Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals

Recent research suggests that fractional Brownian motion can be used to model the long-range dependence structure of the stock market. Fractional Brownian motion is not a semi-martingale and arbitrage opportunities do exist, however. Hu and Øksendal [Infin. Dimens. Anal., Quant. Probab. Relat. Top., 2003, 6, 1–32] and Elliott and van der Hoek [Math. Finan., 2003 Elliott, RJ and van de Hoek, J. 2003. A general fractional white noise theory applications to finance. Math. Finan., 13: 301–330. [Crossref], [Web of Science ®] , [Google Scholar], 13, 301–330] propose the use of the white noise calculus approach to circumvent this difficulty. Under such a setting, they argue that arbitrage does not exist in the fractional market. To unravel this discrepancy, we examine the definition of self-financing strategies used by these authors. By refining their definitions, a new notion of continuously rebalanced self-financing strategies, which is compatible with simple buy and hold strategies, is given. Under this definition, arbitrage opportunities do exist in fractional markets.     

Measuring currency exposure with quantile regression

In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous studies. We propose to correct the bias with the quantile regression technique invented by Koenker and Bassett (Econometrica 46:33–51, 1978). Empirically, as soon as we take into account the missing variable bias as well as time variation in currency exposure, we find that 26 out of 30 or 87 % of the US industry portfolios exhibit significant currency exposure to the Major Currencies Index, and 23 out of 30 or 77 % show significant exposure to the Other Important Trading Partners Index. Our results have important theoretical and practical implications. In terms of theoretical significance, our results strengthen the findings in Francis et al. (J Financ Econ 90:169–196, 2008), and suggest that methodological weakness, not hedging, may explain the insignificance of currency risk in previous studies. In terms of practical significance, our results suggest a simple yet efficient approach for managers to estimate currency exposure of their firms.     

Predicting market returns using aggregate implied cost of capital

Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation ratios and business cycle variables, both in-sample and out-of-sample, and is robust to alternative implementations. We also find that ICCs of size and book-to-market portfolios predict corresponding portfolio returns.     

Market structure and casino taxation in tourist resorts

This article examines the association of tax effects with market structure for casino gaming. We show that if market structure is uncompetitive, much of casino taxation falls on tourists whose demand is inelastic relative to supply. The tax is likely to be efficient under strong external demand if imposed on oligopoly casinos with a monopoly location in a cross-border market. The likelihood of economically ‘good’ taxation is greater under oligopoly than under competition but lower than under monopoly. Casino taxes should be lowered in a more competitive market with weaker external demand. Our prediction is consistent with the evidence found from casino tourism development in Macao with ‘high’ gambling taxes.     

Gender and the demand for medical care

The consumption of a set of diverse medical services is analysed in an effort to determine the sources of high utilization by women.Unlike previous studies of gender and the demand for medical services,the range of services investigate allows us to draw conclusions about the influence of physicians as agents.We use a modified version of the almost-ideal demand model in the emperical analysis which,unlike the double-log quadratic, or linear demand models, is consistent with constraints imposed by economic theory.Through decomposition of the variance, it was found that if women reported the same series of health indicators as men. their use of most services would fall below that of men.     

Product placement practices in prime-time television programmes in Hong Kong

ABSTRACT

Product placement research tends to show how product placements impact consumer behaviour but less research examines the nature of product placement execution. This is the first study to examine product placement execution in Asia focusing on Hong Kong prime-time television programmes. Specifically it explores the prevalence of brand appearances, characteristics of programmes linked to brand appearances, features of placed brands and products, modality of brand appearances, character interaction with placed products and the placement context. It was found that integrating brands in television programmes in Hong Kong seems to be well supported by advertisers, with one brand appearing in every 11 minutes of programming. Less than half of brand appearances were disclosed at the end of the programmes, while none were disclosed prior to the programme which raises questions about regulation of the practice. Results of the analysis provide useful insights into the practice of product placement in this fast growth context and its (dis)connection with existing product placement literature.     

Travel Behaviors of Mainland Chinese Visitors to Macao

This study empirically identifies variations in traveling patterns underlying the second wave of the Chinese outbound tourism market. Targeting visitors to Macao (Special Administrative Region), this study examined respondents’ traveling behaviors with data collected from three continuous large-scale surveys. Results reaffirmed the conceptually repeated, but not empirically verified, viewpoint that the Chinese market is evolving. Specifically, there has been a surging interest in self-organizing trips with smaller groups, skipping pre-trip planning, and last-minute booking (i.e. walk-ins). Conversely, mainland Chinese showed less interest in gaming-related activities. Implications and suggestions are offered accordingly.     

Evolution of Hong Kong's electronics industry under a passive industrial policy

A different version of industrial policy from those of other Asian newly industrialized economies, limited public participation in R&D activities within the business sector in promoting specific industries in particular, has directed the evolution of Hong Kong's electronics industry along a distinct path. Being predominated by smaller manufacturers, the electronics industry showed great differences in technology attainment, product development, production strategies, and export structure and composition under the influence of a passive industrial policy. The timely opening of the Chinese economy in the late 1970s and the absence of a national identity had provided justification for such a policy.     

Transition to more cooperative and consensual pattern of labour-management relations: Singapore and Hong Kong compared

In recent years, labour-management relations in Hong Kong and Singapore appear to have been shifting away from confrontation towards cooperation. This paper examines the relative contributions of thelaissez-faire and the State approaches to this development, and proposes that a collaborative industrial partnership might take different forms in the two societies.The authors thank the anonymous reviewers of the APJM for their comments and for recommending several additional references.     

The Distinction Between Charisma and Vision: An Empirical Study

It is argued that the confusion clouding new leadership theories can be cleared if charisma and vision are treated as distinct constructs. Consistent with the argument, new instruments for measuring the two constructs were developed and the moderating role of cognitive complexity in distinguishing charisma and vision was examined. Further, the study investigated the effects of charisma and vision on motivation, satisfaction, commitment, and performance of followers. Self-reports were obtained from 455 subordinates of 138 managers from 10 companies in Singapore. Findings suggest that both charisma and vision have two dimensions each and that these dimensions affect the four follower-level outcomes differentially.