Trading Returns for the Weekend Effect Using Intraday Data

The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after accounting for transaction costs (including the bid/ask spread), especially when trading is confined to weekends for which there are large negative Friday returns and to positions opened on Friday afternoons. The effect of stocks trading ex-dividend on Mondays does not appear to bias our results.     

High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia, and Thailand: An Empirical Investigation of the Traditional and Revisionist Views

The paper seeks to determine whether high interest rates have had the effect of appreciating nominal exchange rates in three Asian countries. The authors use high-frequency data for Korea, Malaysia, and Thailand during the recent crisis and its aftermath to examine the relationship between the increase in interest rates and the behavior of exchange rates. It is found that raising interest rates has had a small impact on nominal exchange rates during the crisis period.     

Insurance coverage and health care consumers' use of emergency departments: has managed care made a difference?

How successful has managed care been in controlling costs and consumers' inappropriate use of health care services? This study compares national data from 1992 and 1996 to determine the effect of managed care on appropriateness of ED utilization. ED utilization was described in two ways as defined in Gooding, Smith, and Peyrot (1996): (1) urgency of visit (urgent vs. non-urgent), and (2) appropriateness of visit taking into account the care provided upon visits (including treatment and diagnostic procedures) and disposition of visit (admit, transfer, and discharge against medical advice). Potentially appropriate visits were the non-urgent cases at which treatment procedures and/or non-routine diagnostic procedures were performed. All urgent visits were defined as appropriate. Study results reveal that consumers' ED misuse changed in complex ways over the period examined. Contrary to our assumptions based on earlier research, the pattern of change was not the same for the two different measures of misuse. Non-urgent use decreased, as hypothesized, but there was an increase in non-urgent use which we have defined as inappropriate (i.e., no treatment and no non-routine diagnostic tests). ED misuse did not decrease more for insured than uninsured consumers, nor more for managed care than fee-for-service consumers. These findings bring into question the efficacy of efforts to address rising health care costs through controlling consumer utilization of services via managed care, efforts mirrored by many fee-for-service indemnity plans. Future research is needed to determine why this consumer misuse of the ED appears to continue and how the recent increase in the marketing of ED services may exacerbate this problem.     

Aggregate vs. disaggregate data analysis—a paradox in the estimation of a money demand function of Japan under the low interest rate policy

We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We provide necessary and sufficient conditions for the existence of a cointegrating relation among aggregate variables when heterogeneous cointegration relations among micro units exist. We also conduct simulation analysis to show that when such conditions are violated, it is possible to observe stable micro relations, but unit root phenomena among macro variables. Moreover, the prediction of aggregate outcomes, using aggregate data, is less accurate than the prediction based on micro equations, and policy evaluation based on aggregate data ignoring heterogeneity in micro units can be grossly misleading. Copyright © 2005 John Wiley & Sons, Ltd.     

Sensitive cabbies: Ongoing sense-making within technology structuring

How may users make initial senses around new technology? This question requires an investigation beyond initial sense-making and into ongoing sense-making. An important research agenda is how users may make more senses from ongoing work structuring around technology. The previous studies largely examine how users make initial kinds of sense so as to form certain attitudes towards technology adoption. However, less known to current literature is that users also make ongoing senses as they extensively interact with technology in practice over time. This article presents a qualitative study of the ongoing adoption of CabLink, a Global Positioning System (GPS) which enables vehicle dispatching, implemented by one of the world’s largest taxi fleets, based in Singapore. It analyzes how additional new senses may emerge from a vagary of technology enactments. As a result, users become more sensitive towards adopting technology differentially as they continue to appropriate technology in their work context. This longitudinal research illustrates how local meanings ascribed by different user-groups to a technology may evolve and induce intended as well as unanticipated work transformation. Theoretical and practical implications on ongoing sense-making are discussed.     

MANAGERIAL AUTONOMY, CONTRACTUAL INCENTIVES AND PRODUCTIVITY IN A TRANSITION ECONOMY: SOME EVIDENCE FROM CHINA'S TOWN AND VILLAGE ENTERPRISES

Abstract. In advanced industrial economies it is accepted that efficiency requires aligning managerial autonomy in decision‐making with managerial incentives. Should this hold for economies like that of rural China where (at least until very recently) managers might abuse autonomy and government owners may have objectives other than profit maximization? This paper tests for the effects of managerial autonomy on efficiency with and without alignment with incentives in a panel of Chinese town and village enterprises (TVEs). The results show that managerial autonomy has had a positive and significant effect on productivity only when aligned with incentives.     

Trading Behavior and Asset Returns: Evidence from the Interday Serial Correlations of Intraday‐to‐Intraday Daily Returns of Taiwan

This paper sheds light on the importance of trading behavior in the determination of asset prices by examining the interday serial correlations of intraday‐to‐intraday daily returns of the Taiwan Stock Exchange (TSEC). The TSEC exhibits positive serial correlation in the beginning and the end of the week and negative serial correlation in the middle of the week. The interday serial correlation is not a result of non‐synchronous trading, bid‐ask bounce in transaction price, or price limits. The serial correlation is positively related to trading volume and similar to the pattern in the US. We suggest that trading behavior seems to be an important determinant of asset prices.     

Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment

We use the matched mother-child data from the 2000 wave of the US National Longitudinal Survey of Youth 79 (NLSY79) to assess the impact of full-time working mothers on children’s body mass index (BMI) and the likelihood of becoming overweight. Parametric, semi-parametric and non-parametric methods are employed to correct the bias of selection on observables and unobservables. Pros and cons of various methods are discussed and specification tests are conducted. In general, we find that a mother’s full-time employment does have some impact on her children’s BMI and likelihood of becoming overweight across models and inference procedures.     

Antecedents of flow in retail store shopping

“Flow” has been established as a critical determinant of an online shopping experience. Online consumers with flow experience tend to be less price-sensitive and to have favorable attitudes and high re-patronage intention. As retail stores account for 90% of retail sales, it is important to advance our knowledge of flow theory in physical retail stores. However, the antecedents (navigational challenge, web skill) derived from the extant online flow literature are not applicable to in-store shopping. To fill the void, the two objectives here are (1) to provide a theoretical foundation to develop the antecedents (challenges and skills) associated with in-store shopping, and (2) to examine their impacts on consumer flow experience (concentration, control, and enjoyment) and subsequent future shopping intentions. The results will advance the literature of flow and offer helpful suggestions to retail marketing.