Quality analysis of a categorical response with different important considerations

Most quality improvement or quality analysis frequently focused on the issue of the quantitative quality response. The issue of addressing a qualitative or a categorical quality response is seldom mentioned. Until now, only a few studies addressed the parameter optimization for achieving quality improvement for a categorical response. However, the weight effect for different categorical level of response cannot be included into their analysis and it will limit the rationality and feasibility for the real applications. The objective of this study is to propose a procedure about quality improvement based on artificial neural networks (ANNs) technique to deal with the parameter optimization of categorical response with different weight effect. A case study involving a taping process from a lead frame (L/F) manufacturer in Taiwan’s science-based park demonstrates the rationality and feasibility of the proposed approach.     

Funds of hedge funds: performance, risk and capital formation 2005 to 2010

Using a comprehensive data set of funds-of-hedge funds, we extend the results of Fung et al. (J. Finance 63:1777–1803, 2008) (FHNR) with an augmented version of the Fung and Hsieh (Financ. Anal. J. 60:65–80, 2004a; J. Empir. Finance 18:547–569, 2004b) model to document performance characteristics from January 2005 to December 2010. We find that our sample period is divided into three distinct subperiods: January 2005 to June 2007 (pre-subprime crisis); July 2007 to March 2009; and April 2009 to December 2010 (post-credit crunch) during which the average fund of hedge funds delivered positive alpha only in the first subperiod. We divide the funds of hedge funds sample into those who have alpha and the rest, which we call beta-only. The empirical results show a dramatic decline in the population of alpha producing funds of hedge funds post 2008 compared to the FHNR findings. When we repeat our analysis with a synthetic hedge fund index replicator, we find qualitatively similar results.     

The Relationships between Resource Configurations and Launch Strategies in Taiwan's IC Design Industry: An Exploratory Study

Within the last decade, the link between launch strategies and new product performance has been widely investigated. However, the relationship between resource configurations and launch strategies has received little attention. This study endeavors to fill that void by examining the relationships between resource configurations and launch strategy selections. In addition, this study investigates the moderating effects of market growth and competitiveness on the relationship between resources and launch strategies. Drawing on contingency theory and strategic studies, this study proposes that resource contingencies affect changes in launch strategies. This study also suggests that market characteristics play a contingent role in the relationships between the configurations of resources and launch strategy choices. Based on extensive studies reporting on market characteristics and their links to strategies, this study proposes that two market characteristics—market growth and competitiveness—are relevant for launch strategy decision making. Taiwan's integrated circuit (IC) design industry has been used as the analytical sample, as it has been identified as a promising sector for new product development. Based on the result of investigating 90 firms, four resource configurations are identified: (1) strategic and organizational abilities; (2) technological capabilities; (3) societal assets and goodwill; and (4) physical assets. Furthermore, two different launch strategies—innovative and product advantage and cost oriented—also are discovered. The results from a seemingly unrelated regression model reveal that technological capabilities and societal assets and goodwill contribute to the variation in the firms' choices of launch strategies. This study further conducted the simple slope analysis to observe the effect of the technological capabilities on the innovative and product advantage strategy under different levels of the market growth rate. The results interestingly showed that firms with technological capabilities demonstrated different degree of tendencies in employing this strategy in alignment with various market growth rates. The finding sheds some lights on the moderating role market characteristics play on the relationships between resource configurations and launch strategy selections. Academic implications and suggestions for practitioners also are provided.     

Managing Key Account Portfolios across the Process of Relationship Development: A Value Proposition–Desired Value Alignment Perspective

Purpose: While extant key account management (KAM) research provide considerable insight into specific aspects of KAM, no studies have yet offered a process model that concurrently addresses the three important characteristics of KAM (i.e., temporality, dyadic interactions, and account heterogeneity). To fill this void, the present research investigates an industrial seller's KAM practice from the alignment perspective to develop a comprehensive process model that depicts the important underlying characteristics of focal firm–key accounts dyadic relationships.

Methodology: Employing a case study approach, the present study adopts in-depth interviews with eleven informants involved in four dyadic relationships, respectively. Multiple dyads interviews helped us determine whether the emergent themes are resonant across dyads. On the other hand, cross-dyad analysis helped us identify idiosyncratic KAM treatment among heterogeneous key accounts.

Findings: Drawing upon the literature and the field data, this study reveals four different patterns of alignment (i.e., opportunistic alignment, passive alignment, mutualistic alignment, and compensatory alignment) that may be enacted in accordance with the different relationships developed with the individual key accounts. Across the four focal firm–key account dyads, this study further uncovers how various factors (i.e., idiosyncratic investment, power structures, behavioral norms, and commitment) precipitate different alignment patterns and drive alignment transitions over time.

Practical Implications: This article suggests that a focal firm should manage its key accounts by aligning its value proposition with the specific desired value of each individual account and adjust its management approach based on different phases of dyadic relationship development.

Originality Value: This article extends knowledge of KAM by concurrently addressing its dyadic and heterogeneous nature in a process model. The alignment-oriented view of KAM sheds light on the underlying characteristics of focal firm–key accounts relationships and contributes to our understanding of managing key account portfolios throughout the process of relationship development.     

Informed trading before analyst downgrades: Evidence from short sellers

This paper studies short-selling prior to the release of analyst downgrades in a sample of 670 downgrades of Nasdaq stocks between 2000 and 2001. We find abnormal levels of short-selling in the three days before downgrades are publicly announced. Further, we show that this pre-announcement abnormal short-selling is significantly related to the subsequent share price reaction to the downgrade, and especially so for downgrades that prompt the most substantial price declines. Our findings are robust to various controls that might also affect short-selling such as pre-announcement momentum, three-day pre-announcement returns, and announcement-day share price. In addition, the results are independent of scheduled earnings announcements, analyst herding, and non-routine events near downgrades. Further evidence suggests that tipping is more consistent with the data than the prediction explanation which posits that short sellers successfully predict downgrades on the basis of public information about firms’ financial health. Finally, we present evidence that downgraded stocks with high abnormal short-selling perform poorly over the subsequent six months by comparison with those with low abnormal short-selling. Overall, our results support the hypothesis that short sellers are informed traders and exploit profitable opportunities provided by downgrade announcements.     

Nasdaq and The Chicago Stock Exchange: An Analysis of Multiple Market Trading

We analyze a set of 97 NASD-listed securities that trade on both the Nasdaq and Chicago Stock Exchange (CHX) to determine if trading costs and price improvement differ between the two markets. We find that order execution costs, which we define by the traded spread and the signed effective half-spread, are significantly lower on the CHX. This difference is consistent over trade types and for trades of at least 1,000 shares. Also, we find that trades occurring on the CHX receive more price improvement than do those occurring on Nasdaq.     

Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market

On 20 February 2012, the Taiwan Stock Exchange Corporation launched an order-matching simulation mechanism for five minutes during the start of the pre-closing session, in order to increase information disclosure during this period (13:25–13:30). Pre-closing information disclosure significantly reduces both trading costs and closing-price volatility, as well as price manipulation. The decrease in price manipulation found in this work is due to pre-closing information disclosure, not the behaviour of investors shifting to an earlier time. Further, if a stock price rises or falls by more than 3.5% in the simulation in the last minute during the closing session, trading of the stock will be suspended for two minutes from 13:31 to reduce volatility. However, this trading mechanism (suspended-closing) does not seem to have achieved the intended goals of the authorities, as it has not been able to significantly reduce closing-price volatility and price manipulation.     

Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms

This paper investigates mega hedge fund management companies that collectively manage over 50% of the industry's assets, incorporating previously unavailable data from those that do not report to commercial databases. We find similarities among mega firms that report performance to commercial databases compared with those that do not. We show that the largest divergences between the performance of reporting and nonreporting mega firms can be traced to differential exposure to credit markets. Thus, the performance of hard-to-observe mega firms can be inferred from observable data. This conclusion is robust to delisting bias and the presence of serially correlated returns.     

A censored stochastic volatility approach to the estimation of price limit moves

A censored stochastic volatility model is developed to reconstruct a return series censored by price limits, one popular form of market stabilization mechanisms. When price limits are reached, the observed prices are truncated and the equilibrium prices are unobservable, which makes further financial analyses difficult. The model offers theoretically sound estimates of censored returns and is demonstrated via simulations to outperform existing approaches with respect to the estimates of model parameters, unconditional means, and standard deviations. The algorithm is applied to model stock and futures returns and results are consistent with the simulation outcomes.     

Suppliers’ and customers’ information asymmetry and corporate bond yield spreads

This study investigates the information asymmetry effects of suppliers and customers on a firm’s bond yield spreads by employing American bond market data from 2001 to 2008. This study finds that both suppliers’ and customers’ information asymmetry effects significantly explain a firm’s bond yield spreads. Besides, the information asymmetry effects of more important suppliers and customers are more significant than those of less important ones. The results are robust even after controlling for other well-known firm specific and economic variables.