Housing markets in China: an empirical evaluation of present-value model

Derived from the present-value model, our model implies that house price is a linear function of expected house rents and the expected rate of growth of house rents where expectations are formed adaptively. The model is used to explain the link between expected inflation and expected house rental growth rates. The estimated parameters of the housing markets in Hong Kong, Shanghai, Guangzhou and Shenzhen were compared.     

Fast‐Expanding Markets: The Revolution of the Microeconomy

Where will we find growth opportunities ? the kind that will take our businesses to the next level? The usual and popular choice of terms we use when looking at current markets and potential ones often include developed markets and emerging economies. These terms have inspired a new golden age of racing to the new treasure hidden in the capacities of these markets. Based on the seminal concept of “fast‐expanding markets,” this article discovers growth as residing at a new level, capable of redefining geographies and territories, often untapped or unnoticed by the most conventional macroeconomic analysis. © 2015 Wiley Periodicals, Inc.     

Sovereign Ratings and Oil‐Exporting Countries: The Effect of High Oil Prices on Ratings

We investigate how high and rising oil prices in the 2003–2008 period affected the sovereign ratings of oil‐exporting countries, after controlling for fundamentals. Based on a large dataset of countries from Standard and Poor's and Moody's, we find strong statistical evidence of a large ratings premium – nearly two notches – for those oil‐exporting countries with a large share of net oil revenue to gross domestic product, relative to countries with similar economic fundamentals. We have some limited forecast information from the rating agencies and the effect increases when we include this information, providing further evidence that this ratings premium is not driven by expected improvements in fundamentals. This finding has implications for asset prices in oil‐exporting countries and highlights the risk that in the event of a sharp unanticipated drop in oil prices, sovereign rating downgrades of oil‐exporting countries could be sharper than the deterioration in their economic fundamentals.     

Nonlinear dynamics of the Nikkei Stock Average Futures

This paper analyzes the conditional distribution of the Nikkei Stock Average Futures prices traded in the Singapore International Monetary Exchange (SIMEX). It is found that the conditional mean of the logarithmic price ratios is zero and the conditional variance is adequately described by the exponential generalized autoregressive conditional heteroscedasticity model (witht errors) suggested by Nelson (1991) and the autoregressive volatility model suggested by Hsieh (1993). The Brock, Dechert and Scheinkman (1987) statistic cannot reject the hypothesis that the standardized residuals are independently and identically distributed. The results are applied to calculate the maintenance margin and the long-term capital requirements of the contract given an assumed maximum failure rate. The margin requirements set by the SIMEX appear to be adequate compared to our estimates.     

The United States International Air Route Award Process: Shareholder Wealth Effects and Policy Implications

This study empirically investigates the market pricing dynamics of United States airline stocks in response to United States government allocations of exclusive, zero-priced international air route awards from the 1963 to 1993 time period. A $900 filing fee required by the Department of Transportation represents the only explicit monetary cost associated with the award of an international air route. This low fee suggests that the current award system subsidizes United States airlines by transferring valuable public property rights to private ownership and control for paltry explicit fees. The performed dollar abnormal tests suggest that the 82 analyzed international air routes have enriched airline shareholders by about $3.5 billion.     

Seeing Through and Breaking Through: The Role of Perspective Taking in the Relationship Between Creativity and Moral Reasoning

Journal of Business Ethics - The recent wave of same-sex marriage legalization marks the most significant human rights progress in decades. Nevertheless, the valuation effects on corporate America...     

Timely loss recognition and termination of unprofitable projects

Ideally,firms should discontinue projects that become unprofitable.Managers,however,continue to operate such projects because of their limited employment horizo...     

An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore

This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion model with conditional heteroscedasticity appears to fit the data adequately.     

How electronic trading affects bid‐ask spreads and arbitrage efficiency between index futures and options

This paper examines the impact of switching to electronic trading on the relative pricing efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong exchange. The study is motivated by the recent shift in 2000 from the pit to an electronic trading platform. Electronic trading leads to lower bid‐ask spreads and less price clustering than floor trading in both the options and futures markets. Mispricing between futures and options drops significantly after the change. Quicker correction of mispricing indicates a significant improvement in dynamic inter‐market arbitrage efficiency with electronic trading. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:375–398, 2005     

The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets

This study examines the information flow and market efficiency between the metallurgical futures markets of the United States and China over a ten‐year span from 1999 to 2009. There were structural breaks in the aluminum and copper futures price series for the New York Mercantile Exchange (NYMEX) and Shanghai Futures Exchange (SHFE) between 2006 and 2008. The New York and Shanghai markets are cointegrated, indicating an equilibrium relationship between the two markets. Trading strategies are implemented to explore the error‐correction process. The overall results show that U.S. and Shanghai futures prices are closely related and both markets are comparably efficient on a daily basis. The U.S. market does not appear to be more efficient than the Chinese market in incorporating information into prices. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark