A NEW APPROXIMATE GLS ESTIMATOR FOR THE REGRESSION MODEL WITH MA(1) DISTURBANCES

This paper introduces a new approximate GLS estimator for the regression model with MA(1) disturbances, which outperforms both the Balestra (1980) and the Park and Heikes (1983) approximations and which is almost as efficient as the exact GLS estimator.     

Durable Goods,Time Preference and The Dynamics of the Current Account

A small open economy model with an endogenous time preference is used to study the current account dynamics when consumption exhibits durability. There is a unique level of instantaneous utility and stock of durables that must be maintained in the steady state. A terms of trade deterioration requires a net asset accumulation and a fall in consumption expenditures along the adjustment path. Nevertheless, the fall in consumption expenditures leads to a fall in the stock of durables, which has to be corrected somewhere along the adjustment path, and which may lead to a non-monotonic adjustment of the current account (J-curve).

Monetary policy in a cash‐in‐advance economy: employment, capital accumulation, and the term structure of interest rates

Abstract.  In this paper we study the effects of monetary policies on employment, capital accumulation, consumption, and the term structure of interest rates in a cash‐in‐advance economy, where money is required for consumption expenditures. Monetary policy involves targeting the inflation rate. The detailed dynamics of the model are fully worked out. As no numerical analysis is involved, we are able to identify very clearly the different channels through which monetary policy will impinge on the important macroeconomic variables. The model is also used to discuss the 'Great Canadian Slump.' JEL Classification: E52 and E43     

Consumer's Perception of Website Service Quality: An Empirical Study

With the increasing penetration of the Internet, service quality has become one of the key areas of concern for online shopping sites. Website service quality has become a vital factor in making e-commerce successful because comparing the features of products in the online environment is easier, practically free of cost, and saves on time in comparison to conventional offline markets. To empirically explore the critical factors that determine perceptions of the service quality of online shopping sites, researchers adopted the eTailQ scale suggested by Wolfinbarger and Gilly (2003 Wolfinbarger, M., and M. C. Gilly. 2003. eTailQ: dimensionalizing, measuring and predicting etail quality. Journal of retailing 79 (3):183–98. doi:10.1016/s0022-4359(03)00034-4.[Crossref], [Web of Science ®] , [Google Scholar]). Web layout, web info, customer service, fulfillment, and privacy emerged as the critical factors affecting website service quality. Findings of the study are expected to provide valuable insights to academicians in better conceptualizing the constructs and also help marketing practitioners in fine-tuning their strategies by addressing the peculiar needs of the Indian online shoppers.     

Do financial distress and liquidity crises affect value and size premiums?

This study investigates the impact of liquidity crises on the relationship between stock (value and size) premiums and default risk in the US market. It first examines whether financial distress can explain value and size premiums, and then, subsequently, aims to determine whether liquidity crises increase the risk of value and size premium investment strategies. The study employs a time-varying approach and a sample of US stock returns for the period between January 1982 and March 2011, a period which includes the current liquidity crisis, so as to examine the relationship between default risk, liquidity crises and value and size premiums. The findings indicate that the default premium has explanatory power for value and size premiums, which affect firms with different characteristics. We also find that liquidity crises may actually increase the risks related to size and value premium strategies.     

Living downwind from corporate social responsibility: a community perspective on corporate practice

This paper critiques dominant corporate social responsibility (CSR) theory, which claims that commercial and social goals overlap and coincide. It is suggested that this uncritical portrayal and treatment of complex industry–community relations risks neglecting the potential tensions that may arise should these goals diverge or be in conflict. In this context, the experiences of residents in a small Western Australian town are presented to describe a long‐running conflict between community members and their corporate neighbour. The data point to a range of community impacts as a result of corporate activities and unearth strong differences between ‘local’ and ‘corporate’ understandings of CSR. Based on the perceived shortcomings of an economically underpinned CSR approach, we question the possibility of meeting local needs by means of economic efficiency. Calls are made for critical reflection on the key assumptions underlying dominant CSR theory and consideration is given to questions of guidance for CSR practitioners.     

Portfolio selection in a data-rich environment

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to improve portfolio selection. We use factor analysis to estimate the space spanned by the factors. This provides consistent estimates for the optimal weights as the number of economic variables and sample size go to infinity. We consider an empirical application to illustrate the practical usefulness of our approach. The results indicate that the diffusion index approach helps to improve the portfolio performance.     

The under-pricing of IPOs in the Gulf cooperation council countries

We document the phenomenon of under-pricing initial public offerings (IPOs) for 47 Gulf firms that went public between 2001 and 2006. The IPOs had, on average, initial abnormal returns of 290 percent, far exceeding those documented for both developed and emerging markets. In aftermarket performance, we find that these IPOs provide investors with negative abnormal returns over a one-year period, which seems to be consistent with findings in other industrial and emerging markets. The empirical models fail, however, to provide us with a satisfactory explanation using the common independent variables employed in the literature. Nevertheless, it appears that country- and industry-specific characteristics, in addition to the timing of the offers, play a key role in explaining IPO behavior in the region. This paper's empirical findings support the hypothesis that investors are initially over-optimistic about an IPO's performance, but grow more pessimistic over time.     

Can Robust Optimization Offer Improved Portfolio Performance? An Empirical Study of Indian market

Journal of Quantitative Economics - The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy...     

A review of machine learning for big data analytics: bibliometric approach

ABSTRACT

The amalgamation of machine learning and big data has led to a revolution in data science with several influencing applications to various domains. To gain insights on the current research trends on machine learning for big data analytics, this study follows a bibliometric analysis methodology of citation data to review and quantitatively assess the explosion and impact of literature and research performance in this vibrant research area, which has witnessed rapid changes and rising interest in business, industry and academia. Using a variety of bibliometric measures and visualisation techniques, the paper examines and identifies several related issues including research productivity and directions, major contributors, publication trends and growth rates, citation and collaboration analysis, and others. The relevant bibliographic units for the study were collected from the Core Collection of the Web of Science bibliographic database. Nearly all the relevant publications prior to February 2018 were included in the analysis. The overwhelming productivity and wide-spread applications in several multidisciplinary domains have been revealed, with one-to-two ratio of journal to conference publications. Three countries (USA, China, India) are dominating the research output with more than two-thirds of the total productivity.