The evolution of the January effect

This paper extends recent studies of the January effect by investigating the evolution of the daily pattern of the effect across size deciles. Our evidence documents a sizable mean reverting component beginning in the latter part of January and a shorter duration of the seasonal effect. Despite lower abnormal returns in the second part of January, higher abnormal returns in the first part of January keep the magnitude of the January effect unchanged. Further analysis of daily trading volumes suggests a stable trading volume intensity in the first part of January and a substantial decline in trading volume intensity in the second part of January.     

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

This paper considers in detail a realistic mortgage valuation model (including the potential for early prepayment and the risk of default), based on stochastic house-price and interest-rate models. As well as the development of a highly accurate numerical scheme to tackle the resulting partial differential equations, this paper also exploits singular perturbation theory (a mathematically rigorous procedure, based on the idea of the smallness of the volatilities), whereby mortgage valuation can be accurately approximated by very simple closed-form solutions. Determination of equilibrium contract rates, previously requiring many computational hours is reduced to just a few seconds, rendering this a highly useful portfolio management tool; these approximations compare favorably with the full numerical solutions. The method is of wide applicability in US or other mortgage markets and is demonstrated for UK fixed-rate mortgages, including insurance and coinsurance.     

An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts

Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts, and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable (i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.

Expected shortfall estimation for apparently infinite-mean models of operational risk

Statistical analyses on actual data depict operational risk as an extremely heavy-tailed phenomenon, able to generate losses so extreme as to suggest the use of infinite-mean models. But no loss can actually destroy more than the entire value of a bank or of a company, and this upper bound should be considered when dealing with tail-risk assessment. Introducing what we call the dual distribution, we show how to deal with heavy-tailed phenomena with a remote yet finite upper bound. We provide methods to compute relevant tail quantities such as the Expected Shortfall, which is not available under infinite-mean models, allowing adequate provisioning and capital allocation. This also permits a measurement of fragility. The main difference between our approach and a simple truncation is in the smoothness of the transformation between the original and the dual distribution. Our methodology is useful with apparently infinite-mean phenomena, as in the case of operational risk, but it can be applied in all those situations involving extreme fat tails and bounded support.     

(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets

This paper investigates the explanatory power of weather variables deviations in two leading international financial trading centres (New York and London) on 58 global stock indices over the period September 2000 to December 2013. The empirical results find that unusual deviations of weather variables from their monthly averages have a statistically significant effect on stock returns across global returns. The paper also attempts to explain these effects through the sales and energy prices mechanisms. The results provide strong support to both mechanisms.     

Is corruption a greater burden for registered MSEs? Evidence from Zambia

If corrupt bureaucrats target registered firms, then corruption may discourage registration. Using data from a survey of 4,801 micro and small enterprises (MSEs) in Zambia, this paper looks at whether corruption is a more or less serious problem for registered MSEs. Consistent with earlier studies, the results suggest registered MSEs are more concerned about corruption than unregistered firms are. The paper also proposes two reasons why corruption might affect registered MSEs differently than it affects unregistered firms. We first suggest that registered firms might meet with government officials more often than unregistered firms, giving corrupt officials more opportunities to demand bribes from them, but we also suggest that registered firms might be less vulnerable when officials demand bribes because they are more able to complain about bribe demands. This could offset registered firms' disadvantage because of more frequent meetings. The evidence supports the first, but not the second, hypothesis. Registered firms were more likely to meet with government officials but were not consistently less likely to pay bribes when they did meet with them.     

Job/work environment factors influencing training transfer within a human service agency: some indicative support for Baldwin and Ford’s transfer climate construct

Despite significant progress in the field of training transfer research over the past two decades very little empirical research in the area has been conducted within human service organisations. As a result, our knowledge of the extent to which those factors posited within the training literature to influence the transfer of training are necessarily those found in these particular work settings very much remains in its infancy. This article presents findings from qualitative research that was undertaken as part of a wider training evaluation strategy to investigate (1) those factors which influenced the transfer of training within a UK social services department; and (2) how these factors compared or differed from those suggested within the literature as influencing training transfer. The findings suggest a range of specific factors as they pertain to both the nature of the jobs and the workplace within such work settings as mediating training transfer. However, a number of these were closely associated with the dimensions of social support and opportunity to use as posited within Baldwin and Ford’s (1988) transfer of training model, suggesting that the model is potentially generalisable to human service agencies.     

Ownership Dynamics with Multiple Insiders: The Case of REITs

We study ownership dynamics of multiple strategic risk-averse insiders facing a moral hazard problem. We show that, when insiders cannot commit,  ex ante , to an ownership policy, the aggregate insider stake gradually declines toward the competitive market allocation. Both the speed of adjustment and the long-term equilibrium aggregate insider ownership level are greater for companies with a larger number of insiders,  ceteris paribus . Using data from U.S. real estate investment trusts, we then test the model and find that the predictions of the model are verified empirically.     

Competence‐based management development in small and medium‐sized enterprises: a multi‐stakeholder analysis

Small and medium‐sized enterprises (SMEs) are considered increasingly important for economic growth (Wilson, 1995) and effective management of them is regarded as essential for their survival and success (Jennings and Beaver, 1995). This study adopted a multi‐stakeholder perspective in order to explore the promotion, via Training and Enterprise Councils (TECs); provision and (potential for) purchase of competence‐based management training and development (MTD) in the SME sector in the United Kingdom. Survey data from (551) and interviews with (12) SMEs; plus interviews (6) with TECs and interviews (29) with providers of MTD are reported. ‘Product’ deficiencies in competence‐based MTD are identified and recommendations for promotion made.     

Interest Rate Liberalization and Economic Growth in Zambia: A Dynamic Linkage

Abstract: This paper examines the dynamic impact of interest rate reforms on economic growth in Zambia—using two models in a stepwise fashion. In the first model, the efficacy of interest rate liberalization is examined by regressing the interest rate on the level of financial deepening. In the second model, the causal relationship between financial depth and economic growth is examined by incorporating savings as an intermittent variable in the bivariate setting, thereby creating a simple trivariate model. Using the cointegration‐based error correction model, the study finds strong support for the positive impact of interest rate liberalization on financial deepening. In addition, the study finds that financial deepening, which results from interest rate liberalization, Granger causes economic growth. The results apply irrespective of whether the causality is estimated in the short run or in the long run. Other results show that: (1) lagged financial depth leads to further financial deepening; (2) savings and economic growth Granger cause each other; and (3) financial development Granger causes savings in the long run.