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A Sensitivity Analysis of the Long-Term Expected Utility of Optimal Portfolios 最优投资组合长期预期效用的敏感性分析
Pub Date : 2019-06-09 DOI: 10.2139/ssrn.3401532
Hyungbin Park, Stephan Sturm
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given by a factor model, we consider the utility maximization problem with long-time horizon. The main purpose is to find the long-term sensitivity, that is, the extent how much the optimal expected utility is affected in the long run for small changes of the underlying factor model. The factor model induces a specific eigenpair of an operator, and this eigenpair does not only characterize the long-term behavior of the optimal expected utility but also provides an explicit representation of the expected utility on a finite time horizon. We conclude that this eigenpair therefore determines the long-term sensitivity. As examples, explicit results for several market models such as the Kim--Omberg model for stochastic excess returns and the Heston stochastic volatility model are presented.
本文讨论了当投资者具有恒定的相对风险厌恶时,最优投资组合的长期预期效用的敏感性。在因子模型给出的不完全市场条件下,考虑具有长视界的效用最大化问题。主要目的是寻找长期敏感性,即底层因素模型的微小变化在长期内对最优预期效用的影响程度。因子模型引出一个算子的特定特征对,该特征对不仅表征了最优期望效用的长期行为,而且在有限的时间范围内提供了期望效用的显式表示。我们得出结论,这个特征对因此决定了长期灵敏度。作为例子,给出了几个市场模型的明确结果,如随机超额收益的Kim—Omberg模型和赫斯顿随机波动率模型。
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引用次数: 4
Gender Difference in British Young Adults’ Retirement Saving Decision-Making Process: A Multi-Group Analysis Using Structural Equation Modelling (SEM) 英国年轻人退休储蓄决策过程中的性别差异:基于结构方程模型的多群体分析
Pub Date : 2019-05-31 DOI: 10.2139/ssrn.3552070
Ellie Suh
Several changes have been made to the state and workplace pension schemes in recent decades in Britain. One of the implications of these changes is that individuals now carry greater risks in accumulating and generating retirement income. Many studies have discussed the role of attitudinal and behavioral tendencies in the retirement saving decision-making process. However, the way these tendencies manifest themselves is assumed to be identical for men and women, as most studies examined the partial gender effect. These differences are particularly meaningful for those in early stages of adulthood, as their experience of key life events is shaped by socially constructed gender norms. While an increasing gender disparity in pension wealth over the life course is widely recognized in Britain, not many studies have provided empirical evidence on potential gender differences in young adults’ additional retirement saving. This study examines whether men and women differ in their retirement saving decision-making process, and if so to what extent. To do so, it uses an adapted version of Hershey and colleagues’ model of financial planning with the fourth wave of the Wealth and Assets Survey (WAS). Findings show that financial resilience, which represents individuals’ everyday financial behavior, is the most influential predictor for identifying retirement savers for both males and females. However, the manner in which their current socio-economic environment – income, homeownership, marital status, offspring – is interlinked with financial resilience varies considerably by gender. The partial effect of education on myopia also differs by gender. These findings suggest that there are indeed gender differences in the retirement saving decision-making process and that failing to consider such difference in policies may widen the gender gap in retirement saving.
近几十年来,英国对国家和工作场所的养老金计划进行了几次改革。这些变化的影响之一是,个人现在在积累和创造退休收入方面承担了更大的风险。许多研究讨论了态度和行为倾向在退休储蓄决策过程中的作用。然而,这些倾向的表现方式被认为对男性和女性是相同的,因为大多数研究都考察了部分性别影响。这些差异对那些处于成年早期阶段的人尤其有意义,因为他们对关键生活事件的经历是由社会建构的性别规范塑造的。尽管英国人普遍认为,在整个人生过程中,养老金财富的性别差异越来越大,但没有多少研究提供关于年轻人额外退休储蓄的潜在性别差异的实证证据。这项研究考察了男性和女性在退休储蓄决策过程中是否存在差异,以及差异的程度。为了做到这一点,它使用了Hershey及其同事的第四次财富和资产调查(WAS)的财务规划模型的改编版本。研究结果表明,财务弹性(代表个人的日常财务行为)是识别男性和女性退休储蓄者最具影响力的预测因素。然而,她们目前的社会经济环境——收入、住房所有权、婚姻状况、子女——与财务弹性的相互联系方式因性别而异。教育对近视的部分影响也因性别而异。这些发现表明,在退休储蓄决策过程中确实存在性别差异,如果在政策上不考虑这种差异,可能会扩大退休储蓄的性别差距。
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引用次数: 1
Inflation and Retirement Annuities 通货膨胀和退休年金
Pub Date : 2019-05-25 DOI: 10.2139/ssrn.3395060
Z. Bodie
The only retirement contract that both insures against longevity risk and hedges against inflation is a life annuity that is linked to the consumer price index (CPI). It is denominated in the same units of account as Social Security benefits. We call it a “real annuity,” although it is also referred to as an inflation-indexed single-premium immediate annuity (SPIA). In computing a person’s replacement ratio of preretirement income, we can add Social Security benefits and the income produced by a real annuity to arrive at a meaningful number. An annuity that is not linked to the CPI we call a “nominal annuity.” It is measured in units that are different from Social Security, so it would be a mistake to add the two in computing a replacement ratio. Despite those obvious facts, real annuities are largely ignored in practice and they comprise a tiny portion of the annuities market. The vast majority of income annuities sold are fixed in nominal dollars. From the perspective of rational economic decision-making, this is a puzzle. Let’s call it the “nominal annuity puzzle.” The purpose of this article is to explore the reasons behind this puzzle and to suggest ways to solve it.
唯一一种既能预防长寿风险又能对冲通胀的退休合同是与消费者价格指数(CPI)挂钩的终身年金。它与社会保障福利的计算单位相同。我们称之为“真实年金”,尽管它也被称为通货膨胀指数单保费即时年金(SPIA)。在计算一个人退休前收入的替代比率时,我们可以将社会保障福利和实际年金产生的收入相加,得出一个有意义的数字。与CPI无关的年金,我们称之为“名义年金”。它的计量单位与社会保障不同,因此在计算替代比率时将两者相加是错误的。尽管有这些显而易见的事实,但真正的年金在实践中基本上被忽视了,它们只占年金市场的一小部分。出售的绝大多数收入年金都是以名义美元固定的。从理性经济决策的角度来看,这是一个谜。我们称之为“名义年金之谜”。本文的目的是探讨这个难题背后的原因,并提出解决它的方法。
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引用次数: 1
Ambiguity, Volatility, and Credit Risk 模糊性、波动性和信用风险
Pub Date : 2019-04-15 DOI: 10.2139/ssrn.2776377
Patrick Augustin, Yehuda Izhakian
We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, because CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor determines the sign of the impact of ambiguity on CDS spreads. We find that ambiguity has an economically significant negative impact on CDS spreads, on average, suggesting that the marginal investor is a net buyer of credit protection. A 1-standard-deviation increase in ambiguity is estimated to decrease CDS spreads by approximately 6%. (JEL C65, D81, D83, G13, G22) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
本文探讨了信用违约互换(cds)定价的模糊性。一个对模糊性和风险具有独立偏好的异质投资者模型表明,由于CDS合约是净供给为零的资产,边际投资者的净信用风险暴露决定了模糊性对CDS价差的影响程度。我们发现,平均而言,模糊性对CDS息差具有显著的经济负面影响,这表明边际投资者是信用保护的净买家。据估计,模糊性增加1个标准差将使CDS息差减少约6%。(JEL C65, D81, D83, G13, G22)作者提供了一份互联网附录,可在牛津大学出版社网站的最终在线发表论文链接旁边获得。
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引用次数: 1
Spillover Effects of Distribution Grid Tariffs in the Internal Electricity Market: An Argument for Harmonization? 内部电力市场中配电网电价的溢出效应:统一的争论?
Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3324988
Niels Govaerts, K. Bruninx, H. Le Cadre, L. Meeus, E. Delarue
In many countries, distribution grid tariffs are being reformed to adapt to the new realities of an electricity system with distributed energy resources. In Europe, legislative proposals have been made to harmonize these reforms across country borders. Many stakeholders have argued that distribution tariffs are a local affair, while the European institutions argued that there can be spillovers to other countries, which could justify a more harmonized approach. In this paper, we quantify these spillovers in a simplified numerical example to give insight and an order of magnitude. We look at different scenarios, and find that the spillovers can be both negative and positive. To be able to quantify these effects, we developed a long-run market equilibrium model that captures the wholesale market effects of distribution grid tariffs. The problem is formulated as a non-cooperative game involving consumers, generating companies and distribution system operators in a stylized electricity market.
在许多国家,配电网电价正在进行改革,以适应分布式能源电力系统的新现实。在欧洲,已经提出了立法建议,以协调跨国界的这些改革。许多利益相关者认为,分销关税是当地事务,而欧洲机构则认为,可能会对其他国家产生溢出效应,这可能证明采取更协调的方法是合理的。在本文中,我们在一个简化的数值例子中量化这些溢出,以提供洞察力和数量级。我们研究了不同的情景,发现溢出效应可能是消极的,也可能是积极的。为了能够量化这些影响,我们开发了一个长期市场均衡模型,该模型捕捉了配电网关税对批发市场的影响。该问题被表述为在一个程式化的电力市场中,涉及消费者、发电公司和配电系统运营商的非合作博弈。
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引用次数: 10
Competing for Consumers in Financial Markets under a Fee-Based Compensation System for Advisors 在以收费为基础的金融顾问薪酬制度下争夺金融市场的消费者
Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3259881
M. Weinert
In financial markets where consumers can only be reached through an advisor, product providers usually compete indirectly for consumers through commissions to advisors. Therefore, a regulatory ban on commissions may restrict this competition. We formulate a theoretical model in order to study the impact of such a ban on competition between product providers and analyze whether competition may take place through other channels than commissions. In a market with sufficiently differentiated products, competition through prices is not beneficial for product providers and does not take place in equilibrium. However, similar to commissions, advertising may serve as a competitive tool for product providers to attract consumers away from their competitors, since advertising may influence an advisor's product recommendation if he faces costly persuasion of consumers. The extent to which product providers engage in advertising depends crucially on their respective market share and the advisor's responsiveness to their attempts to steer his product recommendations.
在金融市场中,消费者只能通过顾问接触到,产品供应商通常通过向顾问收取佣金来间接竞争消费者。因此,对佣金的监管禁令可能会限制这种竞争。为了研究这种禁令对产品供应商之间竞争的影响,并分析竞争是否可能通过佣金以外的其他渠道发生,我们制定了一个理论模型。在一个产品充分分化的市场中,通过价格进行竞争对产品提供者是不利的,也不会在均衡状态下进行。然而,与佣金类似,广告可以作为产品供应商的竞争工具,以吸引消费者远离他们的竞争对手,因为广告可能会影响顾问的产品推荐,如果他面临昂贵的说服消费者。产品供应商参与广告的程度主要取决于他们各自的市场份额和顾问对他们试图引导他的产品推荐的反应。
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引用次数: 0
Ý định mua vé máy bay qua đại lý của người tiêu dùng TPHCM (Intention to Purchase Airline Tickets Through Agents of Ho Chi Minh City Customers) 购买飞机票意向经胡志明市消费代理
Pub Date : 2018-11-06 DOI: 10.2139/ssrn.3687609
Giao Hà Nam Khánh
Vietnamese Abstract: Đề tài nhằm xác định và đo lường các yếu tố ảnh hưởng đến ý định mua vé máy bay qua đại lý của người tiêu dùng tại thành phố Hồ Chí Minh (TPHCM), bằng việc khảo sát 371 người tiêu dùng (NTD) từ 18 tuổi trở lên đã từng mua vé máy bay qua đại lý và đang sống tại TPHCM. Nghiên cứu sử dụng công cụ SPSS 20 để phân tích độ tin cậy thang đo qua hệ số Cronbach’s Alpha, phân tích EFA, phần mềm AMOS 22 để phân tích CFA, kiểm định mô hình bằng phân tích cấu trúc tuyến tính SEM.

Kết quả nghiên cứu cho thấy 03 (ba) yếu tố tác động tích cực đến ý định mua vé máy bay của người tiêu dùng qua đại lý, sắp xếp theo độ mạnh giảm dần, bao gồm: Chuẩn chủ quan, Tốc độ, Kiến thức của nhân viên. Kết quả cũng giúp cho các nhà quản trị các đại lý có những điều chỉnh chiến lược và hành động phù hợp trong quá trình cạnh tranh khốc liệt hiện nay đối với thị trường vé máy bay.

English Abstract: The study aimed to identify and measure the factors affecting the decision to purchase tickets through agents in Ho Chi Minh City (HCMC) by surveying 371 customers aged 18 and over who bought airline tickets through agents and live in HCMC. The SPSS 20 tool was used to analyze the reliability of the scale through the Cronbach's Alpha coefficient, EFA, AMOS 22 software by CFA, and evaluated by linear SEM analysis.

Research results show that there are three positive impact factors on the intention to buy airline tickets through agents, decreasing by their strength, include: Subjective norm, Speed and Agent’s knowledge. The results also help agents’ managers make appropriate strategic adjustments and actions in the competitive process for airline tickets nowadays.
越南摘要:本课题旨在确定和衡量影响胡志明市(胡志明市)消费者代理购买机票意向的因素,通过调查371名18岁及以上的消费者,他们曾在代理购买过机票,目前居住在胡志明市。本研究使用SPSS 20工具对cronbach's Alpha系数进行可靠性分析,EFA分析,AMOS 22软件对CFA进行分析,通过SEM线性结构分析验证模型。研究结果表明03(三)对消费者购买机票意向产生积极影响的因素通过代理,按强度递减排序,包括:主观标准、速度、员工知识。这一结果也有助于经纪人在当前激烈的机票市场竞争中做出适当的战略调整和行动。摘要:本研究旨在通过调查371名18岁以上通过代理商购买机票并居住在胡志明市的客户,找出并衡量影响通过代理商购买机票决策的因素。利用SPSS 20工具,通过CFA的cronbach’s Alpha系数fa、amos 22软件分析量表的可靠性,并通过线性SEM分析进行评估。研究结果表明,影响代理人购买机票意愿的因素主要有主观规范、速度和代理人的知识等三个方面,这三个方面的影响因代理人的实力而减弱。研究结果也有助于代理商经理在当前的机票竞争过程中做出适当的战略调整和行动。
{"title":"Ý định mua vé máy bay qua đại lý của người tiêu dùng TPHCM (Intention to Purchase Airline Tickets Through Agents of Ho Chi Minh City Customers)","authors":"Giao Hà Nam Khánh","doi":"10.2139/ssrn.3687609","DOIUrl":"https://doi.org/10.2139/ssrn.3687609","url":null,"abstract":"<b>Vietnamese Abstract:</b> Đề tài nhằm xác định và đo lường các yếu tố ảnh hưởng đến ý định mua vé máy bay qua đại lý của người tiêu dùng tại thành phố Hồ Chí Minh (TPHCM), bằng việc khảo sát 371 người tiêu dùng (NTD) từ 18 tuổi trở lên đã từng mua vé máy bay qua đại lý và đang sống tại TPHCM. Nghiên cứu sử dụng công cụ SPSS 20 để phân tích độ tin cậy thang đo qua hệ số Cronbach’s Alpha, phân tích EFA, phần mềm AMOS 22 để phân tích CFA, kiểm định mô hình bằng phân tích cấu trúc tuyến tính SEM. <br><br>Kết quả nghiên cứu cho thấy 03 (ba) yếu tố tác động tích cực đến ý định mua vé máy bay của người tiêu dùng qua đại lý, sắp xếp theo độ mạnh giảm dần, bao gồm: Chuẩn chủ quan, Tốc độ, Kiến thức của nhân viên. Kết quả cũng giúp cho các nhà quản trị các đại lý có những điều chỉnh chiến lược và hành động phù hợp trong quá trình cạnh tranh khốc liệt hiện nay đối với thị trường vé máy bay.<br><br><b>English Abstract:</b> The study aimed to identify and measure the factors affecting the decision to purchase tickets through agents in Ho Chi Minh City (HCMC) by surveying 371 customers aged 18 and over who bought airline tickets through agents and live in HCMC. The SPSS 20 tool was used to analyze the reliability of the scale through the Cronbach's Alpha coefficient, EFA, AMOS 22 software by CFA, and evaluated by linear SEM analysis. <br><br>Research results show that there are three positive impact factors on the intention to buy airline tickets through agents, decreasing by their strength, include: Subjective norm, Speed and Agent’s knowledge. The results also help agents’ managers make appropriate strategic adjustments and actions in the competitive process for airline tickets nowadays.<br>","PeriodicalId":224430,"journal":{"name":"Decision-Making in Economics eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129038865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Introduction to Corporate Finance: A Practical Guide for Postgraduate and Research Students 公司财务导论:研究生和研究生实用指南
Pub Date : 2018-10-28 DOI: 10.2139/ssrn.3274173
Michel Guirguis
The current position of the business can be verified through ratios analysis. According to this analysis managers, creditors, and investors can receive valuable information about the effectiveness and efficiency of the operations. Managers by using especially profitability, operating, and asset utilization ratios can maintain a fairly accurate perception of the financial health of their business. Different type of ratio can help them as they are indicator of well goals are being achieved. When actual results can not meet the standard set, then, ratios indicate where the problem may be. There are different types of ratios. Liquidity ratios are current and quick asset ratios. Profitability and operating ratios are return on asset, gross profit margin and net profit margin. Gearing ratios are divided into debt to equity ratio and number of times interest earned. There are different shareholder investment ratios such as return on shareholders, earnings per share, price earnings ratio, dividend yield and dividend covers. Under asset utilization ratios, we have the net asset turnover, debtor collection period, stockholding period and creditor payment period. Investment appraisal is a process which assists mangers to take decisions and evaluate the future success of a project in terms of profitability, suitability, and compatibility with company objectives. The value of money changes with time. Money received today has a different value from money received in the future. the investors before making any investment must take into consideration that different types of securities will have different kinds of risks. The several sources of risk can be classified as: interest rate risk, market risk, inflation risk, business risk, exchange rate risk, financial risk, country risk, and liquidity risk. No investment will be made unless the expected rate of return is high enough to compensate the investor for taking extra risks. In general, it is believed that the higher the perceived risk associated with an investment opportunity, the higher should be its expected return to persuade an investor to accept the investment opportunity. Investors are risk averse, namely that they want to reduce their risk through a diversified balanced portfolio. This leads us to modern portfolio theory, which was developed by Markowitz (1959). Arbitrage pricing theory, APT, is a more general approach to asset pricing because it allows for the possibility that many factors can be used to explain security returns. The assets of a company are financed by either debt or equity. After calculating the cost of capital for equity and debt, then, we combine them in a form of weighted average to calculate the final weighted average cost of capital. The reason of measuring the weighted average cost of capital is to find how much interest the company or the government has to pay for every Euro it borrows. Factors that affect the cost of capital are the capital structure of the company, the divide
通过比率分析可以验证企业的当前状况。根据这一分析,管理者、债权人和投资者可以获得有关业务有效性和效率的宝贵信息。特别是通过使用盈利能力、运营和资产利用率,管理人员可以保持对其企业财务健康状况的相当准确的感知。不同类型的比率可以帮助他们,因为它们是实现井目标的指标。当实际结果不能达到设定的标准时,比率表明问题可能在哪里。有不同类型的比率。流动性比率是流动和速动资产比率。盈利能力和经营比率是指资产回报率、毛利率和净利润率。资产负债率分为负债权益比和利息收入的倍数。有不同的股东投资比率,如股东回报率,每股收益,市盈率,股息收益率和股息覆盖率。在资产利用率项下,我们有净资产周转率、债务人催收期、持股期和债权人偿付期。投资评估是一个过程,它帮助管理者做出决策,并根据盈利能力、适用性和与公司目标的兼容性来评估项目的未来成功。金钱的价值随时间而变化。今天收到的钱和将来收到的钱有不同的价值。投资者在进行投资之前,必须考虑到不同类型的证券有不同的风险。风险的几个来源可以分类为:利率风险、市场风险、通货膨胀风险、商业风险、汇率风险、金融风险、国家风险和流动性风险。除非预期回报率高到足以补偿投资者承担的额外风险,否则不会进行投资。一般来说,人们认为,与投资机会相关的感知风险越高,说服投资者接受投资机会的预期回报就越高。投资者厌恶风险,也就是说,他们希望通过多元化的平衡投资组合来降低风险。这就引出了马科维茨(1959)提出的现代投资组合理论。套利定价理论(APT)是一种更通用的资产定价方法,因为它允许使用许多因素来解释证券回报的可能性。公司的资产要么通过债务融资,要么通过股权融资。在计算完股权和债务的资本成本之后,我们将它们以加权平均的形式组合起来,计算出最终的加权平均资本成本。衡量加权平均资本成本的原因是为了找出公司或政府每借一欧元需要支付多少利息。影响资金成本的因素有公司的资本结构、股利政策、投资政策、利率水平和税率。管理企业的营运资金是防止股东破产的非常重要的一步。控制与短期和长期负债相关的短期和长期现金是非常重要的。固定成本和可变成本之间的关系对于决定公司将使用的杠杆数量非常重要。杠杆是由由于销售变化而产生的利润变化决定的。成本在公司资本结构中的比例决定了公司将使用的杠杆水平。衍生产品的估值取决于主要资产的变化。它们是高风险产品,由于杠杆效应,它们提供高正或负回报。企业估值是股东寻求短期流动性以偿还债务的重要手段。最常用的指标是股息率、市盈率和资产净值。
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引用次数: 0
The Importance of Debt for Household Risky Asset Allocation and Portfolio Structure 债务对家庭风险资产配置和投资组合结构的重要性
Pub Date : 2018-10-10 DOI: 10.2139/ssrn.3265927
R. Tao, Yuan Yuan
When households decide on risky asset holdings, they do not make the decision in isolation from their debt structure and obligations, vice versa. We examine the joint behavior of debt and financial asset portfolio decisions, while existing empirical research on debt and asset portfolio choices has proceeded separately. In this paper, we first test the relationship between debt structure and asset allocation, then estimate the determinants of debt structure and asset allocation simultaneously. Using the 2016 Survey of Consumer Finances (SCF) data, we find robust evidence that debt structure affects households’ risky asset allocation decisions and identify, in this simultaneous decision-making process, the demographic and financial factors that can contribute to the household overall financial portfolio structure.
当家庭决定持有风险资产时,他们并不是在脱离债务结构和义务的情况下做出决定的,反之亦然。我们考察了债务和金融资产组合决策的共同行为,而现有的关于债务和资产组合选择的实证研究是分开进行的。本文首先检验了债务结构与资产配置之间的关系,然后同时估计了债务结构与资产配置的决定因素。利用2016年消费者财务调查(SCF)数据,我们发现了强有力的证据,表明债务结构影响家庭的风险资产配置决策,并在此同时的决策过程中,确定了人口和金融因素可以促进家庭整体金融投资组合结构。
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引用次数: 0
Long-Term Impact of Economic Conditions on Auditors’ Judgment 经济状况对审计师判断的长期影响
Pub Date : 2018-09-25 DOI: 10.2139/ssrn.2892107
Xianjie He, S. Kothari, Tusheng Xiao, Luo Zuo
ABSTRACT We find that economic conditions at the time an auditor enters the labor market have a long-term impact on her judgment and decision making. Specifically, engagement partners who started t...
我们发现审计师进入劳动力市场时的经济状况对其判断和决策有长期影响。具体来说,那些开始……
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引用次数: 63
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Decision-Making in Economics eJournal
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