Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring

This paper provides a comprehensive default estimation of commercial real estate loans with a complete commercial mortgage backed securities (CMBS) loan history database. Standard survival models assume that eventually every observation will experience the event. However, often there is a high proportion of censored observation in the sample. A mixture model is proposed to disentangle the probability of “long-term survivorship” and the timing of default occurrence. Loans within the same geographical area and property type tend to exhibit correlation in default incidence. A multilevel model is proposed to capture this correlation within and between clusters.

Small Business vulnerability to floods and the effects of disaster loans

In this paper, we examine the impacts of floods on businesses and the efficacy of small business administration (SBA) disaster loans on mitigating disaster aftereffects. We find lack of business adaptation to extreme events in the short term, indicating their extreme vulnerability to flood disasters. Our results further indicate that subsidized disaster loans are important for businesses, with statistically significant effects estimated for businesses employing fewer than 50 people. At the margin, for every additional dollar spent on disaster loans per establishment in a county, four small businesses survive. Gloomy projections about increasing frequency and severity of disasters imply there will be significant loss in local economic activities because of increased vulnerability of small businesses to these incidents. Moreover, these effects will have implications nationwide, given the vital role small businesses play in creating jobs.     

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

We document the presence of Markov switching regimes in expected returns, variances and the implied reward‐to‐risk ratio of real estate investment trust (REIT) returns and compare them to properties of stocks and bonds. Our evidence suggests that regime switching techniques are more successful over the period 1972–2008 than other time‐series models are. When the analysis is extended to a multivariate setting in which REIT, stock and bond returns are modeled jointly, we find that the data call for the specification of four separate regimes. These result from the absence of synchronicity among the regimes that characterize univariate REIT, stock and bond returns.     

THE ECONOMICS OF THE UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS

Abstract Financial account liberalizations since the second half of the 1980s paved the way for the burgeoning literature that investigates foreign exchange market efficiency in emerging markets (EMs) via testing for the uncovered interest parity (UIP) condition. This paper is the first to provide a broad and critical survey on this recent literature. Specifically, we attempt to answer the following questions. First, are the EMs different from the developed economies in the context of the UIP condition? Second, to what extent can these differences contribute to the debate on the UIP literature? Third, what are the empirical challenges specific to the EMs in testing for the UIP condition?     

The Subprime Virus

We examine the correlation between prime mortgage default risk and the introduction of subprime mortgages in a local area. We motivate our analysis with a model of a default contagion effect that spreads the effect of a mortgage foreclosure from one property to surrounding properties. Through numerical analysis, we demonstrate the effect of subprime mortgage originations to the risk of prime mortgages. Finally, we offer empirical support for our model by examining the spatial variation in MSA prime mortgage default rates and the level of subprime mortgage activity.     

Gender and Perceived Fundamental Moral Orientations: An Empirical Study of the Turkish Hotel Industry

Recent history is replete with scandalous acts and charitable acts within the business community. Unfortunately, scandalous acts seem to occur with greater frequency than charitable acts – at least as reported in the broadcast and print media. An interesting corollary to the incidence of scandalous and charitable acts is the apparent differential involvement of men and women, particularly in scandals. This article explores a possible explanation for the apparent gender differential in involvement in scandals and acts of charity. Drawing on a conceptual framework of three Fundamental Moral Orientations (FMOs) – selfishness, self-fullness, and selflessness – and relevant literature on gender effects, this article explores whether men and women are perceived as differing fundamentally in how they approach moral dilemmas. This phenomenon is examined with a sample of personnel (n = 682) from the hotel industry in Turkey. Results of the study indicate that gender has some effect on the perceived adoption of FMOs, and that these gender effects are generally consistent across age, educational level, and organizational rank categories. Implications of the findings are discussed.     

Measuring the Impact of Price-Induced Innovation on Technological Progress: Application to the U.S. Food Processing and Distribution Sector

A model of price-induced innovation is presented incorporating long-run prices as arguments in the production function serving the role of stimulating firms to seek innovations. The empirical application examines the production structure and technological progress of the U.S. food processing and distribution sector for the period 1948–1991. The empirical model separates scarcity, innovation, and exogenous technical change responses in analyzing the Morishima elasticities for input combinations and multifactor input biases. The results suggest significant structural changes occurring in the food processing and distribution sector since 1980. Focusing on multifactor input bias, results suggest that there are no wide changes in technical change patterns over the last forty years. However, Morishima elasticity results suggest a more varied pattern of technical change between inputs. The price-induced technical progress has a dominant contribution on input decisions compared with the exogenous technical change.     

Consequences of New Product Development Speed: A Meta‐Analysis

Five meta‐analyses previously have been published on the topic of new product development involving the concept of new product development speed. Three of these studies have investigated antecedents to new product development success, of which just one was new product development speed. The other two studies used new product development speed as the dependent variable, and analyzed antecedents to achieving speed. This article extends previous empirical generalizations in this domain by using a meta‐analytic methodology to understand the link between new product development speed and new product success at a more granular level. Specifically, it considers the relationship with different dimensions of success as measured overall or compositely, operationally (i.e., the process measures of decreasing development costs and proficiently managing market entry timing and the product measures of technical product performance and product competitive advantage), and relative to external success outcomes (i.e., customer based and financial success). While the results indicate that, in general, new product development speed is associated with improving success outcomes, those relationships may diminish or even disappear depending upon a number of methodological design decisions and research contexts. A subsequent meta‐analysis of the antecedents of development speed provides a more holistic picture of development speed. These results are broadly consistent with those produced by another recent meta‐analytic investigation of the issue. Together, these findings have important implications for academics pursuing further research in this domain, as well as for managers considering implementing a program to increase new product development speed.     

Organizational citizenship behaviour: a study of young executives in Canada,Iran, and Turkey

One of the most interesting constructs in organizational studies and human resource management is perhaps the concept of organizational citizenship behaviour (OCB). OCB emphasizes constructive and cooperative employee behaviours that contribute to the organization, yet do not fall within the domain of mandatory in-role behaviours. While researchers have investigated the role of contextual attitudes and dispositional attributes on the OCB, there is a lack in cross-cultural examination of this concept. The purpose of this study is to investigate the influence of individuals' job-related attitudes and dispositional characteristics on their OCB in three different societal cultures, that is, Canada, Iran, and Turkey. Data reported were collected from 220 young executives in these three countries. The results reveal similarities and differences among these cultures on cognitive and affective predictors of OCB.