Mixture Models of Missing Data

This paper proposes a general framework for the analysis of survey data with missing observations. The approach presented here treats missing data as an unavoidable feature of any survey of the human population and aims at incorporating the unobserved part of the data into the analysis rather than trying to avoid it or make up for it. To handle coverage error and unit non-response, the true distribution is modeled as a mixture of an observable and of an unobservable component. Generally, for the unobserved component, its relative size (the no-observation rate) and its distribution are not known. It is assumed that the goal of the analysis is to assess the fit of a statistical model, and for this purpose the mixture index of fit is used. The mixture index of fit does not postulate that the statistical model of interest is able to account for the entire population rather, that it may only describe a fraction of it. This leads to another mixture representation of the true distribution, with one component from the statistical model of interest and another unrestricted one. Inference with respect to the fit of the model, with missing data taken into account, is obtained by equating these two mixtures and asking, for different no-observation rates, what is the largest fraction of the population where the statistical model may hold. A statistical model is deemed relevant for the population, if it may account for a large enough fraction of the population, assuming the true (if known) or a sufficiently small or a realistic no-observation rate.     

Liquidity and asset pricing: Evidence from the Hong Kong stock market

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding portfolio residuals and higher moment factor in the factor models. The results are also robust to seasonality, and conditional-market tests. We also compare alternative factor models and find that the liquidity four-factor model (market excess return, size, book-to-market ratio, and liquidity) is the best model to explain stock returns in the Hong Kong stock market, while the momentum factor is not found to be priced.     

Ethical Issues in the Evolution ofCorporate Governance in China

China is establishing its corporate governance structures by emulating the stylized Anglo-American model. However, the country does not yet have the necessary formal and informal institutions, or the financial infrastructure to make these structures work effectively. Corruption, stock market manipulation, tax cheating, fraudulent dealing, all manners of plundering of state assets and the lack protection of shareholders' rights are some of the more conspicuous manifestations of the ethical issues that have emerged in this mismatch. This study shows how these issues arise in the context of the characteristics of country's economic and corporate governance development. It evaluates various potential policy responses that may be implemented to improve governance effectiveness and diminish the damage from those problems.     

A spatial–temporal analysis of East Asian equity market linkages

This paper examines East Asian equity market linkages in and out of the Asian and global financial crises using a novel econometric approach. The market dependence structure and shock transmission mechanism are explored spatially in the time domain, thus offering new insights into the dynamic regional market linkage patterns. Results show that East Asian equity markets are characterized by linkages through significant spatial effects, crises are conducive to increased cross-border linkages especially in the case of China, and Japan is a dominant driver of market linkages in the region.     

Managing sub-branding affect transfer: the role of consideration set size and brand loyalty

Although the essential role of affect transfer has been evidenced in the brand extension literature, scant research has focused on affect transfer when a firm attempts to add sub-brands into its brand portfolio. We conducted a series of four experiments to demonstrate that affect associated with a family brand does in fact transfer to its sub-brand, and the effect is more pronounced for a sub-brand that is closer to (vs distant from) its family brand. Further, the transfer of affect is contingent upon consideration set size and brand loyalty. While affect transfer is observed when consideration set is small, this effect dissipates when consideration set expands; such moderation effect further interacts with consumers’ loyalty to a family brand and a competing brand. Our findings caution brand managers to take into account consumers’ consideration set size and brand loyalty when managing their brand portfolios.     

Modeling Distribution Channel Dynamics of North American Cars in the Spanish Automobile Industry

Relations between manufacturers and distributors have been the center point of the distribution channel’s management. This study covers the effects of coercive, as well as non-coercive power on intermediary variables such as cooperation and conflict. It will also analyze the effects of cooperation and conflict on American car dealers’ satisfaction and performance in Spain. Due to the small sample size (46 dealers), the model based on causal modeling compelled us to use the optimization method based on the partial least squares (PLS) regression techniques coupled with a bootstrapping to enable some generalization of the results.

Stock Market’s Reaction to Disclosure of Environmental Violations: Evidence from China

The stock market’s reaction to information disclosure of environmental violation events (EVEs) is investigated multi-dimensionally for Chinese listed companies, including variables such as pollution types, information disclosure sources, information disclosure levels, modernization levels of the region where the company locates, ultimate ownership of the company, and ownership held by the largest shareholder. Using the method of event study, daily abnormal return (AR) and accumulative abnormal return (CAR) are calculated under different event window for examining the extent to which the stock market responds to the EVEs. Furthermore, statistical significance of the difference in stock market reaction is compared between event firms with different characteristics. The relationship between CAR and its impact factors is examined by multivariate analysis. The findings reveal that the average reduction in market value is estimated to be much lower than the estimated changes in market value for similar events in other countries, demonstrating that the negative environmental events of Chinese listed companies currently have weak impact on the stock market.     

A lifestyle analysis of female consumers in greater China

This study compares the lifestyles of female consumers in Hong Kong, Taiwan, and China, which together make up Greater China. The investigation revealed that significant differences exist among the three groups of female consumers in nine different areas. These are (a) women's role and perception, (b) family orientation, (c) home cleanliness, (d) brand consciousness, (e) price consciousness, (f) self-confidence, (g) addiction to work, (h) health consciousness, and (i) environmental consciousness. Although the women studied in the three groups were found to be heavily influenced by Confucianism, they were also affected by western culture to varying degrees. Thus, the three groups were found to have a mixture of traditional and modern values. Hong Kong women were found to favor a more modern view of the role of women than their counterparts in China and Taiwan. However, women in China, especially the younger ones, were quickly adopting new values and Western ideas. The authors foresee that female consumers in Greater China will become increasingly similar in their lifestyles in the near future. © 1997 John Wiley & Sons, Inc.