Performance implications of active management of institutional mutual funds

We use information on institutional US mutual funds to examine the performance implications of the decisions they make when actively implementing their investment processes. Our findings show that the success of active fund managers' stock selection decisions is influenced both by the aggressiveness with which they implement their processes and also the style tilts incorporated into their active positions. Our findings provide useful insights into both where one might best look when choosing an active manager and also suggest possible profitable investment strategies.     

Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market

Based on behavioral finance and economics literature, we construct a theoretical framework in which consumers of newly constructed housing units perceive prices to follow a stochastic mean reversion pattern. Given this belief and the high carrying cost maintained by real estate developers, potential buyers opt to either exercise immediately or defer the purchase. We simulate the model within a real option framework by which we show that the optimal time to wait before exercising a purchase is positively related to the price level; hence, a negative (positive) correlation between transaction volume and price level (yield) emerges. Observing data on housing prices and new construction sales in Israel for the years 1998–2007, we apply an adaptive expectation regression model to test consumers’ belief in both mean reversion and momentum price patterns. The empirical evidence shows that while consumers’ demand pattern is simultaneously consistent with the belief in both momentum and mean reversion processes, the effect of the latter generally dominates. Moreover, while the data does not allow for testing the volume and price-level correlation, it does provide support to the positive volume-price yield correlation.     

Family ownership and acquisition behavior in publicly‐traded companies

Much of the literature on corporate acquisitions has focused on managerial incentives for making acquisitions but has underemphasized the role played by the social context of major shareholders. This study of Fortune 1000 firms argues that the priorities and risk preferences of family owners can have important implications not only for the volume but also for the diversifying nature of their acquisitions. Agency and family business perspectives are used to derive expectations concerning the acquisitions behavior of family owners. Consistent with both perspectives, and owners' desire to reduce business risk, we find that family ownership is inversely related to the number and dollar volume of acquisitions. However, whereas agency theorists differ about how ownership concentration influences whether acquisitions are diversified, the family firm literature is more definitive. The latter suggests that given family owners' desire to retain control of their firms for offspring, their wealth must remain concentrated. Hence they can most easily reduce the risk of their wealth portfolio by diversifying the business—that is, through diversifying acquisitions. Consistent with this logic, we found the propensity to make diversifying acquisitions to increase with the level of family ownership. Copyright © 2009 John Wiley & Sons, Ltd.     

Digging Deep to Compete: Vertical Integration,Product Market Competition and Prices

This article establishes a causal effect of product market competition on vertical integration. I exploit a hitherto unexplored natural experiment in the U.S. coal mining industry and a unique mine‐level organizational data set. Following an exogenous increase in product market competition, the incidence of vertical integration fell by 33% within the treatment group relative to the counterfactual. I find novel evidence that transition to the lower degree of vertical integration is driven by competition's reducing market prices by 32% which decreased the incentive to conduct vertical mergers. I discuss several possible interpretations of these changes.     

Cohort versus patient level simulation for the economic evaluation of single versus combination immuno-oncology therapies in metastatic melanoma

Abstract

Background: Model structure, despite being a key source of uncertainty in economic evaluations, is often not treated as a priority for model development. In oncology, partitioned survival models (PSMs) and Markov models, both types of cohort model, are commonly used, but patient responses to newer immuno-oncology (I-O) agents suggest that more innovative model frameworks should be explored.

Objective: A discussion of the theoretical pros and cons of cohort level vs patient level simulation (PLS) models provides the background for an illustrative comparison of I-O therapies, namely nivolumab/ipilimumab combination and ipilimumab alone using patient level data from the CheckMate 067 trial in metastatic melanoma. PSM, Markov, and PLS models were compared on the basis of coherence with short-term clinical trial endpoints and long-term cost per QALY outcomes reported.

Methods: The PSM was based on Kaplan-Meier curves from CheckMate 067 with 3-year data on progression free survival (PFS) and overall survival (OS). The Markov model used time independent transition probabilities based on the average trajectory of PFS and OS over the trial period. The PLS model was developed based on baseline characteristics hypothesized to be associated with disease as well as significant mortality and disease progression risk factors identified through a proportional hazards model.

Results: The short-term Markov model outputs matched the 1–3?year clinical trial results approximately as well as the PSMs for OS but not PFS. The fixed (average) cohort PLS results corresponded as well as the PSMs for OS in the combination therapy arm and PFS in the monotherapy arm. Over the lifetime horizon, the PLS produced an additional 5.95 quality adjusted life years (QALYs) associated with combination therapy relative to ipilimumab alone, resulting in an incremental cost-effectiveness ratio (ICER) of £6,474 per QALY, compared with £14,194 for the PSMs which gave an incremental benefit of between 2.2 and 2.4 QALYs. The Markov model was an outlier (～ £49,000 per QALY in the base case).

Conclusions: The 4- and 5-state versions of the PSM cohort model estimated in this study deviate from the standard 3-state approach to better capture I-O response patterns. Markov and PLS approaches, by modeling state transitions explicitly, could be more informative in understanding I-O immune response, the PLS particularly so by reflecting heterogeneity in treatment response. However, both require a number of assumptions to capture the immune response effectively. Better I-O representation with surrogate endpoints in future clinical trials could yield greater model validity across all models.     

How intrafirm intermediary salespeople connect sales to marketing and product development

This research reveals the ways that salespeople manage intrafirm relationships by acting as intermediaries, connecting intrafirm members that would otherwise be unconnected. Using a two-study, multimethod design, the authors establish that (1) salespeople act as representative intermediaries positioned between peers in sales and those in marketing and product development; (2) the effects of representative positions with marketing and product development on performance are non-linear; and (3) selling-related knowledge moderates representative effects on performance. Representative salespeople act as the exclusive connection between a peer salesperson and a non-sales contact (marketing or product development), controlling non-redundant knowledge to gain influence over their peers. This research contributes to marketing by identifying non-linear effects for how salespeople mediate relationships between their peers and others in key intrafirm functions, and showing that salespeople with high selling-related knowledge realize enhanced effects of the representative position on sales performance.

     

Multinationals,Institutions and Economic Growth in China

This study examines the effects of multinationals and economic institutions on the economic growth of cities in China. Consistent with previous findings, the empirical results suggest that property rights institutions are significantly more important than contracting institutions in promoting economic growth. The direct effect of multinationals on economic growth is generally insignificant statistically. However, a statistically significant and robust interaction effect exists between property rights institutions and multinationals on economic growth, whereas no such effect is observed between contracting institutions and multinationals. The results are attributable to the fact that multinationals can rely on reputation or personal connections to enforce contracts when contracting institutions are weak. However, it is difficult for multinationals to operate when the state expropriates their profits (i.e. property rights institutions are weak).     

Connecting for competitiveness: future transport in UK city regions

Britain's major cities have fallen behind the best practice in transport of European and north American cities, and need to address this to compete in global markets. A number of potential mechanisms are available to UK cities, but only if central government is willing to transfer (limited) financial powers to the city regions.     

Enhancing employee and organizational performance through coaching based on mystery shopper feedback: A quasi‐experimental study

Based on reinforcement theory, a quasi‐experimental design was used to evaluate the effect of (a) feedback obtained from (b) a relatively neutral third party (namely, mystery shoppers) that was obtained on a (c) variable interval schedule for managers to use to (d) coach their employees. An interrupted time‐series design showed that both employee and organizational performance increased as a result of this intervention. Performance dropped when this intervention was cut back and, subsequently, discontinued. These results were replicated in two additional restaurants. © 2012 Wiley Periodicals, Inc.