Time-series momentum in China's commodity futures market

This study examines the time-series momentum in China's commodity futures market. We find that a time-series momentum strategy outperforms classical passive long and cross-sectional momentum strategies in terms of the Sharpe ratio, risk-adjusted excess returns, and cumulative returns. The time-series momentum strategy with a 1-month look-back period and a 1-month holding period exhibits the best performance. We observe clear time-series momentum patterns and find that the time-series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.     

Noncompliance with non‐accounting securities regulations and GAAP violations

Using enforcement actions by the Securities and Exchange Commission (SEC) as a proxy for noncompliance with securities regulations, we examine whether a firm's compliance with non‐accounting laws and regulations is associated with GAAP violations. We find that firms that violate securities regulations related to non‐accounting issues are more likely to report accounting restatements than control firms that comply with securities regulations. We also find that the difference between the two groups is significant only for the periods subsequent to the start of the noncompliance period but not for periods prior to this date. Our results highlight the interrelation between the accounting and compliance systems, and suggest that managers who are non‐compliant with non‐accounting regulations are also more likely to be non‐compliant with accounting rules.     

What are the predictors of nonprofit association members' supportive behaviors?

This study investigates the factors of members' supportive behavioral intentions to donate and recommend membership to others in the context of engineering professional membership associations. Using data collected from 3,464 members across three engineering professional membership associations, this study found that age, past donation experience, personal and professional benefits, gender, income, and longevity in the field were significant factors to determine giving intention, while personal benefits, professional benefits, past behaviors (donation and volunteering), and longevity in the field were predictors of membership recommendation intentions of engineering professionals.     

Predicting hospitality financial distress with ensemble models: the case of US hotels,restaurants, and amusement and recreation

The importance of industry-specific characteristics in financial distress is widely acknowledged, but often overlooked by researchers studying the hospitality industry. The primary objective of this paper is to investigate the key determinants of US hospitality firms’ financial distress between 1988 and 2010 using ensemble models. The data used in this study come from the Compustat database produced by Standard and Poor’s Institutional Market Services. The data were collected from three hospitality-related segments, 5812 eating Places, 7011 hotels and motels, 7990 amusement and recreation services not elsewhere classified according to Standard Industrial Classification. In the restaurant-stacking model, debt-to-equity ratio, growth in owners’ equity, net profit margin, and stock-price trend were chosen as financial distress predictors. In the hotel stacking model, debt-to-equity ratio, stock-price trend, and account receivable turnover were selected as financial distress predictors. In the amusement and recreation-stacking model, debt-to-equity ratio, growth in owners’ equity, net profit margin, and management practice were defined as significant financial distress predictors. Although many researchers have stressed that an ensemble method, which combines the characteristics and advantages of particular models, may improve the performance or interpretability of predictive methods, few hospitality financial distress prediction studies employed ensemble methods. This study demonstrates its originality in this perspective.     

Antecedents of Adopting Corporate Environmental Responsibility and Green Practices

This paper examines the antecedents of organizational commitment for adopting corporate environmental responsibility and green practices in the case of the logistics industry in South Korea. Seven hundred and eighty employees and top management from logistics companies were sampled. The data were analyzed using factor analysis, structural equation modeling techniques, and one-way analysis of variance. The results showed that social expectations, organizational support, and stakeholder pressure were the important antecedents for the adoption of corporate environmental responsibility and green practices. In the path analysis, social expectations had the greatest impact on both stakeholder pressure and green practice adoption. Moreover, we found that the higher the job titles were, the more willing they were to adopt green practices. This indicated that the current top management of Korean logistics companies is well aware of being mandated to make a commitment to corporate environmental responsibility and green practices.     

The effect of core menu attribute,green menu background,and gender on consumers’ attitudes toward korean dishes

Given the healthy eating trends and the growing popularity of Asian cuisines in the USA, this research investigates the interaction effect of gender and two types of health cues, namely core menu attribute (perceived healthiness-chicken vs. beef) and menu background color (green vs. white) on consumer attitudes toward Korean dishes. Our findings indicate that pairing a chicken dish with a green menu background leads to highly favorable attitudes among females. Males, on the other hand, exhibit similar attitudes toward chicken and beef dishes with a green background. Such gender differences are attenuated with a white (neutral) menu background.     

Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market

We examine the influence of trading by heterogeneous investors on information asymmetry in the Korean stock market, which includes domestic and foreign institutional investors and individual investors. In particular, we examine the relationship between the daily trading volume and the level of information asymmetry reflected in the stock price. The results reveal that high-volume daily trading by domestic institutional and individual investors increases the degree of information asymmetry in the short term, but is more evident for individual investors. Foreign institutional investors tend to mitigate the information asymmetry. Finally, our findings are robust to an alternative measure of investor trading.     

Environmental management systems: an alternative marketing strategy for sustainability

The purpose of the paper is to shed light on the extent to which environmental management systems such as ISO 14000 standards influence marketing efforts. By examining firms who prefer ISO 14000 standards against those who do not, this research provides a platform for understanding their significance when applied to marketing and seeks to improve environmental marketing strategies. The study empirically tests whether statistically significant differences exist between the two groups on a set of marketing variables. The study uses hierarchical clustering Ward’s method and measurement using squared Euclidean distances to determine the two groups. Discriminant analysis (DA) was used to classify each of the observations into selected groups; and test differences between these groups. Stepwise DA identified customer satisfaction as the best marketing predictor. This research indicates that green market-driven solutions for responsible consumption work best when it is consumer-driven, and consumers derive satisfaction from those results. The results adopts the view that investing in IS0 14000 standards is also highly beneficial for the wider applicability of developing strategies that would help firms make better decisions in marketing.     

How changes in global liquidity affect dynamics of banks’ leverage: A case in Hong Kong

This paper examines how abundant global liquidity could influence the adjustment of banks’ leverage. Using banks in Hong Kong as an example, we find that the global liquidity effect is significant, and that mean reversion of banks’ leverage may under certain circumstances be more than offset by abundant global liquidity. Furthermore, we find that changes in global liquidity not only affect the level of leverage adjustment but also the adjustment speed of banks’ leverage.     

Is Foreign Exchange Risk Priced in Bank Loan Spreads?

Review of Quantitative Finance and Accounting - This study investigates the effects of foreign exchange (FX) exposure on bank loan spreads. Private bank loans are a major form of corporate...