Coordinated capacity migration and expansion planning for semiconductor manufacturing under demand uncertainties

Semiconductor industry is very capital intensive in which capacity utilization significantly affect the capital effectiveness and profitability of semiconductor manufacturing companies. Due to constant technology advance driven by Moore's Law in semiconductor industry, multiple production technologies generally co-exist in a wafer fabrication facility with utilization of a pool of common tools for multiple technologies and critical tools dedicated for a specific technology. Because part of the equipment is common for products of different technologies, production managers have limited flexibility to dynamically allocate the capacity among the technologies via capacity migration. The possibility of capacity migration and interrelationship among different technologies make capacity planning difficult under demand and product-mix uncertainties.This paper aims to develop a dynamic optimization method that captures the unique characteristics of rolling demand forecast mechanism to solve capacity expansion and migration planning problems in semiconductor industry. In semiconductor industry, demand forecasts are rolling and updated when the latest market and demand information is available. This demand forecast mechanism makes forecast errors in different time periods correlated. We estimate the validity and robustness of the proposed dynamic optimization method in an empirical study in a semiconductor manufacturing company in Taiwan. The results showed practical viability of this approach and the findings can provide useful guidelines for capacity planning process under rolling forecast mechanism.     

Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

This paper adopts a novel FIVECM-BEKK GARCH approach to examine the bilateral relationships among the A-share and B-share stock markets in China and the Hong Kong stock market. The evidence shows that these stock markets are fractionally cointegrated. Analyses of the spillover effects across these markets indicate that the A-share markets are most influential. The relaxation of government restrictions on the purchase of B shares by domestic residents accelerates the market integration process of A-share markets with the B-share and Hong Kong markets. The effects of the Asian crisis on the stock-return dynamic correlations vary across these markets.     

Real Estate Risk Exposure of Equity Real Estate Investment Trusts

This study examines the linkage between equity real estate investment trust (REIT) returns and the private real estate factor. The results reveal a tighter connection between REIT and the private real estate market starting from 1993. In addition, large-cap REITs seem to behave more like real estate than do small-cap REITs. Overall, the results are consistent with three notions: (1) that institutional investors provide information-gathering services (Bradrinath et al., Rev. Financ. Stud., 8:401–430, 1995), (2) that a more sophisticated investor base improves information flow, and (3) that a high degree of participation from institutional investors strengthens the linkage between REIT returns and the underlying real estate factor (Ziering et al., The evolution of public and private market investing in the new real estate capital markets, Prudential Real Estate Investors, Parsippany, NJ, 1997).

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach

This paper presents a capital asset pricing model‐based threshold quantile regression model with a generalized autoregressive conditional heteroscedastic specification to examine relations between excess stock returns and “abnormal trading volume”. We employ an adaptive Bayesian Markov chain Monte Carlo method with asymmetric Laplace distribution to study six daily Dow Jones Industrial stocks. The proposed model captures asymmetric risk through market beta and volume coefficients, which change discretely between regimes. Moreover, they are driven by market information and various quantile levels. This study finds that abnormal volume has significantly negative effects on excess stock returns under low quantile levels; however, there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.     

Managers’ Escalation Behavior in Equity Investment Decisions and the Role of Corporate Governance

The aim of this study is to investigate the relationship between free cash flows and escalation behavior in the long-term stock buying decisions for the firms listed in Taiwan. The main findings include: (1) Managers tend to exhibit the escalation behavior in the long-term equity investment. (2) There is a positive association between the level of free cash flows and the magnitude of managers’ behavioral escalation. (3) The corporate governance mechanisms play a contributory role in mitigating the escalation behavior. The evidence is robust across subsamples for electronic versus non-electronic industries, growth versus value firms, and loss versus gain firms.     

Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy

Extending the framework of Amin and Jarrow (J Int Money Financ 10:310–329, 1991) and Bo et al. (Insur Math Econ 46:461–469, 2010), this study provides a theoretical exploration of currency options pricing under the presence of interest-rate regime shifts and exchange-rate asymmetric jumps. Evidence of interest-rate regime shifts inferred from UK and US zero coupon bond yields provides support for the regime-switching specifications which we reflect upon the domestic and foreign forward rates. Results of statistical tests conducted on JPY/USD and EUR/USD FX rates provide further support the rationale behind using a double exponential jump diffusion process within a Markov modulated Heath–Jarrow–Morton economy. Our numerical results suggest that, the pricing performance of our model is closely comparable to the Bo-Wang-Yang model for at-the-money options, yet yields improvements in percentage root mean errors for in-the-money options.     

ON THE IMPACT OF PUBLIC DEBT ON ECONOMIC GROWTH: DOES COUNTRY RISK MATTER?

This study examines the nonlinear impacts of four country risk indices on the debt‐growth nexus for 61 countries in a panel data framework. Our results show evidence of the different debt‐growth nexus under the different degrees of country risk. Under a high‐risk environment, a country's economic growth is harmed by raising its public debt. The negative effects public debt has on economic growth become weak under low political and financial‐risk environments, while an increase in public debt could help to stimulate economic growth under low composite and economic risk environments. In addition, the differences of countries' income and debt levels also lead country risks to have different effects on the debt‐growth nexus, suggesting that a country should borrow appropriately based on its current risk environments while improving economic performance. (JEL C33, E02, H63, O43)     

A bibliometric study of financial risk literature: a historic approach

This study probes into the development of financial risk literatures through the perspective of bibliometrics. The research samples were collected from the relevant international financial business bibliographic databases. A total of 2727 entries in a span of 29 years from 1970 to 2009 were collected and the results are summarized as follows: (1) the financial risk literatures under influence of the financial turmoil in Asia achieved substantial growth from 1997 to 1998 and an exponential growth curve during the global financial turmoil from 2007 to 2009; (2) the literatures were mainly journals and articles written in English; (3) the United States ranked first in sector productivity; (4) the author productivity of the financial risks was consistent with the Lotka's Law and (5) the document types of the financial risk literatures were mostly dissertation papers on economics and business.     

Optimum choice of invoice currency with correlated exchange rates†

In this paper, we revisit optimal choice of invoice currency for an exporting firm in the face of exchange rate uncertainty. We demonstrate that when a vehicle currency is available, the optimum choice depends not only on the volatility of the exchange rates but the covariance between them as well. In particular, we show that when the exchange rates between the exporter and importer currencies on the one hand, and the exporter and the vehicle currency on the other, are positively correlated, vehicle currency becomes an attractive choice. The intuition underlying this novel outcome is that this regime dampens profit variability for the exporter.     

Applying a New Model of Customer Value on International Air Passengers' Market in Taiwan

This paper proposes a new model to discover customer value of air passengers by using data mining technologies. The results of this research can be applied in database marketing systems. The procedure applies See5/C5.0 (RuleQuest Research Pty Ltd, St Ives, New South Wales, Australia) decision tree; transaction records; Frequency, Price Discount, Destination and No‐Show (FPDN model; Recency, Frequency and Monetary model based) model variables; and socio‐economic variables to create decision rules for airline business. An empirical case of air passengers' market in Taiwan is implemented for the identification of this procedure and the Frequency, Price Discount, Destination and No‐Show model. Copyright © 2011 John Wiley & Sons, Ltd.