A century of equity premium predictability and the consumption–wealth ratio: An international perspective

This paper re-examines the predictive ability of the consumption–wealth ratio (cay) on the equity premium using hand-collected annual data spanning one century for four major economies. In addition to statistical tests of out-of-sample forecast accuracy, we measure the economic value of the predictive information in cay in a stylized asset allocation strategy. We find that cay does not contain predictive power prior to World War II, when a structural break occurs for all countries. In the postwar period, while statistical tests provide mixed evidence, economic criteria uncover substantial predictive power in cay, further enhanced when allowing for economically meaningful restrictions.     

The out-of-sample success of term structure models as exchange rate predictors: a step beyond

A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and, to a lesser extent, a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons.     

Heterogeneity and Specificity of Inter-Firm Knowledge Flows in Innovation Networks

abstract    Literature on innovation networks reveals little of to what extent different types of knowledge are exchanged and combined by collaborating firms to foster innovation. Based on field research in the aerospace industrial cluster of Rome, this study investigates the exchange of technological, market and managerial knowledge. Using social network analysis, the paper shows that the three types of knowledge are unevenly distributed and exchanged, thus revealing that the process of exchange is knowledge-specific. Further, it is found that in most collaborative relationships, partners exchange technological knowledge together with market and managerial knowledge, emphasizing the complex nature of the innovation process which requires access to and recombination of diverse knowledge. This phenomenon concerns not only large companies, but also small-to-medium enterprises. The reconsideration of the relative salience of the three types of knowledge has remarkable managerial and theoretical implications, which are developed in terms of propositions offered for further research.     

Capital Flows to Developing Countries: Long- and Short-Term Determinants

This article focuses on the determinants of the large portfolioflows from the United States to Latin American and Asian countriesduring 1988–92. Cointegration techniques reveal that bothdomestic and global factors explain bond and equity flows todeveloping countries and represent significant long-run determinantsof portfolio flows. The article also investigates the dynamicsof portfolio flows by estimating seemingly unrelated error-correctionmodels. Global and country-specific factors are equally importantin determining the long-run movements in equity flows for bothAsian and Latin American countries, while global factors aremuch more important than domestic factors in explaining thedynamics of bond flows. U.S. interest rates are a particularlyimportant determinant of the short-run dynamics of portfolio,especially bond, flows to developing countries.     

Optimal farm size in an uncertain land market: the case of Kyrgyz Republic

This article applies a real options model to the problem of land development. Making use of the 1998–2001 Kyrgyz Household Budget Survey, we show that when the hypothesis of decreasing return to scale holds, the relation between the threshold value of revenue per hectare and the amount of land cultivated is positive. In addition, the relation between the threshold and the amount of land owned is positive in the case of continuous supply of land and negative when there is discontinuous supply of land. The direct consequence is that, in the first case, smaller farms will be more willing to rent land and exercise the option where, in the second case, larger farms will exercise first. The results suggest three main conclusions: (i) the combination of uncertainty and irreversibility is an important factor in land development decisions, (ii) farmer behavior is consistent with the continuous profit maximization model, and (iii) farming unit revenue tends to be positively related to farm size, once uncertainty is properly accounted for.     

Conic quantization: stochastic volatility and market implied liquidity

Market implied liquidity links the pricing of European options under stochastic volatility with the Conic Finance theory of two prices     

Systematic sampling and real exchange rates

Systematic Sampling and Real Exchange Rates. — Four major real bilateral exchange rates are shown to be well characterized by nonlinear stationary models over the recent float. Using Monte Carlo methods, this paper examines the effects of systematic sampling on the behaviour of real exchange rates and shows that: systematic sampling reduces significantly nonlinearity in real exchange rates and affects their lag structure; given a certain span, the frequency of the data set becomes crucial for detecting mean reversion in real exchange rates once the analysis is switched from a linear to a nonlinear model. Monte Carlo simulations also suggest that the parameter governing the speed of nonlinear mean reversion may be upward biased.     

Service Science Management Engineering and Design (SSMED): a semiautomatic literature review

ABSTRACT

SSMED (Service Science, Management Engineering and Design) is multidisciplinary by nature. However, some authors stated that SSMED publications remain focused on single scientific domains. This paper proposes a Semiautomatic Literature Review (SALR) using integrated techniques for knowledge extraction –‘Time Aware Knowledge Extraction’ (TAKE) – to analyse the interdisciplinarity of SSMED publications and the potential for transdisciplinarity based on the actual adoption of Service-Dominant Logic as the foundation of SSMED research. Findings reveal that: 1) most SSMED publications are not interdisciplinary and are mainly related to Management; 2) Service-Dominant Logic has been adopted very often in SSMED publications, paving the way for SSMED transdisciplinarity.

This paper offers theoretical and practical insights by enhancing the knowledge about SSMED literature and enriching the state of the art related to techniques to perform literature reviews. Furthermore, it stimulates the expansion of scholars’ and managers’ views of holistic approaches to service systems while fostering SSMED viability.     

Followers' entry timing: evidence from the Spanish banking sector after deregulation

Much of the literature dedicated to the analysis of entry timing decisions has been devoted to the study of their consequences in terms of performance. However, only a limited amount of effort has been dedicated to analyzing the factors that determine these decisions. In addition, previous papers have centered their efforts on the product dimension, paying no attention to entry into new geographical markets. This paper departs from previous works in this respect and extends the entry timing literature through a consideration of the geographical side of entry. Our analysis shows that organizational size, organizational competence, and organizational experience appear as key factors when explaining the pattern of geographic diversification. Our results also indicate that diversification takes place sequentially, first proceeding to closer locations, then occupying markets further from the origin. Copyright © 2002 John Wiley & Sons, Ltd.     

Multipoint competition,strategic similarity and entry into geographic markets

The objective of this study is to integrate both multimarket contact and strategic similarity in the analysis of entry decisions. We also analyze the role of the reciprocity of contacts, market concentration, and coordination mechanisms at moderating the relationship. Our hypotheses are tested through the analysis of entry behavior into new geographical markets in the Spanish savings bank market. Interestingly, our results offer an opportunity of conciliating conflicting evidence in both the multimarket–mutual forbearance and the heterogeneity–rivalry literatures and offer further support to the U‐inverted influence of multimarket contact on entry. Given the coordination assumption implicit in the theory and the possible presence of unobservable variables, we also offer a method to cope with the common‐actor problem. Copyright © 2006 John Wiley & Sons, Ltd.