DURATION MOMENTS AND YIELD CURVE MOVEMENTS

In this paper we will analyze the relationship between the value and duration moments of a cash flow and movements in the yield curve. We will show that for changes in the yield curve which can be related to tⁿ , the 1st order changes in the net present value of a cash flow are linearly dependent on the n + lth duration moments, and that the 2nd order changes are dependent on the sum of duration moments of order 2 n + 1 and 2 n + 2. We will use this relationship to tilt tracking portfolios so as to protect them against specific changes in the yield curve.     

Asset market hangovers and economic growth: the OECD during 1984-93

Asses prices and investment were unusually weak throughout theindustrial world during the early 1990s. This paper highlightsthis stylized fact, and connects it with another: in most ofthe industrial world, asset markets boomed for several yearsbefore collapsing around 1989. The paper suggests that assetmarket bubbles during the late 1980s may have left the industrialworld with an 'asset market hangover' in the early 1990s, inthe form of sluggish asset markets and investment. Empiricalsupport for this hypothesis is provided based on cross-countrydata for equity and real estate markets in most industrial countries.We suggest that financial market developments not justifiedby fundamentals can substantially affect real activity.     

Relative Significance of Journals,Authors, and Articles Cited in Financial Research

We evaluate journals based on their relative contributions to top-level finance research in a recent period. Journals are ranked according to the number of citations found in articles published in Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Review of Financial Studies. The analysis controls for both the average number of articles and average number of words published annually in each cited journal. We identify the fifty most frequently cited journals during this period. We also list the fifty most frequently cited authors and articles and note topical trends in the research.     

Significant Issues for the Future of Product Innovation

The value of a technology strategy has been increasingly discussed by R&D personnel and those involved in product development and business planning efforts. In this issue Albert Rubenstein and Americo Albala elevate this discussion by showing the importance of preparing a firm to compete by stressing the development of important, relevant technologies. Discovery and development must be channeled into areas that will be needed to support business initiatives likely to occur in the future. Albala stresses the importance of this change for the development of economies in nations that have been disappointed by the lack of success of importing technologies from more developed nations, while Rubenstein maintains that the pace of marketplace change requires a technology strategy in order to reduce the misapplication of scarce resources within the firm and the possibility of being blindsided by competitive developments. These essays continue a year-long series of contributions that the editor-in-chief solicited from members of the editorial board. Members were asked to reflect upon changes and opportunities that they see influencing our profession during the coming decade. Both of these short essays are designed to introduce new perspectives. It is not essential that you agree with the recommendations, but we hope that you are stimulated as you reflect on the issues they raise.     

The historical origins of the Philippine economy: a survey of recent research of the Spanish colonial era

This article surveys recent research of the Spanish colonial era in the Philippines since the late eighteenth century. While highlighting imperfections in our understanding, the article establishes the parameters with which the Philippine economy entered the twentieth century. It outlines the intensification of Spanish colonial rule through changes in the taxation system, particularly the expansion of forced tobacco cultivation until its abolition in 1882. Since then, the Spanish set out to further change and intensify colonial rule but contradictions in the system of colonial rule caused the effort to come to an abrupt end in 1898.     

E-Business Transformation via Alliance Clusters

The number of firms using alliances as part of their corporate venturing or market entry strategies has surged over the past decade. Three common reasons cited for pursuing alliances are technology convergence, market access and alliance partners' complementary resources. This paper contrasts the alliance strategies of HP and IBM, two major competitors in electronic services (i.e. Internet-based 'e- service') businesses, using the Familiarity Matrix as a display tool to portray the strategies. Whereas the HP strategy is to attempt to establish its technology infrastructure as the standard e-services infrastructure on the Internet, IBM aims to position its IBM Global Services, rather than its technology, at the center of this ecosystem.     

Loanable Funds, Monitoring and Banking

This paper studies financial intermediation in a general equilibriumoverlapping generations model. Indivisible investment projects combine withinformational imperfections to create a (hidden action) moral hazard problemand introduce a role for third-party monitoring. Agency costs at theintermediary level are also considered. Under some conditions, monitors canbe viewed as banks facing a non-trivial portfolio diversification problem.Equilibria are derived in which a large nationwide bank coexists with anumber of community-regional banks, a structure of strong empiricalrelevance. Policies such as a mandatory reserve requirement are shown tohave substantial effects on the levels of investment in the economy.