Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method

In this paper we propose a Bayesian method to estimate the hyperbolic diffusion model. The approach is based on the Markov chain Monte Carlo (MCMC) method with the likelihood of the discretized process as the approximate posterior likelihood. We demonstrate that the MCMC method Provides a useful tool in analysing hyperbolic diffusions. In particular, quantities of posterior distributions obtained from the MCMC outputs can be used for statistical inference. The MCMC method based on the Milstein scheme is unsatisfactory. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the discrete-time financial econometrics literature, such as the Taylor effect, a slowly declining autocorrelation function of the squared returns, and thick tails.     

Exploring the Impact of Customer Satisfaction on Food Retailers' Evolution: Managerial Lessons From Austria

Many studies have shown that customer satisfaction affects customer behavior and loyalty. There are, however, relatively few studies that examine the impact of customer satisfaction on store repatronage behavior by store-type choice. This study examines why Austrian consumers choose a certain store type (i.e., supermarket or bakery) for purchases in a particular product category (i.e., baked goods). Moreover, it assesses the impact of customer satisfaction on customer loyalty (i.e., the repatronage intention). The study found that customers valued different attributes for each store type. It also suggested that customer satisfaction and customers' intention to recommend varied by store type. Additionally, the bakery customers' tendency to spend more is positively related to their satisfaction level. Managerial implications for both types of stores are provided.     

International transmission of information: evidence from the Euroyen and Eurodollar futures markets

This paper examines the information transmission between Japan and the US by using the Tokyo Euroyen and Chicago Eurodollar futures. These two interest rate futures markets provide a better understanding of international information transmission than stock markets, which have been shown to exhibit nonsynchronous trading and market segmentation. The results show that traders in Tokyo (Chicago) use information that is revealed overnight in Chicago (Tokyo). The bivariate EGARCH-t model provides no evidence of volatility spillovers in either direction, suggesting that the opening price rapidly reflects foreign information. The overall results support the hypothesis that the domestic market efficiently adjusts to foreign news. The results are also broadly consistent with the covered interest arbitrage effects.     

Technology Choice and Saving in the Presence of a Fixed Adoption Cost

This paper explores the relationship between technology choice and saving in the presence of fixed costs of technology adoption. While richer agents adopt the more productive technology immediately it is available, poorer agents optimally choose to wait before switching to the better technology. In the interim, they save more than others and more than in the absence of the prospect of switching to the new technology. The paper thus provides an explanation for the phenomenon that the saving rate and the growth rate of output increase over time in the transition.     

Optimal consumption and investment under transaction costs*

In this paper, we consider the Merton problem in a market with a single risky asset and proportional transaction costs. We give a complete solution of the problem up to the solution of a first‐crossing problem for a first‐order differential equation. We find that the characteristics of the solution (e.g., well‐posedness) can be related to some simple properties of a univariate quadratic whose coefficients are functions of the parameters of the problem. Our solution to the problem via the value function includes expressions for the boundaries of the no‐transaction wedge. Using these expressions, we prove a precise condition for when leverage occurs. One new and unexpected result is that when the solution to the Merton problem (without transaction costs) involves a leveraged position, and when transaction costs are large, the location of the boundary at which sales of the risky asset occur is independent of the transaction cost on purchases.     

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

We investigate changes in market quality in the US and Canada during macroeconomic news announcements. We measure market quality in terms of returns dependence, the cost of trading, and pricing errors. Using a sample of cross‐listed stocks and macroeconomic news from both countries, we document that market quality is generally higher in the US than in Canada. The pattern of intraday serial dependence in returns reveals that it takes investors about 5 min less to react to order imbalances in the US than in Canada. We further observe that, around announcement periods, transaction costs increase more in Canada than in the US, suggesting that the US market offers better liquidity. More information is also incorporated into the US market. These results support the view that the US is a prime target for cross‐listing, and are robust to different types of assets and time specifications.     

The Seminal Concept of Fast Expanding Markets

The circular pathway, also called the “cradle-to-cradle” model, is more than just recycling and environmental concerns. It is about a new way of thinking how we could grow without resorting to just expending resources. Its rapid expansion, as a new norm for companies, has characteristics of a Fast Expanding Market, given its exponential growth. In this article, we examine how the circular model is pushing companies and entities to come up with disruptive technology and business models that are based on longevity, renewability, reuse, repair, upgrade, refurbishment, servitization, capacity sharing and dematerialization. © 2015 Wiley Periodicals, Inc.     

Transformational leadership and job performance: A social identity perspective

Drawing on social identity theory, this study provides a model explaining the underlying process through which transformational leadership influences creative behavior and organizational citizenship behaviors. Individual differentiation and group identification are proposed as social identity mechanisms reflecting the characteristics of personal and collective identity orientations that underpin the differential effects of transformational leadership behaviors on performance outcomes. The model is tested with data from a sample of 250 front-line employees and their immediate managers working in five banks in the People's Republic of China. Results of hierarchical linear modeling provide support for the model whereby group-focused and individual-focused transformational leadership behaviors exert differential impacts on individual differentiation and group identification. Furthermore, individual differentiation mediates the relationship between individual-focused transformational leadership and creative behavior, whereas group identification mediates the relationships between group-focused transformational leadership and OCBs toward individuals and groups. Implications for theory and practice are discussed and future research directions are outlined.     

Productivity and impact in advertising research since the millennium: a profiling and investigation of drivers of impact

What does it take to become a top advertising scholar in productivity? What drives impact in advertising research? This article sets out to answer these two questions by assessing the productivity and impact among scholars and their work in advertising since the millennium. As a two-part study, we begin by benchmarking and profiling the top 1% scholars in the field based on their research publications in the three top advertising journals (Journal of Advertising, Journal of Advertising Research, and International Journal of Advertising). Next, we employ a three-perspective conceptual model to identify the salient drivers of impact in advertising research. By content analyzing 1443 articles in the three journals published between 2000 and 2014, we show that certain universalistic and particularistic factors (to a lesser extent) significantly predict paper citations. Our findings reveal how advertising academia is advancing and showing signs of internationalization in the new millennium, which provides implications for the field's advancement and scholarship.     

Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis

We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated for a period of normal REIT market conditions as well as for periods of inflating and collapsing REIT prices. We find that US REIT returns are contemporaneously correlated with other REITs most strongly during the bubble and crash market conditions where the US REIT market is an almost unilateral transmitter of returns. We also find that the Value at Risk (VaR) of the least capitalized REIT markets is proportionally higher during base/normal market conditions but that the largest REIT markets have the highest VaR contribution during the crash (financial crisis) period. Overall, our evidence indicates that REIT market risk shifted to the largest REIT markets and that diversification benefits eroded considerably during turbulent market conditions.