A comprehensive long-term analysis of S&P 500 index additions and deletions

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance.     

Export Currency Pricing and Fiscal Multipliers

This paper develops a small open economy dynamic stochastic general equilibrium model to study the implications of the use of foreign currency in export pricing for fiscal policy in East Asian economies. The result shows that external currency pricing amplifies the effect of an exogenous government spending shock on output. The impact and cumulative multipliers are larger under external currency pricing. However, the result depends on the government policy regime. When the government allows for a systematic response of government spending to public debt, the multipliers in the medium-term are smaller under external currency pricing.     

Perceived organizational support and organizational identification: joint moderating effects of employee exchange ideology and employee investment

Organizational identification (OID) can be developed out of social exchange practices within an organizational setting. Drawing on social exchange theory, we propose that the effect of perceived organizational support (POS) on OID is stronger for employees with stronger exchange ideology. We further argue that employee investment in an organization may also create a social exchange process that positively influences OID. We expect that employee investment moderates not only the effect of POS on OID, but also the enhancing effect of exchange ideology on the effect of POS on OID. Specifically, POS has a stronger positive effect on OID when exchange ideology is high and employee investment is low. When employee investment is high, POS has a weaker effect on OID regardless of employees' exchange ideology. These effects were empirically supported by a survey. Theoretical and practical implications are also discussed.     

Marketing strategies of Sunhow appliances in Taiwan

Taiwan＇s traditional industries of small appliances are facing a critical economic downturn in the price-cutting competition of the market. Company＇s lack of innovative products will make the road to survive within their industry more and more difficult. Some well-known big brands turn to small appliance market, which makes the related companies face even tougher challenges. With the increasing of modern diseases, the concept of health-care is gradually paid attention to. Markets in biotechnology and health-care appliances have a big potential to grow. While such health-care appliances meet the needs of customers, and with high profits, ＂Sunhow＂ pushed forward in advance the R＆D of ultra-red and nanotech health-care appliances, which has now become its mainstream. Due to the impacts of market competition, low-price strategy has been out of date. How to carry out industrial reconstruction, innovation, differentiation and firmly build up their own brand is a breakthrough and an important objective. How can quality, price and branding turn to biotech, health-care appliances in the future？ The thesis tries to find some solutions and strategies to deal with impacts from challengers. It also will focus on future business strategies through SWOT analyses, five-force analyses, human resource management （HRM） and other marketing models.     

Lévy betas: Static hedging with index futures

This study considers calibration to forward‐looking betas by extracting information on equity and index options from prices using Lévy models. The resulting calibrated betas are called Lévy betas. The objective of the proposed approach is to capture market expectations for future betas through option prices, as betas estimated from historical data may fail to reflect structural change in the market. By assuming a continuous‐time capital asset pricing model (CAPM) with Lévy processes, we derive an analytical solution to index and stock options, thus permitting the betas to be implied from observed option prices. One application of Lévy betas is to construct a static hedging strategy using index futures. Employing Hong Kong equity and index option data from September 16, 2008 to October 15, 2009, we show empirically that the Lévy betas during the sub‐prime mortgage crisis period were much more volatile than those during the recovery period. We also find evidence to suggest that the Lévy betas improve static hedging performance relative to historical betas and the forward‐looking betas implied by a stochastic volatility model.     

Lifestyle and Demographic Influences on Females' Consumption of Alcoholic Beverages

Using responses to a national survey, levels of consumption of beer, wine and spirits were related to life-style, age, education, and income. The findings suggest different sets of factors are linked to consumption levels for the various beverages, but that most life-style variables are of limited value in predicting higher levels of consumption. Implications to advertising are highlighted.     

Tight bounds on American option prices

In contrast to the constant exercise boundary assumed by Broadie and Detemple (1996) [Broadie, M., Detemple, J., 1996. American option valuation: New bounds, approximations, and comparison of existing methods. Review of Financial Studies 9, 1211–1250], we use an exponential function to approximate the early exercise boundary. Then, we obtain lower bounds for American option prices and the optimal exercise boundary which improve the bounds of Broadie and Detemple (1996). With the tight lower bound for the optimal exercise boundary, we further derive a tight upper bound for the American option price using the early exercise premium integral of Kim (1990) [Kim, I.J., 1990. The analytic valuation of American options. Review of Financial Studies 3, 547–572]. The numerical results show that our lower and upper bounds are very tight and can improve the pricing errors of the lower bound and upper bound of Broadie and Detemple (1996) by 83.0% and 87.5%, respectively. The tightness of our upper bounds is comparable to some best accurate/efficient methods in the literature for pricing American options. Moreover, the results also indicate that the hedge ratios (deltas and gammas) of our bounds are close to the accurate values of American options.     

What Drives Cost Efficiency of Banks in China?

This study uses stochastic frontier analysis to examine the factors that influenced cost efficiency of banks in China from 2005 to 2013. The results indicate that policy variables, such as the reserve requirement ratio, the interest rate spread and open market operations by the People's Bank of China, are effective in improving the cost efficiency of banks, but shadow banking variables may reduce cost efficiency. Among the various bank types, city commercial banks appear to be the most efficient and foreign banks are the least efficient. The present study suggests that policy‐makers can have a positive influence on bank cost efficiency by adjusting macro policy variables on different types of banks and by requiring more information on the shadow banking activities to improve monitoring.     

The impact of open innovation on firm performance: The moderating effects of internal R&D and environmental turbulence

Researchers have identified open innovation as two dimensions, external technology acquisition and external technology exploitation. This study explores the direct and interactive effects of these two dimensions on firm performance and further examines the moderation effects of two factors (i.e., internal R&D and environmental turbulence) on the relationship between both types of open innovation and firm performance. Based on Chesbrough's open innovation model, multi-item scales were developed to measure two dimensions of firm-level open innovation. Survey results of 176 Taiwanese high tech manufacturing firms provide support for most hypotheses. The result shows that external technology acquisition positively affects firm performance, whereas external technology exploitation does not. This study also finds that external technology acquisition strengthens the relationship between external technology exploitation and firm performance. Both external technology acquisition and external technology exploitation are positively related to firm performance under high internal R&D investment and a turbulent market environment. However, technological turbulence only positively affects the relationship between external technological acquisition, but not external technology exploitation, and firm performance. The findings contribute to enhanced understanding of how the degree of leveraging open innovation dimensions depends on their complementarity, internal R&D, and environmental turbulence.     

What drives the dating game of executive options exercise? Evidence from Taiwan

Examining Taiwanese firms from 2002 to 2008, this paper investigates the motivations behind backdating the exercising of executive stock options. The probability of suspect exercises (backdating) is positively related to the firm’s stock return, the value of the option, tax savings, institutional ownership and the extent of CEO equity ownership and negatively related to firm‐specific risk and the use of Big Four accounting firms. Tax incentives motivate executives to backdate the exercise date, implying that the greater the potential for larger tax savings, the greater the likelihood of backdating. Backdating usually occurs in firms that have heavy ownership by the CEO, have more claims to executive stock options and are not family‐run, confirming the presence of the agency cost problem.