The winner–loser effect in Japanese stock returns

This study examines the winner–loser effect using stocks listed on the Tokyo Stock Exchange (TSE) from 1975 to 1997. We uncover significant return reversals dominating the Japanese markets, especially over shorter periods such as 1 month. No momentum effect is observed, however. The 1-month return reversal remains significant even after adjusting for firm characteristics or risk. While the 1-month return reversal is not related to industry classification, it is partially a result of higher future returns to loser stocks with low trading volume. Our results show that investor overreaction may be a possible explanation for the 1-month return reversal in Japan.     

Risk premia in international equity markets revisited

Recent evidence suggests that global equity markets are becoming more risky. We develop a model to explain risk premia in international equity markets. The model is then used to investigate the changing nature of conditional risk premia and their effect on unconditional global risk. Using this model we find that the increase in international variance and covariance of realized excess returns can be attributed to systematic variations in global risk premia correlated across markets as well. Understanding this additional source of increased global correlation is important. These results have interest both for practitioners and for those interested in modeling global asset prices.     

Chances for a pacific free trade area

The establishment of the EEC was a major event of the 1960s. It has had a significant impact on international trade and investment and has wrought a profound change in the world balance of economic power. The emergence of the enlarged EEC and the implementation of a Pacific Free Trade Area (PAFTA) could have a more profound influence in shaping the world of the 1970s.     

Impacts of Road Access on Subjective Well‐being in Timor‐Leste

The impacts of access to roads on subjective well‐being at the household level are empirically examined using Timor‐Leste's nationally representative surveys. This paper examines not only the quantity, but also the quality of road infrastructure and, thus, extends existing studies that only consider the benefits of road accessibility. It is found that proximity to main roads may not necessarily result in improved welfare. Instead, ensuring all‐weather access to roads appears to be a more significant factor in raising household well‐being. Specifically, road accessibility during the rainy season reduces the probability of households reporting a ‘less than adequate’ (low satisfaction) response by 13–25 percent. This suggests that in Timor‐Leste, and likely in other developing economies under similar conditions, maintenance of existing roads is more essential to well‐being than building more roads.     

ANALYSIS OF AN OPTION MARKET DYNAMICS BASED ON A HETEROGENEOUS AGENT MODEL

We propose a two‐market model in which an option market and its underlying market interact. Many artificial markets representing stock markets have been developed, and these models have been actively used to investigate the effects of market rules. However, no artificial market model for derivatives has been intensively studied, even though derivative markets are increasingly important. We tested stylized facts that can be observed in an option market and our model can replicate fat‐tailed distributions, positive skew of the return and positive autocorrelation of the square of return of implied volatility. We found that the speed of volatility mean reversion for fundamentalists and the existence of chartists are important factors for replicating the positive skew of an option market. The value of fat‐tailed distributions and positive skewness of the return get closer to the real value by coupling an option market and an underlying market. Copyright © 2014 John Wiley & Sons, Ltd.     

Agriculture and climate change in global scenarios: why don't the models agree

Agriculture is unique among economic sectors in the nature of impacts from climate change. The production activity that transforms inputs into agricultural outputs involves direct use of weather inputs (temperature, solar radiation available to the plant, and precipitation). Previous studies of the impacts of climate change on agriculture have reported substantial differences in outcomes such as prices, production, and trade arising from differences in model inputs and model specification. This article presents climate change results and underlying determinants from a model comparison exercise with 10 of the leading global economic models that include significant representation of agriculture. By harmonizing key drivers that include climate change effects, differences in model outcomes were reduced. The particular choice of climate change drivers for this comparison activity results in large and negative productivity effects. All models respond with higher prices. Producer behavior differs by model with some emphasizing area response and others yield response. Demand response is least important. The differences reflect both differences in model specification and perspectives on the future. The results from this study highlight the need to more fully compare the deep model parameters, to generate a call for a combination of econometric and validation studies to narrow the degree of uncertainty and variability in these parameters and to move to Monte Carlo type simulations to better map the contours of economic uncertainty.     

Qualitative and quantitative studies of leadership in multinational settings: Meta-analytic and cross-cultural reviews

Much of the research on leadership has been conducted by Western researchers and has led to a largely Western and individualistic perspective on leadership. This has led researchers to raise questions concerning the extent to which these theories apply globally. In particular, do Western theories of leadership apply to the same extent in more communal Asian countries, such as Japan, China, Indonesia, and Thailand? Based on leadership studies conducted in Japan, we argue that Japanese leadership practices often differ from the styles practiced widely in the West. These differences in behavior have their roots in Japanese cultural traditions and business practices. Our conclusion is based on the results of meta-analyses of studies of the five most popular leadership theories used in the West, an empirical study of transformational and gatekeeper leadership, and in-depth qualitative case studies of three Japanese corporate leaders. We observe that there are relatively few qualitative studies of leaderships in international contexts, and propose that in order to understand leadership phenomena in a global context, it is necessary to take a triangulation approach, employing surveys, experimental manipulations, company records, and qualitative interviews.     

Accounting System Reform in Japanese Local Governments

The New Public Management (NPM), of which the change from cash accounting to accrual accounting is considered an important tool, has been in fashion in many developed countries. Japanese governments, however, have preserved control of expenditures on a cash basis, though recently financial management reforms in local government have begun to adopt NPM ideas. Using a contingency framework which views the reform of accounting sub-systems (management accounting, financial accounting and auditing) as stimulated by a combination of internal and external pressures, this paper explores why Japanese local governments managed to survive without accrual accounting and the prospects for further reform in the future. It is suggested that system change itself can be accomplished by internal pressures, in the form of mandated policies, alone but that sustained external pressures by citizens are required in order to achieve the intended outcomes of accounting reform.     

On sooner and later waiting time distributions associated with simple patterns in a sequence of bivariate trials

In this article, we study sooner/later waiting time problems for simple patterns in a sequence of bivariate trials. The double generating functions of the sooner/later waiting times for the simple patterns are expressed in terms of the double generating functions of the numbers of occurrences of the simple patterns. Effective computational tools are developed for the evaluation of the waiting time distributions along with some examples. The results presented here provide perspectives on the waiting time problems arising from bivariate trials and extend a framework for studying the exact distributions of patterns. Finally, some examples are given in order to illustrate how our theoretical results are employed for the investigation of the waiting time problems for simple patterns.