On additivity of tail comonotonic risks

ABSTRACT

As perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the course of financial turmoil or industrial accidents and outbreaks. Under this motivating paradigm, we show the universal asymptotic additivity under upper tail comonotonicity, as the probability level approaching to 1, for Value-at-Risk and Conditional Tail Expectation for a portfolio of fixed number of risks, in which each marginal risk could be any one having a finite endpoint or belonging to one of the three max domains of attraction. Our obtained results do not require the tail equivalence assumption as needed in the existing literature. This resolves a lasting problem in quantitative risk management and covers most distributions commonly encountered in practice.     

Union objectives and indexation externalities in a monopolistically competitive economy

This paper extends the literature on indexation externalities by analyzing equilibrium and efficient indexation in a unionized economy characterized by a monopolistically competitive goods market. The assumption that union objectives relate to both employment and the real wage implies that union indexation decisions are associated with a negative externality and, as a consequence, the equilibrium degree of indexation is inefficiently high. This feature is characteristic of both passive and activist policy environments.     

City objectives in monopoly franchising: the case of cable television

This paper employs an approach from the labour literature to determine relative weights which cities place on alternate service proposals when selecting cable television operators. Using contract proposals for 27 franchise auctions which took place across the US between 1979 and 1981, a probit model is estimated which corrects for firm self-selection into the auctions. Cities are found to select firms with local or regional advantages, and to prefer relatively fewer unprofitable services and relatively higher basic tier prices. The results suggest that monopoly franchising may serve private interests at the average consumer's expense.     

Online Customer Experience in e-Retailing: An empirical model of Antecedents and Outcomes

The theoretical understanding of online shopping behavior has received much attention. Less focus has been given to the formation of the customer experience (CE) that results from online shopper interactions with e-retailers. This study develops and empirically tests a model of the relationship between antecedents and outcomes of online customer experience (OCE) within Internet shopping websites using an international sample. The study identifies and provides operational measures of these variables plus the cognitive and affective components of OCE. The paper makes contributions towards new knowledge and understanding of how e-retailers can provide effective online experiences for customers.     

A HISTORICAL PERSPECTIVE ON MENTAL HEALTH SERVICES IN AUSTRALIA: 1883–84 TO 2003–04

This paper describes changes in the number of residents and admissions to public psychiatric hospitals in Australia, and in the state of Queensland in particular, from 1883 to 2003. It identifies when the deinstitutionalisation of dedicated psychiatric institutions began in Queensland and finds that the policy described as 'opening the back door' (discharging residents) began around 1952–53, while the policy of 'closing the front door' (reducing admissions) began in 1962–63. Deinstitutionalisation in Queensland thus began earlier than most contemporary writers suggest.     

Audit Regulation and Cost of Equity Capital: Evidence from the PCAOB's International Inspection Regime*

This study investigates the relation between audit regulation and cost of equity capital. There is scant empirical evidence on this relation because changes in audit regulation are frequently accompanied by other major regulatory changes. We exploit variation in the timing of regulatory changes induced by foreign governments' staggered allowance of PCAOB inspections. Using a difference-in-differences design, we find that foreign SEC registrants with auditors from countries that allow PCAOB inspections enjoy a lower cost of capital, relative to foreign SEC registrants with auditors from countries that prohibit inspections. Furthermore, we find that this cost of capital effect is attenuated for companies with higher-quality governance mechanisms. Finally, we document that inspection access is associated with higher-quality analyst forecasts, which suggests that this change in audit regulation reduces information risk for market participants.     

Sales promotions for preorder products: The role of time‐of‐release

Preorder offers are increasingly common for many types of products and services. Sales promotions, such as price discounts and free gifts, are frequently used to raise offer attractiveness and elicit a stronger sales response. Through a series of experiments, we show that a preorder promotion's effectiveness depends on whether it matches the construal level associated with timing of the featured product's release. When a match occurs, it increases consumers’ positive affect leading to higher purchase intention directly or by raising the perceived certainty of new product quality. In addition, we find interesting differences related to promotion type. Specifically, we show that a larger discount promotes low‐level construals, which leads to stronger purchase intentions only when the product is scheduled for near‐future release. Since a gift may elicit either high‐ or low‐level construals, a premium offer of higher perceived value leads to stronger purchase intentions regardless of release timing.     

Auditor benchmarking of client disclosures

Review of Accounting Studies - We examine auditors’ disclosure benchmarking, which we define as auditors’ acquisition of nonclient financial statement information for the purpose of...     

The influence of instructor gender on learning and instructor ratings

This paper uses two large databases to determine if students of a given gender learn more from instructors of the same gender and if instructors of a given gender receive higher ratings from students of the same gender compared to students of the opposite gender. The Indiana University (IU) data set was collected over a six-year period from the fall of 1984 to the spring of 1990 for associate instructors teaching introductory microeconomics and macroeconomics courses. A subset of the data collected in norming the third edition of the Test of Understanding College Economics is the TUCE III data set. The results of this study do not lend support for a positive gender-match role model effect concerning student learning and instructor ratings. This effect appeared only in the IU micro data set but did not appear on a consistent yearly basis. The effect did not appear at all in the IU macro data or either of the TUCE III data sets.     

Centralised Wage Setting, Inflation Contracts, and the Optimal Choice of Central Banker

The paper examines the appropriate design of central banking institutions in an economy in which the nominal wage is set by an inflation-averse monopoly union as a positive mark-up over its market-clearing value. The analysis considers both the optimal choice of central banker and the potential role for a linear inflation contract. The optimal set of arrangements is a central banker who attaches less significance to inflation than does society, combined with an inflation contract where the value of the contract parameter is related to the union's degree of inflation-aversion.