Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities

This paper investigates the changes in credit spread volatility during 1993–2001. We find that the credit spreads between junk-grade corporate bonds and Treasury bonds were significantly more volatile in the second half of this period when credit-related securities became popular. In contrast, investment-grade bonds exhibited no significant change in volatility. The junk bonds variance ratios changed from being less than one to greater than one. Using the GJR-Garch model, the conditional volatilities of junk bonds increased in the second half of the period and the mean reversion speeds slowed, suggesting a longer time for mean reversion to occur. Our analysis rules out treasury volatility, credit spread level, equity market return, T-bill rate, curvature of the Treasury curve, financial crisis, quantity of defaults and standard deviation of defaults as explanations for the increase in junk bond volatility. In contrast, volatility of equity returns provides a partial explanation of junk bond spread volatility in the later period.     

AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS

In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first-order stochastic dominance, and upper semicontinuity. We show how to characterize the VaR in a similar manner.     

University – industry collaboration in R&D: the role of labor market rigidity

We investigate how R&D university – industry collaboration (R&D UIC) is influenced by labor market rigidity. While it is well-established that an educated and skilled workforce will facilitate R&D UIC, another aspect of these alliances has been under-researched: the role of labor market rigidity, in particular the difficulties employers face in hiring and firing workers. We hypothesize that the size of the R&D labor pool in a country will encourage R&D UIC, and that the ease with which employers are legally allowed to hire and fire will directly and indirectly influence R&D UIC. Integrating data from various sources, we test our model on a sample of 73 countries for which information on the size of the R&D labor pool and labor market regulations are available. We also conduct a robustness test using a different proxy for R&D labor pool on a larger sample of 109 countries. Results confirm the strong link between a country's R&D labor pool and R&D UIC, as well as direct negative impacts of hiring and firing rigidity and an indirect negative impact of hiring rigidity. The findings have implications for managers, policy makers, and researchers of R&D collaboration between universities and industry.     

Product development with multiple partners: Strategies and conflicts in networks

This paper provides an insight into and discusses the variety of sources of conflict in linking multiple partners in a network to the product development process. Conflict issues are discussed in relation to focal company strategies for product development within networks. On the basis of three case studies representing three different strategic intentions and network situations, our findings suggest that the sources of conflict are related to the actors' definition and negotiation of the development task at hand. The study suggests that the ability to combine and find complementarities in the strategic intentions of the multiple participating actors is essential to accomplish innovation. The paper concludes that influential actors initiating or acceding to changes are crucial for reaching a positive outcome in joint product development.     

Time and process in business network research

This Special Issue of Industrial Marketing Management brings together a range of articles by authors who have undertaken the difficult task of researching time and process in business networks. Understanding interaction processes within a business relationship and network perspective requires the elaboration of time, the central construct by which humans grasp and comprehend change. As an introduction to the articles we present the concept of human time and delineate accordingly three methodological approaches available for the study of network processes. We also introduce the authors' contributions to the special issue that broadly divide into two groups: those that deal with methodological issues concerning the study of processes in business networks and those that consider the role of time and timing for studying business processes.     

Towards an Understanding of the Relationship between Mood,Emotions, Service Quality and Customer Loyalty Intentions

The purpose of this study was to explore the relationship between mood states, emotions, perceptions of service quality and consumer loyalty in an extended service context. A quantitative research design, using multivariate statistical techniques, facilitated the data analysis. The sample consisted of 220 students from a private university in Switzerland. The results indicated that all of the variables were significantly correlated and mood state was demonstrated to influence the way judgements were formed. The contribution of mood to explaining the variance in loyalty was however minimal.     

Research needs for assessing online value creation in complex consumer purchase process behavior

Consumers face considerable frustration when purchasing structurally and/or semantically complex high-involvement products online. Reliance on computer-mediated communications for their information needs may result in functional and emotional frustration from information overload and lack of personal trust. This paper proposes a responsive real-time information system as a proxy for a perceptive sales representative who assesses customer needs based on information exchanges and then offers appropriate responses. By tracking and analyzing a consumer's online activity, vendors can offer information relevant to the consumer's real-time needs, facilitating their purchase process. In essence, this is a real-time value co-creation process based on the consumer offering cues to vendors through their key strokes and mouse click activity. This allows for differentiated information offerings for inexperienced and more experienced consumers, creating value by dynamic information serving. Where appropriate value is created, consumers will experience less frustration and continue online, rather than possibly moving offline or to alternative vendors. In examining the bases of consumer information needs in complex purchases, this paper identifies the data required to enable a responsive dialog between vendors and consumers.