Testing Calendar Effects of International Equity and Real Estate Markets

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. Habitat International 48, 38–45, (2015b) incorporated Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed the moving-window size to be 130 days. How the change in moving-window size affects the calendar effects cannot be seen. In this study, we also apply the Shiryaev-Zhou index, but we allow the moving-window size to vary. Furthermore, we incorporated Shiryaev-Zhou index with analysis of mean (ANOM) and logistic regression to examine calendar effects of general equity and securitized real estate indices of Hong Kong, Japan, US, UK, France and Germany during the period 1996 – 2014. The results show that our new methods can detect additional channels of significant calendar effects of which normal methods fail to show. Furthermore, the general equity indices show significant Halloween and January effects. However, for the securitized real estate indices, the Halloween and January effects are less significant or even go into reverse in some cases. This study has two main implications. Firstly, investors can formulate a better trading strategy to earn more profits. Secondly, trends and phenomena found in equity markets may not be applicable to real estate markets, so investment rules on equity markets may not work on real estate markets.     

Pricing and Hedging of Discrete Dynamic Guaranteed Funds

We derive a risk‐neutral pricing model for discrete dynamic guaranteed funds with geometric Gaussian underlying security price process. We propose a dynamic hedging strategy by adding a gamma factor to the conventional delta. Simulation results demonstrate that, when hedging discretely, the risk‐neutral gamma‐adjusted‐delta strategy outperforms the dynamic delta hedging strategy by reducing the expected hedging error, lowering the hedging error variability, and improving the self‐financing possibility. The discrete dynamic delta‐only hedging not only causes potential overcharge to clients but also could be costly to the issuers. We show that a naive application of continuous‐time hedging formula to a discrete‐time hedging setting tends to worsen these possibilities.     

The China–US Trade War: Deep‐Rooted Causes,Shifting Focus and Uncertain Prospects

The USA has waged a trade war against China, whose rapid rise has come to be seen as a threat to US hegemony. Besides imposing additional tariffs on imported Chinese products, the USA is also tightening restrictions on the transfer of technology to China and the business activities of some Chinese high‐tech companies, notably Huawei. The escalation of the trade war into a tech war could lead to a decoupling between the US and Chinese economies, if not a world economy divided into two economic blocs that centered on them.     

The impact of product knowledge on consumer product memory and evaluation in the competitive ad context: The item‐specific‐relational perspective

Research evidence to date suggests that the combined presence of item‐specific and relational processing is necessary to induce higher memory performance of the target ad and proper evaluation of the target brand. This elaborative processing, however, requires cognitive capacity. In this paper, an item‐specific‐relational processing framework was employed to explain the roles of consumer product knowledge in the competitive and non‐competitive ad contexts. Findings from an experimental study suggest that high‐ and low‐knowledge consumers differed in product memory and evaluation in competitive and non‐competitive ad contexts. Such differences could be explained by consumers' engaging in item‐specific and/or relational processing depending on whether target brand information was presented with or without information on competing brands. It appears that competitive ad context would benefit low‐knowledge consumers by serving as a reference. In contrast, high‐knowledge consumers did not seem to be affected by ad context. Both theoretical and managerial implications are discussed. © 2011 Wiley Periodicals, Inc.     

Work‐to‐Family Spillover Effects of Workplace Ostracism: The Role of Work‐Home Segmentation Preferences

This study considers workplace ostracism as a source of stress and examines its spillover effects on the family. By integrating the work‐family interface model with boundary theory, we investigate the impact of workplace ostracism as perceived by employees on their family satisfaction by examining the mediating role of work‐to‐family conflict and the moderating role of work‐home segmentation preferences. The results from a three‐wave field survey of 233 employees in China indicate that workplace ostracism is negatively related to family satisfaction; this relationship is also mediated by work‐to‐family conflict. In addition, work‐home segmentation preferences attenuate the mediating effect of work‐to‐family conflict on the relationship between workplace ostracism and family satisfaction. The theoretical and managerial implications of these findings are discussed.     

Pricing Discrete Dynamic Fund Protections

Abstract

The authors investigate the pricing of discretely monitored dynamic fund protections when the fund price follows a lognormal process or a constant elasticity of variance (CEV) process. A backward recursive pricing formula is derived. By employing a numerical technique that combines function approximation and numerical quadrature, the authors demonstrate how to complete each recursion level efficiently. Numerical experiments show that the results compare favorably with those obtained by other pricing methods.     

International trade in genetically modified products

This paper investigates competition between two markets that sell close substitutes: a traditional product and a genetically modified (GM) product. Tightening an import quota on the GM product raises the prices of both goods and hurts consumers. Two scenarios are considered under free trade: Cournot–Nash equilibrium and Stackelberg equilibrium. A Stackelberg type monopolist produces more, and the competitive traditional firms produce less, than in Cournot–Nash equilibrium. In the long run, an import ban on the GM product does not help competitive producers of the genetically modified organism (GMO)-free products but benefits only the landowners in Europe.     

Efficient,Pareto-improving processes

We give two optimization programs for determining whether Pareto improving local changes are possible. When they are, the programs compute them. Any procedure generating efficient and Pareto improving changes can be replicated by these programs. The two programs are dual to each other. We apply the programs to Pareto improving exchange processes and to Pareto-improving tax-tariff reforms.