Effective fair pricing of international mutual funds

We propose a new methodology to provide fair prices of international mutual funds by adjusting prices at the individual security level using a comprehensive and economically relevant information set. Stepwise regressions are used to endogenously determine the stock-specific optimal set of factors. Using 16 synthetic funds whose characteristics are extracted from 16 corresponding actual US-based Japanese mutual funds, we demonstrate that our method estimates fund prices significantly more accurately than existing methods. Although existing fair-pricing methods provide an improvement over the current practice of simply using Japanese market closing prices, they are still highly vulnerable to exploitation by market-timers. By contrast, our method is the most successful in preventing such strategic exploitation since no competing method can profit from our stated prices.     

Asset Price Spillover,Collateral and Crises: with an Application to Property Market Policy

This paper studies the impact of land supply elasticity and land use regulation. For sufficiently adverse shocks constrained entrepreneurs liquidate their assets for debt repayment. This effect can spillover to the residential property market. A crisis occurs when households are forced to default on their mortgages as well. While both converting costs and land use regulation tend to magnify the effect of adverse shock, the former generates an asymmetric effect between a positive and a negative shock on the land market, and the latter tends to raise the likelihood of a crisis, by raising the threshold value of liquidation.

Structural models of corporate bond pricing with maximum likelihood estimation

This paper empirically examines the proxy, volatility-restriction (VR) and maximum likelihood (ML) approaches to implementing structural corporate bond pricing models, and documents that ML estimation is the best among the three implementation methods. Empirical studies using either the proxy approach or the VR method conclude that barrier-independent models significantly underestimate corporate bond yields. Although barrier-dependent models tend to overestimate the yield on average, they generate a sizable degree of underestimation. The present paper shows that the proxy approach is an upwardly biased estimator of the corporate assets and makes the empirical framework work systematically against structural models of corporate bond pricing. The VR approach may generate inconsistent corporate bond prices or may fail to give a positive corporate bond price for some structural models. When the Merton, LS, BD and LT models are implemented with ML estimation, we find substantial improvement in their performances. Our empirical analysis shows that the LT model is very accurate for predicting short-term bond yields, whereas the LS and BD models are good predictors for medium-term and long-term bonds. The Merton model however significantly overestimates short-term bond yields and underestimates long-term bond yields. Unlike empirical studies in the past, the Merton model implemented with ML estimation does not consistently underestimate corporate bond yields.     

中国内地银行的外汇风险

本文实证研究使用资本市场法（Capital Market Approach）和14家中资上市银行的股价数据,发现银行规模和其外汇风险之间存在正相关关系。这可能反映了国内大型中资银行更多的外汇操作和交易头寸,以及因人民币汇率变动、对客户风险发生变化所带来的大量间接影响。虽然内地银行对国际市场的参与程度仍低于香港同业,但实证研究结果显示国有商业银行和股份制商业银行的平均外汇风险高于香港银行,而且大银行的外汇风险为负数的情况非常普遍,这意味着人民币升值将降低这些银行的股票价值,从而损害银行业表现。由于股价下跌一般反映违约风险上升,因此应密切监测人民币升值情况对内地银行违约风险可能发生的影响。     

Work‐Related Training and the Probability of Transitioning from Non‐Permanent to Permanent Employment

It is widely believed that work‐related training increases a worker's probability of moving up the job‐quality ladder. This is usually couched in terms of effects on wages, but it has also been argued that training increases the probability of moving from non‐permanent forms of employment to more permanent employment. This hypothesis is tested using nationally representative panel data for Australia, a country where the incidence of non‐permanent employment, and especially casual employment, is high by international standards. While a positive association between participation in work‐related training and the subsequent probability of moving from either casual or fixed‐term contract employment to permanent employment is observed among men, this is shown to be driven not by a causal impact of training on transitions but by differences between those who do and do not receive training, that is selection bias.     

Does Service Employee Arrogance Discourage Sales of Luxury Brands in Emerging Economies?

Upscalex stores selling luxury brands from Western, developed countries are having a strong presence in many emerging markets. However, it is not uncommon to find that the service employees of these stores are arrogant and inhospitable. This article uses a dual attitudes perspective to show how service employee arrogance affects customers’ attitudes and purchase intentions toward luxury brands in emerging markets. Experimental findings show that arrogance produces dual attitudes, with positive implicit attitudes exerting a stronger influence than unfavorable explicit attitudes on purchase intentions. In addition, for customers with high self‐esteem, service employee arrogance has a negative effect on their purchase intentions. In line with the expectation disconfirmation model, when service employees change their arrogant attitudes and subsequently show hospitality, customers also change their expectations. When the improved service exceeds customers’ expectations, their explicit attitudes turn positive and exert a stronger influence on purchase intentions than when service employees are consistently hospitable.     

Relating International Trade to the Housing Market

Studies of tariffs have tended to ignore their impact on housing markets. This paper builds a simple dynamic general-equilibrium model to bridge the gap. The model is consistent with empirical findings that housing prices in several small open economies, and the price of nontradeables relative to tradeables, have increased over time. The model also allows closed-form solutions of the elasticity of the economic growth rate, the housing-stock growth rate, and the housing-price growth rate, with respect to the tariff rate. Other testable implications are generated.     

Real options signaling game models for dynamic acquisition under information asymmetry

We construct a real options signaling game model to analyze the impact of asymmetric information on the dynamic acquisition decision made by the aggressive acquirer firm and passive target firm in the takeover terms and timing. The target firm is assumed to have partial information on the synergy factor of the acquirer firm in generating the surplus value. Our dynamic acquisition game models are based on the market valuation of the surplus value of the acquirer and target firms, where the restructuring opportunities are modeled as exchange options. We analyze the various forms of equilibrium strategies on the deal and timing of takeover in the acquisition game and provide the mathematical characterization of the pooling and separating strategies adopted by the acquirer firm. We also determine the terms of takeover in the signaling game under varying levels of information asymmetry and synergy.     

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.     

Challenges to the psychological contract in Hong Kong

This study investigates empirically the psychological contract of a sample of 205 Hong Kong junior and senior managers. It determines the perceptions of factors that employers and employees see as relevant to the employment relationship, and then analyses perceptions of and attitudes towards recent changes in the Hong Kong business environment. In addition to exploring the nature and content of manager's psychological contracts in Hong Kong, the study explores how contracts are related to and affected by both the external environment and internal management practices. A survey questionnaire is used to measure the promises and commitments perceived to have been made by organizations, and the obligations that employees perceive they owe to their employer. In addition, the actual policies and practices of the employing organizations are determined. The impact of the HRM climate of the employing organizations (actual policies and practices) and the attitudes, expectations and feelings of organizational members about ongoing changes in the business and management environment on this exchange relationship are isolated. The study makes two contributions to the psychological contract literature: it examines the relevance of a psychological contract approach in a nonWestern geographical region; and it moves the concept of HRM preferences more centrally into the psychological contracting literature. This enables a better understanding of the construct in relation to the comparative management literature. The content of the psychological contract is shown to be multi-dimensional. Perceptions of organizational commitments and promises focus around four judgements: an intrinsically satisfying and challenging environment; a secure and rewarding job; equity; and supportive leadership. By Western standards the employee side of the employment relationship 'deal' is more one-sided. The proportion of managers who believe employees are strongly obligated to do certain things for their employers is very high. The study examines the factors that predict employees' psychological contracts. Actual HRM practices are shown to predict perceived commitments and obligations, and the strength of obligation is related to perceived promises and commitments. In contrast to the emphasis on the internal cognitive and individualized conception of the psychological contract in much of the literature, this study indicates that this decontextualizes psychological contracts. The true nature of a psychological contract is shown to be an exchange relationship firmly linked to a culture's reciprocity norms.