Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

We present regression-based Monte Carlo simulation algorithm for solving the stochastic control models associated with pricing and hedging of the guaranteed lifelong withdrawal benefit (GLWB) in variable annuities, where the dynamics of the underlying fund value is assumed to evolve according to the stochastic volatility model. The GLWB offers a lifelong withdrawal benefit, even when the policy account value becomes zero, while the policyholder remains alive. Upon death, the remaining account value will be paid to the beneficiary as a death benefit. The bang-bang control strategy analysed under the assumption of maximization of the policyholder’s expected cash flow reduces the strategy space of optimal withdrawal policies to three choices: zero withdrawal, withdrawal at the contractual amount or complete surrender. The impact on the GLWB value under various withdrawal behaviours of the policyholder is examined. We also analyse the pricing properties of GLWB subject to different model parameter values and structural features.     

Disparity in factor contributions between coastal and inner provinces in post-reform China

The paper discusses China's post-reform regional economic growth imbalance relative to input disparity in technology, physical and human capital. Financial sources and types of ownership are used to construct physical capital. Technology is measured by innovation investment, and human capital is constructed from schooling years per capita. The results show that domestic bank loans and foreign-owned enterprises are important in coastal provinces, while state appropriation and state-owned enterprises are important in inner provinces. Technology and foreign investment have a larger impact on output growth in coastal provinces. Human capital is endogenous for coastal provinces, but is exogenous for inner provinces.     

On a Recent Naturalism Debate in Business Ethics – from a Philosophy Point of View

The article discusses the meaning of consciousness and presents a collective consciousness view of business organizations and their development. It proposes an integrative hierarchical framework of three levels of organizational consciousness: material, social and spiritual. The concepts of excellence, ethical and moral temperament of organizations at different levels of consciousness are also discussed. The article describes the features of social and spiritually conscious business organizations, taking some examples from secondary sources. Overall, it is an attempt to link the ideals of human evolution with the potential behaviour of business corporations. Ashish Pandey is leading research function at Pragati Leadership Institute, 301, Beaver Grandeur, Baner road, Pune, India. He is also scholar of Fellow Program in Management with Management Development Institute, (M.D.I.) Gurgaon. Rajen K. Gupta is Professor of OD with M.D.I., Gurgaon. He is an OD consultant, alumnus of Indian Institute of Technology, Kanpur and holds doctoral degree from Indian Institute of Management, Ahmedabad, India. Earlier version of the paper titled “Organization Development as Evolution of Collective Consciousness of Business Organization” was presented in the Global OD Summit, 2006, at Mysore, India and was adjudged the best paper in ‘Future-focus’ stream.     

Structural relationships among organisation service orientation,employee service performance,and consumer identification

Numerous studies have examined relationship behaviour linking enterprises and consumers from the enterprise perspective rather than the consumer perspective, including consumer approval and relationship maintenance. To redress this imbalance, this study investigates three issues linking the enterprise and consumer perspectives. The first issue involves analysing the influence on the consumers that arises from integrated internal and external environmental resources using service orientation business strategies. The second issue involves exploring the foundations of the relationship factors based on consumer identification that serves to establish consumer relationships. The third issue involves discussing consumer and staff evaluations and experiences of the service. The following opinions can be induced based on the analytical results. Both internal and external environmental characteristics positively affect the service orientation of business. Service orientation positively impacts consumer perceptions of employee service performance. Consumer perceptions of employee service performance have positively impacted consumer identification.     

Financial Liberalisation and Growth in China’s Economic Reform

This paper summarises China’s financial liberalisation experience and examines the contributions of financial resources on economic growth during the post‐reform period. Financial liberalisation has resulted in the reallocation of the four sources of total investment in fixed assets: state budget appropriation, national bank loans, self‐raised funds, and foreign investment. We find that the growth of GDP and industrial production are positively related to the growth of self‐raised funds and foreign investment. We conclude that the use of foreign investment and funds raised by the enterprises themselves are more efficient than the government’s appropriation and provision of bank loans.     

An FsQCA Investigation of eWOM and Social Influence on Product Adoption Intention

Abstract

Following the causal complexity theory, fsQCA has emerged as an advanced methodology in examining hypotheses and creating new theories in social science. However, fsQCA falls short dealing with structural associations and with latent variables when multi-faceted scales are combined into a single indicator by mean. To extend the application of fsQCA, the study demonstrates an approach to investigate a multi-layered problem of eWOM, social influence, and product adoption intention. The findings from fsQCA successfully confirmed the results from the statistical approach that eWOM and social influence have structural associations with customer adoption intentions of new high-tech products.     

Customers’ savings rate and share of wallet: the moderating role of religion and ethnicity/immigrant generation vis-à-vis attitude as mediator

This study explores the role of attitude toward money, religion and ethnicity in the relationship between income and consumer behavior. The three-country (Australia, Canada and China) study sampled 755 consumers and uses structural equation modeling and multivariate analysis to test for mediating effects of attitude toward money and moderating effects of religion and ethnicity/immigrant generation. Religion is found to be a moderating variable for savings rate and share of wallet, while ethnicity/immigrant generation only moderates the association between income and savings rate. We also demonstrate the interaction effects of religion and ethnicity/immigrant generation with income as determinants of savings rate and share of wallet. This research provides the foundation for modeling savings rate and share of wallet, incorporating attitude, religion, and ethnicity/immigrant generation, as well as income, demonstrating the need to include other factors (i.e. demographic factors in addition to attitudinal/satisfaction measures) to better identify, understand and strategically target consumer segments with potential for profitability and growth.     

Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market

This paper examines the interaction of idiosyncratic risk, liquidity and return across time in determining fund performance, as well as across investment style portfolios of European mutual funds. This study utilizes a unique data set including returns for equity mutual funds registered in six European countries. Overall, using monthly data, we find that both liquidity and idiosyncratic risk are relevant in determining mutual fund returns. Our results are robust across different model specifications. We show that model specifications up to six factors are useful as these risk factors capture different aspects in the cross-section of mutual funds returns. The evidence regarding mutual funds subgroups is strongly in favor of the significance of liquidity, and idiosyncratic risk to a lesser extent, as risk factors. Even if liquidity and idiosyncratic risk are considered at the same time, one factor is not significantly decreasing the importance of the other factor.     

Repeated Protection for Sale

This paper addresses whether the efficient equilibria characterized by Grossman and Helpman's one‐shot protection‐for‐sale game are renegotiation‐proof in an infinitely repeated setting. We propose a simple strategy profile that can support the efficient, truthful equilibrium in each period as a strongly renegotiation‐proof subgame perfect equilibrium. This result provides another plausible reason to explain why the truthful equilibrium may be focal in the game of protection‐for‐sale. In addition, when the timing of the contributions is specified explicitly, the special interest groups should minimize the upfront payment to the government before policy implementation to reduce the possibility of the collapse of such relational contracts.     

Relation Between Predisclosure Information Asymmetry and Trading Volume Reaction Around Quarterly Earnings Announcements

This study investigates the effects of differences in predisclosure information asymmetry on trading volume reaction during quarterly earnings announcements. The analyses show that trading volume reaction to quarterly earnings announcements is positively related to the level of predisclosure information asymmetry and to the magnitude of the price reaction to the announcements. These results are consistent with Kim and Verrecchia's (1991a) theoretical trading volume proposition, and with Atiase and Bamber's (1994) tests of the proposition based on annual earnings announcements. This study also provides evidence on the relation of predisclosure information asymmetry and trading volume before and after quarterly earnings announcements.