Duration and the price behavior of fixed-rate level payment mortgages: An analytical investigation

In this research we use a continuous payment formula for duration to examine the price behavior of a fixed-rate level payment mortgage. In the case where the mortgage is held to maturity, duration increases monotonically as term-to-maturity increases, regardless of changes in the market rate of interest. In the case where the mortgage is prepaid prior to maturity, there exists a unique market interest rate below which duration is a monotonically increasing function of time of prepayment, but above which duration has a global maximum at some time of prepayment prior to the term-to-maturity.     

Price Variability and Industrial Concentration in U.S. Food Industries

This paper focuses on the sources of intra‐industry price variability in US food industries during a period of increasing concentration, while accounting for the impact of variations in prices of primary agricultural products. Results suggest that intra‐industry price variability in food industries increases with their respective mean rate of inflation and product heterogeneity. However, industrial concentration lowers the sensitivity of relative prices to changes in the mean rate of inflation. Hence, static welfare losses to consumers from increasing concentration in food industries, a subject of recent and intensive investigation, can partly be offset by gains such as reduced price variability.     

On the robustness of international portfolio diversification benefits to regime-switching volatility

We examine if the benefits of international portfolio diversification are robust to time-varying asset return volatility. Since diversified portfolios are subject to common cross-country shocks, we focus on the transmission mechanism of such shocks in the presence of regime-switching volatility. Generally, market linkages are stable with little evidence of increased market interdependence in turbulent periods. Furthermore, risk reduction is consistently delivered for the US investor who holds foreign equity.     

Cross-Listings and Home Market Trading Volume: The Case of Malaysia and Singapore

Cross‐listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross‐listings reduce home‐country trading volume. We test this hypothesis using data for equities cross‐listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9% when Singapore markets were closed for holidays. Furthermore, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.     

Significant Issues for the Future of Product Innovation

Product innovation management, by definition, requires that we become comfortable dealing with change. As this journal enters its eleventh year of publication, the editor-in-chief asked each member of the editorial board to reflect upon changes and opportunities that they see influencing our profession during the coming decade. In our first installment of these essays, George Day, Bela Gold and Thomas Kuczmarski discuss the value of managing ideas, embracing a longer-term view of development opportunities, and creating a senior executive position charged with developing such opportunities. Each of these short essays is designed to introduce new perspectives. It is not essential that you agree with the recommendations, but we hope that you are stimulated as you reflect on the issues they present.     

Hierarchical Arrow Social Welfare Functions

Supported by SNF Grant No: DMS 8803556.