The Moderating Effect of Relative Performance Evaluation on the Risk Incentive Properties of Executives’ Equity Portfolios

We offer evidence that the use of relative performance evaluation (RPE) in CEOs’ incentive contracts influences the effect of risk‐taking incentives on both the magnitude and composition of firm risk. We find that, when the incentive design lacks RPE features, the incentive portfolio vega motivates CEOs to increase total risk through the systematic component because it can be hedged. In contrast, when the incentive design includes RPE features, CEOs prefer idiosyncratic risk because RPE filters out the systematic component of firm performance. We also document that the use of RPE reinforces the incentive portfolio vega's effect on the total risk.     

Did the Reserve Requirement Increases of 1936–37 Reduce Bank Lending? Evidence from a Quasi‐Experiment

We analyze the impact of contractionary monetary policy through increases in reserve requirements on bank lending. We compare the lending behavior of banks that were subject to the requirement increases in 1936–37, Federal Reserve member banks, to a group of banks that were not subject to the reserve increase, Federal Reserve nonmember banks. After implementing the difference‐in‐difference estimators, we find that the increases in reserve requirements did not create financing constraints for member banks and lead them to reduce lending. Therefore, the actions of the Federal Reserve concerning the required reserve ratios cannot be blamed for instigating the economic downturn of 1937–38.     

Can Taxes Shape an Industry? Evidence from the Implementation of the “Amazon Tax”

For years, online retailers have maintained a price advantage over brick‐and‐mortar retailers by not collecting sales tax at the time of sale. Recently, several states have required that online retailer Amazon collect sales tax during checkout. Using transaction‐level data, we document that households living in these states reduced their Amazon purchases by 9.4% following the implementation of the sales tax laws, implying elasticities of –1.2 to –1.4. The effect is stronger for large purchases, where purchases declined by 29.1%, corresponding to an elasticity of –3.9. Studying competitors in the electronics field, we find some evidence of substitution toward competing retailers.     

Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach

We incorporate regime shifts in the mean of price‐dividend ratios into the present value model of van Binsbergen and Koijen (2010) who propose a latent variable approach to modeling expected returns and dividend growth rates. We find that accounting for regime shifts results in much lower persistence of expected returns and higher volatility of expected returns, and thus higher in‐sample predictability, when compared to the results from the van Binsbergen and Koijen (2010) model. We also show that the main source of the increase in the mean of price‐dividend ratios in the mid‐1990s is a decrease in the mean of expected returns.     

入境游客对中国传统文化旅游产品满意度的实证研究——以禅宗少林音乐大典为例

本文选取禅宗少林音乐大典为研究对象,研究了入境游客对传统文化旅游产品的评价与整体满意度、推荐意识、再观赏意识之间的关系.通过因子分析法萃取出入境游客对传统文化旅游产品的评价因子为3项(传统性、教育性、魅力性);除职业变量之外,其他性别、年龄、学历、家庭收入、国籍等变量下,传统文化旅游产品的评价因子存在显著性的差异.多重回归分析验证了传统性因子、教育性因子、魅力性因子与游客的整体满意度、再观赏意识之间有显著的正相关关系;教育性因子、魅力性因子与推荐意识之间有显著的正相关关系.     

The Impact of Attribute Importance in the Effects of Option Framing on Choice: Budget Range and Justification as Moderators of Loss Aversion

Loss aversion or an endowment‐based explanation clearly predicts that subtractive option framing (i.e. deleting mode or starting from a full model) will have a stronger effect on choice than additive option framing (i.e. adding mode or starting from a base model). This research examines whether the differential effects of option framing (additive vs. subtractive) on choice vary depending on the importance of attributes that constitute the defaults. Furthermore, this research proposes that consumers’ budget range and justification for choice serve to moderate the differential effects of option framing on choice.     

The Simple Meaning of Complex Rates of Return

Real options analysis (ROA) has been identified in the literature as a quantitative means to evaluate the flexibility inherent in the decision-making process. From an engineering economics perspective, this paper highlights applications, real-world users, modeling approaches, ROA assumptions, and future research directions. Through identifying and systematizing the current literature, a concise summary of modeling concerns and a road map for future modeling efforts and applications is discussed. More specifically, this paper supports research efforts to combine decision analysis tools with financial option pricing techniques to develop a real option framework that will be accepted in industry to make decisions in today's fast-paced and highly competitive business environment.     

TRADING VOLUME,VOLATILITY, AND GARCH EFFECTS IN THE SOUTH KOREAN WON/US DOLLAR EXCHANGE MARKET: EVIDENCE FROM CONDITIONAL QUANTILE ESTIMATION*

Under the MDH, this paper investigates the asymmetry in the positive relationship between unexpected volume and volatility, and whether the unexpected volume series as a proxy for the rate of information arrival absorbs the GARCH effects. This is achieved by applying a quantile regression approach to the won/dollar exchange market with reliable data on trading volumes. Interestingly, the results show that in a freely floating exchange rate system, the positive relationship increases as exchange rate returns are higher. Contrary to previous studies, despite a significantly positive relationship, the inclusion of volumes alone does not reduce volatility persistence at medium or high levels of returns. In addition, the reform of the South Korean exchange rate system had an impact on the relationship, which occurred in response to a financial crisis.     

中国黄金期货保证金水平——基于非正态分布下的研究

中国目前静态的期货保证金水平只是一个经验数字,对价格波动并不敏感,大部分时间投资者资金被过度占用,当市场波动剧烈时又不能覆盖足够的风险。本文研究了基于非正态分布下黄金期货保证金水平,利用广义极值分布和广义帕累托分布来拟合尾部风险。结果显示:黄金期货存在尖峰厚尾现象,在考虑流动性风险后,现有的保证金水平有下调空间,应设定为4.38%,当风险加大时应提高到5.15%。