Commercial loan borrower’s optimal borrowing and prepayment decisions under uncertainty

We model a firm which faces continuing stochastic money needs and fluctuating interest rates. The borrower minimizes the expected present value of the sum of interest payments and prepayment penalty costs subject to a liquidity constraint. Since contingent opportunities are absent from the model, we find (i) the firm should not inventory cash, (ii) the firm should prepay the maximum amount possible if it prepays at all.     

Repatriation: what do we know and where do we go from here

Abstract

The unparalleled growth in multinational corporations in recent decades has witnessed a commensurate rise in the deployment of expatriates to foreign subsidiaries and their subsequent repatriation. However, despite considerable progress in our understanding of the expatriation phase of international assignments, the literature on repatriation remains fragmented and incomplete. Plagued with problematic re-adjustments, high turnover rates, and a range of other obstacles, there is an urgent need for an improved understanding of repatriation. This study systematically reviews the repatriation literature over the previous four decades, identifies its major themes, gaps and limitations, and provides a framework that consolidates the literature and prompts future work in several important new directions.     

The role of technology development in national competitiveness — Evidence from Southeast Asian countries

Technology development (TD) plays a key role in national competitiveness (NC) by giving a country a competitive edge in our age of information. Lots of researchers have focused on specific areas of TD, such as technology transfer, technology acquisition, and technology management, in most of developed countries. To our knowledge, however, they have seldom discussed the influence of TD on other categories of NC and vice-versa in developing and less-developed countries. In this study, we examine the influences of each category of NC of TD. Southeast Asian countries are divided into three patterns by means of a cluster analysis. The results show that Singapore, Malaysia, Thailand, and Laos have the same rank on measures of TD and NC. Singapore, Thailand, the Philippines, and Laos have the same rank on measures of TD and Economic Performance. Malaysia and Thailand have the same rank on measures of TD and Management Capability. In contrast, the TD performance of Southeast Asian countries is worse than the human resources performance because of their insufficient human resources assigned to R&D. Furthermore, based on a strategic grid for comparing the relative performance, four types of country and their achievements are discussed. Singapore outperforms all Southeast Asian countries. Malaysia and Thailand have to leverage their TD resources in order to enhance their NC. The other countries are still hindered in developing the determinants of their NC. Finally, our study offers a path to the identification of how countries of each pattern should supplement their insufficient capabilities, and what are the most important issues that need to be addressed in retuning their TD policies in order to enhance their NC.     

Dynamic hedging with futures: A copula‐based GARCH model

In a number of earlier studies it has been demonstrated that the traditional regression‐based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this study the authors propose a class of new copula‐based GARCH models for the estimation of the optimal hedge ratio and compare their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GARCH, and the dynamic conditional correlation (DCC) GARCH models. With regard to the reduction of variance in the returns of hedged portfolios, the empirical results show that in both the in‐sample and out‐of‐sample tests, with full flexibility in the distribution specifications, the copula‐based GARCH models perform more effectively than other dynamic hedging models. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1095–1116, 2008     

On the Nonlinear Specifications of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets

This paper presents a coherent nonlinear interest rate model that incorporates the dynamics of the error correction specification into the traditional term structure model. The joint tests based on six Euro-Currency rates indicate that the linear specification should be rejected. The estimated equation suggests that the linear components—the change of the long-term interest rate and the error correcting term are highly significant. The nonlinear components involving the higher order of the independent variables, the cross products, the lagged error squares, and/or the ARCH effect also present significant explanatory power for predicting short-term Euro-Currency rate changes, confirming the non-linear specifications.     

Determining an Optimal Principal Limit Factor for Reverse Mortgages under Economics-Based Models

The Journal of Real Estate Finance and Economics - Determining an optimal principal limit factor (PLF) is important for a reverse mortgage (RM) contract because it mainly influences the development...     

The mediator effects of imagination between learning environment and academic performance: a comparison between science and engineering majors

The purpose of the present study was twofold: (1) to examine the mediator effects of imagination between learning environment and academic performance, and (2) to compare differences between the environment–imagination–performance structural models of science and engineering majors. A survey was administered at eight universities across different regions of Taiwan. The participants in this study were divided into two groups. The first group consisted of 529 science majors, whereas the second group consisted of 523 engineering majors. A confirmatory factor analysis was conducted to confirm the structure of the measures employed in this study. A structural equation modeling was used to test all the hypotheses proposed. With respect to the science group, our results showed that, through the mediation of imagination, learning resources had a dominant impact on academic performance, whereas both human aggregate and organizational measure had moderate influences. In contrast, among the engineering group, both human aggregate and social climate had relatively strong effects on academic performance, whereas both learning resources and organizational measure had mild influence. These findings seem promising enough to warrant further inquiry. They also provide insights for fields in which imaginative talent and creative performance are essential. Finally, practical applications of the present study were suggested, limitations were acknowledged, and future research was discussed.     

Intraday time-series momentum: Evidence from China

This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks.     

On the Time-Series Properties of Real Estate Investment Trust Betas

The relation between real estate investment trust (REIT) returns and stock market returns is of significant importance to investors, practitioners and academics. The temporal properties of this relationship have a critical impact on the usefulness of REIT risk estimates and portfolio allocations to this asset class. Recent studies have suggested a decline in the market betas of equity real estate investment trusts (EREITs). This study applies a rigorous statistical test of the hypothesis that the market betas of EREITs have remained unchanged during the 1972 through 2002 time period. There is weak evidence of a downward trend in EREIT betas using a single-factor model; however, the hypothesis is not rejected when using a three-factor model.