Comparisons of aggregate claim numbers and amounts: a study of heterogeneity

In this paper, we investigate how the heterogeneity among occurrence probabilities and claim severities affects the aggregate claim numbers and aggregate claim amount for an insurance portfolio. We show that higher heterogeneity (and dependence) among occurrence probabilities results in both smaller aggregate claim numbers and aggregate claim amount in the sense of the mean residual lifetime order. We also prove that as the heterogeneity among the claims increases, the aggregate claim amount increases in the sense of the usual stochastic order when the vector of occurrence probabilities is left tail weakly stochastic arrangement increasing. These theoretical findings are applied to (i) study ordering properties of convolutions of binomial random variables, (ii) provide upper bounds for the mean residual lifetime functions of the aggregate claim numbers and amount, and (iii) compare stop-loss premiums and risk capital of different insurance portfolios.     

A Note on the Power of Money-Output Causality Tests

This study suggests that some empirical findings against money-output causality can be the consequence of ignoring autoregressive conditional heteroskedastic (ARCH) errors. Monte Carlo results confirm that ARCH effects drastically reduce the power of the standard causality test. The maximum likelihood approach allowing for ARCH effects, on the other hand, provides a good power performance. Using different specifications and sample period, Friedman and Kuttner (1993) and Thomas (1994) report limited evidence of money causing output. We detect significant ARCH effects in the models considered by these studies. Once ARCH effects are explicitly accounted for, we find that the monetary effect is significant though its magnitude is quite small.     

On a Recent Naturalism Debate in Business Ethics – from a Philosophy Point of View

The article discusses the meaning of consciousness and presents a collective consciousness view of business organizations and their development. It proposes an integrative hierarchical framework of three levels of organizational consciousness: material, social and spiritual. The concepts of excellence, ethical and moral temperament of organizations at different levels of consciousness are also discussed. The article describes the features of social and spiritually conscious business organizations, taking some examples from secondary sources. Overall, it is an attempt to link the ideals of human evolution with the potential behaviour of business corporations. Ashish Pandey is leading research function at Pragati Leadership Institute, 301, Beaver Grandeur, Baner road, Pune, India. He is also scholar of Fellow Program in Management with Management Development Institute, (M.D.I.) Gurgaon. Rajen K. Gupta is Professor of OD with M.D.I., Gurgaon. He is an OD consultant, alumnus of Indian Institute of Technology, Kanpur and holds doctoral degree from Indian Institute of Management, Ahmedabad, India. Earlier version of the paper titled “Organization Development as Evolution of Collective Consciousness of Business Organization” was presented in the Global OD Summit, 2006, at Mysore, India and was adjudged the best paper in ‘Future-focus’ stream.     

The profitability of index futures arbitrage: Evidence from bid-ask quotes

Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that contains both real-time transaction prices and bid-ask quotes; the article further examines the bias of identifying arbitrage opportunities based on transaction prices. The article finds the percentage of observations violating no-arbitrage bounds is significantly reduced when bid-ask quotes are employed instead of transaction prices. This suggests studies that implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. This article finds a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid-ask spreads in the futures and options markets. This phenomenon indicates that a larger mispricing, which may arise when the bid-ask spread is wider, does not necessarily imply profitable arbitrage opportunity. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:743–763, 1998     

Tunneling and propping up: An analysis of related party transactions by Chinese listed companies

We examine a sample of related party transactions between Chinese publicly listed firms and their controlling shareholders during 2001–2002. Minority shareholders in these firms seem to be subject to expropriation through tunneling but also gain from propping up. On balance, there seems to be more tunneling than propping up. Both types of firms have larger state ownership compared to the rest of the Chinese market but firms that are propped up are larger and have larger state ownership than firms subject to tunneling. Propped up firms are more likely to have foreign shareholders and to be cross-listed abroad compared to firms that are subject to tunneling. Propped up firms also tend to have worse operating performance in the fiscal year preceding the announcement of the related party transaction. Finally, we find that related party transactions representing tunneling are accompanied by significantly less information disclosure compared to related party transactions representing propping.     

Hoarding of international reserves: It's a neighbourly day in Asia

To explain why Asian countries seem to have been hoarding international reserves, especially since the 1997 crisis, we consider various regional neighbourhood effects. One such effect is that of “catching up with the Joneses”. We revisit that effect by analysing several refinements of it. We also consider the fear of the kind of contagion that the crisis‐hit countries saw in 1997. Finally, we look at the possibility of a regional financial cycle, in which the conditions that led to the crisis might have been correlated across countries. We find that refining the Joneses effect to take account of trade links strengthens its power to explain the build‐up of reserves. We also observe that a country that finds itself more vulnerable than its regional neighbours would tend to accumulate more reserves. Finally, we find that a common regional factor related to current‐account balances spurs further reserve accumulation. Contrary to previous analyses, our results suggest that only a couple of Asian countries have been holding excessive reserves. Some were actually holding less reserves than would be optimal in the presence of neighbourhood effects.     

A semantic similarity analysis of Internet of Things

ABSTRACT

Internet of Things (IoT) has gradually become one of the most popular topics among both academia and industry, and it is considered as a crucial part of future Internet. However, very few objective and systematic review was conducted to address high-value articles and summarize the intellectual components from journals for examination and identification of the intellectual core and structure of IoT. Therefore, this study conducted a co-citation analysis for IoT by using 68 high-value articles retrieved within 1457 source papers from Web of Science online database. By using factor analysis, ten critical factors were identified, which includes (1) frameworks and challenges of IoT; (2) current situation of IoT in different applications; (3) interactions of IoT; (4) security issues of IoT; (5) application domains of IoT; (6) data management of IoT; (7) IoT in product lifecycle management; (8) enabling technologies of IoT; (9) IoT in smart cities; (10) IoT in recommender systems. Hierarchical Custer Analysis and Multidimensional Scaling were used to graphically illustrate the intellectual elements of IoT. In the current findings, fundamental elements of IoT including architectural framework, enabling technologies, network communication, data management, and IoT interactions were discussed with a series of challenges for wider and deeper IoT applications.     

Geographic Spread of Currency Trading: The Renminbi and Other Emerging Market Currencies

This paper studies the ongoing diffusion of renminbi (RMB) trading across the globe, the first of such research of an international currency. It analyses the distribution in offshore RMB trading in 2013 and 2016 using comprehensive data from the Triennial Central Bank Survey of foreign exchange markets. In 2013, Asian centers favored by the policy of RMB internationalization had disproportionate shares in global RMB trading. Over the following three years, RMB trading seemed to converge to the spatial pattern of all currencies, with a half‐life of seven to eight years. The previously most traded emerging market currency, the Mexican peso, shows a similar pattern, although it is converging to the global norm more slowly. Three other emerging market currencies show a qualitatively similar evolution in the geography of their offshore trading. Overall, the RMB's internationalization is tracing an arc from the influence of administrative measures to the working of market forces.     

Does relationship learning lead to relationship value? A cross-national supply chain investigation

In global business-to-business markets, shared resources between buyers and suppliers often result in competitive advantages and enhanced relationships between firms. Unfortunately, there is a paucity of research regarding learning capabilities between business partners in a cross-border setting. This study takes the approach to integrate customer value literature into interorganizational learning theory and adopts the often-neglected theoretical perspective of transaction value by contextualizing inter-firm collaboration in terms of relationship learning and value co-creation viewed by both the buyers and sellers in one single study. Through the development of a conceptual framework that examines how global environmental and inter-organizational conditions influence learning capabilities, the study investigates how relationship learning influences relationship value for both supplying and buying firms. Using a survey of 126 cross-border dyads in the industrial chemical, packaging, consumer durable, and apparel industries, the authors show how relationship learning is valued by both buyers and suppliers, and how it is critical when viewing the “supplier as a customer.” The results indicate the strategic nature of relationship learning in maintaining cross-border business-to-business relationships. Simultaneously, the findings provide evidence that cultural distance is not a significant influence on the firm's propensity to share knowledge with its global partners. It helps advance our understanding of the significance of cultural-pollination in the era of globalization.     

Two heads are less bubbly than one: team decision-making in an experimental asset market

In the world of mutual funds management, responsibility for investment decisions is increasingly entrusted to small teams instead of individuals. Yet the effect of team decision-making in a market environment has never been studied in a controlled experiment. In this paper, we investigate the effect of team decision-making in an asset market experiment that has long been known to reliably generate price bubbles and crashes in markets populated by individuals. We find that this tendency is substantially reduced when each decision-making unit is instead a team of two. This holds across a broad spectrum of measures of the severity of mispricing, both under a continuous double-auction institution and in a call market. The result is not driven by reduced turnover due to time required for deliberation by teams, and continues to hold even when subjects are experienced. Our result also holds not only when our teams treatments are compared to the ‘narrow’ baseline provided by the corresponding individuals treatments, but also when compared more broadly to the results of the large body of previous research on markets of this kind.