Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries

When analysing the behavior of investors, the emphasis is usually on positive feedback and herding behavior, and the existing literature abounds with studies on the domestic strategy of mutual funds or on their impact. Due to the advantages in terms of the data, many studies investigate US data. However, with the increased flows of capital into emerging markets, studying the behavior of international mutual funds in emerging markets has become more and more important. Nevertheless, studies involving emerging markets are relatively rare. This study examines whether the positive feedback effect and herding behavior exist in Asian markets based on mutual fund data covering the period from 1996 to 2004. The long period enables us to test the sensitivities under the following four conditions, namely the capital volatility (volatile vs. stable), the degree of suffering during the Asian crisis (more suffering vs. less suffering), and the timing of the Asian crisis (pre-, during, and post-crisis), using the exchange rate regime. It was found in this study that mutual fund inflows into the Asian market were attracted by positive stock returns and currency appreciation. Furthermore, it was found that the positive feedback effect and herding behavior did exist in the Asian markets. However, the extent of the above behavior is not the same under different conditions.     

Quarterly Earnings Announcements and Market Risk Adjustments

We examine (1) whether there is a shift in beta for individual securities around quarterly earnings announcements, and (2) whether these beta changes relate to certain characteristics of the firms. We find a statistically significant upward (downward) beta shift during the two-day earnings announcement period for 25 per cent (9 per cent) of a sample of 195 US firms. We also find that the beta shift at the time of the earnings announcement is significantly higher for small firms (i.e., more precise announcements).     

Gay men's identity attempt pathway and its implication on consumption

This paper integrates sociological and psychological perspectives to examine gay consumption practices in relation to the dynamics of gay identity development. Specifically, this paper investigates how internal motivational factors underlying gay identity formation and external social influence work in concert to affect gay identity attempts throughout the gay identity development process. The findings of this study reveal that the consumption patterns of gay men are continuously evolving and correspond to attempts at discovering, disclosing, constructing, maintaining, (re)constructing, suppressing, and/or disposing the gay social identity. Precipitated by individual differences, two divergent pathways—the linear progression and pendular progression pathways—of identity attempts emerged from the gay identity development process. The data used in this study were collected through in‐depth interviews with gay men in Taiwan, where homosexuality is traditionally stigmatized but is gradually gaining acceptance with the global emergence and spread of the gay subculture. © 2011 Wiley Periodicals, Inc.     

Expiration‐day effects on individual stocks and the overall market: Evidence from Taiwan

On expiration days of the MSCI‐TW index futures, the Taiwan spot market is associated with abnormally large volume and high index volatility, along with mild index reversal. The effects concentrate only in the last five minutes of expiration days and appear to be strengthened by the adoption a call auction closing procedure by the Taiwan Stock Exchange. Individual index stocks show high volatility and strong tendency of price reversal, with large‐ and small‐cap stocks being affected more than the medium‐sized stocks. The highest‐weighted stocks exhibit excessive volume and volatility, which is disproportionate to the impact on all other index stocks, indicating that the expiration‐day effects may have been amplified by the attempt of price manipulation using large‐cap stocks. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:920–945, 2009     

Price discovery in the options markets: An application of put‐call parity

This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put‐call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefits of reducing model risk and alleviating the burden of volatility estimation. Consistent with the trading‐cost hypothesis, a dominant tendency is found for futures and a subordinate but non‐trivial price discovery from options. The relative weight of options price discovery is sensitive to the methodology employed as the means of inferring the option‐implicit spot price. The empirical evidence suggests that the information contained in the PCP‐implied spot encompasses that provided by the Black‐Scholes‐implied spot. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:354– 375, 2008     

Managers,Workers, and Authority

In this paper, I examine the case made by Christopher McMahon for managerial democracy. Specifically, I examine the extent to which McMahon’s account is able to address a series of objections against the case for managerial democracy as articulated by Thomas Christiano. Christiano articulates two sets of objections. First, Christiano argues that McMahon does not succeed in ruling out the possibility that managerial authority is best understood as promissory in its basis, in which case there is no presumption in favor of its democratic exercise. Second, Christiano raises a series of objections to the effect that even if we accept McMahon’s account of the nature of managerial authority, the conclusion for the democratic exercise of that authority by workers at the level of individual economic enterprises does not follow. In the end, I argue that McMahon’s account contains the resources to address these objections if one adopts a specific view about the moral limits to relationships that involve the submission of the will on the part of one person to another. Adoption of this view, however, appears to come at the expense of what I take to be the account’s commitment to liberalism. As such, what I understand this paper to reflect more generally is the apparent difficulty for liberals in arguing that there is something inherently morally troubling about capitalist work relations.     

The moderating effects of market orientation and launch proficiency on the product advantage-performance relationship

The relationship between product advantage and new product performance has been identified in prior research and cannot be overlooked. However, the moderators between the two constructs have received little attention. This study examines how market orientation and launch proficiency exert contingent influences on the product advantage-performance relationship. Prior research indicates that new product performance is a multi-dimensional concept constituted by different types of performance, yet the way product advantage and its moderators influence certain types of product performance has not been investigated. This study examines the same issues under different dimensions of new product performance. A total of 112 Taiwanese biotechnology firms form the analytical sample. Two interesting findings are revealed. First, product advantage is significantly and positively related to market performance, but has no significant influence on financial performance. Second, market orientation and launch proficiency in tactics indeed moderate the relationship between product advantage and new product performance, either as a whole or in respect to different types of product performance. Obviously, these findings contribute detailed evidence to the theoretical nexus between product advantage and new product performance.     

Strategic planning of optimal resource allocation in response to global financial crisis – a study of international tourist hotels

This study is principally designed to examine the changes in the efficiency, effective resource allocation and future operation strategies of Taiwan's international tourist hotel in global economic downturn. At first, we set up critical input and output factors and construct an assessment model using Data Envelopment Analysis (DEA) for analysis of relative efficiency. Further, we apply an allocative efficiency model for additional considerations of each input cost and analyse proper and effective resource allocation. Finally, there are significant changes in overall efficiency of international tourist hotels under global financial crisis. We can also reach an effective allocation of the overall resources. In such cases, lowering cost has become a key issue for sustainable operation of international tourist hotel. Finally, the greatest contribution of this study is to further classify the competitiveness and optimal cost allocation of Taiwan's international tourist hotels into seven categories based on the study results and propose strategic planning of future operations for hotel administrators’ reference in making improvements in the future.     

Examining the Relationships among Motivation,Service Quality and Loyalty: The case of the National Museum of Natural Science

This study explores causal relationships between push and pull motivations, perceptions of service quality and loyalty intention, and examines the moderating role of membership status in the National Museum of Natural Science, the largest museum in Taiwan. Data were collected from 405 paid admission visitors, with a quota and systematic sampling, from two stages of pre- and post-visit corresponding with two questionnaires. The results demonstrate that push and pull motivations impact on service quality perceptions, which in turn influence museum loyalty; the effect of pull motivation on service quality perceptions in the nonmember group was stronger than in the member group; the effect of service quality perceptions on loyalty in the member group was stronger than in the nonmember group. Museum managers could tailor and advertise existing museum products and services to different types of visitors; assuring the museum's continued operation and success.     

Intra‐industry bankruptcy contagion: Evidence from the pricing of industry recovery rates

How does bankruptcy contagion propagate among industry peers? We study the debt recovery channel of industry contagion by examining whether the cost of a company's debt is affected by the observed recovery rates of its bankrupt industry peers. Our results show that lower industry recovery rates are associated with higher loan spreads, but only when the contracts were originated during industry bankruptcy waves. Consistent with the debt recovery channel of industry contagion, we find that the negative effects of industry recovery rates are significantly stronger under situations where the effect is expected to be more salient.