Predicting the Price Effect of Mergers with Polynomial Logit Demand

We propose a polynomial logit model to quantify the price effects of mergers in a static Nash setting. The proposed model is parsimonious in parameters and is shown to have excellent predictive power, rivaling the in-sample and out-of-sample predictive accuracy of the widely-used AIDS model.The analysis, using actual scanner data on bread sales, demonstrates that a linear logit model is likely to over-estimate the merger price effect.     

Female Presence on Corporate Boards: A Multi-Country Study of Environmental Context

A growing body of ethics research investigates gender diversity and governance on corporate boards, at individual and firm levels, in single country studies. In this study, we explore the environmental context of female representation on corporate boards of directors, using data from 43 countries. We suggest that women’s representation on corporate boards may be shaped by the larger environment, including the social, political and economic structures of individual countries. We use logit regression to conduct our analysis. Our results indicate that countries with higher representation of women on boards are more likely to have women in senior management and more equal ratios of male to female pay. However, we find that countries with a longer tradition of women’s political representation are less likely to have high levels of female board representation.     

The Use of the Logit Model in Applied Industrial Organization

Qualitative choice models, such as the logit model, can capture important firm and product asymmetries. This paper surveys use of the logit model in industrial organization, with special focus on its application to merger analysis. The basic model and its motivation are reviewed, as is its estimation. Discussed in some detail is the use of the logit model to predict the price and welfare effects of horizontal mergers in differentiated products industries. Simulation using a qualitative choice model is argued to be far superior to traditional structural analysis. Logit merger simulations have the particular virtues of low informational and computational burdens and the use of the logit model can be motivated as reflecting a diffuse prior on the structure of demand.     

Modelling purchases as a function of advertising and promotion

This article describes the preliminary studies of the effect of advertising and promotion on purchases. The British single-source database Adlab has been the basis for this study of advertising and promotion effectiveness. The ST AS measure and logit modelling have been used to estimate the effect of advertising. The results from the two measures have been compared to determine the extent to which the two measures give occasion for the same conclusions. To indicate the accuracy of the two measures, their respective levels of significance have been studied. Two logit models have been estimated; one only includes the effect of TV exposure, while the other also includes the effect of promotions. The results from the two logit models are compared to determine which model gives the most accurate estimate of the effect of advertising. When comparing the results from the STAS measure with the parameter estimates from the second logit model, it is found that these two different measures largely lead to similar conclusions. Suggestions for further research and developments of the models are given.     

信用风险测量指标体系研究

在现代商业银行经营中,信用风险是影响其安全高效运营的主要原因。信用风险管理中最重要的就是信用风险测量。自从20世纪80年代末期以来,人工智能技术如神经网络、专家系统也被应用于商业银行信用风险测量中。但预测指标的研究则相对滞后,成为研究的一个难点。     

A Quiet Revolution in Corporate Governance: An Examination of Voluntary Best Practice Governance Policies

This paper investigates the effects of several voluntary best practice corporate governance principles on firm performance and firm risk. Using a sample of Standard & Poor's/Toronto Stock Exchange Composite Index firms from 2003–2010, I show that firms with individual director election and detailed disclosure of voting results in director elections have a higher firm value or performance. Firms with independent chairman, majority voting, and detailed disclosure of voting results in director elections have lower idiosyncratic risk. In addition, the results from the panel regression show that detailed disclosure of voting results in director election leads to lower systematic and total risk.     

企业财务困境预警及对策研究

为了有效地预警企业财务困境,论文以156家上市公司为研究样本,运用逐步判别分析方法从33个财务比率指标中筛选出6个变量,构建了一个六变量财务困境判别模型。经检验,新建模型对企业财务困境的预测正确率达到93.59%,且具有一定的超前预测能力。企业可以应用该模型及早预警财务困境,及时采取措施防范和应对财务困境。     

The Agency Problems Embedded in Firm’s Equity Investment

We find that agency problems are embedded in firm’s excess and abnormal equity investments that are mainly dictated by controlling shareholder’s motives and ethical choices manifested in ownership and board structure. The excess equity investment is gauged with respect to industry average. The abnormal equity investment is specifically referred to the number of nominal investment companies that are fully controlled by the controlling owners while subject to little governance. Our empirical evidences of 345 Taiwanese non-financial listed firms show that firm’s excess and abnormal equity investments are negatively correlated with controlling shareholder’s cash flow rights while are positively correlated with the control–cash flow deviation, and board affiliation. The results are supportive of the positive incentive hypothesis and the negative entrenchment hypothesis put forth by La Porta et al. (2002, Journal of Finance 57, 1147–1171) and Claessen et al. (2002, Journal of Finance 57, 2741–2742). The negative relation between equity investment and firm’s value further supports the agency postulation that corporate excess and abnormal equity investments represent a leeway for controlling shareholder to exploit wealth of minority shareholders. This study potentially contributes to the literature of business ethics by portraying an empirically testable linkage from controlling owner’s ethical choices to his actions and therefore firm’s value. Yin-Hua Yeh, Ph.D., is Professor and Director of the Graduate Institute of Finance at Fu-Jen Catholic University (FJU) in Taiwan. He is also the Director of the Center for Corporate Governance and Business Ethics at FJU. His main research and teaching areas are corporate governance, corporate finance, and merger and acquisition. Tsun-Siou Lee, Ph.D., is Professor of Finance at National Taiwan University. His main research and teaching areas are corporate governance, futures and options, and financial innovation. Pei-Gi Shu, Ph.D., is Professor of Business Administration at Fu-Jen Catholic University in Taiwan. He is also the Vice Dean of Management College at FJU. His main research and teaching areas are mutual funds and behavioral finance.     

Closed-form Bayesian inferences for the logit model via polynomial expansions

Articles in Marketing and choice literatures have demonstrated the need for incorporating person-level heterogeneity into behavioral models (e.g., logit models for multiple binary outcomes as studied here). However, the logit likelihood extended with a population distribution of heterogeneity doesn’t yield closed-form inferences, and therefore numerical integration techniques are relied upon (e.g., MCMC methods). We present here an alternative, closed-form Bayesian inferences for the logit model, which we obtain by approximating the logit likelihood via a polynomial expansion, and then positing a distribution of heterogeneity from a flexible family that is now conjugate and integrable. For problems where the response coefficients are independent, choosing the Gamma distribution leads to rapidly convergent closed-form expansions; if there are correlations among the coefficients one can still obtain rapidly convergent closed-form expansions by positing a distribution of heterogeneity from a Multivariate Gamma distribution. The solution then comes from the moment generating function of the Multivariate Gamma distribution or in general from the multivariate heterogeneity distribution assumed. Closed-form Bayesian inferences, derivatives (useful for elasticity calculations), population distribution parameter estimates (useful for summarization) and starting values (useful for complicated algorithms) are hence directly available. Two simulation studies demonstrate the efficacy of our approach. JEL Classification C6 · C8 · M3     

Prices of deep discount bonds and the Revenue Act of 1978: An evaluation of market response

This article explores the market response of deep discount corporate bonds to the reduction in the capital gains tax rate incorporated into the Revenue Act of 1978. Such tax change should have increased the desirability of assets acquired for capital gains potential, such as deep discount bonds. Examining a time series of prices and returns for a sample of deep discount corporate bonds and a control group of comparable duration and credit risk corporate bonds selling at or near par did indeed provide evidence of a market price reaction. Moreover, the price changes for the deep discount bonds occurred well in advance of the implementation of the tax change.     

Corporate reputations in UK biotechnology: an analysis of on‐line ‘company profile’ texts

Internet technology is creating a new corporate communications framework, which is affecting communication channels, corporate audiences, message content and form, communication feedback and corporate personae. Confronted with a complex communications environment, which is characterized by many conflicting views and highly sensitive topics, biotechnology companies have to transmit a clear and powerful message to their target audiences. This study analyses the projection of corporate images in the ‘company profile’ texts published on‐line by biotechnology firms in the UK.     

Leveraging purchase regularity for predicting customer behavior the easy way

The valuation of future customer activity is a mainstay of any organization seeking to efficiently manage its customer portfolio. In the area of customer-base analytics, the ongoing race for predictive power has yielded a large corpus of research to assist managers in this respect. Approaches in the tradition of stochastic models have been particularly successful because they rely only on easy-to-compute key metrics and integrate them within a parsimonious probability-modeling framework. Recent advances in this field have demonstrated that incorporating the timing regularity of past purchases can improve predictive accuracy relative to purely recency/frequency-based approaches. This paper expands that idea and introduces generalizations of a well-established probability model, the BG/NBD (Fader et al., 2005a), by replacing the exponential with a more flexible Erlang-k interarrival timing process. The resulting model variants are capable of leveraging regularity while retaining almost the same level of data requirements and algorithmic efficiency. Using extensive simulation studies and six data sets covering a wide range of empirical settings the authors demonstrate substantial improvements in predictive accuracy against the baseline models and performance gains close to or on par with a more complex model alternative. The availability of efficient and easily accessible implementations of the new model variants in the R-package BTYDplus allows marketing analysts to apply them in large-scale scenarios of data-rich environments on a continuous basis.     

Antecedents of Corporate Scandals: CEOs’ Personal Traits, Stakeholders’ Cohesion, Managerial Fraud, and Imbalanced Corporate Strategy

This study examines the antecedents of corporate scandals. Corporate scandals are defined as rare events occurring at the apex of corporate fame when managerial fraud suddenly emerges in conjunction with a significant gap between perceived corporate success and actual economic conditions. Previous studies on managerial fraud have examined the antecedents of illegal acts in isolation from strategic decisions and in terms of CEOs’ individual responses to the external context. This study frames the antecedents of corporate scandals in terms of the interplay of CEOs’ personal traits with corporate strategy and stakeholders’ cohesion. With this aim, this study builds on extant theory to examine the case of Banca Popolare di Lodi, an Italian bank involved in a corporate scandal in year 2005. The model contributes to advance understanding of the complex dynamics underlying the emergence of corporate scandals.     

基于计划行为理论的绿色创新战略影响因素分析

基于计划行为理论,从预期经济收益、冗余资源和利益相关者压力三个方面探讨了企业绿色创新战略的驱动因素,并通过大样本问卷调查和统计分析对该理论模型进行了实证检验。结果表明,预期经济收益是企业进行绿色创新战略的重要驱动因素;不同类型的冗余资源和来自不同利益相关者的压力对企业绿色创新战略的驱动效应存在差异：已吸收冗余资源、企业治理利益相关者、内部经济利益相关者和外部社会利益相关者都对企业开展绿色创新战略有显著的正向影响,而未吸收冗余资源和外部经济利益相关者对企业绿色创新战略的驱动作用不显著。     

Adequacy of International Codes of Behavior

International codes of corporate behavior have been proposed, discussed, negotiated, and promulgated by governments, transnational corporations, and inter-corporate associations over the past few decades. It is not clear that they have been resoundingly as successful in changing corporate behavior – particularly as to corruption and environmental protection – as have national government requirements imposed on foreign enterprises and their own officials. This article arrays the many attempts to structure cooperative action to re-order corporate behavior on several dimensions – restrictive business practices, labor conditions, human rights, environmental production, and corruption. It then assesses the extent to which behavior has been changed and what techniques are more effective in making corporate behavior more ethical.     

中国大陆赴香港旅游预测模型

旅游人数预测是旅游业经济分析和发展战略规划中的关键问题。本研究选择适当的方法建立中国大陆到香港旅游预测模型，为制定香港旅游战略规划提供决策依据。首先建立包括六个因素预测理论模型，然后用神经网络、移动平均、时间序列平滑模型和多元回归方法建立旅游定量预测模型，结果显示神经网络模型优于其他三种模型。     

Effects of Foreign Institutional Ownership on Foreign Bank Lending: Some Evidence for Emerging Markets

Despite the large literature on developed countries, little is known about the interactions between corporate governance, foreign ownership, and foreign bank lending in developing countries. Using data from five Latin American countries from 2001 to 2008, we provide one of the first pieces of evidence of how foreign ownership affects the loan cost of borrowers in emerging markets. We find that in terms of foreign bank lending, the cost of debt financing is significantly higher for firms whose largest shareholder is a foreign institutional one. The results support the hypothesis that because of potential agency conflicts between shareholders and creditors, having block institutional shareholders tend to increase the borrowers’ debt burden. There is further evidence supporting this agency conflict hypothesis as we find that the effects of large institutional shareholders on borrowing costs become larger (smaller) when the conflicts are aggravated (mitigated).     

Corporate Social Responsibility, Investor Protection, and Earnings Management: Some International Evidence

To many, recent allegations of accounting fraud (or earnings management; EM) at Enron, coupled with similar ones at many other corporations, are a strong indication of a serious decay in business ethics. In academics, this raises the concern between EM and corporate social responsibility (CSR). Since it has neither been documented, nor globally tested whether CSR mitigates or increases the extent of EM, three kinds of EM are studied: earnings smoothing, earnings aggressiveness, and earnings losses and decreases avoidance. The extents to which financial characteristics and institutional variables have an impact on the extent to which companies conduct EM are also tested. Our study investigates whether the CSR-related features of 1,653 corporations in 46 countries had a positive or negative effect on the quality of their publicly released financial information during the 1993–2002 period. There is no question that with a greater commitment to CSR, the extent of earnings smoothing is mitigated, that of earnings losses and decreases avoidance is reduced, but the extent of earnings aggressiveness is increased. Feng-Ching Kang is a graduate student for Ph. D degree of the Department of Social Welfare at National Chung Cheng University, Taiwan. Her research focuses on nonprofit governance, social economy, cooperative economics, organization theory and business ethics. She received a MBA from the Department of Cooperative Economics, College of Business National Taipei University, Taiwan     

Factors Influencing the Incidence of Bribery Payouts by Firms: A Cross-Country Analysis

This article explores micro- and macro-level variables that influence the incidence of bribery payouts by firms. A rich data set with information from 55 countries was utilized to achieve this objective. Results of logit regression models indicate that there are a number of micro- and macro-level factors that significantly affect the incidence of bribery payouts. This suggests that it is not only the characteristics of a firm but also the environment of doing business that affect the firm’s bribery decision. The results of this study provides information that may help firms develop strategies to reduce corruption in their respective industries and thereby improve their image of corporate social responsibility. The analysis also points to possible policy directions that governments could undertake in order to reduce the incidence of bribery in their country.      

Using Payment Behaviour Data for Credit Risk Modelling

In this paper we evaluate payment scores in two contexts; that of predicting future payment behaviour and that of corporate failure prediction. The assessment of the ability and willingness of a firm to pay its creditors, and the likely timeliness of payments, are a major focus of both credit risk analysis (from the trade credit perspective) and government policy, although the latter issues have not been much studied in the academic literature. While failure prediction models are traditionally used as indicators of payment behaviour in the UK, payment behaviour prediction models are estimated and made available in the USA by the leading credit reporting agencies and the predictive abilities of such scores in the UK context are, therefore, worthy of consideration.We also consider the contribution that payment behaviour scores can make to predicting corporate failure. An important question is whether the availability of payment behaviour scores increases the overall information content of the credit report or merely re-packages information represented elsewhere. We find that payment behaviour data can be used to predict successfully future payment behaviour in a trade credit context, and can add incrementally to the predictivity of corporate failure models.