Bond immunization for additive interest rate shocks

This paper explores bond immunization for additive term structure models. This class of term structures contains many models that are commonly used in the duration and immunization literature. We establish the necessary and sufficient conditions for immunization and prove the existence of a bond portfolio that satisfies the immunization condition. Based upon the immunization condition, we develop a general definition of duration that applies to any additives term structure model.     

Factors affecting investors’ intention to purchase gold and silver bullion: evidence from Malaysia

Gold and silver prices have surged since the 1980s, and they have been used as a store of value for fear of a financial meltdown. However, gold and silver in the form of bullion are still not so popular compared with other gold and silver products (jewellery) and other financial instruments in Malaysia. Limited study has actually verified the factors that affect the investors’ intention to purchase bullion. Thus, this study explores factors affecting investors’ behaviour and their intention to purchase bullion based on the Theory of Planned Behaviour. This study also examines the moderating effect of scepticism between investors’ behaviour and their intention to purchase bullion. A total of 208 sets of data collected in a self-administered online structured survey was analysed using PLS-SEM. This study finds that investors’ behavioural belief and control belief significantly and positively affect their respective attitude towards behaviour and perceived behavioural control and, thus, intention to purchase bullion. Results are found insignificant for normative belief, normative attitude and intention to purchase bullion and the moderating effect of scepticism in affecting investors’ intention to purchase bullion. The findings of this study hope to provide insight and deeper understanding to bullion traders and financial advisors in improving their marketing strategies in growing interest in the bullion market.

     

Equilibrium asset pricing and the cross section of expected returns

Annals of Finance - In a mean-variance framework with a representative agent, any linear model for the cross section of expected returns can be supported as an equilibrium as long as the market...     

Evidence of the invisible: toward a credibility revolution in the empirical analysis of tax evasion and the informal economy

Empirical research about tax evasion and the informal economy has exploded in the past few decades, seeking to shed light on the magnitude and (especially policy) determinants of these phenomena. Quantitative information informs the analysis of policy choices, enables the testing of hypotheses about determinants of this phenomenon, and can help with the accurate construction of national income accounts. Even as empirical analysis has burgeoned, some have expressed doubts about the quality and usefulness of some prominent measures. The fact that high-quality data is elusive is neither surprising nor a coincidence. The defining characteristic of tax evasion and informal economic activity—that they are generally illegal—often renders unreliable standard data collection methods such as surveys. Unlike invisible phenomena in the natural sciences, these invisible social science phenomena are hard to measure because of choices made by individuals. Analysis of tax evasion and the informal economy must proceed even in the absence of the direct observability of key variables, and theory should guide the construction and interpretation of evidence of the “invisible.” In this paper, we address what can be learned using micro or macro data regarding tax evasion and the informal economy under given conditions and assumptions, and critically review some of the most common empirical methods in light of our conclusions. We conclude with an entreaty for researchers in this field to enlist in the “credibility revolution” (Angrist and Pischke in J. Econ. Perspect. 4(2):3–30, 2010) in applied econometrics.     

Are property rights enough?Re‐evaluating a big‐bang claim1

We investigate the claim made by proponents of the big‐bang strategy that the establishment of property rights in an economy in transition creates its own demand for the enforcement of laws to protect those rights. Our model contains a government engaging in activities to accomplish objectives that depend on public support for the enforcement of the rule of law and agents who interpret the level of activities of the government as indications of the government's intent to enforce the rule of law. Agents, using the level of government activities as an input to their decisions, choose whether to support the government's objectives. We establish conditions under which the level of activities chosen by the government maximizes its benefits, and simultaneously induces the constituency to support enforcement of the rule of law. These conditions provide a basis for the argument for the implementation of the big‐bang policy. When these conditions do not hold, however, we show that the level of activities that maximizes the government's benefits may have only a minor impact on support for the enforcement of the rule of law. Two characteristics play an important role in these conditions: the initial level of crime and the types of activities the government chooses to undertake. We present examples showing that the initial level of crime has the more dramatic effect on subsequent support for the rule of law.     

The characteristics of takeover targets q and other measures

This study attempts to assess differences in the financial characteristics of target and non-target firms using logit analysis and a case-control methodology in which control groups are matched by size or industry. The results indicate that unregulated non-financial target firms are characterized by low $\text{q}$ ratios (market/replacement values) and to a lesser extent high current financial liquidity. Measures of financial leverage were not found to be significant.     

A Model of Declining Standards

This paper presents a model in which relative standing determines standards. There are three kinds of agents in the model: candidates who wish to pass a test, members of the elite who have passed the test, and the judge who decides who passes. In order to pass, a candidate's performance must be at least as good as the performance of a representative member of the elite. Without perturbations in the underlying data, the model predicts that standards will not change. Perturbations in the preferences used to judge candidates lead to a reduction in standards.     

The limits to IPR standardization policies as evidenced by strategic patenting in UMTS

The impact of patents and patent royalties are a major concern of standards setting organizations. This study examines the patents filed in the standardization of UMTS, the third-generation mobile phone technology developed under sponsorship of the European Telecommunications Standards Institute (ETSI) and others, using a patent policy developed in response to issues faced in the earlier GSM (née Group Special Mobile) standardization. After contrasting firm strategies and policy effectiveness between the GSM and UMTS efforts, the paper reviews the potential impact of potential changes to the ETSI IPR (intellectual property rights) policy.