Risk-managed industry momentum and momentum crashes

This paper investigates Barroso and Santa-Clara’s [J. Financ. Econ., 2008, 116, 111–120] risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx [J. Financ. Econ., 2012, 103, 429–453]. We moreover examine the impact of different variance forecast horizons on average pay-offs and also Daniel and Moskowitz’s [J. Financ. Econ., 2016, 122, 221–247] optionality effects. Our results show in general that neither plain industry momentum strategies nor the risk-managed industry momentum strategies are subject to optionality effects, implying that these strategies have no time-varying beta. Moreover, the benefits of risk management are robust across volatility estimators, momentum strategies and subsamples. Finally, the ‘echo effect’ in industries is not robust in subsamples as the strategy works only during the most recent subsample.     

Key countries in the Third World

Present classifications of the developing countries are of limited usefulness as a basis for determining development policy priorities in the industrialised countries, argue our authors. They define a group of “key countries” which are of strategical importance for the world economy and outline the development risks facing these countries.¹ They suggest that the OECD countries would be better advised to follow a policy of cooperation with these key countries rather than the “man mind thyself” policies which are presently gaining in popularity.     

Measuring experienced emotions during service recovery encounters: construction and assessment of the ESRE scale

The role of emotions is increasingly gaining attention as a central element in understanding customer evaluations of service failure and recovery experiences. Despite the importance of emotions for service organizations, however, empirical investigations of customers’ emotional response to service recovery encounters remain scarce. A reason for this has been the absence of a valid and reliable measurement instrument for analyzing and comparing the emotions associated with different recovery experiences. Addressing this issue, the current paper presents the development and validation of a new scale specifically designed to measure experienced emotions during service recovery encounters (ESRE). The results show that the ESRE scale is a valid and reliable instrument, which should be helpful for empirically studying the role of emotional responses to service failure and recovery encounters.

A monetary economy with counterfeiting

We apply a search-theoretic model of fiat money to study the equilibria in which counterfeit money is accepted. Circulation of counterfeit money presupposes that the agents are impatient and that the punishment for holding it is not too severe. When the stock of genuine money is small counterfeit money may improve the efficiency of the economy. We establish that a monetary economy can be created with private provision of (counterfeit) money as long as the ruler has control over punishments. Totally noncooperative provision will fail as the economy will become flooded with money.     

Michael Schmolke 70 Jahre

Ohne Zusammenfassung     

Market value effects of acquisitions involving internet firms: a resource‐based analysis

While most prior research suggests that the average change in market value of acquiring firms varies closely around zero, recent research grounded in the resource‐based view and organizational learning theory identify positive returns to acquirers. We contribute to this literature by focusing on acquisitions of Internet firms and the potential for the transfer of scarce resources. We hypothesize that acquisitions made by offline firms of Internet firms and by Internet firms of other Internet firms lead to positive market valuation for the acquirer. Results of an event study of 798 acquisitions of Internet firms provided support for these predictions. We also find that prior alliances with online firms do not reduce the gains from such acquisitions to offline firms. Copyright © 2006 John Wiley & Sons, Ltd.