Does downside risk matter more in asset pricing? Evidence from China

This study examines if downside risk matters in asset pricing. Using a comprehensive sample of 3658 companies listed on the Chinese stock market from 1998 to 2017, evidence shows a positive reward for holding stocks with high downside risk, and this reward is not explained by other cross-sectional effects and remains robust across robustness tests. Downside beta is also found to be useful in the implementation of successful trading strategies in the medium and long term. By contrast, mixed results are found on the premiums robustness of total risk and semi-deviation, while no evidence of beta effect could be found.     

Does the Fama and French Five‐Factor Model Work Well in Japan?

In this study, we investigate whether the five‐factor model by Fama and French (2015) explains well the pricing structure of stocks with long‐run data for Japan. We conduct standard cross‐section asset pricing tests and examine the additional explanatory power of the new Fama and French factors; robust‐minus‐weak profitability factor and conservative‐minus‐aggressive investment factor. We find that robust‐minus‐weak and the conservative‐minus‐aggressive factors are not statistically significant when we conduct generalized method of moments (GMM) tests with the Hansen–Jagannathan distance measure. Thus, we conclude that the original version of the Fama and French five‐factor model is not the best benchmark pricing model for Japanese data during our sampling period from the year 1978 to the year 2014.     

The price of freedom: A Fama–French freedom factor

Economic institutions in-part explain cross-country variation in levels of investment and capital market characteristics. Here, country-level equity returns are related to cross-country differences in economic institutions as measured by an index of economic freedom. The ex-ante level and ex-post change in economic freedom are observed to be country-level equity return factors exhibiting Sharpe ratios greater than that of the value, momentum, and size factors, factors to which change in economic freedom has a low correlation. Fama–MacBeth regressions confirm the economic freedom factor. Finally, the excess return earned from investing in countries with low economic freedom is the price of freedom.     

The impact of buyer–seller relationships and reference prices on the effectiveness of the pay what you want pricing mechanism

Pay what you want (PWYW) is a new participative pricing mechanism that delegates the whole price determination to the buyer. Previous research on PWYW suggests that the final prices paid are not only affected by consumer characteristics but also by varying conditions, such as social distance within buyer–seller relationships and the provision of reference prices. Through an online survey and two field experiments, we test varying conditions of PWYW, such as social distance (buyer–seller relationship), provision of external reference price, product value, level of reputation, and duration of an application of PWYW. The results indicate that the provision of an external reference price is advantageous for the seller as the prices paid increase. The seller should also avoid offering products with high product value under PWYW conditions. Furthermore, increasing social distance may decrease the prices paid. Finally, a high level of reputation may be beneficial.     

China MOC： steel prices to keep low in China

China＇s fragmented lead and zinc industries are expected to undergo consolidation within the next five years as small-sized miners and smelters are increasingly being forced out of business due to plummeting product prices, an industry analyst told Interfax on November 12.     

Do the magnitude and asymmetry of specific asset investments matter in the supplier–buyer relationship?

Abstract

Despite a body of literature on specific asset investments, the extant literature falls short of exploring the magnitude and symmetry of specific asset investments in supplier–buyer relationships. This paper builds on prior research to identify and examine the impact of total and asymmetric specific asset investments on commitment, trust, and conflict in supplier–buyer relationships. Covariance structure analysis is used to analyse survey data. The results show that total SAI are positively related to commitment and trust, while asymmetric SAI are negatively related to trust and positively related to conflict in supplier–buyer relationships. Decision-making uncertainty affects trust, commitment, and conflict more than any other variables. Therefore, firms should work to strengthen their relationships by increasing the magnitude of specific asset investments with the aim of increasing trust and commitment. We also discuss the limitations of this study and suggestions for future research.     

China＇s housing prices hit new high in February

Chinese Premier Wen Jiabao on March 5 reiterated determination to curb the excessive growth of home prices in major cities and satisfy people＇s basic need for housing.     

Distorted competition: Below-cost legislation, ‘marges arrière’ and prices in French retailing

Abstract

The aim of this article is to demonstrate that the French Galland Act, outlawing below-cost resale via new and more severe invoicing regulation, has reduced the intensity of price competition among retailers in relation to branded goods. Moreover, the reduced intensity of price competition in the retail industry has encouraged a lessening of competition among the manufacturers of major industrial brands. Together, these two effects have sown the seeds of a sustained increase in the price of major brands, accentuating retail competition based more on differentiation than on price. These sustained policies have favoured the development of retailer brands and of hard discount stores and finally encouraged new types of reactions from major retailers and leading manufacturers, such as new types of promotions circumventing the Galland Act and a more intense lobbying activity in order to reform it.     

Parallel imports and piracy in a North–South model

We consider welfare effects of parallel imports under a possibility of piracy, by constructing a model where a monopoly firm sells its product in a developed country and in a developing country. We show that parallel imports do not always make the firm worse off and consumers better off. Sometimes parallel imports benefit both the firm and consumers, irrespective of the existence of piracy. However, piracy makes parallel imports more preferable to consumers and less preferable to the firm. We also suggest that a developing country’s policy on piracy can be internationally coordinated with a developed country's policy on parallel imports, so as to improve the welfare of these countries.     

Primary commodity prices and the real exchange rate: the case of Australia 1900–91

How do real exchange rates of primary commodity exporters react to changes in the relative price of these exports? The relationship between these variables is examined using ninety-two years of Australian data. There is a significant positive correlation. However, the Australian real exchange rate does not display the downward trend that has been observed in the relative price of primary commodities. This is consistent with the hypothesis that the apparent long-run decline in the relative price of primary commodities is an artefact of inadequate quality adjustment in the price series for manufactures.     

Lufthansa Alliances in China and Asia-PacificAlliance strategies in China and Asia

One of the pillars of Lufthansa's corporate strategy is to build on its leadership position in the rapidly growing aviation market between Europe and Asia-Pacific in cooperation with its strong partners.Lufthansa is proud to be a founding member of Star Alliance, the leading global airline alliance, which is also by far the leading airline alliance in Asia.By joining forces with local Star Alliance members Air New Zealand, All Nippon Airways, Asiana Airlines, Singapore Airlines and Thai Airways,     

A modified and extended Triandis model for the enablers–process–outcomes relationship in hotel employees' knowledge sharing

The primary objective of this study is to propose and investigate the integrative model which was formulated by modifying and extending the Triandis model (TRIANM); this explores the structural relationships among knowledge-sharing enablers, process, and outcomes in hotels from a holistic perspective. The hypotheses are examined with data from 327 employees in 10 five-star hotels in Busan, Korea. Anticipated usefulness and reciprocal relationships are confirmed as the two most important enablers of employees' knowledge-sharing behaviour. Other significant enablers include facilitating conditions and social factors. New enablers, enjoyment in helping others and knowledge self-efficacy, that we have added to the TRIANM are also found to be significant. The path from knowledge-sharing behaviour to organizational innovation capability, the path from organizational innovation capability to organizational performance is found to be significant, respectively. The findings and theoretical and practical implications are then discussed.     

Innovation and imitation in a model of North–South trade

This paper analyzes the growth and welfare effects of trade openness within a North–South framework that predicts the observed intra-industry trade and the North–South specialization over different quality vintages within product lines. The model is used to re-examine the relationship between the innovation in the North and the imitation lag of the South and to address the implications of the (weak) international Intellectual Property Rights (IPR) protection. When the imitation technology is modeled as a function of increasing complexity of targeted products, opening to trade increases the growth rate and welfare of both regions, but results in a larger North–South quality gap. While a full catch-up is possible with no protection of ideas flow, but also with no trade, the quality gap is always positive under full economic integration including trade in goods. Stronger IPR protection increases the gap and has a negative effect on the world growth rate and welfare.     

Is exchange rate stability beneficial for stabilizing consumer prices in China?

This study examines the relationship between real effective exchange rates (REERs) and the consumer price index (CPI) in China, utilizing a bootstrap Granger full-sample causality test and a sub-sample rolling-window estimation. Considering structural changes, we assess the stability of the parameters and find that both the short-run and long-run relationships between the two estimated variables are unstable. This result suggests that full-sample causality tests cannot be relied upon. We instead employ a time-varying (bootstrap) rolling-window approach to revisit the dynamic causal relationship, and we find that the CPI is affected by the REER for several sub-samples due to the role of exchange rate pass-through (ERPT) under the managed floating exchange rate regime in China. These findings provide further proof of the impact of stable exchange rates on the maintenance of relatively steady price levels especially during the economic crisis and economic reform in China. The policy implication of these findings is that maintaining exchange rate stability is beneficial for controlling inflation during the economic crisis and economic reform.     

China＇s fixed asset investment：28.8%↑in Q1

China＇s fixed asset investment in the first quarter rose 28.8 percent year on year to RMB 2.81 trillion（US$411.4 billion）, the National Bureau of Statistics （NBS） announced on April 16.     

Trends in road traffic crashes and associated injury and fatality in the People’s Republic of China, 1951–1999

The burden of road traffic injuries in the People’s Republic of China is increasing as evidenced by trends since 1951. Data from the National Statistical Office, Ministry of Communications and the Traffic Administration Bureau were analyzed. Absolute numbers of crashes, fatalities, and injuries, as well as fatalities per 100,000 population and motorization (number of vehicles per 1000 population) were used as indices to measure trends. Regional variations in trends and the characteristics of people injured or killed were also analyzed. Road traffic crashes increased 68- fold, from around 6000 in 1951 to 413,000 in 1999. Excessive speed was the main reported cause of the crashes. The injuries increased 56-fold – from around 5000 to 286,000 – and fatalities 97-fold – from 852 to around 84,000 – over the same period. The crash, fatality and injury rates also increased after 1985, due to increased motorization spurred by rapid economic growth. The number of four-wheel motor vehicles increased from 60,000 in 1951 to just under a million four-wheel motor vehicles in 1975 and to 10 million in 1987. The number of four-wheel motor vehicles then rose to 50 million in 1999, with an additional 30 million motorcycles. The increase in motorization and fatalities affected all the provinces. Road traffic injuries are the leading cause of death for populations up to the age of 45 years and the leading cause of working-life years lost in China.     

Metal prices made in China? A network analysis of industrial metal futures

In addition to being the world's greatest consumer and producer of industrial metals, China now also features the most actively traded industrial metal futures contracts worldwide. To examine China's role in the global price formation process of industrial metal futures markets, we use a sample of 29 futures contracts traded on exchanges in the United States, the United Kingdom, India, and China. We estimate vector autoregressive models and conduct variance decompositions, which are then visualized in the form of networks. The results indicate that China, despite its role as key actor in both real and financial industrial metal markets, is a price taker.     

Corporations in the US and Europe 1790–1860

Sylla and Wright's statistics of new US special incorporations in 1790–1860 show that they exceeded those in France, Prussia and the UK, but the aggregate paid-up share capitals of extant companies were not so far apart in 1860. The UK continued to lead corporatisation, as measured by the ratio of corporate share capital to GDP. The distinctive features of US corporations were that they were small, diverse and numerous, while UK corporations were larger, more capital-intensive, less prone to disappear and had more dispersed ownership.