Constrained dynamic futures portfolios with stochastic basis

Annals of Finance - We study the problem of dynamically trading multiple futures contracts on different underlying assets subject to portfolio constraints. The spreads between futures and spot...     

Geographic dissemination of information

Urban companies are located near millions more potential investors and sophisticated money managers than non-urban companies. More investors are familiar with urban companies and have access to informal information about them. The stock of urban companies is also more liquid than the stock of non-urban companies. We hypothesize that these factors lead information to be spread from urban companies to other companies. Urban stock returns lead rural/small city stock returns even controlling for size, industry, and analyst coverage. Closer examination of the lead–lag relation reveals that urgent trades, which are likely to reflect short-lived information, are much more common for urban firms. Information appears to be uncovered through informal means more easily available to people physically near a company. We discuss the corporate finance implications of our findings.     

A framework for comparing socially responsible investment markets: an analysis of the Dutch and Belgian retail markets

The increasing popularity of socially responsible investment among individual investors throughout Europe reveals the need for a framework that allows the comparison of socially responsible retail markets in different European countries. This article proposes such a framework, containing 16 different characteristics of socially responsible retail markets describing the size, institutionalization and nature of this market and correcting for differences in the size of countries and financial markets. When this framework was applied to the Dutch and Belgian socially responsible retail markets, differences were found with respect to the nature of both markets (specifically the use of non‐financial criteria, the asset allocation, the number of solidarity funds and investors' preferences for socially responsible savings products). Similarities were found with respect to the (absolute and relative) size and the degree of institutionalization of the socially responsible retail markets.     

Positive Job Response and Ethical Job Performance

Although many studies have linked job attitudes and intentions to aspects of in-role and extra-role job performance, there has been relatively little attention given to such job responses in the context of employees’ ethical/unethical behavior. The purpose of this study was to investigate a possible relationship between positive job response (conceptualized as job satisfaction and intention to stay) and behavioral ethics. Ninety-two matched manager-employee pairs from a regional branch of a large financial services and banking firm completed survey instruments, with each employee providing information about his or her job attitudes and intentions and each manager assessing the ethical/unethical performance of his/her employees. Respondents also provided additional information required for our analyses. The results indicated that positive job response among subordinates was associated with higher supervisory ratings of the subordinates’ ethical job performance. The managerial implications of the findings for managing ethical behavior are explored.     

Für eine Rentenanpassung mit Sicherungsziel

Mit der Rentenreform 2001 wurde das Ziel der Lebensstandardsicherung der bundesdeutschen gesetzlichen Rentenversicherung (GRV) aufgegeben. Stattdessen sollte die Sicherung des Lebensstandards im Alter auf „drei S?ulen“ ruhen. Im Lichte dieses grundlegend ver?nderten Sicherungsziels muss die Frage der Rentenanpassungssystematik neu diskutiert werden. Eine Rentenanpassung ohne Sicherungsziel ist — das zeigen die vergangenen zehn Jahre — letztlich diskretion?r und intransparent. In dem vorliegenden Beitrag wird daher für eine vereinfachte Anpassungsformel mit integriertem Sicherungsziel pl?diert.     

TURNING FARMERS INTO FORESTERS VIA MARKET LIBERALISATION

Reform of the Common Agricultural Policy and public concern over the environment have brought woodland into the public eye as an environment-friendly alternative land use in British agriculture. Survey evidence indicates that whilst it is the inadequacy of the returns from woodland that acts as the principal deterrent to planting, there are also a number of other factors that discourage woodland adoption. Of these, the perceived lack of flexibility that is associated with woodland figures highly. In part, loss of flexibility occurs due to the strength of controls such as felling licences and Tree Preservation Orders that restrict the conversion of woodland back to agricultural land. This paper develops a simple comparative static model of the way in which such restrictions impact on the allocation and price of woodland vis-à-vis agricultural land. Where felling controls are in operation they may reduce as well as preserve the area of woodland, and retard the efficacy of financial incentives. In this light, policymakers may do well to abolish felling restrictions on new woodland (possibly in conjunction with enhanced woodland incentives generally) if expansion of the wooded area is an explicit objective of future agricultural policy.     

Rentenreform — mit welchem Fokus?

The demographic imbalance is aggravating, and by 2060 the old-age dependency ratio will double to approximately 70%. This development has consequences for the state pension system: growing contribution rates to social security coupled with lower pension levels, but at the same time a higher retirement age. The German pension scheme is mandatory for all wage and salary earners, but since 2001, no reasonable indicator for measuring the pension level exists any more. As a consequence of this, old-age pension has lost its traditional function as a replacement for earnings. The recent pension reforms have dropped the pension level sharply. Further reductions have been announced with the consequence of increasing old age poverty. Against this background it is proposed to raise the pension level so that the pensioners can maintain their standard of living. But any pension reform involves issues of distribution between and often also within generations, which cannot be addressed without explicit equity criteria. Some authors consider the past reforms as a mistake, others suggest adjustments.     

Environmental Performance Focus in Private Family Firms: The Role of Social Embeddedness

The macro-level business ethics in Scholasticism contrasts with modern Anglo-Saxon Capitalism, which is very influential worldwide. Scholasticism, developed between the thirteenth and the mid-seventeenth centuries, deals with key elements of free market morality, including private property, contracts, profits, prices, and free competition. For over 500 years Scholasticism tried to understand economic phenomena and business activities and reflected on them from an ethical perspective. Scholasticism offered the crucial lesson of the centrality of justice and the role of practical wisdom in considering market morality. Justice is seen as both a virtue and a principle, and commutative justice (justice in exchanges) with the common good of society as the reference for the Scholastics, is regarded as being especially important.     

Formative versus reflective measurement models: Two applications of formative measurement

This paper presents a framework that helps researchers to design and validate both formative and reflective measurement models. The framework draws from the existing literature and includes both theoretical and empirical considerations. Two important examples, one from international business and one from marketing, illustrate the use of the framework. Both examples concern constructs that are fundamental to theory-building in these disciplines, and constructs that most scholars measure reflectively. In contrast, applying the framework suggests that a formative measurement model may be more appropriate. These results reinforce the need for all researchers to justify, both theoretically and empirically, their choice of measurement model. Use of an incorrect measurement model undermines the content validity of constructs, misrepresents the structural relationships between them, and ultimately lowers the usefulness of management theories for business researchers and practitioners. The main contribution of this paper is to question the unthinking assumption of reflective measurement seen in much of the business literature.     

Are Environmental Social Movements Socially Exclusive? An Historical Study from Thailand

Environmental social movements in developing countries are often portrayed as democratizing but may contain important social divisions. This paper presents a new methodology to analyze the social composition and underlying political messages of movements. Nearly 5 000 newspaper reports during 1968–2000 in Thailand are analyzed to indicate the participation of middle and lower classes, and their association with “green” (conservationist) and “red-green” (livelihoods-oriented) environmental values. Results show middle-class “green” activism has dominated forests activism, but lower-class “red-green” activism has grown for forests and pollution. Newspapers, however, portray all environmentalism as “democratization,” suggesting that the possible exclusiveness of some environmental norms is unacknowledged.