Does High Service Quality Reduce Risk or Create Idiosyncratic Returns?

This article explores the impact of service quality on idiosyncratic returns, idiosyncratic risk (nonsystematic risk), and beta (systematic risk). Service quality was derived from the airline quality rating, and three dependent variables were calculated by the Fama–French four-factor model. The data includes 1,512 monthly records from 1997 to 2006, across 21 airlines. Multiple regression and vector autoregressive models were applied to test relationships among all, low-cost, and non-low-cost airlines. The study found that service quality has a positive impact on idiosyncratic returns in non-low-cost airlines; non-low-cost airlines are less affected by changes in the external environment.     

Testing the liquidity preference hypothesis using survey forecasts

We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations in order to evaluate LPH. This approach allows us to disentangle the effect of the changes in interest rate expectations from the liquidity premium. We found empirical support for the LPH with Brazilian data using both traditional and survey methods. However, the evaluation with interest rate surveys gives a higher statistical confidence level than the traditional approach when we perform tests for term premium monotonicity.     

Introduction

This study decomposes the unconditional stock return volatility into two categories: systematic versus idiosyncratic risk, to re-examine the link between size and risk in the banking industry. The feasibility of the model is tested using data for US banks from 1998 to 2007. The evidence uncovered suggests that the practice of size-related diversification obtained with large banks reduces the firm-specific risk, and thus weakens stock return variances. However, rather than eliminating firm-specific risk, it is being transformed into systematic risk. Additionally, our empirical findings can potentially explain why a bank's size-related diversification does not result in a reduction in its unconditional stock return volatility reported in Demsetz and Straha [Historical patterns and recent changes in the relationship between bank size and risk. Federal Reserve Bank of New York Economic Policy Review, 1(2), 13–26 (1995); Diversification, size, and risk at bank holding companies. Journal of Money, Credit, and Banking, 29, 300–313 (1997)].     

MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION

This paper deals with multidimensional dynamic risk measures induced by conditional g‐expectations. A notion of multidimensional g‐expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem, and viability on a rectangle of solutions to multidimensional backward stochastic differential equations, some necessary and sufficient conditions are given for the constancy, monotonicity, positivity, and translatability properties of multidimensional conditional g‐expectations and multidimensional dynamic risk measures; we prove that a multidimensional dynamic g‐risk measure is nonincreasingly convex if and only if the generator g satisfies a quasi‐monotone increasingly convex condition. A general dual representation is given for the multidimensional dynamic convex g‐risk measure in which the penalty term is expressed more precisely. It is shown that model uncertainty leads to the convexity of risk measures. As to applications, we show how this multidimensional approach can be applied to measure the insolvency risk of a firm with interacting subsidiaries; optimal risk sharing for ‐tolerant g‐risk measures, and risk contribution for coherent g‐risk measures are investigated. Insurance g‐risk measure and other ways to induce g‐risk measures are also studied at the end of the paper.     

Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures

We decompose the VIX futures term structure into systematic components driving the VIX and idiosyncratic components reflecting demand by various types of futures end-users. We model two distinct channels by which trading activity manifests itself into futures prices: a contemporaneous “level effect” across the term structure due to the aggregate size of nondealer net demand and a mean-reverting “roll effect” due to large trades in specific contracts. The observed futures term structure was, on average, higher and steeper than it would have been in the absence of the observed nondealer demand, but the impact varies in sign and magnitude over time.     

How Do Franchise Ownership Structure and Strategic Investment Emphasis Influence Stock Returns and Risks?

Franchisors seek to maximize firm value by managing investments both in tangible and intangible assets and in the mix of company and franchised outlets, yet little is known about how investors respond to shifts in these strategic decisions. Our goal is to assess the impact of these decisions on shareholder value within franchise systems through panel-data models. Specifically, we provide evidence on how investors in publicly traded franchises evaluate both the ownership structure and the strategic investment emphasis between intangible assets (e.g., brand) and tangible assets (e.g., plant and property). We find that an increase in the proportion of franchised units is negatively associated both with stock returns and idiosyncratic risk. In contrast, an increase in the emphasis on strategic investments in intangible assets is positively associated both with stock returns and idiosyncratic risk. Moreover, strategic investment emphasis moderates the strength of the effect of franchise ownership structure when firms franchise internationally. Overall, this research provides a novel empirical examination of franchising economics and has managerial implications for franchised channel structure.     

MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model that combines an accessible part taking into account the evolution of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed‐form formulas for the probability that the default occurs at critical political dates in a Markovian setting. Moreover, we introduce a generalized density framework for the hybrid default time and deduce the compensator process of default. Finally, we apply the hybrid model and the generalized density to the valuation of sovereign bonds and explain the significant jumps in long‐term government bond yields during the sovereign crisis.     

The Chinese interbank repo market: An analysis of term premiums

Because of the lack of short‐term government bonds, the interbank repo market in China has been providing the best information about market‐driven short‐term interest rates since its inception. This article examines the behavior of the repo rates of various terms and their term premiums. The work in this article supplements the study by F. Longstaff (2000), which reports supportive evidence for the pure expectations hypothesis over the short range of the term structure with the use of repo data from the United States. It is found that the pure expectations hypothesis is statistically rejected, although the term premiums are economically small. It is shown that the short‐term repo rate, repo rate volatility, repo market liquidity, and repo rate spreads are all important in determining the term premiums. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:153–167, 2006     

Samuelson hypothesis,arbitrage activity,and futures term premiums

The Samuelson hypothesis asserts that futures volatility increases as maturity decreases. On the basis of 10 US commodity futures and by capturing the dynamics of the futures volatility terms structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and at best only weakly negative in other periods. High inventory levels are found to correspond to flatter volatility term structures in seven futures. This finding is consistent with the linkage between carry arbitrage and the Samuelson hypothesis. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.     

A random walk down the options market

Under the efficient market hypothesis, option‐implied forward variance forms a martingale and changes in forward variance follow a random walk. In this study, we extract forward variance from option prices following a model‐free approach and empirically test the random walk hypothesis. Although results from standard orthogonality tests support the martingale restriction, further results from autoregressive regressions seem to reject the martingale restriction as daily changes in forward variance are found to exhibit negative autocorrelation. However, this anomalous pattern of negative correlation is fully explained by illiquidity effects. Overall, the findings support the random walk hypothesis and informational efficiency of the options market. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:505–535, 2012     

基于异质信念的公司特质风险定价模型

文章讨论了加入异质信念后公司特质风险对预期收益率的影响。通过放宽经典Merton模型的假设条件,加入异质信念和卖空限制,重新推导了特质波动率与预期收益率之间的关系。结果表明,在投资者无法多样化投资的前提下,即使考虑了异质信念,公司特质波动率仍然进入资产定价方程,特质波动率与预期收益率之间存在正向关系。     

Sources of variation in holding returns for fed funds futures contracts

This study relates predictable gains from positions in fed funds futures contracts to violations of the expectations hypothesis of the term structure of interest rates. Although evidence for predictable gains from positions in short‐horizon contracts is mixed, we find that gains in longer horizon contracts can be well described using Markov‐switching models, with predictability associated with particular episodes in which economic activity was weak and variability in the returns to these contracts was quite high. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:205–229, 2011     

Volatility components: The term structure dynamics of VIX futures

In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum likelihood method for model estimations and comparisons. We provide evidence that a third factor is statistically significant for variance term structure dynamics. We find that our parameter estimates are robust and helpful to shed light on economic significance of variance factor model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:230–256, 2010     

Speculation,rational expectations,and stability of the foreign exchange market

This paper uses Muth's model of rational expectations to analyze foreign exchange speculation under floating exchange rates when a trade balance ‘J-curve effect’ exists. It extends the existing literature by basing speculative behavior explicity on maximizing behavior, by relating expectations to the underlying structure of the model, i.e. by assuming rational expectations, and by explicitly incorporating uncertainty. A surprising result is that, if speculation takes place, decreases in risk aversion increase the variance of the exchange rate.     

Foreign Equity Trading and Average Stock‐return Volatility

We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value‐weighted average of stock‐return variance in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading, which not only enable us to capture effective foreign investor participation but also to observe the potential asymmetric effects of incoming and outgoing funds on the average total volatility. Consistent with the implications of the asymmetric information hypothesis, we find that net equity flow is positively associated with average total volatility. Furthermore, we show that net equity flow affects the average total volatility through the local and idiosyncratic volatilities, suggesting that foreign investors engage in the production of firm specific and market wide information.     

个性化工作协议如何影响创造力？——基于自我归类理论的被调节中介模型

在创新驱动发展的今天，为保护员工弥足珍贵的自我创造空间，个性化工作协议成为了越来越重要的工作范式。已有研究基于自我决定理论揭示个性化工作协议促进个体创造力，但忽视了缺乏组织约束下可能带来的潜在消极影响。文章从创造蕴含的高失败风险特性和个性化工作协议潜在的身份认同特性出发，基于自我归类理论，由自我归类过程的“自我提升”和“减少不确定性”两大动机引入个性化工作协议和上级发展性反馈，构建了一个有调节的中介模型，探讨个性化工作协议对员工创造力的影响机制。通过区间估计Bootstrap法以及Johnson-Neyman法对325个有效样本进行假设检验，结果表明：个性化工作协议正向影响员工创造力；内部人身份认知发挥中介作用；上级发展性反馈正向调节内部人身份认知在个性化工作协议与员工创造力之间的中介作用。文章拓展了个性化工作协议的研究视角，表明它不仅仅是一种工作时的协议，还蕴含着高度的情感连带与主体互动，这为组织实施个性化工作协议提供了理论基础和实践启示。     

中国股市存在"特质波动率之谜"吗?

文章讨论了中国股市是否存在特质波动率之谜,实证结果表明,滞后的特质波动率并不是预期特质波动率的一个好的估计值。所谓特质波动率之谜是由于研究者错误地使用滞后的特质波动率来取代预期特质波动率而出现的伪现象。文章采用对每支股票的对数特质波动率序列建立ARMA模型的方法提取预期特质波动率,并利用横截面回归研究预期特质波动率与预期收益率之间的关系,研究结果表明两者之间存在显著的正向关系,这种正向关系即使在考虑了各种控制变量并经过稳健性检验之后仍然成立。     

波动率风险溢酬:基于香港和美国期权市场的研究

文章运用方差互换合约的思想,从香港恒生指数和美国S&P500指数现货和期权的价格中提炼出无模型波动率风险溢酬,并对其特征进行了考察。研究结果表明,香港股市和美国股市中的波动率风险的确被定价,且风险溢酬显著为负,说明两市投资者均体现出风险厌恶。但同时我们也发现两个市场投资者的行为模式存在差异。此外,香港和美国市场的波动率风险相关度很高,且存在明显的溢出效应。     

Effect of oil price risk on systematic risk from transportation services industry evidence

This paper investigates the effects of oil price risk on systematic risk using the transportation service industries as samples across eight representative nations. The researchers estimate the systematic risk by the use of time-varying models including the Schwert and Seguin model, the Multi-GARCH model and the Kalman filter algorithm as well as the market model. The empirical results show that the Kalman filter algorithm appears to be the superior model for capturing systematic risk in the transportation industry. The betas of the marine industry decrease as it suffers from oil price risk, while the airline industry sees the reverse. Therefore, the influence of oil price risk is more critical for the airline industry.