LIQUIDITY AND ASSET PRICING UNDER THE THREE‐MOMENT CAPM PARADIGM

We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.     

Competition and risk in South East Asian commercial banking

This article investigates the effects of competition on bank risk taking behaviour in four South East Asian countries (Indonesia, Malaysia, Philippines and Vietnam). Our main finding is that competition does not increase bank risk-taking behaviour and the results appear robust to different model specifications, estimation approaches and variable construction. We also find that concentration is inversely related to bank risk whereas regulatory restrictions positively influence bank risk-taking.     

Impacts of Trade Liberalisation Commitments on the Vietnamese Economy: A CGE Approach

This article quantifies the economic effects of tariff reduction following Vietnam's WTO accession. It differs from previous studies in several aspects. First, the model incorporates non‐standard features of the Vietnamese economy (e.g. changes in the domestic tax system). Second, the model divides Vietnamese households into 10 groups, allowing for the assessment of household welfare and income distribution. Third, the model has been run employing the most up‐to‐date database available. The major findings are summarised as follows. First, Vietnam as a whole would benefit from trade liberalisation. Second, the overall gain would be accompanied by a redistribution of income and a moderate increase in inequality between the rich and the poor. Third, concerning sectoral output, export‐oriented sectors, sectors with large shares of input in total imports, and those with increased domestic demands are likely to expand, whereas, in contrast, domestic‐oriented sectors are likely to contract. Measures to increase labour mobility, target disadvantaged groups and areas, and further liberalise service sectors are recommended as the recipe for effective utilisation of integration, as well as a more equitable pattern of growth.     

Knowledge embeddedness and the transfer mechanisms in multinational corporations

This paper reports a qualitative study conducted at four Japanese subsidiaries in China and Vietnam about their process of international knowledge transfer. Building on the literatures concerning the diverse types and characteristics of knowledge in multinational corporations (MNCs), we explore the broad mechanisms adopted and locally generated by the host country subsidiaries for transferring the foreign knowledge and putting the locally embedded knowledge into practical use at the local settings. The findings indicated (1) the limitations of applying a standardized and universal set of knowledge transfer mechanisms without considering local idiosyncrasies and (2) the contributions of local agents and institutions throughout the process of local knowledge adaptation and development.     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

How does FDI affect domestic firms’ wages? theory and evidence from Vietnam

This paper explores the role of inward foreign direct investment (FDI) as a determinant of domestic firms’ wages, namely wage spillovers. We first construct a theoretical model to demonstrate that the presence of FDI firms affects domestic firms’ expected average wages via productivity spillovers and a cut-off capability. We then estimate FDI-induced wage spillovers by employing IV-GMM estimator with a five-year panel dataset of a growing service industry in Vietnam. Despite FDI firms on average pay 2.25 times that of domestic firms, they put a downward pressure on domestic firms’ wages. A one percent increase in FDI presence causes domestic firms to cut average wages by 2.03 percent. The estimations also find that firm-specific features are attributable to significant differences in their wages as well as FDI-linked wage spillovers.     

Mortgage product diversity: responding to consumer demand or protecting lender profit? An asymmetric panel analysis

This article explores determinants of mortgage product diversity for owner-occupied and investment loans in the Australian housing mortgage market. From 2001 to 2012, 65 lenders introduced 1220 mortgage products in Australia. We examine whether the product proliferation was a result of consumer demand or a response to pressure to lower lending rates. We find that consumer demand for mortgages does not have a significant relationship with the number of mortgage products, but that decreases in the policy interest rate are highly significant as an explanatory variable for product proliferation. Such behaviour is consistent with information obfuscation, reducing the ease with which consumers can compare lending rates. Further, the relationship between mortgage products offered and the policy interest rate is asymmetric: decreases in the cash rate are associated with increased mortgage products offered, but increases in the cash rate have a more muted effect on decreasing the number of products.     

Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach

This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only nonlinear causalities in conditional return (mean) and conditional volatility (variance) but also the asymmetries of causalities under extreme market conditions (bullish vs. bearish states). Our results provide significant evidence of causality in return and volatility at different points of the conditional distributions of returns, with the greater effects from the U.S. than from Japan. Asymmetric quantile causality patterns are particularly pronounced in the case of Japan.     

The impacts of women's land ownership: Evidence from Vietnam

Women's equal access to and control over economic resources such as land are integral to achieve gender equality and sustainable economic development. This study evaluates the impacts of women's land ownership on various women's and household's outcomes in the context of Vietnam. We discuss the beneficial effects of allowing women to own more land on both women and their families. In particular, there is a positive association between women's land ownership and intra-household bargaining power in various aspects. In particular, the relationship is the strongest for women's autonomy in decisions regarding their children. It is also easier for land-holding women to formally access credit and invest in human capital. We further study the favorable effects of women's land ownership on their families in terms of spending and saving behaviors. Finally, women's land ownership also contributes to household social capital. These findings lend support to the passage and implementation of laws intended to grant women equal rights to the ownership and control over land.     

Impact of Increasing Minimum Wage on Homeownership and Home Equity Loans

International Advances in Economic Research - The U.S. housing market has not completely recovered from the Great Recession and is likely to tumble into another dive. Meanwhile, multiple proposals...