Forecasting market turbulence using regime-switching models

We propose an early warning system to timely forecast turbulence in the US stock market. In a first step, a Markov-switching model with two regimes (a calm market and a turbulent market) is developed. Based on the time series of the monthly returns of the S&P 500 price index, the corresponding filtered probabilities are successively estimated. In a second step, the turbulent phase of the model is further specified to distinguish between bullish and bearish trends. For comparison only, a Markov-switching model with three states (a calm market, a turbulent bullish market, and a turbulent bearish market) is examined as well. In a third step, logistic regression models are employed to forecast the filtered probabilities provided by the Markov-switching models. A major advantage of the presented modeling framework is the timely identification of the factors driving the different phases of the capital market. In a fourth step, the early warning system is applied to an asset management case study. The results show that explicit consideration of the models’ signals yields better portfolio performance and lower portfolio risk compared to standard buy-and-hold and constant proportion portfolio insurance strategies.     

The law of proportionate effect and OECD bank sectors

The paper investigates the growth dynamics of the bank sectors in the OECD area over the period 1985–1994 and examines whether the structural financial reforms of the late 1980s have affected their growth path. Based on a test of Gibrat's law of proportionate effect, it is found that the 1985–89 period was characterized by size convergence, implying that smaller bank sectors were expanding more rapidly. However, in the 1990–1994 period the pattern reversed to proportionate growth. The analysis of the determinants of bank market growth reveals that macroeconomic growth, operational bank efficiency, credit quality, and capitalization are the main drivers of bank industry growth.     

Linking participatory and GIS-based land use planning methods: A case study from Burkina Faso

Sustainable land use planning is crucial for realizing the aim of food security and for combating land degradation in the Sahel. A participatory land use planning workshop was organised in a village in the eastern region of Burkina Faso to investigate land use problems, their causes, effects and possible solutions. Participatory research tools and GIS were combined to get insight into possible conflicts or synergies between different land use options as mapped by different ethnic groups. Pictograms were used to locate alternative land use options on the map, after which they were digitised for analysis with GIS. The workshop confirms the importance of integrating scientific and local knowledge to develop concrete options for sustainable land use that fit to local realities and aspirations. Local people are knowledgeable about the driving forces behind land degradation, they take actions to combat the effects of degradation, and they have concrete ideas about alternative land use options. The use of GIS proved its added value in the participatory process of integrated land use planning. The maps that were produced also facilitate discussions between community members, researchers and government representatives at the regional level, both regarding current land use problems and regarding alternative options as perceived by the local population.     

Rol-Land Farms—Passing the Mantle

Succession planning for family farms is a complicated process, since the business is usually tied to the family home, heritage, and history. Family farming operations are also becoming larger, more valuable, and more complex to manage. Rol-Land Farms is a successful mushroom and specialty crop production and distribution company with 250 employees and annual sales of C$12M. Hank Vander Pol, the driving force behind Rol-Land for three decades, is considering retirement. The transition will not be easy. Three Vander Pol families are involved in the business and no obvious successor is in sight.     

The limits to IPR standardization policies as evidenced by strategic patenting in UMTS

The impact of patents and patent royalties are a major concern of standards setting organizations. This study examines the patents filed in the standardization of UMTS, the third-generation mobile phone technology developed under sponsorship of the European Telecommunications Standards Institute (ETSI) and others, using a patent policy developed in response to issues faced in the earlier GSM (née Group Special Mobile) standardization. After contrasting firm strategies and policy effectiveness between the GSM and UMTS efforts, the paper reviews the potential impact of potential changes to the ETSI IPR (intellectual property rights) policy.     

挖掘汽车分销潜力的成功要素

为了自身的利益，美国的经销商和制造商能够而且必须联合起来。     

Stochastic covariance and dimension reduction in the pricing of basket options

This paper presents a tailor-made method for dimension reduction aimed at approximating the price of basket options in the context of stochastic volatility and stochastic correlation. The methodology is built on a modification to the Principal Component Stochastic Volatility (PCSV) model, a stochastic covariance model that accounts for most stylized facts in prices. The method to reduce dimension is first derived theoretically. Afterwards the results are applied to a multivariate lognormal context as a special case of the PCSV model. Finally empirical results for the application of the method to the general PCSV model are illustrated.     

How CEOs protect themselves against dismissal: A social status perspective

In this study, we address the question of why some CEOs stay in office during a performance downturn while others don't. Taking a social status perspective, we argue that an individual's board network embeddedness—as reflected in the number of outside directorships—plays an important role in dismissal decisions. We predict that a high status of the CEO relative to the chairman of the board protects an underperforming CEO against dismissal, while the relative salience of board network outsiders can counter this effect. Using longitudinal data of large German corporations, we find support for our predictions. Ltd. Copyright © 2015 John Wiley & Sons, Ltd.