Modelling bonds and credit default swaps using a structural model with contagion

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential default barriers, analytical formulae are obtained for both credit default swap spreads and corporate bond yields. The credit dependence structure is influenced by both a longer-term correlation structure as well as by the possibility of default contagion. In this way, the model is able to generate a diverse range of shapes for the term structure of credit spreads using realistic values for input parameters.     

Decentralisation as a Moderating Factor in the Budgetary Participation-Performance Relationship: Some Hong Kong Evidence

This study tests the contingency or ‘fit’ hypothesis that the effects of budgetary participation on managerial performance will be positive in decentralised organisations and negative in centralised organisations. The responses of 37 managers from a cross-section of Hong Kong manufacturing companies to a questionnaire survey designed to measure the variables were analysed by examining the interaction term in a multiple regression equation. The results supported the interaction hypothesis and found that at high levels of decentralisation there is a positive relationship between budgetary participation and managerial performance but at low levels of decentralisation this relationship is negative. These findings have implications for the design of effective control subsystems.     

The re-emergence of the public accounting profession in China: A hegemonic analysis

This paper draws on Gramsci's concept of hegemony to examine and explain the circumstances leading to the re-emergence of the public accounting profession in China in the early 1980s. In particular, the paper attempts to understand the political and ideological influence upon the professionalisation process of the Chinese accountants. The paper not only highlights a major difference between the professionalisation process of the public accounting profession in China as compared to the West, but also the authoritative and dominant role assumed by the Chinese state in the whole societal set-up. Through effectively exercising its political and ideological leadership, the state successfully mobilised the Chinese accountants in the implementation of its economic-related agenda. The paper demonstrates that the state has clearly achieved hegemony within the accounting community, and further suggests that the state-accounting profession relationship could be likened to the father–son relationship as encompassed within the Confucian notion of wu lun.     

Exchange Rates,Domestic Prices,and Central Bank Actions: Recent U.S. Experience

Central banks that are primarily concerned with the behavior of prices will use monetary policy to try to insulate prices from exchange rate changes. Prices then appear unresponsive to changes in the exchange rate. The observed relationships between prices and the exchange rate will reflect central bank actions instead of the underlying relationship between exchange rates and prices. This paper explicitly recognizes the role that policy plays in determining the observable relationships between exchange rates and prices, and in so doing, it illustrates how the underlying relationships can be unraveled. Using three different empirical approaches, we examine the recent experience of the United States. We find that the prices of various nondurable goods, and even of some services, respond modestly to the exchange rate, and we find that the responses emerge most clearly when the role of monetary policy is explicitly considered. These findings are consistent with the hypothesis that the Federal Reserve acts to mitigate the effects of exchange rate fluctuations on domestic prices.     

THE EFFECT OF MARKET PROXY REBALANCING POLICIES ON DETECTING ABNORMAL PERFORMANCE

In this paper, effects on the measured abnormal performance of test portfolios are compared against market proxies having the same or different rebalancing policies. Results show that the common practice of comparing buy-and-hold test portfolios with equally weighted market proxies produces lower Jensen [ 7 ] alphas and lower alpha t-values. Comparing buy-and-hold test portfolios with value-weighted market proxies produces higher portfolio betas and alphas, but lower alpha t-values. Finally, comparing buy-and-hold test portfolios with buy-and-hold market proxies produces the most powerful tests of abnormal performance.     

Reflections on longitudinal action research with the English National Health Service

This paper reflects on a longitudinal collaborative action research programme between the Centre for Research in Strategic Purchasing and Supply and the UK National Health Service Purchasing and Supply Agency that has operated since 1995. During the collaboration, research has changed practice and practice has changed research. A framework for analysing change is introduced as a means of examining how supply strategy has changed during the course of the research. The framework is applied to three supply strategy cases of prosthetics, clinical waste and cardiology, illustrating how practice and research have changed and influenced the production of knowledge over time. The methodological, theoretical and managerial implications of such longitudinal action research programmes are reflected on.