Load and no-load mutual fund dynamics during the 1987 market crash: A stochastic dominance analysis

Using a large sample of equity mutual fund returns, we compare performance of load and no-load funds during the 1987 crash. Differences in return distributions, particularly in the higher moments when the market was under stress, suggest a greater use of portfolio insurance by no-load fund managers. Using stochastic dominance, we find that load and no-load funds performed equally well before the crash. No-load returns dominated load fund returns during the crash. Load fund returns dominate after the crash. Over the entire month, no-load funds dominate. We attribute this to investor behavior motivated by the lack of a front-end load.     

Innovation alignment and project network dynamics: An integrative model for change

Innovation research has predominantly focused on hierarchically organized firms competing within single markets. Recently, however, researchers have debated over whether the increasing use of project networks within and across industries promotes or stifles innovation. This paper discusses a model based on crossnational diffusion data from three technological innovations in three‐dimensional computer‐aided design (3D CAD) and related implementation data from 82 firms. From the data we induce a set of constructs that form the basis of a two‐stage model for understanding innovation in project networks. In the first stage of the model the alignment of an innovation to the existing allocation of work in a project network is ascertained. In the second stage, the implementation success and diffusion outcomes for innovations misaligned with the allocation of work are governed by the relational stability, accrual of interests, boundary permeability, and existence of an agent for project network change. In developing this integrative, two‐stage model we resolve the contradiction in the academic literature regarding the degree to which project network dynamics can promote or stifle innovation.     

The effects of filled waiting time and service provider control over the delay on evaluations of service

This article reports on an experiment that investigated the effects of a delay, perceived control over a delay, and the extent to which time was filled during the delay on various performance evaluations in a service encounter. It was determined that delays lower customers’ overall evaluations of service and of the tangible and reliability attributes of the service in particular. When delayed, performance evaluations were affected by whether the service provider was perceived to have control over the delay and whether the customer’s waiting time was filled. Overall performance evaluations and performance evaluations of tangibility, reliability, and responsiveness were highest when perceived service provider control was low and the waiting customer’s time was filled. These evaluations were lowest when perceived service provider control was high and waiting time was not filled. She received her Ph.D. from the University of British Columbia.     

A simple portfolio allocation model of financial wealth

This paper introduces a simple but highly flexible portfolio allocation model which provides a convenient framework for testing and imposing considerable structure on the data. The model is estimated with Australian data for four financial assets, fixed deposits, savings bank deposits, building society deposits and holdings of a class of government bonds. In contrast to previous findings, interest rate coefficients are estimated precisely and indicate quite a high degree of substitutability.     

Some remarks on measurement errors and the identification of panel data models*

We demonstrate that despite the common worry about the possible correlations between the unobserved individual effects and the explanatory variables in panel data models the likelihood approach can provide a unified framework towards the study of the identification of a panel data model subject to measurement errors. In fact, it can also serve as a basis for deriving efficient estimation methods.     

Econometric modeling of urban and other substate areas: An analysis of alternative methodologies

Questions raised by J.R. Meyer and J.W. Millimar on the appropriate level of sophistication in regional econometric models are addressed by comparing the modeling methodologies for each of six diverse substate areas. The methodologies range from aggregated recursive structures driven by an ARIMA time-series model of export-base employment to highly detailed simultaneous equation models. It is found that recursive model accuracy is relatively insensitive to forecast accuracy of the model-driving variable and simultaneous models are more accurate than recursive ones, but relative accuracies of aggregated and detailed simultaneous models are less clear. Population and personal income estimates are improved by disaggregation, but with respect to employment, there is a trade-off in model structure between average employment prediction accuracy over a number of time periods and turning point prediction accuracy.