Simple Trading Rules and the Market for Internet Stocks

We investigate the profitability of moving average trading rules for Internet stocks based on the Dow Jones Internet Composite Index. Consistent with previous studies e.g. Brock et al. (1992), returns after buy signals exceed returns after sell signals. The average buy–sell spread is large and significant even after accounting for transaction costs. Bootstrap simulations based on a version of the dynamic CAPM show that the model is able to replicate the pattern of buy and sell returns. Simulated buy–sell spreads amount on average to more than 39% of the actual spread. However, actual profits are still too large to be explained in terms of risk compensation.     

Concentrated control,institutions, and banking sector: An international study

Using a broad sample of listed commercial banks in East Asia and Western Europe, this paper investigates the relations among concentrated control, a set of bank operating characteristics, and legal and regulatory regimes. We find that banks with concentrated control exhibit poorer performance, lower cost efficiency, greater return volatility, and higher insolvency risk, relative to widely held ones. We also document that legal institutions and private monitoring effectively reduce the detrimental effects of concentrated control and that official disciplinary power plays a weak governance role, whereas government intervention exacerbates the adverse effects. Further evidence shows that the relations between control concentration and bank operating characteristics are curvilinear and vary according to the types of controlling owners. Overall, our findings support the contention that country-level institutions play important roles in constraining insider expropriation, and that private monitoring mechanisms are more effective than are public rules and supervision in governing banks.     

Pricing credit card loans with default risks: a discrete-time approach

The main purpose of this paper is to modify the Jarrow and van Deventer model by using Das and Sundaram (Manag Sci 46:46–62, 2000) model to extend the Heath–Jarrow–Morton (J Finan Quant Anal 25:419–440, 1990) term-structure model to facilitate the consideration of default risks for pricing credit card loans. Furthermore, we derive closed-form solutions within a continuous-time framework. In addition, we also provide a numerical method for the evaluation of credit card loans within a discrete-time framework. Using the market segmentation argument to describe the characteristics of the credit card industry, our simulation results show that the shapes of the forward rate and forward spread (default risk premium) term structures play extremely important roles in determining the value of credit card loans.     

A fuzzy logic-driven multiple knowledge integration framework for improving the performance of expert systems

To maintain a high performance in an ill-structured situation, expert systems should depend on multiple sources of knowledge rather than a single type. For this reason, we propose multiple knowledge integration by using a fuzzy logic-driven framework. Types of knowledge being considered here are threefold: machine, expert and user. Machine knowledge is obtained by a back- propagation neural network model from historical instances of a target problem domain. Expert knowledge is related to interpreting the trends of external factors that seem to affect the target problem domain. User knowledge represents a user’s personal views about information given by both expert knowledge and machine knowledge. The target problem domain of this paper is one-week-ahead stock market stage prediction: Bull, Edged-up, Edged-down, and Bear. Extensive experiments with real data proved that the proposed fuzzy logic-driven framework for multiple knowledge integration can contribute significantly to improving the performance of expert systems. Copyright © 1998 John Wiley & Sons, Ltd.     

Emotional labor and family quality: the role of work-family positive spillover

There is increasing research interest in both types of emotional labor at work (i.e. surface acting and deep acting), but the effects of emotional labor at work on employees’ emotional labor at home and their family members’ family quality have not yet been explored. Drawing on work-family enrichment theory, this study investigated the mechanism underlying the relationship between employees’ emotional labor at work and their spouses’ perceived family quality by focusing on the mediating role of employees’ emotional labor at home and the moderating role of work-to-family positive spillover (WFPS). The results from a time-lagged three-wave survey of 193 Chinese employee-spouse dyads indicated that surface acting at home mediated the relationship between surface acting at work and spousal ratings of family quality. Although deep acting at work was positively related to deep acting at home, deep acting at home was not significantly related to family quality. WFPS strengthened the relationship between surface acting at work and surface acting at home. This study extends emotional labor theories to the family domain and provides insights into the mediating mechanisms and boundary condition through which emotional labor at work relates to spouses’ perceptions of family quality. The implications for theory and management practice are discussed.     

Analysts’ recommendations: from which signal does the market take its lead?

The stock market may respond to the difference between an analyst’s recommendation and that analyst’s previous recommendation and/or to the difference between the analyst’s recommendation and the consensus recommendation. We show that for the short-term market response the former is the clearer signal when both are examined simultaneously. We also show that the market’s reaction is strongly influenced by the analyst’s reputation, the divergence of opinion among analysts and the number of analysts following the stock. Previous studies have been hampered by having a low proportion of negative recommendations. We overcome this deficiency by studying the Australian market, in which institutional differences lead to analysts releasing many more negative recommendations.

Equilibrium Unemployment and Endogenous Public Sector Employment

This paper develops a model of the equilibrium rate of unemployment with an endogenous share of public sector employment. We show how various macroeconomic shocks drive up the equilibrium rate of unemployment, accompanied by predictable variations in the public sector share of employment. In particular, under the empirically plausible assumptions that the public sector is relatively labor-intensive and the elasticity of substitution between capital and labor is less than unity, public sector employment is shown to be countercyclical. When the equilibrium unemployment rate rises over a prolonged time period, the public sector share of employment also rises.     

The Termination of Subprime Hybrid and Fixed‐Rate Mortgages

Adjustable‐rate and hybrid loans have been a larger component of subprime mortgage lending in the mortgage market than prime lending. The typical adjustable‐rate loan in subprime is a hybrid of fixed and adjustable characteristics in which the first 2 years are fixed and the remaining 28 years adjustable. Hybrid loans terminate at elevated probabilities even before the first adjustment date. Hybrid loan terminations are sensitive to interest rates and teaser rates (payment shocks). Default probabilities increase dramatically when payment shocks are mixed with low or no equity in the home. This is the mixture of events that helped to trigger the 2007/2008 subprime mortgage crisis.     

U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach

This paper assesses the impact of regulatory change on the risk and returns of the U.S. banking industry. The impact of five major regulatory changes on banking sector risk was assessed using daily data for eighteen major U.S. regional banks, money center banks and savings and loan type depository institutions. Risk in this case was proxied via the use of an M-GARCH model which generates time dependent conditional beta estimates. The evidence obtained suggests that the impact of deregulation and reregulation on banking sector risk is case specific. Further, the results obtained show that the market model incorporating dummy variables, which has proven so popular amongst existing studies, discards important information about the variability of beta which the time varying conditional betas capture.     

Productivity Growth in Different Plant‐size Groups in the Malaysian Manufacturing Sector*

In the present study, we develop a stochastic frontier production model that allows for different groups of firms to have different patterns of technical efficiency over time. We apply our model to the Malaysian manufacturing sector to decompose total factor productivity growth into technical efficiency change and technical progress for different plant size groups (e.g. large and small) in seven industries during 2000–2004. Our empirical results indicate that technical efficiency has worsened across all industries and plant‐size groups. In contrast, we find evidence of substantial technical progress in all industries. In fact, technical progress has been larger than technical efficiency deterioration in most industries and plant‐size groups, leading to total factor productivity growth. Our analysis identifies the industries and plant‐size groups that lag the most in terms of productivity, and thus have the greatest scope for policies that facilitate productivity growth.