Revisiting the ICAPM under the distortion of risk–return tradeoff in short-horizon stock returns

We suggest that the distortion of the positive risk–return relation in the ICAPM is a consequence of trading by informed investors to exploit mispricing. We hypothesize and demonstrate that a non-positive (strongly positive) risk–return relation following positive (negative) market returns is attributed to short-selling (purchasing) of overpriced (underpriced) stocks along with optimistic (pessimistic) expectations conditional on good (bad) market news. We verify this asymmetry in the risk–return relation through the indirect risk–return relation conditional on good (bad) market news. We also find that the attenuation (reinforcement) of the positive risk–return relation is more profound in high- (low-) sentiment periods.     

Toward a structural view of co-opetition in supply networks

Co-opetition, or simultaneous competition and cooperation, in the supply chain management literature has been treated as a dyadic relational phenomenon where the buyer's strategy is considered to be the primary driver. In this paper, we move beyond the dyadic view and propose a theory of co-opetition in supply networks. We argue that as firms within a supply network interact over time to access, share, and transform resources, new ties between firms are formed and existing ties dissolve, giving rise to co-opetition dynamics at the network level. Taking a configurational approach, we employ the inter-related dimensions of ties between firm, firm-level task, network-level objective, and governance to specify four practical supply network archetypes that cover a wide range of economic activities. We then explain how coopetitive relationships may evolve in these supply network archetypes. Specifically, we discuss how relationships form or dissolve in these archetypes and how local structural changes lead to co-opetition dynamics at the network level. We also discuss the implications of such dynamics from a managerial perspective.     

Speed-profile-based road segmentation for accident occurrence modelling for hilly terrains

Modelling the accident occurrences per unit length of the road requires segmentation of road stretch. In the case of hilly terrains, homogeneity-based approach results in extremely small sections thus creating a biased accident data. This result is due to the high variations in geometry along the length of the road stretch. Constant length sections do not consider the effect of road's characteristics, hence may lead to undesirable results. It is hypothesized that the speed profile of a vehicle moving in free-flow conditions is governed by the road geometry as well as the road side environment. In this paper, a new methodology based on speed profile of a test vehicle (passenger car) has been proposed for segmenting a road stretch passing through hilly terrain. Comparative analysis of the results obtained from the constant length segmentation approach and the proposed approach shows that the later approach is producing statistically better results. Relatively more parameters were found to be statistically significant in the model based on speed-profile-based segmentation. Grade length, which could be one of the major parameters in hilly terrains, was found to be statistically significant only in the model based on speed-profile-based segmentation.     

Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

This paper discusses optimal portfolio selection problems under Expected Shortfall as the risk measure. We employ multivariate Generalized Hyperbolic distribution as the joint distribution for the risk factors of underlying portfolio assets, which include stocks, currencies and bonds. Working under this distribution, we find the optimal portfolio strategy.     

Evaluating the Adequacy of Parametric Functional Forms in Estimating Monotone and Concave Production Functions

We consider situations where the a priori guidance provided by theoretical considerations indicates only that the function linking the endogenous and exogenous variables is monotone and concave (or convex). We present methods to evaluate the adequacy of a parametric functional form to represent the relationship given the minimal maintained assumption of monotonicity and concavity (or convexity). We evaluate the adequacy of an assumed parametric form by comparing the deviations of the fitted parametric form from the observed data with the corresponding deviations estimated under DEA. We illustrate the application of our proposed methods using data collected from school districts in Texas. Specifically, we examine whether the Cobb–Douglas and translog specifications commonly employed in studies of education production are appropriate characterizations. Our tests reject the hypotheses that either the Cobb–Douglas or the translog specification is an adequate approximation to the general monotone and concave production function for the Texas school districts.     

Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

We revisit the previous work of Leland [J Finance 49:1213–1252, 1994], Leland and Toft [J Finance 51:987–1019, 1996] and Hilberink and Rogers [Finance Stoch 6:237–263, 2002] on optimal capital structure and show that the issue of determining an optimal endogenous bankruptcy level can be dealt with analytically and numerically when the underlying source of randomness is replaced by that of a general spectrally negative Lévy process. By working with the latter class of processes we bring to light a new phenomenon, namely that, depending on the nature of the small jumps, the optimal bankruptcy level may be determined by a principle of continuous fit as opposed to the usual smooth fit. Moreover, we are able to prove the optimality of the bankruptcy level according to the appropriate choice of fit.      

GASB mandatory disclosure rules and municipal bond yield spreads

The implementation of the Government Accounting Standards Board’s Statement 45 mandates disclosure of “other post-employment benefits” (OPEB) in a standardized format. The mandate provides an opportunity to analyze noninformation impacts of mandatory disclosures, as key components of the information were already publicly available. We find that this mandate is associated with a significant 15 and 73 basis-point increase in yield spreads among tax-exempt and taxable bonds, respectively. This effect is particularly pronounced for riskier bonds—nonrated and longer maturity taxable bonds. However, states that do not follow the GASB 45 recommendation of prefunding the OPEB obligations face a greater increase in their yield spreads.     

An exploratory study of factors affecting credit card brand and category selection in India

This article aims to identify various credit card selection factors in the context of an Asian emerging economy – India. Considering the recent emergence of the three-tier banking system in India, the study proposes to investigate whether there exists an association between credit card selection factors and the type of credit card issuing bank (public, private national or private foreign). The article also seeks to find out whether the income level of the individual determines the type of credit card bank category selection, as prior literature suggests that demographic factors are closely related to credit card selection and usage patterns. The analysis was carried out using a mixed method research design involving thematic analysis of focus group data, factor analysis, PERMAP analysis and multiple correspondence analysis in different phases. Five primary credit card selection factors were identified. A strong correspondence between credit card selection factors, personal income levels and choice of credit card issuing bank was found. Accordingly, credit card selection factors and personal income level were together identified as factors affecting the type of bank selected. The phenomenon of bank category-based stereotyping of brands is emphasized based on the analysis. The implications of this phenomenon with respect to brand identity conception, target segmentation, brand positioning and marketing communication are discussed.     

Are Selling,General, and Administrative Costs “Sticky”?

A fundamental assumption in cost accounting is that the relation between costs and volume is symmetric for volume increases and decreases. In this study, we investigate whether costs are "sticky"—that is, whether costs increase more when activity rises than they decrease when activity falls by an equivalent amount. We find, for 7,629 firms over 20 years, that selling, general, and administrative (SG&A) costs increase on average 0.55% per 1% increase in sales but decrease only 0.35% per 1% decrease in sales. Our analysis compares the traditional model of cost behavior in which costs move proportionately with changes in activity with an alternative model in which sticky costs occur because managers deliberately adjust the resources committed to activities. We test hypotheses about the properties of sticky costs and how the degree of stickiness of SG&A costs varies with firm circumstances.     

The impact of online customer satisfaction on the yahoo auction in Taiwan

In this article, the authors develop a conceptual model that links website quality, trust, merchandising, customer service, and online satisfaction for yahoo auction in Taiwan. The research objective is to provide initial evidence for the determinants of e-satisfaction (online satisfaction). We examine the role of web quality, trust, merchandising, and customer service in consumer online satisfaction assessments. This conceptual model is empirically tested from 350 consumers across a broader group of online shoppers on yahoo auction by means of internet surveys and structural equation analysis. The results show that the determinants of online trust are website quality, merchandising, and customer service. Website quality, trust, merchandising, and customer service have positive effects on online satisfaction for auction sites. The research findings were reported by discussing the implications of the findings and directions for future research.