Journal of Management Science and Engineering最新文献

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the information lag empirically demonstrated in high-frequency trading processes. In this study, a nonparametric test is employed, which shows that the Markov property of the trading indicator variables is rejected on most trading days. Based on the spread decomposed structure, an MA-MRR model was proposed with a moving average structure adopted to absorb the information lag as an extension. The empirical results show that the information lag plays an important role in measuring the adverse selection risk parameter and that the difference in this parameter between the original and the extension is significant. Furthermore, our analysis suggests that the information lag parameter is a useful measure of the average speed at which information is incorporated into prices.

Urban development thrives from technology inflows, which refers to the transfer of high-value technology from various cities to local recipients. The asymmetry of technical information—rooted in the tacit knowledge inherent in technology—mandates that technology transfer is heavily dependent on interactions and communication among talented individuals. This study examines the effect of China's high-speed railway (HSR) on technology inflow, with an emphasis on talent interaction in the technology transfer process. The findings suggest that HSR mitigates cross-city commuting costs and facilitates face-to-face interactions between talent, thereby fostering an increase in technology inflows to various cities. “Talent” use HSR to transfer knowledge to cities teeming with such talent resources. Concurrently, areas with robust intellectual property rights protection witness an upsurge in intercity technology transfer via HSR. This study elucidates the macro-mechanism of urban technology flow from the perspective of public transportation offering valuable insights for technology market infrastructure and services.

Pesticides are agricultural inputs that can significantly reduce yield losses, regulate plant growth, effectively liberate agricultural productivity, and improve food security. The availability of pesticides in economies worldwide is ensured by redistribution through international trade, with different economies playing different roles in this process. In this study, we measured and ranked the importance of economies using nine node metrics. We found that the clustering coefficient was negatively correlated with the other eight node metrics, whereas the other eight node metrics were positively correlated with each other and could be grouped into three communities (betweenness; in-degree, PageRank, authority, and in-closeness; out-degree, hub, and out-closeness). We further investigated the structural robustness of international pesticide trade networks proxied by large component size under three types of shocks to economies (node removal in descending, random, and ascending orders). The results showed that, except for the clustering coefficient, international pesticide trade networks are relatively robust under shocks to economies in ascending order but fragile under shocks to economies in descending order. By contrast, removing nodes with a clustering coefficient in ascending and descending order yielded similar robustness curves. Moreover, the structural robustness related to large component size evolved over time and exhibited an inverse U-shaped pattern.

Monetary incentives underlie academic publications, especially in countries where many researchers' incomes are performance-based. Evidence has documented that social ties improve the chances of publication in journals, whereas building and maintaining social ties require resources. We develop a simple model to investigate the consequences of monetary investment on the probability of publication through social ties. The results indicate that monetary incentive can stimulate researchers to make more efforts regarding publication. Through social ties, monetary investment in the process of academic publication distorts researchers' incentive. Monetary investment through social ties improves the probability of publication and then disables the signaling function of publication in terms of researchers’ abilities. Depending on the contribution of different types of researchers to society and the ability of the latter to differentiate the quality of publication in journals, the improvement in publication probability by monetary investment through social ties may improve or reduce the level of social welfare.

Hazmat transportation in cities faces significant risks that may cause catastrophic losses to humans. From the perspective of the regulator, the main responsibility is to mitigate hazmat transport risk by determining the availability of road networks to hazmat carriers. Based on the time-variant population distribution, the hazmat transport risk was assessed via the total population exposure associated with the resident and variable populations at different times. We propose a risk-minimizing urban hazmat road network design model for multiple types of hazmats, considering time-varying traffic. The model was applied to a realistic case study of hazmat transportation in a densely populated urban area with complex traffic in Shanghai, China.

The COVID-19 outbreak has brought unprecedented social attention to economic uncertainty and negative interest rate policy (NIRP). How does uncertainty affect economic activity, and how effective is a NIRP based on central bank digital currency (CBDC)? To answer the two questions, we constructed a dynamic stochastic general equilibrium (DSGE) model that accommodates sticky prices and wages. The results indicated: (i) Economic uncertainty has substantially reduced investment, output, wage, and loans, which increases unemployment risk. In the short term, it has triggered impulsive consumption by households, while consumption has fallen into a slump in the long run. (ii) After suffering an uncertainty shock, the economy entered short-term stagflation and long-term deflation. The short-term stagflation was mainly caused by resident wage adjustment, and the long-term deflation was due to the decline in effective demand caused by unemployment risk. (iii) CBDC could eliminate the zero lower bound (ZLB) constraint, thereby improving the effectiveness of NIRP. Compared with traditional currency, CBDC-based NIRP could more effectively smooth macroeconomic fluctuations and alleviate the negative impact of an uncertainty shock, which is more conducive to restoring market confidence and promoting economic recovery.

Comparison effects have been studied extensively in many fields. In particular, existing operations management articles have discussed the impact of comparison effects on enterprises' production and pricing decisions. Research has also shown that consumers' purchasing decisions are primarily determined by three factors: product quality, selling price, and comparison effects. The current study introduces the concepts of social and temporal comparison effects to examine how comparison effects influence a monopolist’s production quality and pricing strategy for substitutable products. Results reveal the following: (1) Setting different prices for even two types of substitutable products with negligible quality differences can divide customers into three groups under the influence of social comparison effects in a single-stage model. (2) The monopolist should avoid using a price discrimination strategy in which products with a short market life cycle have the same quality but different prices. (3) When the market life cycle of products is sufficiently long in the single-product market and the market with two substitutable products, the monopolist’s optimal choice in the second stage is to keep production quality constant and increase the selling price. Consequently, the number of buyers does not decrease because of temporal comparison effects. Therefore, the firm increases its revenue. (4) For the market with two substitutable products with quality differences, one approximate optimal strategy for the enterprise in the second stage is to keep the selling price constant with the assumption that product quality cannot be adjusted after the first period. At this point, the consumption situation in the market is the same as that in the first stage. Therefore, when no external constraints exist, the monopolist firm can obtain more benefits in the second stage than in the first stage by exploiting the temporal comparison effects of consumers in the second stage. (5) When consumer identity information can be confirmed in the market, social comparison effects, similar to temporal comparison effects, could help the enterprise increase its price and profit while maintaining product quality. These social and temporal comparison effects constrain consumers. Thus, the number of people who continue to buy products does not decrease.

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information criteria. The predictors in our model include lagged daily, weekly, and monthly volatility variables, the corresponding volatility factors, and a speculation variable. In addition, the time-varying properties of the best-performing DMA(DMS)-HAR-2FX models, including size, inclusion probabilities, and coefficients, are examined. We find that the proposed DMA(DMS)-HAR-2FX model outperforms the competing models for both in-sample and out-of-sample forecasts. Furthermore, the speculation variable displays strong predictability for forecasting the realized volatility of financial futures in China.

In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability is not subsumed by the profitability level in the Chinese stock market. We also find that short-term profitability changes generate an asymmetrical premium across different market states. Furthermore, we find that the beta anomaly is embedded in the premium generated by a short-term change in profitability. In addition, we explore the underlying mechanisms of the profitability premium and propose a heterogeneous investor belief channel to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory.

Supply chain (SC) resilience is an increasingly important topic for practitioners and academics because it is a competitive weapon for firms to cope with SC disruptive risks. This study examines the impact of high-involvement human resource management practices on SC resilience from the ability-motivation-opportunity perspective. It also examines the relationship between the dimensions of SC resilience and operational performance. Based on data collected from 206 Chinese manufacturers, the proposed hypotheses were tested using structural equation modeling. The results indicated that employee participation played the most powerful role in improving supplier, customer, and internal resilience. Moreover, employee skills only facilitate internal and customer resilience but have no significant impact on supplier resilience. By contrast, employee incentives do not influence the dimension of SC resilience. It was also found that both internal and customer resilience have positive effects on operational performance, while supplier resilience has no significant effect. The findings contribute to literature and practice.