ON INDUSTRY MOMENTUM STRATEGIES

In this article, we investigate industry momentum strategies. We find that industry portfolios that outperformed in the previous month generate on average significantly higher returns in the holding period than those that underperformed. Plain and risk-managed strategies using this short-run industry momentum are not subject to optionality effects. Also, the tail risks of these strategies are uncorrelated with traditional industry momentum strategies. The spread associated with the risk-managed strategy both meets necessary conditions as a risk factor and is significantly priced in the cross-section of U.S. industry portfolios.     

People,Actors, and the Humanizing of Institutional Theory

In much contemporary institutional scholarship, the term ‘actor’ is used as a shorthand for any entity imbued with agency. Talking about actors in institutions thus serves the necessity of allocating agency before returning to the analysis of institutional structures and processes. We find this approach to actorhood limiting, conceptually and normatively. Grounded in the perspective of pragmatist phenomenology, we assert the need for distinguishing between persons and actors, and the value of integrating the person into institutional analysis. We conceive of persons as humans with a reflective capacity and sense of self, who engage with multiple institutions through the performance of institutional roles. People may acquire actorhood by temporarily aligning their self with what is expected from a particular actor-role in an institutional order. Conversely, institutions enter people’s lifeworld as they are personified in people’s social performances. We outline this perspective and examine conceptual and normative implications that arise from the integration of human experience in institutional analysis.     

A de-biased direct question approach to measuring consumers' willingness to pay

Knowledge of consumers' willingness to pay (WTP) is a prerequisite to profitable price-setting. To gauge consumers' WTP, practitioners often rely on a direct single question approach in which consumers are asked to explicitly state their WTP for a product. Despite its popularity among practitioners, this approach has been found to suffer from hypothetical bias. In this paper, we propose a rigorous method that improves the accuracy of the direct single question approach. Specifically, we systematically assess the hypothetical biases associated with the direct single question approach and explore ways to de-bias it. Our results show that by using the de-biasing procedures we propose, we can generate a de-biased direct single question approach that is accurate enough to be useful for managerial decision-making. We validate this approach with two studies in this paper.     

Risk-managed industry momentum and momentum crashes

This paper investigates Barroso and Santa-Clara’s [J. Financ. Econ., 2008, 116, 111–120] risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx [J. Financ. Econ., 2012, 103, 429–453]. We moreover examine the impact of different variance forecast horizons on average pay-offs and also Daniel and Moskowitz’s [J. Financ. Econ., 2016, 122, 221–247] optionality effects. Our results show in general that neither plain industry momentum strategies nor the risk-managed industry momentum strategies are subject to optionality effects, implying that these strategies have no time-varying beta. Moreover, the benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the ‘echo effect’ in industries is not robust in subsamples as the strategy works only during the most recent subsample.     

Russia’s foreign trade and the economic reforms

The Russian Federation now faces a totally new beginning as regards the shaping of its foreign trade relations. The demands made upon its external economic policy by the changes in the political and economic systems on the one hand and the collapse of the formerly unified economic zone of the Soviet Union on the other are so great that, in many respects, consistent answers have yet to be found. To what extent has the Russian government so far succeeded in developing a new foreign trade regime?     

Revised HWWA commodity price index

The pattern of international trade is changing constantly. The HWWA Index of World Market Prices of Commodities, which is weighted by imports, therefore needs to be adapted from time to time in order to preserve its relevance as an indicator of price trends in international commodity markets. It is now (as of September 2003) published with updated weights based on 1999–2001 import values and with a new price basis (2000=100).     

Adding Value to Applied Policy Models： The Case of the WTO and OECD Support Classification Systems

Both the OECD and the WTO have accumulated systematic data on the magnitude of support going to farmers as a result of farm policies. The datasets are collected for different purposes, but both give a detailed picture of the evolution of these policies. This paper extends recent work on the compatibility or otherwise of the two attempts at policy monitoring by considering the categorization of individual policy instruments in Norway, Switzerland, the US, and the EU. The results show how the OECD dataset, particularly with respect to the link between direct payments and production requirements, complements that of the WTO. Many payments classified in the WTO Green Box require production, raising the possibility that they may distort production and trade. Though the issue of correct notifications to the WTO is the province of lawyers, the implications for modeling and policy analysis are of interest to economists, and the broader question of improving the consistency of the two datasets is of importance in the quest for transparency in the interpretation of changes in farm policies.     

Innovation Offshoring,Institutional Context and Innovation Performance: A Meta‐Analysis

Innovation offshoring (IO) has become a widespread management practice. Yet, evidence on the performance implications is inconsistent, and scattered across disciplines and contexts. We argue that the benefits firms can derive from IO depend on the institutional environment at home. Drawing on recent work on institutional theory in international business, we explore institutions that facilitate reverse knowledge transfer and/or institutional arbitrage with respect to innovation‐related activities. The results of our meta‐analysis that synthesizes evidence from 48 samples show that IO is related positively to innovation performance. As predicted, this relationship is moderated by differences in the institutional environments across countries. Specifically, when national innovation systems are weak at home, IO appears to enable institutional arbitrage strategy whereas Confucian cultures enable more effective reverse knowledge transfer. However, contrary to our expectations, the beneficial effects of IO appear to have diminished over time.     

A dynamic perspective: local interactions driving the spread of social networks

ABSTRACT

This study takes a micro standpoint to quantitatively verify the extent to which local interactions affect the expansion of dynamic social networks. By reviewing and synthesizing the theoretical literature in this article, we seek to establish a pragmatic analytical framework to capture the underlying functioning of local interactions. It then aims to produce findings on seven distinct marketing campaigns in which the real-world virtual communities offer intact time-series connections. In our considered cases, the firm-to-consumer interactivity plays a pivotal role in social media marketing while the customer-driven influence advances individual information transmission. The significant positive relationships demonstrate features of interactivity within subgroups including reciprocal edges and directed 3-cliques associated with the evolution of the virtual community by electronic word-of-mouth (WOM) of both firm-to-consumer and consumer-to-consumer interactions. More importantly, the attenuation of local interactions to a large extent leads to the cut-off point of the growth of the dynamic social network.