Trade and Financial Integration in East Asia: Effects on Co‐movements

In this paper we explore three important areas where deeper trade and financial integration in East Asia can influence: (1) business cycle co‐movements in the region, (2) the extent of risk sharing across countries and (3) price co‐movements across countries. We find evidence that trade integration enhances co‐movements of output but not of consumption across countries. Especially the fact that trade integration does not raise co‐movements of consumption as much as that of output is interpreted as trade integration does not improve the extent of risk sharing. Co‐movements of price arise most significantly as trade integration deepens, lowering the border effects and allowing better opportunities for resource reallocation across countries. In contrast, financial integration demonstrates much weaker evidence of enhancing co‐movements across countries. Deeper financial integration improves price co‐movements weakly but does not enhance output or consumption co‐movements at all. However, since the current level of financial integration in East Asia is quite low, our evidence is too early to firmly determine the role of financial integration.     

FOREIGN TRADE, COMMERCIAL POLICIES AND THE POLITICAL ECONOMY OF THE SONG AND MING DYNASTIES OF CHINA

The paper presents a framework to explore the trade-off between pro-authority and pro-efficiency foreign trade policy. The former is exemplified by the tributary foreign trade system in Imperial China, while the latter by the government-supervised private foreign trade. In the Song Dynasty (960–1276), a strong external enemy compelled the monarchy to choose a pro-efficiency trade policy to finance the army, whereas during the early Ming Dynasty (1368–1644) when China was strong a pro-authority trade policy was favoured. During the late Ming, as the dynasty weakened, accompanied by external threats and internal mismanagement, the imperial government once again chose a pro-efficiency trade policy.     

Mesenteric actinomycosis

We report a case of abdominal actinomycosis demonstrated on computed tomography (CT) as an isolated mesenteric mass with radiating linear and nodular densities. The lesion mimicked a mesenteric tumor with desmoplastic reaction. The clinical and radiological features of this uncommon entity are reviewed.     

An exploratory investigation of the firm size effect

We investigate the firm size effect for the period 1958 to 1977 in the framework of a multi-factor pricing model. The risk-adjusted difference in returns between the top five percent and the bottom five percent of the NYSE firms is about one to two percent a year, a drop from about twelve percent per year before risk adjustment. The variable most responsible for the adjustment is the sensitivity of asset returns to the changing risk premium, measured by the return difference between low-grade bonds and long-term government bonds.     

A Retrospective Evaluation of European Financial Management (1995–2008)

We provide a retrospective evaluation of European Financial Management (EFM) from 1995 to 2008. In 14 years, EFM has published a total of 333 articles, with 564 authors from 299 academic and non-academic institutions. The authors and institutions represent 26 different countries. Two interesting results emerge from this analysis. First, although EFM is a young finance journal, it has achieved a highly respectable status among all finance journals. In fact, EFM has surpassed a number of well-established finance journals in its research impact. Second, consistent with its mission, EFM has published articles whose authors have European affiliations and research content. Nonetheless, we find that EFM is the publication outlet of authors outside the European region as well. The rising readership and variety of articles published suggest that EFM is a general finance journal that has done very well in serving the interests of the finance profession for the last 14 years.     

商业银行资本金补充机制研究

本文在<巴塞尔协议Ⅲ>要求的基础上,分析了我国各类商业银行所面临的资本金和资本结构约束.研究表明,中国银行业面临的资本约束同欧美银行业存在明显差异,我国商业银行应在遵守新资本协议的基础上丰富核心资本,规范利用附属资本,优化资本金结构.     

The role of renqing in mediating customer relationship investment and relationship commitment in China

There is a growing research interest in guanxi marketing, which has been considered the Chinese version of relationship marketing. However, very little empirical research has investigated the implicit nature of renqing, the underlying mechanism that explains the cultivation and maintenance of guanxi. This study examines the role of renqing in mediating customer relationship investment and relationship commitment in the insurance industry. The authors surveyed 245 car insurance policyholders in China. The findings confirm the mediating role of renqing in such relationships and show that renqing explains a very high proportion of the variance in levels of customer relationship commitment. This result offers valuable insights and suggestions as to how to increase levels of customer relationship commitment in China.     

TESTING THE NET BUYING PRESSURE HYPOTHESIS DURING THE ASIAN FINANCIAL CRISIS: EVIDENCE FROM HANG SENG INDEX OPTIONS

We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late‐crisis, pre‐crisis, and post‐crisis periods are consistent with the net buying pressure hypothesis.     

Default risk and equity returns: Australian evidence

We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607–636.] regression framework. The proxy we use for default risk is the default probability obtained from option-based models. Our findings show that default probability is negatively related to returns. While we find that size and book-to-market are related to default risk, the ability of these variables to explain cross-sectional variation in returns is not because they are proxying default risk. Further, our evidence suggests that the negative relationship between default probability and returns is not due to a leverage, volatility or momentum effect.     

Influential Journals, Institutions and Researchers in Real Estate

A threshold citation approach is used to measure the research influence of academic real estate journals, institutions and individual researchers. Real Estate Economics followed by The Journal of Real Estate Finance and Economics and Journal of Real Estate Research are the most influential real estate journals. Almost 63% of heavily cited works in core real estate journals are published in real estate journals. Twenty-one percent of the heavily cited works are published in Real Estate Economics . An overwhelming 80% of the citations of the 21 most heavily cited papers in real estate come from articles published in real estate journals. Even when real estate articles are published in top-tier finance and economics journals, the majority of the citations associated with these articles come from top real estate journals. This provides strong evidence of the existence of a distinct real estate research discipline. As compared to prior studies, an expanded universe of institutions is found to influence real estate research. Research-extensive universities generating high-quality economics, statistics and finance research influence the real estate discipline. The individuals that are most influential, however, are generally those with substantial real estate discipline specific research.