Value at risk and conditional extreme value theory via markov regime switching models

This study develops a new conditional extreme value theory‐based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets. The study combines the Markov switching ARCH (SWARCH) model (which uses different sets of parameters for various states to cope with the structural changes for measuring the time‐varying volatility of the return distribution) with the EVT to model the tail distribution of the SWARCH processed residuals. The model is compared with unconditional EVT and conditional EVT‐GARCH models to estimate the extreme losses in three leading stock indices: S&P 500 Index, Hang Seng Index and Hang Seng China Enterprise Index. The study found that the EVT‐SWARCH model outperformed both the GARCH and SWARCH models in capturing the non‐normality and in providing accurate value‐at‐risk forecasts in the in‐sample and out‐sample tests. The EVTSWARCH model, which exhibits the features of measuring the volatility of a heteroscedastic financial return series and coping with the non‐normality owing to structural changes, can be an alternative measure of the tail risk. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:155–181, 2008     

Owner liability and financial reporting information as predictors of firm default in bank loans

We examine the effects of owner liability and non-accounting and financial accounting information on the probability of default as defined in Basel II in bank loan contracted by non listed firms. We model default as a function of owner liability and accounting and non-accounting information of non-listed firms, drawing on 43,117 annual accounts of 16,029 firms over a 7-year period. Our estimations based on mixed logistic regressions with random parameters show that the predicted default probability of full-liability firms is 0.72 times that of limited liability firms. The likelihood ratio test for omitted variables confirms the additional predictive ability of liability status over and above other non-accounting and financial accounting information. A Heckman self-selection model does not indicate sampling bias. The particular definition of default used in the study enables the findings to be generalizable across other institutional contexts.     

Does It Get Better? Recent Estimates of Sexual Orientation and Earnings in the United States

Using 2013–2015 National Health Interview Survey data, we reproduce a well‐documented finding that self‐identified lesbians earn significantly more than comparable heterosexual women. These data also show — for the first time in the literature — that self‐identified gay men also earn significantly more than comparable heterosexual men, a difference on the order of 10% of annual earnings. We discuss several possible explanations for the new finding of a gay male earnings premium and suggest that reduced discrimination and changing patterns of household specialization are unlikely to be the primary mechanisms.     

Law commentary: Unjust dismissal laws in other countries: some cautionary notes*

In this article the author provides a view from the USA on the workings of unfair dismissal legislation in a number of countries.     

Choice-Based Conjoint Analysis of the Local Coupon Preferences of Millennials

This article explores the local coupon preferences of the 18–29-year old market. Choice-based conjoint analysis was used to determine Millennials’ local coupon needs and preferences. From this data, three need-based segments were identified and discussed. The findings indicate that while overall, millennials are resistant to receiving coupons for local businesses through their cell phones, there is one segment that is receptive to this method of coupon delivery method.     

The effect of a tax training program on tax compliance and business outcomes of starting entrepreneurs: Evidence from a field experiment

This paper estimates the long-term impact of a short, partly personalized, mandatory tax training program on tax compliance and business outcomes of first-time entrepreneurs. To this end, we combine survey data, audit data and unique register data from the Netherlands' Tax and Customs Administration with a three year long randomized experiment. The results show that the training affects specific domains of tax compliant behavior. Moreover, it has no impact on business survival, but treated entrepreneurs have significantly higher profits compared to the control group due to lower business costs. These outcomes are partially supportive of our hypotheses developed from theories on tax compliance and mental accounting.     

Work experiences,work adjustment and psychological well-being of expatriate employees in Hong Kong

This study replicated and extended research on expatriate work adjustment by examining the antecedents of work adjustment and its outcomes in terms of psychological well-being. Data were obtained from a nationally heterogeneous sample (N = 184) of expatriate employees in Hong Kong using a structured questionnaire. Results of regression analysis revealed role conflict to be significantly negatively related to work adjustment, while role discretion, co-worker support and work-method ambiguity (clarity) were significantly positively related to work adjustment. Of the three hypothesized outcomes, work adjustment was significantly positively related only to job satisfaction but not to quality of life and marital adjustment. Though not the focus of this study, interaction adjustment was found to be significantly positively related to quality of life. Limitations of the study and implications of the findings are discussed.     

Contradictions of interactive data analysis

Up to now, interactive statistics seems to have bloomed on a creative mess of contradictions and conflicts. But I believe that if we want to advance beyond the present stage, we must try to overcome those. I shall attempt to identify a few of the more crucial ones, ranging from the basics of interactivity and data graphics to issues of large data and data base management, and to distill specific challenges from them.