Bootstrap Tests for Multivariate Event Studies

Statistical tests for multivariate event studies—exact or asymptotic—are derived based on multivariate normality. As it has been previously documented that the performances of these tests are not satisfactory, because stock returns are far from normally distributed (especially for daily returns), this paper proposes the use of bootstrap methods, which are free from any specific distributional assumption, to provide better approximations to the sampling distributions of test statistics in multivariate event studies. The Monte Carlo experiments based on real daily returns data show that the bootstrap tests outperform the traditional tests by having close rejection rates to the nominal significance levels. The traditional tests, in contrast, tend to reject the null hypotheses too often.     

THE TAYLOR PRINCIPLE IN THE LONG RUN: AN EMPIRICAL PERSPECTIVE

In this paper, we empirically assess the Taylor principle in the long run with a small‐scale, trivariate structural vector autoregression. Using U.S. data spanning the period from 1959Q1 to 2010Q2 and different measures of inflation and the output gap, we find that the Taylor principle is supported in the long run for the post‐1979 era, but the principle is unlikely to hold in the long run for the pre‐1979 era. (JEL E52, E58)     

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.     

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.     

Forecasting time-varying covariance with a range-based dynamic conditional correlation model

This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can boost the accuracy for estimating time-varying covariances. As to the empirical study, we use the S&P 500 stock index and the 10-year treasury bond futures to examine both in-sample and out-of-sample results for six models, including MA100, EWMA_, CCC_, BEKK, return-based DCC, and range-based DCC. Of all the models considered, the range-based DCC model is largely supported in estimating and forecasting the covariance matrices.     

日韩企业专利战旁观

近几年,日韩企业围绕专利诉讼纠纷频频过招,其中最典型的就是2004年11月世界两大电子巨头——日本松下与韩国LG之间的等离子专利纠纷案。松下状告LG电子侵犯了该公司的专利,要求法院下达禁令,禁止在日本销售这家韩国公司的等离子显示屏。此外,松下还要求东京海关颁布禁令禁止LG的等离子显示面板向日本进口。     

Private labels and new product development

This paper provides a positive theory of private labels in new product development when a non-integrated distribution channel is faced with demand uncertainty. We consider a regular marketing environment in which a manufacturer endowed with a branded product seeks to design a new product to resolve its retailer’s mis-targeting problem and to optimally screen consumers. Assuming that only linear pricing schemes are available and that the retailer learns the state of demand earlier than the manufacturer does, we show that the presence of a private label always improves channel efficiency. Moreover, a private label is more likely to prevail when the existing branded product is a premium item.

Family-friendly policies in the workplace and their effect on work–life conflicts in Hong Kong

As in many other big cities, employees in Hong Kong face competing demands from their work and family and are under a tremendous conflict between work and life. Recently, the Hong Kong Special Administrative Region Government has put a lot of effort into promoting family-friendly policies, but the availability and effectiveness of these policies are largely unknown. The social distribution of work–life conflicts across social status and the dimensions of stratification in Hong Kong have already been documented. This paper examines these issues by way of a telephone survey of over 1000 employees in Hong Kong. We argue that certain groups of workers are particularly vulnerable to work–life conflicts, and target interventions must be devised to address their needs. Moreover, we also suggest that a regulatory approach to implementing family-friendly policies must be undertaken once implementation on a voluntary basis has failed, owing to the low availability of family-friendly policies in the Hong Kong workplace. Lastly, we show the effectiveness of three measures – namely flexible work time, a five-day work week and career breaks – in reducing both work–life conflicts and their negative consequences. We argue that more rigorous randomized intervention must be undertaken to provide more conclusive evidence so as to convince employers to implement these policies in their enterprises.     

This is why I have decided to stop helping you: A theoretical model of help-giving discontinuity in organizations

Drawing upon conservation of resources (COR) and attribution theories, we develop a help-giving discontinuity model. From the COR perspective, we theorize that when help-giving is perceived to be obligation, prevention-focused self-regulation is triggered, which induces help-giving discontinuity to prevent further loss of resources. Additionally, when a low likelihood of receiving reciprocated help is perceived, prevention-focused self-regulation is activated, which induces help-giving discontinuity due to insufficient replenishment of resources. From the attribution perspective, we propose that a co-worker's lack of effort and recurrence of the same task-related issue promote dispositional attributions, which result in help-giving discontinuity. Our model, therefore, provides an important theoretical base for future research investigating why some employees continuously help others while others do not.