PROBABILITY OF PRICE REVERSAL AND RELATIVE NOISE IN STOCK AND OPTION MARKETS

In this paper we take a new approach to the study of the interrelation between stock and option markets by extending Stoll's (1989) model of cost components of the bid-ask spread to include an error component in prices. Building upon Stoll's estimates of the probability of price reversals, we determine which of the option or stock markets carries more noise. The empirical results indicate that option markets are noisier than stock markets. Such findings are consistent with the view that option markets serve as a testing ground for noisy new information because of their comparative advantage regarding transaction costs, liquidity, and potential leverage.     

CAN A RULE‐BASED MONETARY POLICY FRAMEWORK WORK IN A DEVELOPING COUNTRY? THE CASE OF YEMEN

Monetary policy in Yemen is largely rudimentary and ad hoc in nature. The Central Bank of Yemen's (CBY) approach has been based on discretionary targeting of broad money without any clear target to anchor inflation expectations. This paper argues in favor of a new formal monetary policy framework for Yemen emphasizing a proactive and rule‐based approach with a greater direct focus on price stability in the context of a flexible management of the exchange rate. Although, as in many developing countries, institutional capacity is a concern, adopting a more formal framework could impel the kind of changes that are required to strengthen the ability of the CBY in achieving low and stable rates of inflation over the medium term.     

Asian real interest rates, nonlinear dynamics, and international parity

This study tests for nonlinearities in the real interest differentials of four South East Asian economies with respect to Japan and the United States. The logistic and exponential smooth transition regression models are applied to monthly data over the sample period 1977M1–2000M3. There is evidence of nonlinearities in Asian real interest differentials where nonlinearities are often captured by the logistic smooth transition autoregressive (STAR) model. The extent of nonlinearities varies across the sample with the Singapore–Japan and Thailand–Japan differentials exhibiting the sharpest transition from one regime to another. Large shocks to real interest parity (RIP) are more likely to lead to the reestablishment of parity at a faster rate than small shocks. Modeling the nonlinear stochastic dynamics of RIP can thus be useful for policymaking purposes in recovering information on monetary and financial crises.     

Celebrity Endorsements in U.S. and Thai Magazines: A Content Analysis Comparative Assessment

SUMMARY

Celebrity endorsements have become a prevalent form of advertising. Hence, the purpose of the study was to determine the relationship between the use of celebrities and the types of products endorsed. Advertisements from one popular magazine in the U.S. and 2 popular magazines in Thailand were used. Results indicated that U.S. advertisements of beauty, dietary and health services, hospitals, and weight loss clinics categories utilized celebrity endorsements more often than other categories. In Thai advertisements, supplementary foods and medicines used celebrity endorsers more often than other categories. Results further support that a significant relationship exits between celebrity endorsers and product types.     

Technology transfer organizations: Services and business models

Knowledge and technology transfer organizations (KTTOs) are crucial nodes connecting suppliers and users of knowledge that support the endogenous potential of innovation in firms. Prior studies on the services provided to firms by KTTOs tend to have weak theoretical foundations, to rely on case study approaches, and to focus attention on one service or a few services provided by a single organization. This study extends and integrates elements from a conceptual knowledge value chain and business model frameworks. The value chain perspective allows integrating the services offered by KTTOs in the value chain of firms. As for the business model perspective, it allows developing hypotheses about how KTTOs create and deliver value for client firms. To test these hypotheses, we collected and analyzed a data set of 281 publicly supported KTTOs located in Canada. The empirical results show that different types of KTTOs tend to specialize in the provision of services at different stages of the value chain of firms, and to benefit from complementarity effects between service offerings. Our analysis also shows that different types of KTTOs devise different types of business models that are centered on services linked to different stages of the value chain. Overall, these results suggest that managers of KTTOs could improve their business models and increase value to client firms by increasing the degree of customization of solutions offered to clients which, in turn, would also increase revenues from clients, and hence reduce KTTOs′ vulnerability to reductions in government funding.     

SPARSE CALIBRATIONS OF CONTINGENT CLAIMS

The two problems of determining the existence of arbitrage among a finite set of options and of calculating the supremum price of an option consistent with other options prices have been reduced to finding an appropriate model of bounded size in many special cases. We generalize this result to a class of arbitrage-free  m -period markets with    d  + 1   basic securities and with no prior measure. We show there are no dominating trading strategies for a given set of  l  contingent claims if and only if their bid-ask prices are asymptotically consistent with models supported by at most   ( l  +  d  + 1)( d  + 1) ^{m −1}   points, if    m  ≥ 1  . An example showing the tightness of our bound is given.     

The futures field: Functions,forms, and critical issues

Institutional forms in the futures field should be founded on the functions to be performed. These functions are viewed in relation to the contribution of visionaries to more and better images of the future; to a family of related analytical activities aimed at enhancing intentionality and explicitness in planning and decision making; and to a variety of grass-roots movements aimed at encouraging participatory social planning. Five basic functionsgoals formulation; methods development; applications; coupling; implementation—are explored and some existing institutional forms are examined: image generators; research organisations; corporate or government planning groups; and citizen groups. These provide guidelines for the possible development of modified institutional forms and their orientation.     

Implications of military stabilization efforts on economic development and security: The case of Iraq

The United States used a combination of economic, political, and military means to effect change in Iraq. Most notably, the United States used a buildup of security forces, the “surge”, as an intervention to stabilize Iraq. This article uses structural change tests to determine the effect of the intervention on security and economic metrics of success. There appears to be compelling evidence that several events may have had a direct influence on security variables with the surge being one of the events. There is little to suggest that the surge was the primary intervention that enhanced economic development and political order.     

Testing theories with learnable and predictive representations

We study the problem of testing an expert whose theory has a learnable and predictive parametric representation, as do standard processes used in statistics. We design a test in which the expert is required to submit a date T by which he will have learned enough to deliver a sharp, testable prediction about future frequencies. We show that this test passes an expert who knows the data-generating process and cannot be manipulated by a uninformed one. Such a test is not possible if the theory is unrestricted.     

The Long-Term Performance of Small Businesses: Are there Differences Between “Christian-Based” Companies and their Secular Counterparts?

Recent years have witnessed the proliferation of “Christian” companies in the U.S. These firms declare their belief in, and active pursuit of, the successful merging of biblical principles with business activities. Economic success, hard work, and biblical values are seen as capable of existing together in harmony. While the number of such businesses appears to be growing, there has been a dearth of any scientific study of these companies. No empirical research has been conducted to determine whether these religious values and behaviors have any significant impact on a company’s performance. The present study is designed to partially fill this gap. Specifically, it seeks to determine whether there are differences in long-term performance between self-proclaimed “Christian-based” businesses and their secular counterparts. Data were collected from 312 companies. A multivariate analysis of variance (MANOVA), followed by univariate ANOVAs, found significant differences between these two groups of firms on three of the four performance variables that were analyzed. Some explanations as well as limited generalizations and implications are developed.