Optimal portfolios with minimum capital requirements

We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the ‘stressed’ VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios.     

Impact factor as a metric to assess journals where OM research is published

This paper investigates impact factor as a metric for ranking the quality of journal outlets for operations management (OM) research. We review all prior studies that assessed journal outlets for OM research and compare all previous OM journal quality rankings to rankings based on impact factors. We find that rankings based on impact factors that use data from different time periods are highly correlated and provide similar rankings of journals using either two-year or five-year assessment periods, either with or without self-citations. However, some individual journals have large rank changes using different impact factor specifications. We also find that OM journal rankings based on impact factors are only moderately correlated with journal quality rankings previously determined using other methods, and the agreement among these other methods in ranking the quality of OM journals is relatively modest. Thus, impact factor rankings alone are not a replacement for the assessment methods used in previous studies, but rather they evaluate OM journals from another perspective.     

刍议跨国并购交易中的几个关注因素

在全球经历了五次并购浪潮后,越来越多的中国公司希望通过跨国并购的形式寻求海外投资机会,实现跨越式发展。有鉴于此．中华咨询与美国波士顿商学院联合进行了跨国并购领域的专项研究,     

Effects of brand-related and market signals on franchisees’ entrepreneurial decisions: a multi-country panel data analysis

This paper analyses the influence of market and brand-related signals on franchisees’ decisions when choosing a franchise brand with which to open an outlet for the first time. Panel data methodology was used to analyse a sample of 1277 chains operating in Spain, Mexico and Peru between 2004 and 2013. The results show that market signals prevail over brand-related signals. Within brand-related signals, franchisees first seek information relating to the brand’s sector and then seek information relating to the brand’s value. Franchisors should match the content of the signals they send to the market to the true characteristics of the franchise. Franchisors should also endeavour to ensure the country where they operate has general and franchise-specific legislation that fosters business activity by both franchisor and franchisee. The use of institutional quality as a signal in a multi-country study represents a significant contribution to the literature on franchising.

     

Introducing Practical Wisdom in Business Schools

This article echoes those voices that demand new approaches and ‹senses’ for management education and business programs. Much of the article is focused on showing that the polemic about the educative model of business schools has moral and epistemological foundations and opens up the debate over the type of knowledge that practitioners need to possess in order to manage organizations, and how this knowledge can be taught in management programs. The article attempts to highlight the moral dimension of management through a reinterpretation of the Aristotelian concept of practical wisdom. I defend the ideas that management is never morally neutral and that Aristotelian practical wisdom allows the recovery of moral considerations in management practice. I analyze the impact and implications that the introduction of practical wisdom in business schools entails for the conception and objectives of management education. This view reconfigures management education in terms of attention to values, virtues and context. Therefore, management programmes should prepare students to critically evaluate what they hear and to make decisions coherent with their values and virtues. In the final section, I reflect on the pedagogical implications of this approach. I point out that an integrated model of ethics and practical wisdom promotes education of cognition and education of affect as well. I provide an example to illustrate my perspective and to support my conclusions.     

Processes and effects of targeted online advertising among children

Increasingly, information from children's profile pages on social network sites is being used to target online advertising, a phenomenon known as profile targeting. This practice has raised concerns in society and academia; however, its effects among children remain unstudied. Therefore, we investigated the effects of profile targeting on children's brand responses (i.e., brand attitude and purchase intention). We examined two types of targeting: targeting of product and of form (i.e., color). In addition, we tested three underlying mechanisms: liking the advertisement, perceived personal relevance of the advertisement, and recognizing the targeting aspect of the advertisement (targeting recognition). A between-subjects experiment among 231 children aged 9–13 years showed that targeting the product leads to more positive brand attitudes and purchase intentions. In addition, the effects were explained by ad liking and not by perceived personal relevance or targeting recognition. These findings suggest that, unlike adults, children do not process profile targeting on an elaborate critical level. Rather, the processing seems to be less elaborate.     

Dynamic technological specialization,aggregated convergence and growth

This paper focuses on the contribution of dynamic technological specialization to aggregated growth and convergence. Certain theoretical approaches (Structuralism) maintain the view that being specialized in ‘correct’ technologies helps to achieve: i) sustainable rhythms of long-run growth; ii) accelerated catching up and higher rhythms of convergence in delayed countries. Using an endogenous growth model for a 23 countries sample between 1980 and 2010, the work contrasts those hypotheses by using static and dynamic approaches for technological specialization in comparison to other technological variables. Empirical results do not confirm that any ‘good’ specialization matters to growth and convergence at an aggregated level, neither under static nor dynamic approaches. The key elements to aggregated convergence and growth are more linked to spillovers of technological diffusion and to country-specificities (technological capabilities and capacities, domestic technical efforts, national innovation systems, industrial innovation processes, etc.) as it is pointed out by catching-up theories.     

Hotelling's spatial competition as a model of sales

Hotelling's spatial competition model is used to explain the existence of sales. It is shown that (1) an equilibrium in randomized strategies exists when a pure strategy equilibrium fails to exist, (2) with more dissimilarity among brands prices are chosen from a wider interval.     

STOCK RETURNS AND OPTION PRICES: AN EXPLORATORY STUDY

This study is an investigation of estimates of expected stock returns implicit in option data. The Lee-Rao-Auchmuty option valuation model provides a unique opportunity to examine whether return measurements derived by nonlinear estimation techniques show any correlation with future stock returns. During the short period covered in this study, the Lee-Rao-Auchmuty estimates give preliminary indications that they are better predictors of actual stock returns than are estimates obtained from historical data.