The premium of dynamic trading

It is well established that, in a market with inclusion of a risk-free asset, the single-period mean–variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this paper, it is shown that, in a continuous-time market where the risky prices are described by Itô processes and the investment opportunity set is deterministic (albeit time-varying), any efficient portfolio must involve allocation to the risk-free asset at any time. As a result, the dynamic mean–variance efficient frontier, although still a straight line, is strictly above the entire risky region. This in turn suggests a positive premium, in terms of the Sharpe ratio of the efficient frontier, arising from dynamic trading. Another implication is that the inclusion of a risk-free asset boosts the Sharpe ratio of the efficient frontier, which again contrasts sharply with the single-period case.     

How recreation involvement,place attachment and conservation commitment affect environmentally responsible behavior

This study examines a behavioral model using latent variables of place attachment, recreation involvement, conservation commitment and environmentally responsible behavior among tourists visiting wetlands. In total, 928 usable questionnaires were collected. Confirmatory factor analysis and structural equation modeling were applied to the data by using LISREL 8.70 for Windows. Analytical results, which further elucidate the behavioral models of nature-based tourism, suggest that place attachment, recreation involvement and conservation commitment critically impact environmentally responsible behavior. In this behavioral model, conservation commitment simultaneously and partially mediates the relationships between place attachment and environmentally responsible behavior and between recreation involvement and environmentally responsible behavior. A series of management implications are drawn, including the need to use this information via a visitor interpretation strategy, greater use of partnerships with local communities and businesses to spread the importance of wetlands and of environmentally friendly behavior, and the need to work with other wetlands to share the type of visitor motivations best suited to encourage environmentally friendly behavior.     

Prediction of bank financial strength ratings: The case of Turkey

Bank financial strength ratings have gained widespread popularity especially after the recent financial turmoil. Rating agencies were criticized because of their ratings and failure to predict the bankruptcy of the banks. Based on this observation, we investigate whether the forecast of the rating of bank's financial strength using publicly available data is consistent with those of the credit rating agency. We use the data of Turkish banks for this investigation. We take a country-specific approach because previous studies found that proxies used for environmental factors (political, economic, and financial risk of the country) did not have any explanatory power and it is hard to find international data for other important factors such as franchise value, concentration, and efficiency. We use two popular multivariate statistical techniques (multiple discriminant analysis and ordered logistic regression) to estimate a suitable model and we compare their performances with those of two mostly used data mining techniques (Support Vector Machine and Artificial Neural Network). Our results suggest that our predictions are consistent with those of Moody's financial strength rating in general.. The important factors in rating are found to be profitability (measured by return on equity), efficient use of resources, and funding the businesses and the households instead of the government that shows efficient placement of the funds.     

交往感受对企业间持续合作的影响机制研究——基于实证分析的视角

首先通过调查问卷的数据,进行探索性因子分析和确定性因子分析,确定影响企业间持续合作的企业间交往感受的要素构成;接着采用结构方程的方法,研究了交往感受各要素是如何影响企业持续合作的合作程度和合作效率两个方面,并分析了影响的程度,得出了有价值的研究结论.这种研究方法具有较强的创新性,研究结论对我国企业如何开展企业间合作提供了重要的理论支撑和实践指导.     

Can the Gains from International Diversification Be Achieved without Trading Abroad?

We examine whether portfolios of domestically traded securities can mimic foreign indices so that investment in assets that trade only abroad is not necessary to exhaust the gains from international diversification. We use monthly data from 1976 to 1993 for seven developed and nine emerging markets. Return correlations, mean-variance spanning, and Sharpe ratio test results provide strong evidence that gains beyond those attainable through home-made diversification have become statistically and economically insignificant. Finally, we show that the incremental gains from international diversification beyond home-made diversification portfolios have diminished over time in a way consistent with changes in investment barriers.     

The business of product counterfeiting in China and the post-WTO membership environment

China is generally acknowledged to be the world's number one country producer of counterfeit products. After becoming a member of the World Trade Organization (WTO) China is now obligated to comply with WTO provisions on protection of intellectual property rights (IPRs). However, product counterfeiting operations in China are well entrenched. The postWTO membership environment has changed little, and such illicit operations are unlikely to subside soon. Furthermore, there is not much foreign companies can do because the response strategies recommended in the business literature have limited effect in the Chinese environment. Foreign companies may have to wait until China becomes on balance a victim instead of a benefactor of product counterfeiting before they can hope to see better protection of their IPRs.     

The Influence of Service Innovation Capability for Self‐Service Technology Investment

The purpose of this paper is to predict self‐service technology (SST) investment from the extents of service innovation capability (SIC) and electronic customer relationship management (e‐CRM) practices. This study proposes a theoretical framework that delineates the relationships among SIC, e‐CRM practices, and SST investment. The results indicate that SIC has positive impacts on e‐CRM practices, which in turn are positively related to SST investment. Moreover, e‐CRM practices have partial mediating effects on the relationships between SIC and SST investment as well as have partial moderating effects on the relationships between SIC and SST investment. © 2018 ASAC. Published by John Wiley & Sons, Ltd.     

Strategies for integrating farmers into modern vegetable supply chains in Vietnam: farmer attitudes and willingness to accept

In Vietnam, the development of so‐called ‘modern’ vegetable supply chains is receiving considerable interest amongst researchers and governments. This interest partly stems from the view that enhancements in food safety can be achieved if farmers are willing to adopt supply chains that are often associated with ‘western’ forms of retailing. Our study investigates farmers’ willingness to change to two ‘modern’ alternatives – a supply model based on cooperatives and another based on investors facilitating the change. Using discrete choice data drawn from 412 farmers, mixed logit models in willingness to pay space are developed that reveal the relative importance of different drivers of change. The paper offers insights that can inform governments about the incentives required to bring about change. In addition, the paper illustrates the novel application of a choice experiment to enumerating the perceived costs of changes in vegetable supply chains.     

Determinants of performance for agritourism farms: an alternative approach

Previous studies on determinants of agritourism farm performance are inconclusive. Moreover, the key success factors of high and low performance may differ. Differing from previous studies, this study applies quantile regression to identify the determinants of agritourism farm performance in different categories based on Taiwanese agritourism farms census data. The results indicate that large farms perform well for those in the high-performance categories. The quantity and quality of human resources are key success factors for mid- and high-performance farms. Additionally, agritourism business model generally plays a critical role in determining performance.