This paper explores bond immunization for additive term structure models. This class of term structures contains many models that are commonly used in the duration and immunization literature. We establish the necessary and sufficient conditions for immunization and prove the existence of a bond portfolio that satisfies the immunization condition. Based upon the immunization condition, we develop a general definition of duration that applies to any additives term structure model. 相似文献
Empirical research about tax evasion and the informal economy has exploded in the past few decades, seeking to shed light
on the magnitude and (especially policy) determinants of these phenomena. Quantitative information informs the analysis of
policy choices, enables the testing of hypotheses about determinants of this phenomenon, and can help with the accurate construction
of national income accounts. Even as empirical analysis has burgeoned, some have expressed doubts about the quality and usefulness
of some prominent measures. The fact that high-quality data is elusive is neither surprising nor a coincidence. The defining
characteristic of tax evasion and informal economic activity—that they are generally illegal—often renders unreliable standard
data collection methods such as surveys. Unlike invisible phenomena in the natural sciences, these invisible social science
phenomena are hard to measure because of choices made by individuals. Analysis of tax evasion and the informal economy must
proceed even in the absence of the direct observability of key variables, and theory should guide the construction and interpretation
of evidence of the “invisible.” In this paper, we address what can be learned using micro or macro data regarding tax evasion
and the informal economy under given conditions and assumptions, and critically review some of the most common empirical methods
in light of our conclusions. We conclude with an entreaty for researchers in this field to enlist in the “credibility revolution”
(Angrist and Pischke in J. Econ. Perspect. 4(2):3–30, 2010) in applied econometrics. 相似文献
This paper examines the uncertain information hypothesis on one major index and its corresponding exchange-traded fund: the
S&P 500 Index and SPDRs in the pre-SPDRs (01/63–12/93) and post-SPDRs (01/94–12/03) periods. Two strategies are used to measure
the economic significance of the uncertain information hypothesis. Overall, we present evidence confirming the uncertain information
hypothesis in the post-SPDRs period. However, we fail to convert the statistically significant gains observed into economic
gains under a conservative approach. In addition, the degree of difference in the volatilities of the 5-day post-event returns
(in both the S&P 500 and the SPDR) among the three subgroups diminishes in the post-SPDR period. Hence, we conclude that the
market is in fact short-term efficient in a more realistic setting. 相似文献
This paper reviews research on open innovation that considers how and why firms commercialize external sources of innovations. It examines both the “outside‐in” and “coupled” modes of open innovation. From an analysis of prior research on how firms leverage external sources of innovation, it suggests a four‐phase model in which a linear process—(1) obtaining, (2) integrating, and (3) commercializing external innovations—is combined with (4) interaction between the firm and its collaborators. This model is used to classify papers taken from the top 25 innovation journals, complemented by highly cited work beyond those journals. A review of 291 open innovation‐related publications from these sources shows that the majority of these articles indeed address elements of this inbound open innovation process model. Specifically, it finds that researchers have front‐loaded their examination of the leveraging process, with an emphasis on obtaining innovations from external sources. However, there is a relative dearth of research related to integrating and commercializing these innovations. Research on obtaining innovations includes searching, enabling, filtering, and acquiring—each category with its own specific set of mechanisms and conditions. Integrating innovations has been mostly studied from an absorptive capacity perspective, with less attention given to the impact of competencies and culture (including “not invented here”). Commercializing innovations puts the most emphasis on how external innovations create value rather than how firms capture value from those innovations. Finally, the interaction phase considers both feedback for the linear process and reciprocal innovation processes such as cocreation, network collaboration, and community innovation. This review and synthesis suggests several gaps in prior research. One is a tendency to ignore the importance of business models, despite their central role in distinguishing open innovation from earlier research on interorganizational collaboration in innovation. Another gap is a tendency in open innovation to use “innovation” in a way inconsistent with earlier definitions in innovation management. The paper concludes with recommendations for future research that include examining the end‐to‐end innovation commercialization process, and studying the moderators and limits of leveraging external sources of innovation. 相似文献
Gold and silver prices have surged since the 1980s, and they have been used as a store of value for fear of a financial meltdown. However, gold and silver in the form of bullion are still not so popular compared with other gold and silver products (jewellery) and other financial instruments in Malaysia. Limited study has actually verified the factors that affect the investors’ intention to purchase bullion. Thus, this study explores factors affecting investors’ behaviour and their intention to purchase bullion based on the Theory of Planned Behaviour. This study also examines the moderating effect of scepticism between investors’ behaviour and their intention to purchase bullion. A total of 208 sets of data collected in a self-administered online structured survey was analysed using PLS-SEM. This study finds that investors’ behavioural belief and control belief significantly and positively affect their respective attitude towards behaviour and perceived behavioural control and, thus, intention to purchase bullion. Results are found insignificant for normative belief, normative attitude and intention to purchase bullion and the moderating effect of scepticism in affecting investors’ intention to purchase bullion. The findings of this study hope to provide insight and deeper understanding to bullion traders and financial advisors in improving their marketing strategies in growing interest in the bullion market.
Annals of Finance - In a mean-variance framework with a representative agent, any linear model for the cross section of expected returns can be supported as an equilibrium as long as the market... 相似文献
We investigate the claim made by proponents of the big‐bang strategy that the establishment of property rights in an economy in transition creates its own demand for the enforcement of laws to protect those rights. Our model contains a government engaging in activities to accomplish objectives that depend on public support for the enforcement of the rule of law and agents who interpret the level of activities of the government as indications of the government's intent to enforce the rule of law. Agents, using the level of government activities as an input to their decisions, choose whether to support the government's objectives. We establish conditions under which the level of activities chosen by the government maximizes its benefits, and simultaneously induces the constituency to support enforcement of the rule of law. These conditions provide a basis for the argument for the implementation of the big‐bang policy. When these conditions do not hold, however, we show that the level of activities that maximizes the government's benefits may have only a minor impact on support for the enforcement of the rule of law. Two characteristics play an important role in these conditions: the initial level of crime and the types of activities the government chooses to undertake. We present examples showing that the initial level of crime has the more dramatic effect on subsequent support for the rule of law. 相似文献
This study attempts to assess differences in the financial characteristics of target and non-target firms using logit analysis and a case-control methodology in which control groups are matched by size or industry. The results indicate that unregulated non-financial target firms are characterized by low ratios (market/replacement values) and to a lesser extent high current financial liquidity. Measures of financial leverage were not found to be significant. 相似文献
This paper presents a model in which relative standing determines standards. There are three kinds of agents in the model: candidates who wish to pass a test, members of the elite who have passed the test, and the judge who decides who passes. In order to pass, a candidate's performance must be at least as good as the performance of a representative member of the elite. Without perturbations in the underlying data, the model predicts that standards will not change. Perturbations in the preferences used to judge candidates lead to a reduction in standards. 相似文献
The impact of patents and patent royalties are a major concern of standards setting organizations. This study examines the patents filed in the standardization of UMTS, the third-generation mobile phone technology developed under sponsorship of the European Telecommunications Standards Institute (ETSI) and others, using a patent policy developed in response to issues faced in the earlier GSM (née Group Special Mobile) standardization. After contrasting firm strategies and policy effectiveness between the GSM and UMTS efforts, the paper reviews the potential impact of potential changes to the ETSI IPR (intellectual property rights) policy. 相似文献