GLAMOUR VERSUS VALUE: TRADING BEHAVIOR OF INSTITUTIONS AND INDIVIDUAL INVESTORS

We design a new metric to measure the net buying and selling by institutions and individual investors and find that from 1980 to 2004 institutional investors were net buyers of growth stocks and net sellers of value stocks, implying that individual investors were net buyers of value stocks and net sellers of glamour stocks. The institutional preference for glamour and value stocks seems to be related to sell‐side analysts' recommendations and recent favorable stock price performances, especially during the post‐1994 period. Finally, the institutional buying of growth stocks and sale of value stocks was not based on superior information.     

An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short‐ and long‐run hedge ratios

This article analyzes the effects of the length of hedging horizon on the optimal hedge ratio and hedging effectiveness using 9 different hedging horizons and 25 different commodities. We discuss the concept of short‐ and long‐run hedge ratios and propose a technique to simultaneously estimate them. The empirical results indicate that the short‐run hedge ratios are significantly less than 1 and increase with the length of hedging horizon. We also find that hedging effectiveness increases with the length of hedging horizon. However, the long‐run hedge ratio is found to be close to the naïve hedge ratio of unity. This implies that, if the hedging horizon is long, then the naïve hedge ratio is close to the optimum hedge ratio. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:359–386, 2004     

Stock Market Reactions to SFAS No. 96: Evidence from Early Bank Adopters

Statement of Financial Accounting Standards (SFAS) No. 96, “Accounting for Income Taxes,” issued by the Financial Accounting Standards Board (FASB) in December 1987 changed accounting for income tax recognition and accrual. The original deadline for implementation of SFAS No. 96 was December 15, 1988, and earlier adoption was encouraged. This study examines empirically the stock price impact of four pertinent announcement dates regarding SFAS No. 96 for 19 banks that adopted the statement in late 1987 and early 1988. Our results suggest that these early bank adopters have different characteristics from other banks that cause them to benefit from the changes in accounting for deferred taxes and explain their voluntary adoption of the standard.     

Privatization in China's industry

This paper adopts property rights and organization theory perspectives to analyze the process of privatization of state enterprises and performance of newly created shareholding corporations in China. Relying on case study information, the paper concludes that although the shareholding corporations have contributed, to a certain extent, to better performance, their potentials have not been fully realized due to various economic environmental and ideological constraints.     

Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis

Some empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell‐Tobin hypothesis. In this article we reinvestigate this negative relation from a long‐term point of view using cointegration analysis. The data on the historical interest rate on T‐bills and the inflation rate indicate that the Mundell‐Tobin hypothesis does not hold in the long run for the United States, the United Kingdom, and Canada. We also obtain similar results using the real interest rate on index‐linked gilt traded in the United Kingdom.     

The effects of influencer type,regulatory focus,and perceived authenticity on consumers' purchase intention

Companies often use influencers to promote their products, and many celebrities have expanded their activities on social media as influencers. In this work, we classified influencers into celebrity and noncelebrity groups and analyzed how they affect consumers' purchase intention. We also analyzed how psychological variables, such as regulatory focus and perceived authenticity affect this process. We conducted three studies with consumers in China, South Korea, and the United States who participated in each between-subjects experiment. The results showed that people have higher purchase intention for products recommended by noncelebrity influencers than those recommended by celebrity influencers. We also found that regulatory focus moderates the relationship between the influencer type and consumers' purchase intention. Purchase intention for products recommended by noncelebrity influencers were stronger among prevention-focused consumers. However, no significant difference in the effect of influencer type was found among promotion-focused consumers. We found that perceived authenticity mediated this moderating effect. The results of this study provide effective marketing strategies and implications for companies when they use influencers as a tool for marketing activities.     

Cross-national consumer research using structural topic modelling: Consumers' approach-avoidance behaviours

This study introduces structural topic modelling (STM), a sophisticated unsupervised machine-learning algorithm for text analysis, to compare Indonesian and Malaysian Muslim consumers' approach-avoidance behaviours toward Korean beauty products using social media data. The STM results revealed 16 topics for each country, including new common themes belonging to K-beauty culture and wannabe Korean skin. Intriguing differences were also observed between these countries. Korea-related constructs, such as Korea's image and wannabe Korean skin, were approach factors for only Indonesians. Korean cosmetic brand-specific topics were extracted for only Malaysians and were significantly associated with their behavioural responses. Unsuitable Korean beauty products and domestic product preferences were avoidance factors for Indonesians, but new product risks and conflicts between Muslim and Korean cultures for Malaysians. We demonstrate that STM is a helpful tool in cross-national research for corroborating and extending the existing theoretical frameworks. The practical implications are also provided for global marketers.     

MONEY,CAPITAL, AND EXCHANGE RATE FLUCTUATIONS*

We explore how the informational frictions underlying monetary exchange affect international exchange rate dynamics. Our perfectly flexible price model is capable of producing endogenously rigid international relative prices in response to technology and monetary shocks. The model is capable of accounting for the empirical regularities that the real and nominal exchange rates are more volatile than U.S. output, and that the two are positively and perfectly correlated. The model is also consistent with other standard real business cycle facts for the United States.     

URBANIZATION,HEALTH AND HUMAN STATURE

Economic growth has not always generated improvements in a population's health. Biological indicators of human well‐being, including stature, suggest the march to prosperity was not a steady one, and these biological indicators offer estimates of the health costs associated with modern economic growth. We employ an international data set to study the socioeconomic benefits and health costs associated with the transition to modern economic growth during the nineteenth century. We find that while the growth of GDP per capita had a positive impact on the stature of Western populations, prior to the mastery of the germ theory of disease, urbanization had a strong negative impact.