Performance of Pairs Trading Strategy in the U.S. REIT Market

We examine the performance of pairs trading in the U.S. REIT market compared with that in the U.S. general stock market over the period 1987 to 2008. The results suggest that the REIT market provided superior profit opportunities for this strategy over common stocks after accounting for the effect of the bid‐ask bounce between 1993 and 2000. This was likely because of the unique characteristics of REITs, which permitted the selection of good pairs of close substitutes and the structural changes that occurred in 1993 in the REIT market. The superior trading profits in REITs disappear after 2000.     

A logistics model for emergency supply of critical items in the aftermath of a disaster

This paper proposes a logistics model for delivery of prioritized items in disaster relief operations. It considers multi-items, multi-vehicles, multi-periods, soft time windows, and a split delivery strategy scenario, and is formulated as a multi-objective integer programming model. To effectively solve this model we limit the number of available tours. Two heuristic approaches are introduced for this purpose. The first approach is based on a genetic algorithm, while the second approach is developed by decomposing the original problem. We compare these two approaches via a computational study. The multi-objective problem is converted to a single-objective problem by the weighted sum method. A case study is presented to illustrate the potential applicability of our model. Also, presented is a comparison of our model with that proposed in a recent paper by Balcik et al. [6]. The results show that our proposed model outperforms theirs in terms of delivering prioritized items over several time periods.     

Deposit insurance and subsidized recapitalizations

The 2007–2009 financial crisis saw a vast expansion in deposit insurance guarantees around the world and yet our understanding of the design and consequences of deposit insurance schemes is in its infancy. We provide a new rationale for the provision of deposit insurance. In our model the banking sector exhibits both adverse selection and moral hazard, which implies that the social benefits of bank monitoring must for incentive reasons be shared between depositors and banks. Consequently, socially too few deposits are made in equilibrium. Deposit insurance – or, equivalently, bank recapitalization – corrects this market failure. We find that deposit insurance should be funded not by banks or depositors but out of general taxation. The optimal level of deposit insurance varies inversely with the quality of the banking system. Hence, when the soundness of the financial sector is uncertain, governments should consider supporting deposit insurance schemes and undertaking subsidized recapitalizations.     

Investment appeal of small growth stocks

We examine the investment appeal of small growth stocks by addressing: (1) the extent of mean reversion in small growth stocks; and (2) the set of financial variables that uniquely and strongly identify small growth stocks with the most investment appeal. We use 22 years of data derived from Forbes' annual list of best small growth companies. Our findings indicate that the market generally overreacts in the 36 months leading up to the month of Forbes' publication. Cumulative abnormal returns decline sharply after publication of Forbes list. We also examine whether Forbes' financial filters are justified or investors should expand the financial parameters to identify stocks with better investment appeal. Our findings suggest that three out of four Forbes financial filters to screen companies performed better in the post-publication period. Small stocks performed poorly in the post-publication period when analyzed on 13 additional financial variables. Specifically, sales growth rate, cash flow growth rate, 5-year compound EPS growth rate, and net income growth rate were more than halved for the average company in the 36 months after the publication of Forbes' list. These results suggest that financial filters Forbes used to generate its list may not capture the underlying performance of small stocks. In examining the two research questions, evidence is unsettling and to some extent contrary to that provided by prior research.     

Private Insurance Company Involvement in the U.S. Crop Insurance Program

The participation of intermediaries in either public policy or private markets can be justified on the basis of efficiency gains. With respect to private insurance companies and the crop insurance program, efficiency gains may arise from either decreased transaction costs through better established delivery channels and/or the revelation of asymmetric information. However, anecdotal evidence indicates that delivery costs are excessive and it appears that for political economy reasons, rates have and will not be adjusted in response to new information. In conclusion, the value-added of private insurance companies is questioned in light of the current political economy and thus should serve as a caution to other countries wishing to emulate the U.S. system.     

DO PLAYERS REACT TO SANCTION CHANGES? EVIDENCE FROM THE ENGLISH PREMIER LEAGUE

This paper evaluates the impact on three types of offences, red card fouls, yellow card fouls, and no‐card fouls of Fédération Internationale de Football Association's introduction of a rule change in 1998 by exploiting the competitive variation in English Premier League football games over two seasons. A key result of this paper is that as more offences became eligible for red cards, the number of red cards did not increase after the introduction of the new law. The results indicate that the relationship between non‐red card fouls and many of their determinants appears to have changed significantly between the 1997–8 and 1998–9 seasons. The findings in the paper are consistent with the view that an increase in the severity of the sanction associated with a tackle from behind raised the number of no‐card and yellow card fouls.     

Top shelf foods and drinks: Female adolescents' eating motives, constraints and behaviours during the school day

This paper reports the findings of a study on female adolescents' food choice motives, constraints and behaviours over the course of the school day. A model of top shelf food and drink (TSFD) consumption is developed. TSFDs relate to those foods located towards the top of the food pyramid as presented in the current Irish guide to healthy eating and are advised to be consumed in very small amounts or used sparingly. The findings support negative associations between TSFD consumption and the importance of health/physique, diet/slimming and natural ingredients to the adolescent. Perceived guardians' knowledge of adolescents' eating behaviour was also found to be negatively related to the frequency of TSFD consumption. Positive associations with TSFD consumption are found with regards to the availability of these foods in school, and price and trendiness motives. The provision of lunch money was found to be positively associated with availability of food in schools.     

The evolution of the intellectual structure of operations management—1980–2006: A citation/co-citation analysis

Citation analysis combined with a network analysis of co-citation data from three major operations management (OM) journals is used to reveal the evolution of the intellectual structure of the OM field between 1980 and 2006. This spans the entire time since the beginning of research journals specific to the field. Employing a bibliometric citation/co-citation analysis to investigate the foundations of the discipline enables a robust, quantitative approach to uncovering the evolution of research in OM. The study finds that the intellectual structure of the field made statistically significant changes between the 1980s, the 1990s, and the 2000s and evolved from a pre-occupation with narrow, tactical topics toward more strategic, macrotopics, including new research methods and techniques. A factor analysis identifies the 12 top knowledge groups in the field and how they change over the decades. Illustrations of the structure of the co-citations representing the field are generated from a spring-embedded algorithm that is an improvement over the standard multi-dimensional scaling (MDS) approach to illustrating the knowledge groups.