Some Tests of APT Mispricing Using Mimicking Portfolios

Cross-sectional and time-series tests using mimicking portfolios are used to assess the exactness of the APT with(out) a residual market factor. The first factor seems to be sufficient to span the efficient set, whether the model is estimated using (un)conditional variance-covariance matrices that are (un)adjusted for nonsynchronous trading. Although the conditional standard deviations of the mimicking portfolios significantly explain the time-variability of security volatilities, the residuals of the mean equation still exhibit heteroskedasticity. Similar results are obtained for portfolios of CAPM-betaranked securities, and for randomly selected individual securities.     

Remote control and maintenance outsourcing networks and its applications in supply chain management

The paper analyzes the impact of e-business technologies on maintenance management and supply chain operations. The aim of this work is to investigate the network organization level of supply chains in case of remote maintenance application and to understand how maintenance policies are coupled with information technology (IT) solutions. To this purpose two literature reviews are presented: firstly, on the supply chain and network integration, and then on the evolution of maintenance using information technology. Following this, the paper present four specific industrial case-studies of eMRO network organisation. They have been chosen as reference models from a set of practical applications and pilot tests performed by the authors in different production sectors in the last 5 years. Technology complexity environments, maintenance outsourcing level, and supply chain integration context are discussed for each case-studies with particular regards to the profitable forms of collaboration provided by the introduction of IT and the Web. This analysis work toward the development of a framework useful to: (1) classify different e-maintenance systems and understand the relationships between the different members of the network, and (2) identify the variables which can influence the introduction and development of the systems.     

Risk Aversion, Intergenerational Equity and Climate Change

The paper investigates a climate-economy model with an iso-elastic welfare function in which one parameter measures relative risk-aversion and a distinct parameter measures resistance to intertemporal substitution.We show both theoretically and numerically that climate policy responds differently to variations in the two parameters. In particular, we show that higher but lower leads to increase emissions control. We also argue that climate-economy models based on intertemporal expected utility maximization, i.e. models where = , may misinterpret the sensitivity of the climate policy to risk-aversion.     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

Trade facilitation in ASEAN countries: harmonisation of logistics policies

This paper studies the effectiveness of the implementation of trade facilitation measures in member countries of the Association of Southeast Asian Nations (ASEAN). We evaluate trade facilitation performance and indicate trade facilitation needs and priorities that vary between ASEAN members. In particular, we examine logistics‐related costs in ASEAN and whether the current level of logistics‐related costs could be a burden or an advantage for ASEAN countries. We also identify critical barriers that have impacts on logistics services related to foreign investment and customs across ASEAN. Finally, we propose recommendations for the harmonisation of logistics policies in ASEAN countries aimed at the development of the ASEAN Economic Community.     

Host-site institutions,regional production linkages and technological upgrading: a study of automotive firms in vietnam

Using technological capabilities as embodied in machinery, organization, processes and products, this study examines the links with host-site institutions and regional production linkages. The statistical results show no relationship between these variables. In-depth interviews complement the quantitative findings. Overall, the result shows that the government’s localization efforts failed because too many joint-venture assemblers were approved in the 1990s when the domestic market was small. The lack of economies of scale also affected the growth of national suppliers. Hence, national producers are confined to low value added segments and lack the quality to compete in export markets.     

A Systematic Review on the Effects of Personalized Price Promotions for Food Products

Recent decades have witnessed the increasing adoption of personalized price promotion (PPP) at grocery stores. Despite the growing body of research debating whether PPP is more effective than untargeted price promotions, there is no literature synthesizing the relevant evidence on food products. Therefore, we conduct a systematic review to examine empirical findings on the effects of PPP targeting food products. Outcomes of 12 identified studies demonstrate larger sales and profit boosting effects of PPP than its non-personalized counterparts. Meanwhile, the results on how this approach influences consumer behavior are mixed. The effectiveness of PPP varies among different targeting strategies (e.g. reward or cross-selling) and information collection methods (e.g. using within- or across-chain data). The findings of this review have important managerial implications for the future evaluation and application of PPP as well as imply potential directions of further research on this topic.     

ALTERNATIVE WEIGHTING APPROACHES TO COMPUTING INDEXES OF ECONOMIC ACTIVITY

This paper compares the weighting schemes in the traditional, principal component and dynamic factor approaches to summarizing information from a number of component variables. To facilitate the comparison, we propose a framework to discuss the approaches with respect to their implied loadings in a latent variable model. We also propose a way to transform the dynamic factor index into an analogous index which is a weighted average of the components. The framework shows the strengths and weakness of the alternative weighting schemes and the sense in which the dynamic factor approach has the advantage of capturing both the significance and the variability of the components.     

The Role of Financial Ratios in the Variance of Stock Trading Volume in Emerging Stock Markets

The study used quarterly panel data of 6 years from 2010 to 2015 of all companies listed on both Vietnamese stock markets including the Ho Chi Minh City Stock Exchange and Ha Noi Stock Exchange, and on three leading industries consisting of insurance-banking, foodstuff, and real estate to explore the relationship among four key financial ratios and stock trading volume. Two models, fixed effects model (FEM) and random effects model (REM), with robust standard errors, were applied for this study. The key findings showed that earnings before tax on sales, debt on owner’s equity, and owner’s equity on total assets significantly influenced trading volume.     

Optimal surveillance against foot‐and‐mouth disease: the case of bulk milk testing in Australia

Previous foot‐and‐mouth disease (FMD) outbreaks and simulation‐based analyses suggest substantial payoffs from detecting an incursion early. However, no economic measures for early detection have been analysed in an optimising framework. We investigate the use of bulk milk testing (BMT) for active surveillance against an FMD incursion in Australia. We find that BMT can be justified, but only when the FMD entry probability is sufficiently high or the cost of BMT is low. However, BMT is well suited for post‐outbreak surveillance, to shorten the length of time and size of an epidemic and to facilitate an earlier return to market.