Introduction

This study decomposes the unconditional stock return volatility into two categories: systematic versus idiosyncratic risk, to re-examine the link between size and risk in the banking industry. The feasibility of the model is tested using data for US banks from 1998 to 2007. The evidence uncovered suggests that the practice of size-related diversification obtained with large banks reduces the firm-specific risk, and thus weakens stock return variances. However, rather than eliminating firm-specific risk, it is being transformed into systematic risk. Additionally, our empirical findings can potentially explain why a bank's size-related diversification does not result in a reduction in its unconditional stock return volatility reported in Demsetz and Straha [Historical patterns and recent changes in the relationship between bank size and risk. Federal Reserve Bank of New York Economic Policy Review, 1(2), 13–26 (1995); Diversification, size, and risk at bank holding companies. Journal of Money, Credit, and Banking, 29, 300–313 (1997)].     

Fitting and testing for the implied volatility curve using parametric models

Numerous issues have arisen over the past few decades relating to the implied volatility smile in the options market; however, the extant literature reveals that relatively little effort has thus far been placed into comparing the various implied volatility models, essentially as a result of the lack of any theoretical foundation on which to base such comparative analysis. In this study, we use a comprehensive options database and employ methods of combining the various hypothesis tests to compare the different implied volatility models. To the best of our knowledge, this is the first study of its kind to address this issue using combination tests. Our empirical results reveal that the linear piecewise model is the most appropriate model for capturing the implied volatility smile, with additional robustness checks confirming the validity of this finding.     

The influence of Internet on politics: the impact of Facebook and the Internet penetration on elections in Taiwan

Previous research on elections indicates that the rise of social media has had a positive impact on political participation and political interest, resulting in more voters going to the polls. However, there has been no research on the impact that social media have on bringing about a change in government. This research investigates the impact that the Internet and the Chinese version of Facebook have had on election results in Taiwan from 2001 to 2016. The findings indicate that after the Chinese version of Facebook appeared in 2008, the higher the penetration rate of the Internet in the Taiwan region, the more likely that political power will change hands and the ruling party will lose an election.     

Effects of Trade Liberalization on Taiwan: A Computable General Equilibrium Analysis

Joining the GATT has been established as one of the most important economic and political targets of the Taiwan government. However, the effects of this action are difficult to establish. Because of the openness of Taiwan's domestic market there could be serious changes in the production structure and income distribution, especially in the relative status of the agricultural and nonagricultural sectors, of protected and unprotected sectors, and also of producers and consumers. The possible high cost of this move on society has caused its necessity to be questioned. In order to clear up the controversy surrounding this issue, this paper, uses a CGE model to analyse the possible effects of this policy change. Following proposals from the Final Draft of the Uruguay Round, we use tariff and nontariff barriers, aggregate measurement of support (AMS), and export quota in our model as policy tools. We omit liberalization in the service sector, because of quantification difficulties. Our analysis includes the impacts on resource allocation, production structure, income distribution and consumers' welfare.     

An empirical study of the effects of Guanxi investment on customer loyalty in Chinese market

The purpose of this study is to examine the relationship among Guanxi investment, affective commitment and customer loyalty. A customer win-back model is proposed, including Guanxi investment strategies, customer perceptions (price sensitivity, trust and affection), affective commitment and customer 1oyalty(i.e., true loyalty, latent loyalty, spurious loyalty, non loyalty). The fieldwork was conducted in the hotel industry in China (N=1074). Results show that Guanxi investment strategy has significant effects on customer’s loyalty. This study hence contributes to the literature on customer win-back strategy and provides useful suggestions for managers in charge of customer relationship management.     

区域人口社会经济系统动态仿真模型研究

信息化是 2 1世纪国际竞争的焦点 ,世界上许多国家和地区都对其社会信息化水平进行了测定。本文建立一测定模型 ,对浙江省信息化水平进行测定及分析 ,给出了推进浙江省社会信息化建设的建议     

Prospect theory and the risk-return paradox: some recent evidence

There is extensive evidence indicating a negative risk–return relation when a firm’s performance is measured based on accounting measures such as return on asset (ROA) and return on equity (ROE). Previous studies show that the risk-return paradox can be explained by the prospect theory, which predicts that managers’ risk attitudes are different for firms of different performances. However, those studies mostly use earlier data from the COMPUSTAT database, which suffers from a survivorship bias. Failure to account for delisting firms may understate the risk–return relation. We reexamine the mixture of risk-seeking and risk-averse behaviors based on an updated 20-year sample period that is free from the survivorship problem. Interestingly, our results show stronger and robust evidence supporting the prospect theory during the period from 1984 to 2003.     

Prospect theory and the effectiveness of price limits

Assuming that traders are risk-neutral, Brennan (1986) shows that price limits are effective in improving the efficiency of futures contracts with limited accessibility to information because they obscure the exact loss when they are triggered. However, Brennan's (1986) model fails to explain why price limits also exist in contracts with abundant information like those of financial futures. We show that when traders are loss-averse, the effectiveness of price limits is strengthened even in the presence of precise information. Thus, our analysis provides a theoretical foundation explaining why price limits can be useful when market participants are not fully rational.     

A Bayesian Approach to Modeling Purchase Frequency

Direct marketers are often faced with the task of ranking, or scoring individual customers in terms of their expected value to the firm. A critical element of their scoring systems is expected frequency of customer interaction. In this paper the authors develop a hierarchical Bayes model of purchase frequency that combines a Poisson likelihood with a gamma mixing distribution, where the mixing distribution is a function of covariates. The proposed model is evaluated with two direct marketing datasets, and is shown to provide improved estimates of purchase frequency, particularly for customers with short purchase histories or who have infrequent interaction with the firm.     

黑龙江省农业国际化问题研究

农业国际化是经济全球化的必然产物。农业国际化背景下,黑龙江省农业将面临更加开放和竞争更加激烈的市场环境。如何发挥优势,利用资源,调整发展战略,提高农产品国际竞争力,加快农业国际化步伐是黑龙江省农业今后发展的重要工作。在分析了黑龙江省农业国际化制约因素的基础上,提出了提高农产品质量,加快标准化建设,调整农业产业结构,大力发展龙头企业等发展对策。