A State‐Price Volatility Index for China's Stock Market

This study derives a volatility index for China's stock market with similar properties to the Chicago Board Options Exchange Volatility Index (the ‘VIX’). A long‐term benchmark of historic volatility expectations is here presented for China from 1996 to 2011, called the ‘China‐ State‐Price Volatility (SPV)’. Construction of this index involves the use of SPV methodology, using implied volatility calculated from options on the Hang Seng China Enterprise Index (HSCEI). Historic open–high–low–close volatility on the Shanghai Composite Index (SHCI) is also used to extend the benchmark prior to the availability of HSCEI options data. The China‐SPV successfully forecasts realised volatility for the Shanghai Stock Exchange. It also serves as a ‘fear gauge’ in that it monitors daily movements of the SHCI in the same way that the VIX monitors the S&P 500 index (Whaley, 2009). The China‐SPV evidences an increasing relation with the US market in terms of the dynamic correlation of levels and changes with the VIX since 2004.     

Rafting the River: A Risk Management Expert System for Dynamic Problem Solving

Commercial project management systems focus on preproject planning and after-the-fact documentation, but not on the dynamic problem solving required in day-to-day project management. Yet the need for risk-oriented management is clear. To understand and control project risks, managers must be able to identify problems as they occur, immediately assess their downstream impacts, and plan a course of action. The Advanced Risk Management System (ARMS) is a prototype system built to address the issues of identifying, analyzing, prioritizing, monitoring, and controlling project risk. ARMS uses expert systems, data base management, and hypermedia technologies to capture and classify project schedule problems, to determine their semantic impacts to future activities, and to alert appropriate project personnel in advance of problem occurrence.     

The lay subsidies and the distribution of wealth in medieval England, 1275–1334

This article examines the evidence that between 1275 and 1334 the lay subsidies provide a yardstick with which to measure the English economy. It compares their evidence with the chronological and geographical pattern of wealth obtainable from the Statute Merchant records of debt and concludes that the main discrepancies can be explained by the progressive exclusion from the tax valuations of wool, coin, and credit. Accordingly, from c . 1300 the lay subsidies cannot be used as a guide to the distribution of wealth in England and they can offer only a limited comparison with the wealth revealed by the Tudor subsidies.     

Reexamining Masculinity,Femininity,and Gender Identity Scales

This research compares and contrasts three gender identity instruments, the Bem Sex Role Inventory (BSRI), the Personal Attributes Questionnaire (PAQ), and the Sexual Identity Scale (SIS), that have been used in previous investigations of various aspects of consumer behavior. Specifically, it examines the dimensionality and internal reliability of each scale, inter-scale correlations, and the relationship of each scale to biological sex. Results indicate that the gender identity scales consist of several dimensions beyond those typically interpreted as masculinity and femininity. The femininity factors emerging in the three scales tended to be highly correlated, and females scored higher than males on the femininity factors. However, the three masculinity factors were not correlated with one another, and were not as strongly associated with biological sex—females identified with typically masculine traits just as much as males. The implications of these results for using gender identity in consumer research are discussed, and future research opportunities are explored.     

Asymmetric corporate exposures to foreign exchange rate changes

Research examining firms' economic exposures to exchange rate movements has not differentiated periods of foreign currency appreciation and depreciation when estimating exposure coefficients. Recent theoretical developments regarding real options and pricing-to-market suggest corporate exposures may be asymmetric (i.e., the financial performance impact of a foreign currency appreciation may not be offset by the currency's depreciation). Our empirical analysis indicates that for the small percentage of U.S. manufacturing firms exposed to currency appreciations or depreciations, their exposures are asymmetric. © 1998 John Wiley & Sons, Ltd.     

Information-eliciting compensation schemes

This paper examines the implications of the ‘residence’ approach to taxing foreign source income such as employed by the United States. It is argued that, because the repatriation of earnings to the home country investor and not the earnings themselves are typically the source of tax liability, the foreign source income tax should affect foreign investment differently depending on the required transfers of funds within the firm.One implication of viewing the tax in this way is that in order to maximize after-tax profits, a firm should finance its foreign investment out of foreign earnings to the greatest extent possible. That is, a firm's required foreign return jumps at the point at which desired foreign investment just exhausts foreign earnings. This allows us to draw a distinction between ‘mature’ foreign operations, which are at any point in time financed at the margin by investing earnings (and perhaps also pay dividends to their parent firm in the home country), and ‘immature’ foreign affiliates, which rely on funding from their parents (and should not be paying dividends). It is noted that survey evidence on multinational firm behavior is consistent with this distinction. Direct investment data indicate that mature foreign operations probably account for nearly 90 percent of U.S. foreign direct investment.The discussion then turns to investment incentives. It is shown that the home country's rate of tax on foreign source income and the presence or absence of a foreign tax credit should be irrelevant to a mature foreign operations's investment and dividend decisions. This conclusion, which conflicts sharply with the conventional wisdom, follows because the home country tax acts as an unavoidable cost. New firms' investment decisions are, on the other hand, influenced by home country taxes.     

Two estimators for the apt model when factors are measured

Non-linear SUR and ITSUR techniques are proposed for the estimation of the APT and the CAPM when the factors are observed. These techniques estimate all of the parameters of the model simultaneously and directly impose the model's non-linear parameter restrictions.     

Non-market valuation of forest goods and services: Good practice guidelines

The European COST Action E45 on European Forest Externalities (EUROFOREX) participants developed a set of good practice guidelines for the non-market valuation of forests, elaborating on stated and revealed preference methodologies, as well as benefit transfer and meta-analytical procedures. This article presents a summary of the guidelines.     

The Impact of Company Pre-Listing Attributes on the Market Reaction to NYSE Listings

This study examines the market behavior of common stocks transferring from the NASDAQ stock market to the New York Stock Exchange from 1982 to 1989. Using event study methodology, the study tests the joint liquidity-signaling hypothesis that a stock's pre-listing liquidity and earnings per share (EPS) growth (a proxy for signaling) affect the market behavior around NYSE listings. The results show that the market responds more favorably to stocks with low liquidity and high signaling than to stocks with high liquidity and low signaling before listing. Stocks in the former group do not have an anomalous pattern of negative post-listing abnormal returns.