US stock returns: are there seasons of excesses?

This article explores the existence of seasonality in the tails of stock returns. We use a parametric model to describe the returns, and obtain a proxy of the innovation distribution via a pre-processing model. Then, we develop a change-point algorithm capturing changes in the tails of the innovations. We confirm the good performance of the procedure through extensive Monte Carlo experiments. An empirical investigation using US stocks data shows that while the lower tail of the innovations is approximately constant over the year, the upper tail is larger in Winter than in Summer, in 9 out of 12 industries.     

Book Reviews

This paper argues that much current campaign tracking and econometric modelling is systematically undervaluing good agency planning practice and the potential of media advertising. This is not a reflection on the detailed execution of such projects, but rather on basic design weaknesses and a concentration on average achievements. Unlike other marketing inputs, such as price and distribution, advertising is complex and multi-faceted. For this reason it is unreasonable to expect that it is possible to represent the advertising input adequately with a single expenditure or gross rating points (GRPs) figure. The paper identifies seven component factors within any campaign that could and should be incorporated as analysis factors in any assessment project. The problems of achieving this desirable objective are considered, and the likely benefits discussed. The paper also considers possible frameworks whereby the necessary co-operation between advertisers, agencies and media owners could be achieved.     

Investigating the Structural Relationships Between Food Image,Food Satisfaction,Culinary Quality,and Behavioral Intentions: The Case of Malaysia

This study was designed to test a theoretical model determining the relationships among tourists' perceived food image, food satisfaction, culinary quality, and behavioral intentions. The structural relationships between the variables were examined by adopting a structural equation modeling (SEM) approach, and the empirical data was collected in Malaysia. Analysis of findings revealed that (a) tourists' perceived food image played a role in directly influencing food satisfaction and quality of culinary experience (culinary quality); (b) food image influenced tourists' behavioral intentions through culinary quality; (c) tourist satisfaction with their food experience directly affected perceived quality of their culinary experience and behavioral intentions; and (d) tourists' behavioral intentions were directly affected by their evaluation of culinary quality. This study concluded that food was an imperative contributor in destination tourism due to its capability in influencing tourists' perceived image, food satisfaction, culinary quality, and consequently impacting tourists' behaviors in the selection of a travel destination.     

All About Size

在邮轮公司工作，被人问的最多的问题是你们的船有多大？当得到8层楼高、188米长的答案时，提问者脸上会显出羡慕的神情。     

Productivity and Turnover in the Export Market: Micro-level Evidence from the Republic of Korea and Taiwan (China)

Widespread empirical evidence indicates that exporting producershave higher productivity than nonexporters, although the reasonswhy are unclear. Some analysts argue that exporters acquireknowledge of new production methods, inputs, and product designsfrom their international contacts, and with this knowledge theyachieve higher productivity than their more insulated domesticcounterparts. Others argue that the higher productivity of exportersreflects the self-selection of more efficient producers intoa highly competitive export market. This article analyzes thelink between a producer's total factor productivity and itsdecision to participate in the export market, using manufacturingdata from the Republic of Korea and Taiwan (China). Differences are found between these two economies in the importanceof selection and learning. In Taiwan (China) transitions ofplants into and out of the export market reflect systematicvariations in productivity as predicted by self-selection models.In Korea there are no significant changes in productivity followingentry or exit from the export market that are consistent withlearning from exporting. A comparison of the two economies suggeststhat in Korea factors other than production efficiency are moreprominent determinants of the export decision.     

Powerless: gains from trade when firm productivity is not Pareto distributed

Most trade models featuring heterogeneous firms assume a Pareto productivity distribution, on the basis that it provides a reasonable representation of the data and because of its analytical tractability. However, recent work shows that the characteristics of the productivity distribution crucially affect the estimated gains from trade. This paper thoroughly compares the gains from trade obtained under three different productivity distributions (Pareto, lognormal, and Weibull) and investigates their policy implications. We find that both the magnitude of the welfare gains and the relative importance of the fixed versus variable trade costs change significantly. Hence, relying blindly on a single distribution is dangerous when performing trade policy analysis.     

Technology,Exports And Firm Efficiency In Taiwanese Manufacturing

Using firm-level data from the 1986 Census of Manufactures of Taiwan, we examine the links between technical efficiency and firm investments in technology and exports. Stochastic production frontier techniques are used to estimate the technical efficiency of firms by investments in technology as well as by export orientation. Our results indicate that accounting for firm investments in technology is critical in explaining the strong export-productivity link in the extant literature. For the group of large, high technology firms, the differences in the mean efficiencies between exporters and non-exporters are not significantly different than zero in all nine industries under study. However, for the large number of small firms that make no formal investments in technology. exporters are significantly closer to the production frontier than their counterparts that sell in the domestic market.