FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS

This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a monthly dataset on global stock indices, the BVAR model controls for co‐movement commonly observed in global stock markets. Moreover, the time‐varying specification of the covariance structure accounts for sudden shifts in the level of volatility. In an out‐of‐sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of point as well as density predictions. The BVAR model without stochastic volatility, on the other hand, shows some merits relative to the random walk for forecast horizons greater than six months ahead. In a portfolio allocation exercise we moreover provide evidence that it is possible to use the forecasts obtained from our model with common stochastic volatility to set up simple investment strategies. Our results indicate that these simple investment schemes outperform a naive buy‐and‐hold strategy.     

The Relevance to Firm Valuation of Capitalised Research and Development Expenditures

Although the relevance of research and development to firm value has been extensively documented, some apparently contrary results were recently reported using Australian data. Godfrey and Koh (2001) reported that capitalised R&D costs do not seem to contain information relevant to the valuation of Australian companies. As the Godfrey and Koh study was designed to test the value-relevance of intangible assets in general, it is likely that the sample did not include sufficient research-intensive companies to test the relevance of R&D to firm value. This research note confirms results from other previous studies indicating that capitalised R&D is relevant to firm value.     

塑造品牌:公司发展新途径

虽然大家经常谈论品牌,但是大多数芯片公司仍然是新手英特尔和AMD公司都计划 2006年以微处理器的新品牌宣传战役开场。市场巨头英特尔曾经斥资3亿美元为Centrino(迅驰)造势,并且成功地使其成为很多消费者     

关注美国两个IPTV项目

一些业界领导人表示, 2006年将是IPTV (Internet protocol television,网络协议电视)年。比如,在一月份举行的消费电子展上,微软董事会主席比尔·盖茨就表示,他预计今年IPTV应用会快速增长,并达到相当大的数量。他还预测道:“它会取代以前的视频平台。”     

The Economics of Taxation in Casino Tourism with Cross‐border Market Power

This paper provides a theoretical proof that casino taxation may have great potential as a contributor to tourism efficiency under sufficient market power. We also examine empirical evidence for the economic efficiency of casino tourism in Macao even with a “high” tax owing to geographic market power. Both theory and evidence point to such power as a key factor that affects the ability of a tourism resort to pass along local taxes to gambling visitors. This ability makes all the difference between the good or bad effect of casino taxes on tourism development. The policy implication is that a gaming tax should be lowered to support casino businesses if it is inefficient, but can be raised to extract public revenues if it is efficient.     

Ranking accounting journals using dissertation citation analysis: A research note

Prior literature on accounting journal rankings has provided different journal lists depending on the type of examination (citations- vs. survey-based) and the choice of journals covered. A recent study by Bonner, Hesford, Van der Stede, and Young (2006) [Bonner, S., Hesford, A., Van der Stede, W. A., & Young, M. S. (2006). The most influential journals in academic accounting. Accounting, Organizations and Society, 31(7), 663–685] documents disproportionately more citations in the financial accounting area, suggesting a financial accounting bias in the accounting literature. We use citations from accounting dissertations completed during 1999–2003 to provide a ranking of accounting journals. The database allows us to assess the research interests of new accounting scholars and the literature sources they draw from. Another innovation is our ranking of accounting journals based on specialty areas (auditing, financial, managerial, tax, systems, and other) and research methods (archival, experimental, modeling, survey, and other). To mitigate the financial accounting bias documented by Bonner et al. (2006), we derive a ranking metric by scaling (normalizing) the journal citations by the number of dissertations within each specialty area and research method. Overall, the top journals are, JAR, AOS, TAR, and JAE. We also provide evidence that top journal rankings do vary by specialty area as well as by research methods.     

The Spatial Integration of Paddy Markets in Vietnam

This paper examines whether there is spatial integration between and within paddy markets in the north and south of Vietnam. The empirical model developed uses estimates of transfer costs to generalise Ravallion's model of spatial market integration to allow for threshold effects. A sequential testing strategy is used to test for market segmentation, the number of thresholds, long‐run integration, informational efficiency and the Law of One Price within an error‐correction framework. We find neither threshold effects nor weak evidence of paddy market integration between northern and southern Vietnam. There is, however, evidence of both threshold effects and stronger market integration within the Red and Mekong River deltas. Whenever price spreads exceed their thresholds, at least 60% of price changes are transmitted between regional markets within a month. Nonetheless, the instantaneous version of the Law of One Price only holds for a few regimes and market pairs. These results suggest that national level policies cannot be relied upon to stabilise or support paddy prices in Vietnam. Instead, policies need to be designed with the specific production, consumption and marketing characteristics of northern and southern Vietnam in mind.     

Seek or destroy? Examining value creation and destruction in behaviour maintenance in social marketing

This article presents an empirical investigation of how behaviour maintenance is supported or hindered through value creation and destruction in social marketing. Using a longitudinal, netnographic approach, we identify and examine the key facilitators and barriers encountered during the maintenance of physical and mental health behaviours. Data were collected over a 12-week observation period via Twitter from a sample of 242 participants. A total of 5212 tweets were analysed using content and thematic analysis facilitated by NVivo software program. The findings identify key barriers to and facilitators of behaviour maintenance at the individual level (downstream), meso level (midstream), and policy level (upstream) that have an influence on value creation and destruction in social marketing. These findings demonstrate the importance of employing a strategic and integrated approach to social change management.     

Network structure,equilibrium and dynamics in a monopolistically competitive economy

Although network theory has been busy to emphasize the role of connection structures in shaping aggregate level phenomena of complex systems, there are only few attempts in economic modeling which try to build this dimension into the analysis. Macroeconomic models typically build on complete connectedness among economic actors (frictionless flow of information, perfect information on prices), thus these models typically oversee the possible effects of complex, incomplete network structures among economic agents on emergent macroeconomic phenomena. In this paper we try to fill this gap by incorporating possibly incomplete relationship structures between economic actors in a standard model of monopolistic competition and then analyze the effect of different network structures on the equilibrium and dynamic properties of the model. Analytical and simulation results of the model show that incomplete connectedness give rise to deadweight loss, shrinking output below the level observed in standard models with complete networks. Also, the dynamics of link formation has an effect on the steady state of the economy as well as on its response to shocks.