A Comparison of the Power of Parametric and Nonparametric Tests of Location Shift for Event Studies

This paper distinguishes between testing approach (parametric t, sign, cross-sectional rank, and longitudinal rank) and test type (conventional, standardized, and weighted least squares). Similar tests (i.e., tests of the same type) are compared for each testing approach using constant and unequal shift models. Thus the results given here are free of confounding effects present in prior comparisons of dissimilar tests. While all the tests compared are sensitive to the underlying location shift model, if the shift is independent of the security standard deviation, then the weighted least squares longitudinal rank test is most. powerful.     

Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests

Although there is an extensive literature that evaluates long-run stock returns, the statistical tests that are commonly used are misspecified when event firms share common characteristics. For example, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that allows for heteroskedasticity and autocorrelation. Our tests are well-specified in random samples and in samples with industry clustering and with overlapping returns.     

Vendor performance with supply risk: A chance-constrained DEA approach

The strategic importance of vendor evaluation is well established in the purchasing literature. Several evaluation methodologies that consider multiple performance attributes have been proposed for vendor evaluation purposes. While these techniques range from scoring models that utilize prior articulation of weights to derive composite scores for vendors to advanced mathematical models, methods that incorporate the inherent variability in vendor's performance attributes have been limited. The primary reason for the lack of development of such models is due to the complexities associated with stochastic approaches. In order to more accurately evaluate the performance of vendors, it is critical to consider variability in vendor attributes. This paper is an attempt to fill this void in vendor evaluation models by presenting a chance-constrained data envelopment analysis (CCDEA) approach in the presence of multiple performance measures that are uncertain. Our paper effectively demonstrates the first application of CCDEA in the area of purchasing, in general, and vendor evaluation, in particular. The model is demonstrated by applying it to a previously reported dataset from a pharmaceutical company.     

REGULARITIES IN TOKYO STOCK EXCHANGE SECURITY RETURNS: P/E,SIZE, AND SEASONAL INFLUENCES

Regularities in risk-adjusted returns for securities listed on the Tokyo Stock Exchange (TSE) are examined in this study. A significant price-to-earnings (P/E) ratio effect is documented for the first time for a non-U.S. market, the TSE. Significant interactions between the P/E effect and the previously documented size and seasonal effects for the TSE are also documented. These results imply that studies of TSE companies must account for these return regularities and that explanations for such effects observed for U.S. and other markets that are based on some unique aspect of these markets are likely to be inadequate.     

Loans to LDCs and massive defaults

The quadrupling of oil prices since the end of 1973 was accompanied by a rapid increase in the borrowings of developing countries. A global view of their external debt situation reveals some alarming realities.     

Can CRR,CAR and SLR policy tools perform perversely?

A simple theoretical model is developed from the bank balance sheet identity to understand the effects of cash reserve ratio (CRR) on deposit multiplier. It is found that the deposit multiplier can behave perversely, depending on the loan demand and deposit supply parameters. Thus, CRR can work counter-factually and counter-intuitively, as a monetary policy tool. Further, it is found that the capital adequacy ratio – the Basel policy tool – can also work counter-intuitively. The statutory liquidity ratio tool almost mimics the CRR in performance.     

Free in-network pricing as an entry-deterrence strategy

This paper analyzes the entry-deterring power of free in-network pricing with multiple incumbents. Free in-network pricing may deter entry since it creates network externality that intensifies competition. One may expect that a particular entry-deterrent strategy adopted by all incumbents would have more entry-deterring power than when it is adopted by some incumbents only. However, we show that when free-in network plan has entry-deterrence power with two incumbent firms, sometimes one incumbent offering free in-network plan may have more entry deterrence power than both firms offering free in-network plans. In other words, we find that an asymmetric adoption of entry-deterrence strategies by the incumbent firms may be the best for entry deterrence. This result highlights the importance of the strategic choice of the pricing plan as a function of not only the likelihood/cost of entry but also of the plan choices of other firms, and may partially explain the asymmetric strategies used by competing firms.     

Robust Imitation Strategies

Performance is the lifeblood of a firm's management. Performance itself depends on the adaptation of strategy based on learning and the environment. An important way that firms adapt their strategy is through imitation or mimetic isomorphism. Imitation implies a referent for such adaptations. This article seeks to determine who or what should serve as that referent. Accordingly, this research (1) develops a broad and rich model of industry dynamics, bringing together literature from industrial economics, strategic groups, learning, and resource‐based theories; (2) examines the robustness of imitations strategies; and (3) develops a framework of the managerial implications of imitative behavior in varying industry conditions. Copyright © 2013 John Wiley & Sons, Ltd.