Information Uncertainty,Earnings Management,and Long‐run Stock Performance Following Initial Public Offerings

We examine how information uncertainty surrounding IPO (initial public offering) firms influences earnings management and long‐run stock performance. For low‐information‐uncertainty issuers, at‐issue earnings’ management is positively related to subsequent unmanaged earnings and has no relationship to market reaction to earnings announcement and long‐run stock performance following the offering. For high‐information‐uncertainty issuers, however, at‐issue earnings’ management is unrelated to subsequent unmanaged earnings and negatively related to market reaction to earnings announcement and long‐run stock performance following the offer. The evidence suggests that, on average, managers in low‐information‐uncertainty firms tend to engage in earnings’ management for informative purposes, while managers in high‐information‐uncertainty firms engage in earnings’ management for opportunistic purposes.     

Pricing discrete path-dependent options under a double exponential jump–diffusion model

We provide methodologies to price discretely monitored exotic options when the underlying evolves according to a double exponential jump diffusion process. We show that discrete barrier or lookback options can be approximately priced by their continuous counterparts’ pricing formulae with a simple continuity correction. The correction is justified theoretically via extending the corrected diffusion method of Siegmund (1985). We also discuss the jump effects on the performance of this continuity correction method. Numerical results show that this continuity correction performs very well especially when the proportion of jump volatility to total volatility is small. Therefore, our method is sufficiently of use for most of time.     

A censored system of cigarette and alcohol consumption

Many previous studies of US cigarette and alcohol consumption have focused on single equations. However, the addictive nature of consumption suggests that it is more appropriate to model these products as a system. We propose a two-step estimation procedure and apply the procedure to a system of equations for cigarette, beer and wine consumption. Results differ from those derived from an existing two-step procedure. Findings suggest that consumption of cigarettes, beer and wine is responsive to income changes but the elasticities are rather small. Personal physiques, education, age, race, ethnicity, health, gender, employment status, and regions also play significant roles in consumption.     

Household demand for fats and oils: two-step estimation of a censored demand system

A censored system of household fat and oil demand equations is estimated with a two-step procedure, using cross-sectional data from the 1987–1988 US Nationwide Food Consumption Survey. Own price and total expenditure elasticities are close to unity and there is no evidence of gross substitutability. Compensated elasticities suggest net substitution among the products considered.     

Gender differences,physical activity and body weight

We investigate the effect of physical activity on bodyweight and the gender differences in such effects, following the copula approach to endogenous switching regression. Using data from the 2006 Behavioral Risk Factor Surveillance System (BRFSS), we find differentiated effects of socio-demographic variables on exercise and on Body Mass Indexes (BMIs), and differentiated effects of exercise on BMI, between genders. Regular exercise, on average, decreases BMI by 1.78 for women and 1.01 for men. Food price away from home has negative effects on BMI of both men and women.     

Investigating the value of information sharing in multi-echelon supply chains

Under the structure of multiple business entities, supply chain management (SCM) offers the external and internal integration of business processes in enterprises. The most important objective of SCM is to enhance the supply chain performance such as reinforcing the service level and increasing profit as well as reducing order cycle time and inventory. In recent years, due to the advancement of information technology, enterprises can manage the product flow and the information flow via economical and efficient mechanisms. The well-organized information sharing can enhance the supply chain performance and allow enterprises to refine their strategies of supply chain in order to maximize their profits. The previous studies pointed out the positive effect of information sharing on the efficiency of supply chain. However, relatively little literature focuses on the performance analysis for multi-echelon supply chain with various information sharing scenarios. By using the simulation technique, this paper models different scenarios of information sharing, and further analyzes the impacts of information quality on multi-echelon supply chain performance. In addition, this paper employs Data Envelopment Analysis (DEA) to integrate multiple performance measures to ensure the information sharing scenarios with enhanced performance.     

Determinants of fruit and vegetable consumption in Malaysia: an ordinal system approach*

We examine the socio‐demographic determinants of fruit and vegetable consumption using household survey data from Malaysia. A bivariate ordered probability model is developed by the copula approach. Results for a system of fruit and vegetable servings per week indicate that education, age, ethnicity, income, location of residence, smoking status and health conditions are significant predictors of fruit and vegetable consumption in Malaysia. Policy implications are suggested.     

Proxy contest,board reelection,and managerial turnover—yes,the proxy contest outcome matters

In a previous study based on a matched sample analysis, it is found that in Taiwan top management turnover rate for the listed firms in the presence of a proxy contest is much higher than the ones without a proxy contest. In other words, the hypothesis of job security has gained empirical support. Taking account of the proxy contest outcomes, the present study extends the sample years, i.e. 1994–1999, to further examine the impact of proxy contest on managerial turnover. In conformity with expectations, the major empirical findings can be summarized as follows: the highest turnover rate of top management is observed in the firms of which the dissidents win majority seats; the second highest turnover rate is observed in the firms of which the dissidents win some seats; whereas the lowest turnover rate is observed in the firms of which the dissidents win no seats. Empirical findings of this kind provide further support to the view that proxy contest has played an effective monitoring role in disciplining incumbent management. Copyright © 2004 John Wiley & Sons, Ltd.     

Detailed study of a moving average trading rule

We present a detailed study of the performance of a trading rule that uses moving averages of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our study reports short-, medium- and long-term effects by looking at the Sharpe ratio (SR). We calculate the Sharpe ratio of our trading rule as a function of the probability distribution function of the underlying traded asset and compare it with data. We show that if the performance is mainly due to presence of autocorrelation in the returns of the traded assets, the SR as a function of the portfolio formation period (look-back) is very different from performance due to the drift (average return). The SR shows that for look-back periods of a few months the investor is more likely to tap into autocorrelation. However, for look-back larger than few months, the drift of the asset becomes progressively more important. Finally, our empirical work reports a new long-term effect, namely oscillation of the SR and proposes a non-stationary model to account for such oscillations.