Junp-Diffusion Interest Rate Process: An Empirical Examination

We investigate a jump-diffusion process, which is a mixture of an O-U process used by Vasicek (1977) and a compound Poisson jump process, for the term structure of interest rates. We develop a methodology for estimating the jump-diffusion model and complete an empirical study in comparing the model with the Vasicek model, for the US money market interest rates. The results show that when the short-term interest rate is low, both models predict an upward sloping term structure, with the jump-diffusion model fitting the actual term structure quite well and the Vasicek model overestimating significantly. When the short-term interest rate is high, both models predict a downward sloping term structure, with the jump-diffusion model underestimating the actual term structure more significantly than the Vasicek model.     

Beyond the High‐Performance Paradigm: Exploring the Curvilinear Relationship between High‐Performance Work Systems and Organizational Performance in Taiwanese Manufacturing Firms

In this study, we explore the potential downside of the ‘high‐performance’ paradigm by examining the curvilinear relationship between high‐performance work systems (HPWS) and organizational performance and the moderating effects of the industry type. Using data from Taiwanese manufacturing firms, we find an inverted‐U pattern between HPWS and organizational performance in high‐technology firms (N = 74), and a linear relationship in traditional manufacturing firms (N = 86). These findings are consistent with the viewpoint of diminishing returns of HPWS and the contingency perspective. Theoretical and practical implications of our findings are also discussed.     

How accurate is the square-root-of-time rule in scaling tail risk: A global study

The square-root-of-time rule (SRTR) is popular in assessing multi-period VaR; however, it makes several unrealistic assumptions. We examine and reconcile different stylized factors in returns that contribute to the SRTR scaling distortions. In complementing the use of the variance ratio test, we propose a new intuitive subsampling-based test for the overall validity of the SRTR. The results indicate that serial dependence and heavy-tailedness may severely bias the applicability of SRTR, while jumps or volatility clustering may be less relevant. To mitigate the first-order effect from time dependence, we suggest a simple modified-SRTR for scaling tail risks. By examining 47 markets globally, we find the SRTR to be lenient, in that it generally yields downward-biased 10-day and 30-day VaRs, particularly in Eastern Europe, Central-South America, and the Asia Pacific. Nevertheless, accommodating the dependence correction is a notable improvement over the traditional SRTR.     

The reputation effect of venture capital

The main purpose of this paper to examine how the reputation effect of venture capital (VC) is associated with the initial return and ex-post performance of its invested IPO firms. In this paper, we use 267 Taiwanese IPO firms in 1994–2007 periods and find that VC-backed firms outperform non-VC-backed firms in terms of ex-post equity market-to-book ratio, ROA and R&D expenditure ratio. For those VC-backed IPOs, reputable VC-backed firms outperform mediocre VC-backed ones. Moreover, among the four proxies of VC reputation, the market share with respect to total IPO proceeds is most promising in explaining IPO firms’ ex-post performance. The overall result confirms the reputation effect associated with VC.     

The happy story of small business financing

We examine two data sets, one from the UK (n = 15,750) and one from the US (n = 3239), to show that SME financial behaviour demonstrates substantial financial contentment, or ‘happiness’. We find fewer than 10% of the UK firms seek significant growth and only 1.32% of US firms list a shortage of capital other than working capital as a problem. Financial performance indicators (growth, return on assets, profit margin) were not found to be determinants of SME financing activities, as might be expected in a ‘rational’ risk–return environment. Younger and less educated SME owners more actively use external financing – even though more education reduces the fear of loan denial – while older and more educated (‘wiser’) SME owners are found to be being less likely to seek or use external financing. The contentment hypothesis for SME financing also extends to high-growth firms in that we show that they participate more in the loan markets than low-growth firms. By way of contrast to the finance gap hypothesis, the contentment hypothesis observes the importance of social networks (connections) [for finance] and confirms the ‘connections – happiness’ linkage in the literature on happiness while doubting the theoretical suitability of Jensen and Meckling [Jensen, M., Meckling, W., 1976. Theory of the firm: Managerial behavior, agency costs, and ownership structure. Journal of Financial Economics 3, 305–360.] base-case analysis for SMEs.     

Export quotas versus export tariffs in the presence of domestic monopoly

The purpose of this paper is to show that export quotas and export tariffs are different in their economic effects when there is domestic monopoly. In the presence of domestic monopoly, an export quota may not reduce the domestic price of the exportable good, whereas an export tariff will always reduce it. This is true whether the country concerned is a small country or a large country.     

Advancement intentions and job attitudes – a study on the career setting of high‐tech engineers in Taiwan

Career ladders are built up on the premise of employees' interest in career mobility. The system, however, may not have the desired motivational impact when employees are hesitant or undecided to pursue them. In this paper, career issues in terms of the high‐tech environment in Taiwan were explored. The relationships between engineering career choices and job attitudes were quantified. The results confirm that engineers with clear advancement aspirations in either technical or general management careers offered by organizations have better job attitudes than engineers without clear aspirations. The finding appears to be more advancement vs. non‐advancement, and less technical vs. managerial. Adjustments for two types of engineers who hesitate to show their advancement aspirations are given. Other contextual implications are also discussed.     

Individual initiative,skill variety,and creativity: the moderating role of knowledge specificity and creative resources

This study explores the effects of individual initiative and skill variety on individual creativity under the contexts of knowledge specificity and creative resources. Regression analysis was used to test the hypotheses in a sample of 245 employees of the Bureau of National Health Insurance in Taiwan. The results show that individual initiative and skill variety positively affect creativity. Knowledge specificity and creative resources play moderating roles in affecting the relationships. High knowledge specificity complements the deficiency of the low initiative, while abundant creative resources strengthen the effect of the high initiative in performing creativity.     

The Effect of Confucian Work Ethics on Learning About Science and Technology Knowledge and Morality

While Chinese societies often appear centralized and traditional, presumably impeding technology and innovation, these values may simply reflect the negative-leaning poles of Confucianism. This study proposes a Confucian work ethic dimension that stresses justified tradition. In combination with Western innovative cultures, this Chinese style might facilitate learning about knowledge and morality in an interaction seemingly unique to the Chinese science and technology sector. Specifically, contrary to the Western style that tolerates conflict to achieve harmony, Confucian work ethics – an Eastern way – prefer to respect hierarchy to attain harmony. Samples from the multinational corporations in Shanghai and privately owned enterprises in Hsinchu of Taiwan represent two levels of Westernization. The findings reveal that the two types of cultures almost equally influence the facilitation of learning about morality, whereas the Western way more effectively teaches about professional knowledge and the Eastern way more effectively teaches general knowledge. In addition, though the samples from both locations enjoy positive advantages from their combined cultures, Shanghai appears more Westernized than Taiwan, and Taiwan benefits more from Confucian work ethics and a higher level of quality learning, particularly with regard to morality. This result may suggest the benefits of Confucius’ ideas, if they are not used excessively to emphasize the negative aspects.