Does Branch Religiosity Influence Bank Risk‐Taking?

Using branch‐level data on public and private US banking institutions, we investigate the importance of branch religiosity in shaping bank risk‐taking behavior. Our results show robust evidence that branch religiosity is negatively related to bank risk‐taking. This effect persists after controlling for several bank‐level and county‐level variables that might correlate with religiosity. Moreover, this result is robust to controlling for headquarter religiosity, suggesting that the effect of branch religiosity is additive and not washed out by headquarter religiosity. Overall, our findings document that headquarter religiosity does not capture the full effect of religiosity on bank behavior, as claimed by previous research, but that the religiosity of the geographic area in which the bank operates significantly influences bank behavior.     

The option CAPM and the performance of hedge funds

We evaluate the investment performance of hedge funds using an asset pricing model that is characterized by a piecewise-linear stochastic discount factor, and which we estimate using the generalized method of moments by minimizing the Hansen–Jagannathan distance. Our results show that, once non-linearities and public information are taken into account, there is only evidence of positive performance for the overall hedge fund index, equity-market neutral strategy and the global macro strategy.     

Nonlinear exchange rate predictability

We study whether the nonlinear behavior of the real exchange rate can help us account for the lack of predictability of the nominal exchange rate. We construct a smooth nonlinear error-correction model that allows us to test the hypotheses of nonlinear predictability of the nominal exchange rate and nonlinear behavior on the real exchange rate in the context of a fully specified cointegrated system. Using a panel of 19 countries and three numeraires, we find evidence of nonlinear predictability of the nominal exchange rate and of nonlinear mean reversion of the real exchange rate. Out-of-sample Theil’s U -statistics show a higher forecast precision of the nonlinear model than the one obtained with a random walk specification. Although the robustness of the out-of-sample results over different forecast windows is somewhat limited, we are able to obtain significant predictability gains—from a parsimonious structural model with PPP fundamentals—even at short-run horizons.     

Ownership Structure and Accounting Method Choice: A Study of European Real Estate Companies

Companies can under IAS 40 Investment Properties choose between the fair value and the cost models. The fair value model arguably results in more relevant information but is also more costly to use. Based on studies suggesting that financial reports are a more important medium for communication with investors if ownership is dispersed, we hypothesize that the use of the fair value model is positively associated with ownership dispersion. We study European Real Estate firms and find support for this prediction. We also find a positive association between trade of shares and ownership dispersion, supporting the view that financial statements are less important if ownership concentration is high. Finally, we examine whether the choice depends on the identity of large owners. Companies with a financial company as the largest owner are somewhat more likely to choose the fair value model. Overall, the results indicate that accounting rules facilitating optional accounting policies have benefits.     

Enhancing Singapore travel agencies' customer loyalty: an empirical investigation of customers' behavioural intentions and zones of tolerance

The services marketing literature focuses on the measurement of service quality and its impact and consequences on businesses. Set in the context of the travel retail agency in Singapore, this study focuses on the relationship between service quality and favourable behavioural intentions. The findings revealed that improving service quality can increase favourable behavioural intentions. However, service improvements that exceed customers' minimum‐service threshold and those that exceed customers' desired‐service level were found to have mixed effect on behavioural intentions. Hence travel agencies must carefully determine the behavioural intentions they wish to foster amongst their various customers and develop service quality strategies in line with the findings of this study. Copyright © 2007 John Wiley & Sons, Ltd.