Effectiveness and Effects of China’s Capital Controls

I. IntroductionNations at every stage of development and in every region of the world are more closelylinked through trade in goods and services, through flows of funds and investments ineach others’ economies than ever before. But in sharp contrast to more and more nationsloosening restrictions on international trade, controls over capital flows are still substantialnearly everywhere except in the most developed economies. This is certainly the case inChina, where restrictions on movements …     

Regulatory Monitoring and the Impact of Bank Holding Company Dividend Changes on Equity Returns

This paper examines the impact of announcements of dividend changes by bank holding companies (BHCs) on equity returns. Many empirical studies of dividend behavior reveal positive market responses to dividend increases, which have been interpreted as confirmation of the signalling theory of dividend behavior. These studies typically focus on “large” changes, however. We argue that BHCs allow for a stronger test of signalling theory because regulatory monitors, in effect, “certify” dividend signals. Consequently, even “small” dividend increases should result in positive abnormal equity returns. Using the event study methodology, our results generally confirm this hypothesis for a sample covering the period 1973–1987.     

A conceptual model of corporate moral development

The conceptual model presented in this article argues that corporations exhibit specific behaviors that signal their true level of moral development. Accordingly, the authors identify five levels of moral development and discuss the dynamics that move corporations from one level to another. Examples of corporate behavior which are indicative of specific stages of moral development are offered.R. Eric Reidenbach is Professor of Marketing and Director of the Center for Business Development and Research at the University of Southern Mississippi. He has written extensively on business and marketing ethics.Donald P. Robin, Professor of Business Ethics and Professor of Marketing at the University of Southern Mississippi, is coauthor with R. Eric Reidenbach of two recent books on business ethics with Prentice-Hall. He is a frequent lecturer on business ethics and is the author of several articles on the subject.     

A note on the relationships between some risk‐adjusted performance measures

Assuming portfolio returns are normally distributed, it is shown that both Sortino ratio (SR) and upside potential ratio (UPR) are monotonically increasing functions of the Sharpe ratio. As a result, all three risk‐adjusted performance measures provide identical ranking among investment alternatives. The effects of skewness and kurtosis are then evaluated within the Edgeworth‐Sargan density family. For the Sortino ratio, the above conclusion remains valid in the presence of negative skewness or excessive kurtosis. Similar results apply to the UPR with modifications. For all other cases, both SR and UPR provide exactly opposite ranking among investment alternatives to that suggested by the Sharpe ratio when the Sharpe ratio is large. Applications to futures hedging are discussed. Specifically, it is found that the Sharpe ratio may frequently lead to a smaller futures position than the other two ratios. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:483–495, 2002     

IntraLATA long-distance demand: carrier choice, usage demand and price elasticities

Competition in the long-distance market in the US continues to intensify; the 1996 Telecommunications Act has led to increased competition in long-distance telephony especially as the Regional Bell Operating Companies have begun to gain entry to long-haul, long-distance markets. In order to better understand the implications of having increased service offerings, models of how customers choose between carriers (and the impact of this choice on subsequent usage) will be useful. We develop the first publicly available models that simultaneously estimate choice and usage for intraLATA long-distance in the US. Utilizing a generalized Tobit model, the price responsiveness of usage and carrier choice are estimated. The results are generally consistent with expectations both in terms of theory and of practical experience in the industry.     

Liquidity, Labels and Medium-Term Notes

We suggest that the medium-term note market provides an excellent laboratory for exploring the relationships between yield, liquidity, and the label affixed to a financial instrument. Crabbe and Turner (1995) examined the liquidity issue and uncovered the counter-intuitive result that issue size is unrelated to liquidity. Their study failed to examine a potential channel for a liquidity effect, however, in the form of multiple issues from a single, typically large, MTN registration filing. We find evidence that file size is significantly related to yield in a number of instances. Several other proxies for liquidity, such as frequency of issue, are also sometimes significantly related to yields. Contrary to Crabbe and Turner (1995) , we find that labeling a security an MTN can have an impact on its yield. The label "note" also appears to matter for yield in some instances.     

Futures market equilibrium under Knightian uncertainty

This paper examines the effects of Knightian uncertainty on a commodity futures market within the Newbery‐Stiglitz framework. It is shown that Knightian traders act more conservatively. In a partial trade equilibrium, risk aversion and Knightian uncertainty have qualitatively similar effects on the equilibrium price and the equilibrium trading volume. Full‐trade and no‐trade equilibria are likely to prevail when the producer and the speculator incur different Knightian uncertainty. Herein different impacts of risk aversion and Knightian uncertainty are observed. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:701–718, 2003     

Sources of Bank Interest Rate Risk

We investigate bank stocks'sensitivity to changes in interest rates and the factors affecting this sensitivity. We focus on whether the exposure of commercial banks to interest rate risk is conditioned on certain balance sheet and income statement ratios. We find a significantly negative relation between bank stock returns and changes in interest rates over the period 1991–1996. We also find that bank characteristics measured from basic financial statement information explain bank stocks'sensitivity to interest rate changes. These results suggest that bank managers, analysts, and regulators can use this information to assess the relative risk exposure of banks.