Dividend Imputation and Shareholder Wealth: The Case of New Zealand

On April 1, 1988, New Zealand stopped the double taxation of dividends by implementing a full dividend imputation program. Because many believed that the tax advantage of debt had led to more highly leveraged firms subject to greater financial risk than was socially optimal, it was hoped the removal of incentives to finance with debt would result in a more efficient allocation of capital. The empirical results suggest that the shareholder wealth gain from dividend imputation was more than offset in firms with large debt levels. Moreover, an examination of debt ratios indicates debt levels declined in the post–imputation period.     

Social Capital and the Terms of Trade for Farmland

Social capital is a person or group's sympathy for or sense of obligation to another person or group. This article introduces social capital into a neoclassical model of farmland exchange and shows how relationships alter the terms of trade. Empirical evidence from a survey of farmers shows that the type of relationship farmland sellers have with farmland buyers has a statistically significant and economically important effect on the minimum-sell price for farmland. Compared to the minimum-sell price when selling to a total stranger in an arm's-length transaction, farmland sellers discount prices to friendly neighbors and relatives and require a premium from unfriendly neighbors and influential people in the community.     

ON ESTIMATING STOCK MARKET VOLATILITY: AN EXPLORATORY APPROACH

Traditional methods of estimating market volatility use daily return observations from a stock index to calculate monthly variance. We break with tradition and estimate stock market volatility using the daily, cross-sectional standard deviation of returns for all firms trading on the New York Stock Exchange and the American Stock Exchange. We find a significantly positive relation between risk and return. Market volatility is estimated to be about half the volatility level previously reported. The intraday, cross-sectional market volatility measure provides findings consistent with risk-return theory.     

Futures hedging using dynamic models of the variance/covariance structure

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios also are employed as error purgers. The empirical results indicate that the generalized dynamic models are well specified and that their use in determining optimal hedge ratios can lead to improvements in hedging performance as measured by the volatilities of the returns on the optimally hedged position. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:241–260, 2003     

Option volume and volatility response to scheduled economic news releases

In this article, we examine the impact of 21 different types of scheduled macroeconomic news announcements on S&P 100 stock‐index option volume and implied volatility. We find that there is a 2‐h delay after the announcement before volume increases. However, there is an immediate increase in volatility, which slowly dissipates over several hours. Further analysis shows that most of the high volume and volatility after announcements come from the announcements that are considered bad news. That is, bad news creates high volatility and high volume, whereas good news elicits lower volume and is not associated with higher volatility. These results are not consistent with the predictions of any one model. We also find that the announcements that cause the largest reaction in the equity option market are Consumer Credit, Consumer Spending, Factory Inventories, NAPM, and Non‐Farm Payrolls. Six other announcements elicit a mild response. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:315–345, 2003     

Pricing continuously sampled Asian options with perturbation method

This article explores the price of continuously sampled Asian options. For geometric Asian options, we present pricing formulas for both backward‐starting and forward‐starting cases. For arithmetic Asian options, we demonstrate that the governing partial differential equation (PDE) cannot be transformed into a heat equation with constant coefficients; therefore, these options do not have a closed‐form solution of the Black–Scholes type, that is, the solution is not given in terms of the cumulative normal distribution function. We then solve the PDE with a perturbation method and obtain an analytical solution in a series form. Numerical results show that as compared with Zhang's ( 2001 ) highly accurate numerical results, the series converges very quickly and gives a good approximate value that is more accurate than any other approximate method in the literature, at least for the options tested in this article. Graphical results determine that the solution converges globally very quickly especially near the origin, which is the area in which most of the traded Asian options fall. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:535–560, 2003     

B‐TO‐B E‐COMMERCE: A CONTENT ANALYTICAL ASSESSMENT OF MOTOR CARRIER WEBSITES

An Internet presence is a critical early component in the process of building towards a fully operational and unified e‐commerce strategy. E‐commerce has significantly impacted logistics/supply chain strategies and the development and implementation of a website have become key issues for many firms within the transportation industry. This study provides an overview of website content within the motor carrier industry. Content analysis was used to assess the site design, informational content, and the interactive content of 152 motor carrier websites, and to compare the features offered on the Top 100 motor carrier firm websites with those offered on the sites of smaller carrier firms.     

THE EFFECT OF INVESTMENT IN INTERORGANIZATIONAL INFORMATION TECHNOLOGY IN A RETAIL SUPPLY CHAIN

The primary purpose of this research was to investigate the effect of investment in information technology in a supply chain. The results of that investigation are presented by focusing on an empirically tested supply chain relationship model containing both behavioral and operational constructs. The four behavioral constructs represented in the model are relationship trust, relationship commitment, relationship dependence, and long‐term relationship orientation. The four operational constructs represented in the model are retailer investment in interorganizational information technology, perceived supplier investment in interorganizational information technology, logistics efficiency, and logistics effectiveness. Among other findings, the results of the investigation found that perceived supplier investment in interorganizational information technology has a significant and positive effect on logistics efficiency.     

RELATIONSHIP MAGNITUDE AND ITS ROLE IN INTERORGANIZATIONAL RELATIONSHIP STRUCTURE

Close relationships between and among supply chain members are becoming more prevalent. However, there is lack of agreement in the literature and in practice concerning the characteristics of different interorganizational relationships. The resultant confusion is an obstacle to the progression of research and could cause problems among firms in a supply chain. Based on previous research and an exploratory study conducted with company executives responsible for supply chain management activities, this article seeks to introduce the concept of relationship magnitude (i.e., the extent or degree of closeness or strength of the relationship) and differentiate it from relationship type (i.e., classes of relationships that share common traits). Implications for managers and opportunities for future research are provided.