BOOTSTRAPPING THE NUMBER OF FACTORS IN THE ARBITRAGE PRICING THEORY

The number of factors in the APT are re-examined through a new methodology called the bootstrap, which provides a nonparametric alternative to the chi-square test used in prior research. Results suggest that the number of statistically significant factors does not increase when the number of firms increases. Moreover, only the first factor is consistently significant across sample sizes of thirty, sixty, and ninety firms.     

Bayesian U-type design for nonparametric response surface prediction

This paper deals with Bayesian design over U-type designs of n runs and s factors with q levels for nonparametric response surface prediction. The criterion is developed in terms of the asymptotic approach of Mitchell et al. (Ann Statist 22: 634–651, 1994) for a specific covariance kernel. An optimal design is given in approximate design theory over the all level combinations. A connection with orthogonality and aberration is established. A lower bound for the criterion is provided, and numerical results show that this lower bound is tight.     

Price determinants in top-quality e-auctioned specialty coffees

We analyze the price determinants of specialty coffees traded at e-auctions. We hypothesize that since specialty coffees are a highly differentiated product, prices will be determined by both sensory and reputation attributes. To test our hypotheses, we estimate a hedonic price function using data from Central and South American e-auctions and calculate the implicit prices of sensory and reputation attributes. The results show that market clearing prices are a function of sensory characteristics and reputation variables including third-party quality ranking, country of origin, coffee variety, and quantity. The additional attribute information disclosed at e-auctions results in substantially higher prices relative to conventional commodity coffee market prices.     

Cutting-edge technologies

In the past decade the development of renewable energy technology has moved from being a somewhat eccentric idea to a significant practical proposition. Indeed, full-scale commercial systems are now in operation in many parts of the world. for example the USA now has more than 1.5 GW of installed wind power capacity feeding into electricity grids, mainly in wind farms in California. This article presents a strategic analysis of renewable energy R&D in the UK.     

Beyond belief: A benchmark for human resources

Many Human Resource (HR) professionals feel and believe that they have made progress during the 1980s. Unfortunately, without data to benchmark progress, assessments must depend on perception rather than evidence. To move beyond belief towards a national HR database, this article reports research on over 10,000 individuals in 1200 businesses in 91 firms. It establishes a benchmark for HR practices and HR professionals. It also highlights areas where HR professionals may focus attention to become more successful as business partners.     

Contingent Valuation Versus Choice Experiments: Estimating the Benefits of Environmentally Sensitive Areas in Scotland

This paper reports results from a study of the economic value of the conservation benefits of Environmentally Sensitive Areas (ESAs) in Scotland. The main novelty of the approach taken is in comparing two direct valuation methods, namely contingent valuation and choice experiments, to value these benefits. The Contingent Valuation Method (CVM) is well-established as a technique for valuing the sorts of landscape and wildlife enhancements associated with ESAs. The CVM experiment reported here uses a dichotomous choice format, and includes a new correction for part-whole bias. Choice experiments are much less used as an environmental valuation technique. We note several advantages of such experiments over CVM, and then report characteristic values and ‘programme values’ estimated using the method. This application brings to light some problems in applying the choice experiment method. Finally, we discuss the issue of benefits transfer in the context of these two approaches to valuation.     

New technology and restructuring in the UK energy industry: the case of renewable energy

Among the justijcations for the UK government's electricity privatization programme was the suggestion that it would stimulate the development of a range of new supply options, including the UK's extensive renewable energy resource. This paper assesses the prospects for renewable energy technologies i n the UK after privatization. It finds that there is enthusiasm for renewables, but that the market alone will not stimulate renewables effectively or develop them appropriately, and that state support and regulation will be necessary.     

How Ethical Leadership Shapes Employees’ Job Performance: The Mediating Roles of Goal Congruence and Psychological Capital

Drawing from research on ethical leadership, psychological capital, and social learning theory, this study investigated the mediating effects of goal congruence and psychological capital in the link between supervisors’ ethical leadership style and followers’ in-role job performance. Data captured from 171 employees and 24 supervisors showed that ethical leadership has a positive effect on followers’ in-role job performance, yet this effect is explained through the role of psychological capital and follower–leader goal congruence, providing evidence of mediation. These findings have significant implications for research and practice.     

Recursive preferences,learning and large deviations

We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price–dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.