A Note on Intraday Event Studies

Abstract

We investigate the specification and power of intraday event study test statistics. Mean, market, and matched firm models generate well-specified return results for a range of intervals up to 60?min around the event. These models detect return shocks equivalent to one spread in one-minute interval data and three spreads in longer intervals. Researchers using intraday return event studies can, therefore, be confident in their robustness. Some volume event study approaches have reasonable power but they are not generally well specified, while a matched-firm approach gives the best combination of specification and power for spread event studies.     

从诗化形式看《海浪》的整体性构建

传统小说的整体性是通过时间、地点和情节来构建的,而意识流小说没有完整意义的情节,没有逻辑发展的戏剧性事件,物质时间的作用弱化,被淹没在人物意识流动所构成的心理时间的延展之中,不足以构建小说的整体框架。伍尔夫的《海浪》是其意识流小说的巅峰之作,体现了她"诗化小说"的创作倾向,运用诗歌中的韵律和意境,通过六个人物的内心独白实现了意识流小说的整体性构建。     

Value stream mapping in project management: A case study

This article describes the application of value stream mapping to analyze and redesign the way of managing the materials procurement stage of a project. A framework based on integrated definition (IDEF) methodology, the stream analysis approach, activity‐based costing, and discrete event simulation is presented. The stream analysis approach is used to analyze, diagnose, and manage process changes represented using an IDEF model. A dynamic simulation is used to evaluate the impact of the changes considered, to support the analysis of the process, and to model the performance of the proposed process. The overall methodology is demonstrated by applying it to a company whose core business is the design and construction of offshore oil rigs. The company specializes in engineering, procurement, and construction projects and has an annual portfolio of about six projects. Many of these projects have common features in terms of design and components, and they are all also characterized by a short “time to delivery.” For this reason, this study was aimed at assessing the possible effects that the application of new materials management policies could have on reducing both project completion time and the resources required.     

Crack spread option pricing with copulas

A copula-based approach for pricing crack spread options is described. Crack spread options are currently priced assuming joint normal distributions of returns and linear dependence. Statistical evidence indicates that these assumptions are at odds with the empirical data. Furthermore, the unique features of energy commodities, such as mean reversion and seasonality, are ignored in standard models. We develop two copula-based crack spread option models using a simulation approach that address these gaps. Our results indicate that the Gumbel copula and standard models (binomial, and Kirk and Aron (1995)) mis-price a crack spread option and that the Clayton model is more appropriate. We contribute to the energy derivatives literature by illustrating the application of copula models to the pricing of a heating oil–crude oil “crack” spread option.     

Determinants of Economic Interaction: Behavior or Structure

Experimental economics originated as examination of the behavior of aggregate phenomena, especially markets, populated by human participants motivated by their desire to attain their goals. The past two decades have brought two newer trends. One is a gradual but steady shift in the focus of the questions sought to be addressed through human experiments towards examination of micro level phenomena – individual preferences and behavior. The second is the expansion in the role of computer simulations to examine questions about aggregate level phenomena. This shift to individual behavior has accentuated the ever-present dilemma of social sciences in trying to be a science on one hand, and to understand our own self-conscious selves – human beings – on the other. To address this dilemma, it would be useful to recognize three streams of experimental economics: (1) macro stream to examine the properties of social structures, (2) micro stream to examine the behavior of individuals, and (3) agent stream to explore the links between the micro and macro phenomena using computer simulations. At least the structural stream can be firmly rooted in the tradition of sciences (bypassing the free-will dilemma of social sciences), while the agent stream can span the gap between the behavioral and structural streams.The author is thankful to Dorota Dobija and Juergen Huber for their helpful comments. Science does not know its debt to imagination. – Ralph Waldo Emerson Vivisection is a social evil because if it advances human knowledge, it does so at the expense of human character. – George Bernard Shaw The theoretical broadening which comes from having many humanities subjects on the campus is offset by the general dopiness of the people who study these things. – Richard P. Feynman Economics has an amazing capacity to summarize staggeringly complex phenomena by the application of only a handful of principles. – Charles R. Plott Being outside and above individual and local contingencies, collective consciousness sees things only in their permanent and fundamental aspects, which it crystallizes in ideas that can be communicated. – Emile Durkheim     

物流现代化的关键技术之一：物流标识技术

本文以供应链物流为研究对象,专门阐述物流标识技术。对物流标识技术中的物流编码技术与物流条码符号标识技术进行了分析,并对物流标识技术在国内外物流领域的应用作了介绍     

Decomposing economic mobility transition matrices

We present a decomposition method for transition matrices to identify forces driving the persistence of economic status across generations. The method decomposes differences between an estimated transition matrix and a benchmark transition matrix into portions attributable to differences in characteristics between individuals from different households (a composition effect) and portions attributable to differing returns to these characteristics (a structure effect). A detailed decomposition based on copula theory further decomposes the composition effect into portions attributable to specific characteristics and their interactions. To examine potential drivers of economic persistence in the USA, we apply the method to white males from the 1979 US National Longitudinal Survey of Youth. Depending on the transition matrix entry of interest, differing characteristics between sons from different households explain between 40% and 70% of observed income persistence, with differing returns for these characteristics explaining the remaining gap. Further, detailed decompositions reveal significant heterogeneity in the role played by specific characteristics (e.g., education) across the income distribution.     

Bond risk, bond return volatility, and the term structure of interest rates

This paper explores the time variation in the bond risk, as measured by the covariation of bond returns with stock returns and consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yields on long- and short-term bonds forecasts future excess returns on bonds at varying horizons positively; in addition, the short-term nominal interest rate forecasts both the stock return volatility and the exchange rate volatility positively. This paper presents evidence that movements in both the short-term nominal interest rate and the yield spread are positively related to changes in the subsequent realized bond risk and bond return volatility. The yield spread appears to proxy for business conditions, while the short rate appears to proxy for inflation and economic uncertainty. A decomposition of bond betas into a real cash flow risk component and a discount rate risk component shows that yield spreads have offsetting effects in each component. A widening yield spread is correlated with a reduced cash-flow (or inflationary) risk for bonds, but it is also correlated with a larger discount rate risk for bonds. The short rate only forecasts the discount rate component of the bond beta.     

The application of Green Lean Six Sigma

Green Lean Six Sigma has been recently clarified to improve the environmental sustainability performance of operations, but it seems glaringly scarce and in need of cutting-edge studies to integrate the concepts of green, lean, and Six Sigma into one unified application. This paper is accordingly aimed at constituting the application of Green Lean Six Sigma as a cleaner production. In doing so, a Define, Measure, Analyze, Improve, and Control (DMAIC)-based approach that is one of Six Sigma's well-known methods was proposed to systematize a Green Lean tool—environmental value stream mapping. Thus, this paper as one of the preliminary studies aligns environmental value stream mapping with DMAIC through presenting the proposed methodological approach, which relies on the five DMAIC phases—Define, Measure, Analyze, Improve, and Control—and considers green wastes in each phase simultaneously. To support the narrow body of knowledge, this proposed approach was validated via the action research-oriented case study implemented in the substrate manufacturing system that seeks to develop the environmental sustainability of its production processes and subsequently its general competitiveness. The findings indicated the effectiveness of a DMAIC-based approach in systematizing environmental value stream mapping and improving its efficacy to achieve environmental sustainability. The case analysis revealed that the application can significantly lessen the consumption of chemicals and energy in the system by 28% and 21%, respectively.     

山寨手机产业链的调查

中国的山寨手机已经逐步成为海外低端市场的主流。山寨手机能在第一时间捕获并满足市场需求,在竞争中逐渐挤占了品牌机的市场份额。山寨手机产业链具有快速反应和延迟的特点,能快速适应市场的多变需求,其未来发展灭绝的可能性不大,在市场机制的作用下,会向品牌手机的方向发展。     

Total quality management and statistical quality control: practical applications to waste stream management

TQM offers a completely new approach to problem solving in health care. The approach requires dedication and persistence in monitoring, understanding, and changing systems at a level that has never been reached before in the United States' health care system. Materiel management, purchasing, nursing, housekeeping, and administration now have the necessary tools to centrally study the medical waste stream flow at their facilities. The intent of this article is to display how TQM techniques can be applied to minimize a hospital's medical waste stream. The approach of studying medical waste as a defect generated during the process of delivering high-quality care enables a hospital to pinpoint causes of these defects, modify the parent system of the defect, and lessen the generation of medical waste defects. Successful implementation of these techniques as a continuous process will enable hospitals to be leaders in the preservation of their host communities' environments.     

Uncertainty,hiring and firing costs,and the determinants of profit‐sharing rules

We consider a firm run by a manager who acts on behalf of shareholders. The firm produces a commodity whose demand evolves stochastically over time. The firm's employees possess firm‐specific skills and knowledge and thus can bargain over profits with shareholders immediately before the firm hires or fires workers. The firm will distribute more portions of profits to employees when it incurs higher costs to hire or fire workers. In addition, as uncertainty in demand increases, the firm will distribute smaller (larger) portions of profits to employees if the firm does not have the option to fire (hire) workers.     

An assessment of the Bank of Canada's term PRA facility

This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this spread around both term PRA announcement dates and term PRA operation dates, using an event-study methodology to control for developments in other money markets as well as proxies for Canadian banking sector credit risk. Overall, there is robust evidence that the term PRA announcements reduced bank funding costs at both 1-month and 3-month terms, whereas we find no evidence of an impact from term PRA operations.     

A Process Perspective on Organizational Failure: A Qualitative Meta‐Analysis

An important stream of the organizational failure literature has proposed process models to describe how firms fail. Despite much progress, this stream is currently at a crossroads. Previous process models try to capture how failure unfolds in singular models that describe organizational failure as the result of either inertia or extremism or as a mixture of both. However, it remains unclear how these competing explanations are related and what underlying mechanisms explain why organizational failure processes unfold as they do. We address these issues by examining failure processes using a qualitative meta‐analysis research design. The qualitative meta‐analysis allows us to analyse and synthesize the wealth of previously published single‐case studies in order to develop process models of organizational failure. The most salient finding of our analysis is that failure processes converge around four distinct process archetypes, which we name imperialist, laggard, villain, and politicized. Each process archetype can be explained by the interplay of distinct rigidity and conflict mechanisms. Differentiating the four process archetypes and explaining the underlying mechanisms helps to resolve some contradictions in the previous failure process literature.     

Diffusion and spatial equilibrium of a social norm: voting participation in the United States, 1920–2008

Social conformity can spread social norms and behaviors through a society. This research examines such a process geographically and over time for voting, which is strongly influenced by the norm that citizens should vote. A mathematical model for the spread of voting participation under the influence of social conformity is developed based on the diffusion equation, and predictions are tested with spatial analysis of state-level voter turnout in American presidential elections from 1920 to 2008. Results show that voter turnout has converged to a stable equilibrium in its geographical distribution across the states—but it is an equilibrium that results in persistent differences at the state level. Results are compared to individual-level and agent-based models. The model may be applied to other types of social diffusion that depend on specific geographical location.     

Valuing spread options with counterparty risk and jump risk

In this paper, we investigate spread options with counterparty risk in a jump-diffusion model. Due to the fact that there is no closed-form formula of spread options with counterparty risk, we obtain analytical expressions of lower and upper bounds by employing the measure-change technique. Finally, we numerically check the accuracy of the bounds and analyze the impacts of counterparty risk and jump risk on spread option prices.     

泊松冲击下不同质部件k/n(G)系统的可靠性分析

假设一个系统由n个质量不同的部件组成，当系统中至少有k个部件工作时系统才能正常工作，该系统受到一类齐次泊松过程到达的冲击，冲击量服从某一个分布，每当一个冲击到达时，都会独立的对n个部件产生影响，每个部件以一定的概率产生故障，故障概率不但是冲击量的函数，而且与具体的部件有关，另外还假定各次冲击独立的对系统造成损失，对于此泊松冲击下的不同质部件的k／n（G）系统，显式给出了系统的可靠度函数以及系统的平均工作时间等性能指标，推广了已有文献中的结果。     

论企业定额工程建筑材料价差调整的方法

企业工程材料价差是工程定价的重要部分,是一个牵涉面广、内容复杂的问题。缩小价差距离,减少材料价格的波动与不稳定性,对合理准确地确定工程造价有重要意义。在价格体制改革中,材料价差调整已受到新的价格体制挑战,必须重视并构思出新的解决方法,才能适应改革步伐。     

Towards a contingency theory of corporate planning: a systematic literature review

A major research stream examines corporate planning in its context by drawing on the contingency approach, which forms a major theoretical basis for the fields of strategic management and management control. This research paper provides a comprehensive review of this research stream and identifies important contingency factors, recurring results, and commonalities with the theoretical basis of the contingency approach. It reviews 195 studies that investigate the context factors of corporate planning at the organizational level of analysis and were published in ranked academic journals since 1967. This review contributes three findings to a contingency theory of corporate planning. First, this research stream is highly fragmented, replication of findings is scarce, and the cumulative growth of knowledge is restricted. My review shows that 866 different causal models link 30 context factors and 54 design aspects of the corporate planning system, and yet 498 of these causal models are only addressed in one single study. Second, the majority of contingency studies employ the selection fit approach and cross-sectional data. The more rigorous tests of contingency hypotheses, interaction fit and system fit approaches based on longitudinal data, are relatively scarce. Third, this review highlights consistent results across divergent research settings and designs. Thus, it identifies four important context factors of a corporate planning system: (a) management and planning philosophy, (b) organizational size, (c) environmental uncertainty, and (d) task interdependence. This comprehensive set of context factors facilitates the development of a more pronounced contingency theory of corporate planning.     

Deciphering the Libor and Euribor Spreads during the subprime crisis

This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during the subprime crisis bet. The empirical analysis shows that, in addition to credit risk, a relevant variable for explaining the interbank rate dynamics is the outstanding volume in the Asset Backed Commercial Paper market. In short, the large spread observed in the market is explained by the inter-relationship between collateralized short-term debt markets and the unsecured interbank market. It is also shown that Central Bank ⿿non-conventional⿿ intervention variables are relevant in affecting the spread both in the long-run but mostly in the short-run.