Pricing assets with higher moments: Evidence from the Australian and us stock markets

This paper investigates the importance of higher moments of return distributions in capturing the variation of average stock returns for companies listed in the leading S&P US and Australian indices. We find that Australian stocks are more negatively skewed but less leptokurtic than US stocks. As a result, we find that co-skewness plays a more important role in explaining Australian returns while co-kurtosis is consistently influential for US stock returns. We postulate that the differences in results are related to the underlying firm characteristics of the companies in the two indices, where principally the Australian firms are noticeably smaller than their US counterparts and concentrated in a smaller number industry sectors. This implies that for many smaller exchanges around the world higher moment characteristics displayed by the US market may not be applicable. We also show our results are robust to partly explaining average stock returns in the presence of size, value, and momentum effects.     

Can outstanding dividend payments be estimated by American options?

Based on historical market data for American options on a stock and no-arbitrage bounds on future dividends they can!      

A Bibliometric Review of Open Innovation: Setting a Research Agenda

Through an objective, systematic, and comprehensive review of the literature on open innovation (OI), this article identifies gaps in existing research, and provides recommendations on how hitherto unused or underused organizational, management, and marketing theories can be applied to advance the field. This study adopts a novel approach by combining two complementary bibliometric methods of co‐citation analysis and text mining of 321 journal articles on OI that enables a robust empirical analysis of the intellectual streams and key concepts underpinning OI. Results reveal that researchers do not sufficiently draw on theoretical perspectives external to the field to examine multiple facets of OI. Research also seems confined to innovation‐specific journals with its focus restricted to a select few OI issues, thereby exerting limited influence on the wider business community. This study reveals three distinct areas within OI research: (1) firm‐centric aspects of OI, (2) management of OI networks, and (3) role of users and communities in OI. Thus far, studies have predominantly investigated the firm‐centric aspects of OI, with a particular focus on the role of knowledge, technology, and R&D from the innovating firm's perspective, while the other two areas remain relatively under‐researched. Further gaps in the literature emerge that present avenues for future research, namely to: (1) develop a more comprehensive understanding of OI by including diverse perspectives (users, networks, and communities), (2) direct increased attention to OI strategy formulation and implementation, and (3) enhance focus on customer co‐creation and conceptualize “open service innovation.” Marketing (e.g., service‐dominant logic), organizational behavior (e.g., communities of practice), and management (e.g., dynamic capabilities) offer suitable theoretical lenses and/or concepts to address these gaps.     

Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*

Johansen's reduced‐rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect. The two estimators are compared in a small simulation study. It is found that the GLS estimator can indeed be an attractive alternative to ML estimation of cointegration parameters.     

重新发现IT外包

IT业务外包已成为越来越普遍的现象,然而,企业从外包中获得好处的愿望能否成真?企业的商务环境是否发生了彻底变化?BCG专家经过研究认为,如果你对上述任一问题的答案是肯定的,那现在就到了你对上一次IT外包举措进行批判性审视的时候了。     

Distortions in world trade: Recent developments

The functioning of the world trading system is seriously distorted by a multitude of protectionist measures that impede a possible expansion in world trade and national product. Hans Joachim Hochstrate and Ralf Zeppernick analyse the latest developments against the background of the current Uruguay Round of GATT negotiations.     

Market-testing Healthcare: Managed Care, Market Evolution and the Search for Regulatory Principles

The growing costs of healthcare as a percentage of GDP in the industrial countries are causing considerable problems for these economies, but any attempt to change the existing healthcare system in any given country is usually accompanied by hefty political debate. A system needs to be found that rations healthcare efficiently and effectively, and which is also politically acceptable. The following article examines recent changes in the healthcare systems in the UK and USA and discusses the extent to which they meet these criteria.