Real estate return correlations: Real-world limitations on relationships inferred from NCREIF data

Correlation estimates for returns between individual properties are subject to large inherent uncertainties due to limits on the amount of data that is likely to be available for the foreseeable future. After allowance for correlation sampling error, it is impossible to distinguish on an ex ante basis between the risk-reduction capabilities of mean-variance portfolio selection models and naive diversification without regard to property type or geographical location. The naive portfolio diversification strategies of typical institutional real estate portfolio managers are rational responses to limitations on the informational content of statistical analyses of historical real estate data.     

Longevity Bonds: Financial Engineering, Valuation, and Hedging

This article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice of the reference population index. The article also looks at valuation issues in an incomplete markets context and finishes with an examination of how LBs can be used as a risk management tool for hedging longevity risks.     

Business Opportunities in China 2006

Chinese Economy increased with high rate for recent 30 years. In 2005, Chinese GDP reached $2.3 trillion, an increase of 9.9% over the previ ous year. Though China got outstanding achievement in economy grow up, she still is facing a lot of troubles now or in potential.     

Regulatory Impact Assessment in Developing and Transition Economies: A Survey of Current Practice

Regulatory impact assessment (RIA) involves a systematic appraisal of the costs and benefits associated with a proposed new regulation and evaluation of the performance of existing regulations. So far, most academic research has been concerned with the adoption of RIA in OECD countries. This article assesses the contribution that RIA can make to 'better regulation' in developing and transition economies. The results reported in this article suggest that a growing number of low and middle-income countries are beginning to apply some form of regulatory assessment, but that the methods adopted are partial in their application and are not systematically applied across government. The authors discuss the implications of their findings for capacity building and future research.     

Modelling the behaviour of the new issue market

This paper analyses the time series behaviour of the initial public offering (IPO) market using an equilibrium model of demand and supply that incorporates the number of new issues, average underpricing, and general market conditions. Model predictions include the existence of serial correlation in both the number of new issues and the average level of underpricing, as well as interactions between these variables and the impact of general market conditions. The model is tested using 40 years of monthly IPO data. The empirical results are generally consistent with predictions.     

Ownership structure and the pricing of discretionary accruals in Japan

This paper examines the valuation effect of discretionary accruals for Japanese firms, taking into account the book value of equity. Consistent with US evidence, the Japanese market prices discretionary accruals, indicating that discretionary accruals enhance the value relevance of reported earnings. This value relevance is lower for cross-held firms, consistent with the view that cross-business shareholding aggravates tunneling or managerial opportunism through discretionary accounting choices. On the other hand, foreign shareholding and bond financing provide effective monitoring on managerial discretion of profit firms to enhance the valuation of discretionary accruals.     

Private Pension Arrangements and Retirement in Britain*

This paper looks at the policy debate surrounding private pensions and retirement patterns in the UK. Recent increases in longevity have led not only to increased pressures in public pensions but also to corresponding increases in the importance of private pensions in the UK and changes in the way in which they are structured. We consider the economic implications of these changes, and in particular the increased importance of defined contribution plans. In addition, we discuss the prospects for future trends in retirement ages.     

Intraorganizational influences on business-to-business pricing strategies: A political economy perspective

Historically, researchers have addressed pricing issues from many different perspectives, including the firm's business model (cost structure, experience curve), stakeholders (customers and channel partners), competition (market structure and intensity), and macroeconomic issues (interest rates, economic growth). An important dimension of organizational price setting that has been neglected is the impact that the firm's internal political system, reflected in interdepartmental coordination and rivalry, has upon price setting. A study of managers who are influential in shaping the firm's pricing strategy was conducted to identify intraorganizational issues and their relative impact on the firm's pricing strategy. The results of the study provide important implications for the development and execution of a firm's pricing strategy.     

Sales force technology usage—reasons, barriers, and support: An exploratory investigation

Increasingly, salespeople are being asked to adopt and use a variety of technologies to increase their selling productivity and efficiency, including sales force automation and customer relationship management technologies. However, little research has investigated what happens once sales force automation (SFA) technology is adopted. This paper explores the reasons why salespeople use SFA technologies, the perceived barriers to SFA usage and how management can increase the usage of SFA technology. First, a qualitative study was performed to gain insight about salespeople's automation technology usage and the reasons why some salespeople fully use or do not utilize technology. After the initial study, 130 salespeople were surveyed. More productivity/efficiency was the main reason why salespeople use technology, the lack of management and technical support proved to be the main barrier to usage, and training proved most effective in increasing usage of SFA technology. Sales managers are provided with implications of the findings.     

CMBS Subordination,Ratings Inflation,and Regulatory‐Capital Arbitrage

Using detailed origination and performance data on a comprehensive sample of commercial mortgage‐backed security (CMBS) deals, along with their underlying loans and a set of similarly rated residential mortgage‐backed securities (RMBS), we apply reduced‐form and structural modeling strategies to test for regulatory‐capital arbitrage and ratings inflation in the CMBS market. We find that the spread between CMBS and corporate‐bond yields fell significantly for ratings AA and AAA after a loosening of capital requirements for highly rated CMBS in 2002, whereas no comparable drop occurred for lower rated bonds (which experienced no similar regulatory change). We also find that CMBS rated below AA upgraded to AA or AAA significantly faster than comparable RMBS (for which there was no change in risk‐based capital requirements). We use a structural model to investigate these results in more detail and find that little else changed in the CMBS market over this period except for the rating agencies' persistent reductions in subordination levels between 1997 and late 2007. Indeed, had the 2005 vintage CMBS used the subordination levels from 2000, there would have been no losses to the senior bonds in most CMBS structures.