A Better Model? An Empirical Investigation of the Fama–French Five‐factor Model in Australia

Recently, Fama and French ( 2015a ) propose a five‐factor model by adding profitability and investment factors to their three‐factor model. This model outperforms the three‐factor model previously proposed by Fama and French ( 1993 ). Using an extensive sample over the 1982–2013 period, we investigate the performance of the five‐factor model in pricing Australian equities. We find that the five‐factor model is able to explain more asset pricing anomalies than a range of competing asset pricing models, which supports the superiority of the five‐factor model. We also find that despite the results documented by Fama and French ( 2015a ), the book‐to‐market factor retains its explanatory power in the presence of the investment and profitability factors. Our results are robust to alternative factor definitions and the formation of test assets. The study provides a strong out‐of‐sample test of the model, adding to the comparative evidence across international equity markets.     

Telework, human resource flexibility and firm performance

The results of a survey of 156 Spanish firms indicate that HR development practices are positively associated to the intensity of telework adoption and they moderate the relationship between telework and firm performance. The positive moderator effect of HR development practices indicates that their implementation is necessary not only to facilitate telework adoption but also to enhance the otherwise marginal contribution of telework at organisational level.     

不断向外：西班牙经济的活力所在

2004年，西班牙的经济开放性指数高于意大利（50．2％）和法国（51.7％），达到了55．6％，这表明西班牙已经建立了高度外向型的经济体系。然而在1980年西班牙的这一指数只有32％。西班牙仅用20多年的时间就完成了这个转变，不能不说是个奇迹。     

Picking Your Tick: Toward a New Theory of Stock Splits

Thanks to stock splits, the average nominal share price has been amazingly stable in the United States. The average NYSE share price has fluctuated within the $30 to $40 range since the late 1930s—a period in which most consumer prices have increased by a factor of 10 and the S&P index has risen over 1,500%. Why has this nominal price been so stable when every other price has increased so much? And why do typical stock prices vary so greatly among different countries? For example, the median nominal stock price ranges from about $2 in Hong Kong and $7 in the U.K., to $103 in France and over $600 in Switzerland. The author's recent research suggests that typical stock prices vary across countries in ways that reflect primarily differences in how markets in each country set their “tick” rules—the rules governing the minimum price variation that can occur in a stock (in the U.S., for example, the tick was recently reduced from $1/8 to $1/16). Companies, on average, appear to respond to the resulting differences in tick size by adjusting the number of their shares outstanding so that the tick size relative to the nominal share price remains relatively constant. In fact, a tick size equal to about 25 basis points of the median share price “appears to be a universal norm” across global markets. This article explores how and why a company might wish to affect the relative tick size for its stock by splitting—and, in so doing, it suggests a “new theory” of stock splits. The theory also suggests that the optimal tick size for any given company will vary according to its size, visibility, and riskiness.     

Lean production and supplier relations: a survey of practices in the Aragonese automotive industry

This paper analyzes the main results of a survey to 28 automotive suppliers in the Spanish region of Aragón. It has been found in a regression analysis that the rotation of tasks and teamworking are positively correlated with the training and the use of modular components. Nearly half of the companies cooperate with customers, suppliers, and technological centers to improve their production processes but only two companies cooperate with their customers in component development and design which indicates an underinvolvement of the surveyed companies with the automotive manufacturers. The companies are much more integrated with the automakers in the delivery process, since more than half of the companies have daily deliveries and directly to the assembly line of the automaker.     

Exchange Rate Dynamics in a Multilateral Target Zone

This paper presents a model of exchange rate behaviour in a multilateral target zone. The model produces new economic insights beyond the well-known bilateral model of Krugman (1991), which is obtained as a special case. The paper also introduces a new class of stochastic processes in economics, namely multidimensional reflected diffusion processes.
Two main features characterize the economics of exchange rates in a multilateral target zone. (i) The restrictions on interventions imposed by cross-currency constraints: when one country changes its money supply, say because its exchange rate with a second country has hit its band, all exchange rates involving the currency of that particular country will be affected, regardless of their position within their respective bands. (ii) Cooperation in sharing the intervention burden: in general, the exchange rate between any two countries will depend on the fundamentals of third countries in a multilateral target zone. This is because if the monetary authorities intervene together, a shock in the fundamentals of any country will induce a revision of the expectation of future interventions of other countries.
The model reverts the counterfactual predictions of the bilateral model that the exchange rate steady-state density should be U-shaped and that its volatility should be a decreasing function of the distance of the exchange rate to the limits of its band. Thus, accounting for the multilateral feature of real-world target zones allows us to reconcile target zone models with the most salient empirical features of exchange rate behaviour.     

Ethical Standards for Stockbrokers: Fiduciary or Suitability?

What are the ethical obligations of the sellers of financial products to their customers? Stockbrokers in the U.S. have a legal and ethical requirement to recommend only “suitable” investments to their customers. This is a fairly weak standard. Currently, there are proposals to raise the standard to a fiduciary one in which the recommendations would have to be in the best interests of the clients. Brokers sell solutions to financial problems. Similar to an auto mechanic or a doctor, the product often consists of both the professional advice and its implementation. There are numerous conflicts of interest between brokerage firms and their customers in that the products that pay the highest commissions may not be the best ones for the customers. The societal perspective adds complications, however. Society depends on modern financial markets to raise capital for productive enterprises and to spread risk. Issuers of financial products need distribution channels for their products just like the producers of any other products. Commissions create powerful incentives for the distribution channels, but at the same time produce conflicts of interest—a type of ethical pollution. Just as our society tolerates some pollution as a byproduct of other useful activities, it may be useful to tolerate some of these financial conflicts of interest. The nature of the relationship should govern the ethical standard. Those selling advice, regardless of how they label themselves, should adhere to a best-interest fiduciary standard. More limited relationships should be limited to the mandate involved in the relationship.     

Environmental rationalities and the development state in East Asia: Prospects for a sustainability transition

This paper reviews what is known about recent trends in environmental governance among the newly industrializing countries of East Asia and the implications of these developments for a sustainability transition within the region. The conceptual starting point for the review is research that examines sustainability transitions within the framework of a multi-level perspective on system innovation. One of the challenges presented by this framework is that of understanding how existing political economies and governance structures promote stability or change in socio-technical regimes. By socio-technical regimes we mean the predominant organizational, social and technological configurations through which societal needs are constituted and met. In the case of the rapidly industrializing and urbanizing economies of East Asia, the trajectory of socio-technical regimes will have profound consequences for local, regional and global environments. Our review of trends in environmental governance as they relate to socio-technical regimes within the region traces a pattern of initial efforts to strengthen environmental regulatory regimes very much along the lines of the policy models of OECD economies. The degree to which these initial efforts have taken root varies from country to country in the region. What is beginning to emerge in several countries within the region, however, are a variety of policy and institutional innovations that hold promise for opening up spaces for change in socio-technical regimes, and for creating opportunities for new pathways of industrialization and urbanization to take hold that are less pollution, materials and energy-intensive.