investors compensate their CEOs more highly than those without foreign investors, an effect that is significant in both SOEs and privately controlled firms. Overall, the evidence suggests that CEO compensation in China is jointly determined by firm performance, market-oriented reform and the unique ownership structure, meaning that standard theories of efficient compensation contracts may not apply in such emerging markets.

本文分析了在所有权和控制权分离的情况下i=信息披露质量对于代理成本得影响，在初步的多元回归分析中，我们控制了影响代理成本的公司治理变量和公司特征后，发现高质量的信息披露可以显著的降低成本。在进一步的实证分析中，我们考虑了回归分析中可能存在的自选择问题，采用Heckman两阶段回归，发现高质量的信息披露对于降低代理成本的效果更佳显著。可见，提高资本市场信息披露质量，对于缓解代理成本问题有着非常重要的意义。我们的研究为信息披露质量与代理成本只讲的关系提供了直接的经验证据。

The People’s Republic of China has taken substantial steps to reform its financial system, especially the banking sector, since 1995. The speed of banking reform has accelerated after China joined the World Trade Organization (WTO) in December 2001. This study examines the impact of recent banking reforms and of WTO accession on the cost efficiency of the Chinese banking sector. We use a non-parametric approach to investigate the efficiency trend and productivity growth of banks in China between 1998 and 2006. We also compare the efficiency and productivity growth of different banking ownership groups prior to and after joining the WTO. We find that, on average, domestic banks outperform their foreign counterparts over the sample period in terms of overall and allocative efficiency, but they fall behind in terms of overall technical efficiency. The comparison of efficiency indexes pre and post WTO accession reveals that the efficiency of domestic banks has declined post accession, while foreign banks have enjoyed an improvement rise in their cost efficiency post WTO accession in 2001.The findings of this study further suggest that the total factor productivity of Chinese banks has weakened over the period under study. However, a pre and post analysis of WTO accession results shows that total factor productivity has improved for both domestic and foreign banks after China joined the WTO, equally owing to efficiency improvement and technological progress

The People’s Republic of China has taken substantial steps to reform its financial system, especially the banking sector, since 1995. The speed of banking reform has accelerated after China joined the World Trade Organization (WTO) in December 2001. This study examines the impact of recent banking reforms and of WTO accession on the cost efficiency of the Chinese banking sector. We use a non-parametric approach to investigate the efficiency trend and productivity growth of banks in China between 1998 and 2006. We also compare the efficiency and productivity growth of different banking ownership groups prior to and after joining the WTO. We find that, on average, domestic banks outperform their foreign counterparts over the sample period in terms of overall and allocative efficiency, but they fall behind in terms of overall technical efficiency. The comparison of efficiency indexes pre and post WTO accession reveals that the efficiency of domestic banks has declined post accession, while foreign banks have enjoyed an improvement rise in their cost efficiency post WTO accession in 2001.The findings of this study further suggest that the total factor productivity of Chinese banks has weakened over the period under study. However, a pre and post analysis of WTO accession results shows that total factor productivity has improved for both domestic and foreign banks after China joined the WTO, equally owing to efficiency improvement and technological progress

Spatial imbalance of technology, which refers to unevenness or disproportionality in a spatial distribution of technology, is of key importance in the harmonious and balanced development of the world economy. This study is an attempt to develop a comparable map-independent analysis that measures spatial distribution, deviation angle, shift distance, direction and velocity of the gravity center (location-related spatial imbalance analysis) from an international range. Analyzing respectively on the gravity centers of different attribute values of 44 countries or regions and studying on the effects of the gravity centers of GDP, FDI and population on the technology center of gravity, it comes to the following conclusions: (1) the imbalance of spatial distribution is existing and will lasts for a long time; (2) the spatial distributions of GDP, FDI, and population don’t coincide with that of technology in longitude and latitude only except that the latitude distribution of FDI coincide with latitude and longitude distribution of technology; (3) the distributions of gravity centers of technology and population approximately record a south-east extending; (4) the distributions of gravity centers of GDP and FDI take on a loop-line movement with a clockwise rotation; (5) the gravity centers of GDP, FDI, population are positively associated with the gravity center of technology in latitude rather than in longitude. (6)Besides, the average velocity of different gravity centers is approximately 300km per year except that the gravity center of GDP shifts at an average speed of a little more than 9km per year. Combining analyses of the spatial distribution, deviation angle, shift distance, direction and velocity with the calculation of the coordinates’ correlation coefficients of the gravity centers, the hypotheses are partially supported. This study provides insight into the possible relationships between spatial distribution of technology, harmonious economic development and population spatial shift, and generates some interesting avenues for future research.

Motivated by diverse anecdotal evidences from the Chinese markets and focusing on a technologically following firm, this paper analyzes how the managerial compensation structure affects the managerial innovative incentives, the vertical differential output competition, and the evolutions of the industry structure. To this end, multiple effects of quality improvements are identified. The managerial conservatism in taking risky product innovations, which is resulted from the obliteration of the cost-adjusting effect by trivial incentive weight, is aggravated by foregone conservatisms. This leads to the widening of the quality gaps between it and the leading firm, and the deterioration of its market performances. After fulfilling an innovation, however, the firm becomes complacent. Driven by these two tendencies, the percentage of the industries in which the following firms abandon their R&D activities forever is decreasing in their incentive weights and increasing in time. The extensions of the process innovation, the managerial innovative agressiveness, and the interactions between product innovation and process innovation are also examined, as well as the implications of the compensation structure of the leading firm and the spillovers.

This paper examines the relationship between private benefits and the discount of private equity offerings. Measuring private benefits in terms of both control rights and cash flow, we find that private benefits are primarily attributed to control right rather than ownership. By using a measure, the Banzhaf power index, that could better reflects the largest shareholder’s relative influence over the firm. We find that the largest shareholder’s control power decreases, even though her ownership increases after private placement. It indicates that the largest shareholder is willing to give up some control power in private placement. In addition, we find that motivation and the type of investors in private placements significantly influences price discount.