Justifying top management pay in a transitional economy

We investigate some aspects of top management pay in China's listed firms. We find positive pay and performance sensitivities and elasticities for top executives. In terms of magnitude, these sensitivities are similar to those reported in U.S. firms during the 1970s. However, the pay and performance relation is slightly weaker for firms located in less developed provinces. We also find that the pay disparities between top managers and employees are positively related to a firm's performance. Thus, it appears that any deviation away from a manager-worker compensation norm has to be justified by superior firm performance. In additional analyses, we find that managers' perquisites are not related to performance.     

Griechenlands Krise: Das währungspolitische Trilemma im Euroraum

Die Eurozone ist vor allem durch die gef?hrdete Kreditwürdigkeit Griechenlands in eine schwere Krise geraten. Jetzt zeigt sich, dass jede W?hrungsunion ein Konstruktionsproblem hat. Die Mitgliedstaaten müssen auf die Autonomie in der Geldpolitik verzichten und ohne die Instrumente der Geld- und Wechselkurspolitik ihre internationale Wettbewerbsf?higkeit bewahren.     

A framework for comparing socially responsible investment markets: an analysis of the Dutch and Belgian retail markets

The increasing popularity of socially responsible investment among individual investors throughout Europe reveals the need for a framework that allows the comparison of socially responsible retail markets in different European countries. This article proposes such a framework, containing 16 different characteristics of socially responsible retail markets describing the size, institutionalization and nature of this market and correcting for differences in the size of countries and financial markets. When this framework was applied to the Dutch and Belgian socially responsible retail markets, differences were found with respect to the nature of both markets (specifically the use of non‐financial criteria, the asset allocation, the number of solidarity funds and investors' preferences for socially responsible savings products). Similarities were found with respect to the (absolute and relative) size and the degree of institutionalization of the socially responsible retail markets.     

Continuous‐time models,realized volatilities,and testable distributional implications for daily stock returns

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and non‐parametric jump detection statistics constructed from high‐frequency intra‐day data. A sequence of simple‐to‐implement moment‐based tests involving various transformations of the daily returns speak directly to the importance of different distributional features, and may serve as useful diagnostic tools in the specification of empirically more realistic continuous‐time asset pricing models. On applying the tests to the 30 individual stocks in the Dow Jones Industrial Average index, we find that it is important to allow for both time‐varying diffusive volatility, jumps, and leverage effects to satisfactorily describe the daily stock price dynamics. Copyright © 2009 John Wiley & Sons, Ltd.     

Jumps and betas: A new framework for disentangling and estimating systematic risks

We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. We show consistency and derive the asymptotic distributions of our estimators. In an empirical application of the new procedures involving high-frequency data for forty individual stocks, we find that the estimated monthly diffusive and jump betas with respect to an aggregate market portfolio differ substantially for some of the stocks in the sample.     

A note on estimating the divisional cost of capital for diversified companies: an empirical evaluation of heuristic-based approaches

This note provides an empirical analysis of the potential for heuristic-based approaches to derive a divisional cost of equity from a firm's total cost of capital. Since an empirical relationship between fundamental information and systematic risk has previously been shown in other studies, idiosyncratic information on risk and performance ought to serve as a good proxy to calculate divisional adjustments. Two practically used, heuristic-based approaches are tested and a significant relationship is found between one of the measures and CAPM beta. This method may offer a plausible and comparatively uncomplicated method for adjusting a firm's total cost of capital for divisional use.     

The rise and fall of a market leader: Frozen foods in the U.K.

This paper explores the nature of competitive assets that are based on control of part of a market's infrastructure using a case study of the U.K. frozen food market. Following an argument due to Stigler, the thesis of the paper is that such assets are inherently transitory, and that positions of market leadership based on them tend to erode. This argument is consistent with the experiences of Birds Eye during the post-War period.     

An Examination of ERR and Asset Allocation in Public Pension Plans

In this paper, we examine the usefulness of expected rates of return (ERR) for public pension plans. Specifically, we test the correlation between the expected rate of return on plan assets and asset allocation. We also examine the predictive power of ERR on the actual returns of the pension assets. We find that the correlation between expected return and the percentage of assets that are equity securities is relatively weak. Further, we find that the percentage of assets that are equity securities is a much better predictor of actual returns than the disclosed expected return in public pension plans. These results provide evidence to support SFAS No. 87 , which requires the disclosure of plan assets and against recently promulgated SFAS No. 132 , which eliminates this disclosure requirement. The evidence also supports GASB 25'sStatement of Net Plan Assets .