Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

The role of psychological and socio-demographical factors for electric bike use in Norway

The electric bike (e-bike) is emerging as a new sustainable transport mode in Norway and has the potential to lead to increased cycling among the population. However, little is known about psychosocial determinants of e-bike use. The aim of the study was to examine the role of normative and environmental beliefs, the perceived attributes of e-bikes, and innovativeness and demographical factors related to e-bike use in a Norwegian sample. An online survey was used to collect data from 910 respondents, including both e-bike users (252) and non-users (658). The respondents were recruited via a commercial panel (response rate 42.04%) and a Facebook post. A structural equation modeling analysis was used to analyze the data. The structural model had a good fit to the data. The results showed that attitudes towards e-bike use followed by innovativeness were the most important predictors of e-bike use. The normative processes measured within the Norm Activation Model activated positive attitudes towards e-bike use, which in turn predicted e-bike use. There was a negative relationship between e-bike and conventional bike use, while a positive relationship was found between car and e-bike use. The results are discussed with regard to their implications for interventions aiming to promote e-bike use.     

Consumers’ Perceptions of Corporate Social Responsibility: Scale Development and Validation

Researchers and companies are paying increasing attention to corporate social responsibility (CSR) programs and the reaction to them by consumers. Despite such corporate efforts and an expanding literature exploring consumers’ response to CSR, it remains unclear how consumers perceive CSR and which “Gestalt” consumers have in mind when considering CSR. Academics and managers lack a tool for measuring consumers’ perceptions of CSR (CPCSR). This research explores CPCSR and develops a measurement model. Based on qualitative data from interviews with managers and consumers, the authors develop a conceptualization of CPCSR. Subsequently, model testing and validating occurs on three large quantitative data sets. The conceptualization and the measurement scale can assist companies to assess CPCSR relative to their performance. They also enable managers in identifying shortcomings in CSR engagement and/or communication. Finally, the paper discusses implications for marketing practice and future research.     

What is not beautiful should match: how attractiveness similarity affects consumer responses to advertising

This study introduces the concept of attractiveness similarity, empirically examines its main effect and whether it moderates the effect of endorser attractiveness on consumer responses to advertising. The results show a positive main effect of attractiveness similarity over and above the mere effect of endorser attractiveness. In addition, a consistent moderating effect of attractiveness similarity on the effect of endorser attractiveness emerges: attractiveness similarity buffers against the less positive effects of lower levels of endorser attractiveness (i.e., it compensates for lower levels of endorser attractiveness). Overall, these findings reveal attractiveness similarity as a new variable in endorser advertising, which has important managerial implications. Advertising campaigns employing averagely attractive endorsers should pay special attention to attractiveness similarity.     

Foreign banks,financial crises and macroeconomic fluctuations

Understanding the implications of increased foreign bank presence is especially compelling in periods of financial crisis. In this paper, we explore this issue by examining the relationship between the involvement of foreign banks in the banking systems and the volatility of key macroeconomic variables in normal and crisis periods. Using a sample of 20 Emerging European countries from 1998 to 2013, we find that an increase in the assets of foreign banks in the banking system reduces output and consumption growth volatility in general but does not significantly affect the volatility of investments. However, these banks were found to play a significant role in increasing output, consumption and investment volatility in 2009. Our findings suggest that foreign banks’ harmful impact during the global crisis was only temporary and that they seem to help Emerging European countries stabilize macroeconomic volatility in normal times and after the global crisis.     

Sustainability practices of family firms: the interplay between family ownership and long-term orientation

Sustainability practices are critical for family firms, as they relate directly to the continuity of the business and relationships with important stakeholders, such as members of the local community. Nevertheless, not all family firms wish to adopt sustainability practices. To examine this, we draw upon the socioemotional wealth perspective in order to develop a theoretical model of the direct negative effects of family ownership on the adoption of sustainability practices. We also suggest moderating effects of long-term orientation (LTO) on this link. Our model is tested on a sample of 195 family firms in the tourism and hospitality sector. The results support our hypothesis that family ownership negatively influences the adoption of sustainability practices. Additionally, LTO moderates the relationship between family ownership and the adoption of sustainability practices, such that family owners with a high LTO are more likely to adopt this particular practice compared to those with a low LTO.     

ACQUISITION OF INFORMATION TO DIVERSIFY CONTRACTUAL RISK*

Are hedging transactions that diversify a manager’s compensation risk detrimental to incentives, or can they improve contracting efficiency? If hedging provides efficiency benefits, should the manager or the firm undertake it? In our model, both the firm and the manager can trade financial portfolios to diversify the manager’s compensation risk. Prior to the portfolio selection, the parties need to acquire information on how different financial portfolios fit their diversification purposes. We illustrate that financial portfolios correlated with firm‐specific risk improve contracting efficiency. For equal information costs, it is optimal for the firm to undertake the hedging on the manager’s behalf.     

Budget deficits,money growth and inflation: the Turkish evidence

The paper investigates the long-run relationships between budget deficits, inflation and monetary growth in Turkey considering two alternative trivariate systems corresponding to the narrowest and the broadest monetary aggregates. While the joint endogeneity of money and inflation rejects the validity of the monetarist view, lack of a direct relationship between inflation and budget deficits makes the pure fiscal theory explanations illegitimate for the Turkish case. Consistent with the policy regime of financing domestic debt through the commercial banking system, budget deficits lead to a growth not of currency seigniorage but of broad money in Turkey. This mode of deficit financing, leading to the creation of near money and restricting the scope for an effective monetary policy, may not be sustainable, as the government securities/broad money ratio cannot grow without limit.     

The New Game in Town: Competitive Effects of IPOs

We analyze the effect of initial public offerings (IPOs) on industry competitors and provide evidence that companies experience negative stock price reactions to completed IPOs in their industry and positive stock price reactions to their withdrawal. Following a successful IPO in their industry, they show significant deterioration in their operating performance. These results are consistent with the existence of IPO‐related competitive advantages through the loosening of financial constraints, financial intermediary certification, and the presence of knowledge capital. These aspects of competitiveness are significant in explaining the cross‐section of underperformance as well as survival probabilities for competing firms.     

The service triad: modelling dialectic tensions in service encounters

Models of service encounters are often fraught with reductionism, describing business relationships as mathematical combinations of dyadic constellations. Metaphors of ideal social relationships (marriages or friendships) are highlighted to stress normative aspects of equal, balanced and long-term business partnerships. However, these approaches are limited in their analytical sensitivity, as they cannot address the complexity of multipart relationships, where meanings, roles and relationships are continuously constructed and reconstructed. In order to understand the ambivalent quality of business interactions, this article analyses the corporate travel market by applying Simmel's depiction of the triad as a specific social form. Triadic constellations and more complex service networks involve dialectic tensions, simultaneously exhibiting loyalty and disloyalty, trust and distrust, empowerment and disempowerment. It is argued that a qualitative methodology is a more adequate approach to grasp such dynamic and contextual social realities, because (opposed to a quantitative approach) it is not confined to operate with mutually exclusive analytical categories.