A new non-linear AR(1) time series model having approximate beta marginals

We consider the mixed AR(1) time series model $$X_t=\left\{\begin{array}{ll}\alpha X_{t-1}+ \xi_t \quad {\rm w.p.} \qquad \frac{\alpha^p}{\alpha^p-\beta ^p},\\ \beta X_{t-1} + \xi_{t} \quad {\rm w.p.} \quad -\frac{\beta^p}{\alpha^p-\beta ^p} \end{array}\right.$$ for ?1 < β ^p ≤ 0 ≤ α ^p  < 1 and α ^p ? β ^p  > 0 when X _t has the two-parameter beta distribution B₂(p, q) with parameters q > 1 and ${p \in \mathcal P(u,v)}$ , where $$\mathcal P(u,v) = \left\{u/v : u < v,\,u,v\,{\rm odd\,positive\,integers} \right\}.$$ Special attention is given to the case p = 1. Using Laplace transform and suitable approximation procedures, we prove that the distribution of innovation sequence for p = 1 can be approximated by the uniform discrete distribution and that for ${p \in \mathcal P(u,v)}$ can be approximated by a continuous distribution. We also consider estimation issues of the model.     

Tourism demand in Hong Kong: income,prices, and visa restrictions

This paper examines the determinants of Hong Kong tourism demand for the top-three major tourist arrival countries, namely Mainland China, Taiwan, and Japan, with an error correction model. Specifically, this paper will examine the effects of relaxing the visa requirement, the launch of the Individual Visit Scheme (IVS), for Mainland Chinese tourists in 2003. Empirical results show that tourists are income-elastic and consider international tourism to be a luxury good. Tourists are more sensitive to changes in the nominal exchange rate than to changes in the foreign pricing level. The positive effect of the launch of the IVS for Mainland Chinese tourists outweighs the adverse impact of the severe acute respiratory syndrome (SARS) on tourism demand for Hong Kong.     

Divestitures,privatization and corporate performance in emerging markets

We use new firm‐level data to examine the effects of firm divestitures and privatization on corporate performance in a rapidly emerging market economy. Unlike the existing literature, we control for accompanying ownership changes and the fact that divestitures and ownership are potentially endogenous variables. We find that divestitures increase the firm's profitability but do not alter its scale of operations, while the effect of privatization depends on the resulting ownership structure – sometimes improving performance and sometimes bringing about decline. The effects of privatization are thus more nuanced than suggested in earlier studies. Methodologically, our study provides evidence that it is important to control for changes in ownership when analyzing divestitures and to control for endogeneity, selection and data attrition when analyzing the effects of divestitures and privatization.     

New development: Between politics and strategic planning—the management of government priorities in Lithuania

ABSTRACT

How do political agendas impact on strategic planning practices? This article shows that recent changes to the framework for managing government priorities have made Lithuania’s strategic planning system more politically responsive by mobilizing political attention, leadership and state funding to major government commitments. However, these changes have not yet translated into any longer term outcomes because policy implementation practices did not change very much.     

Empirical Analysis of the Market Value Added in the Czech Automotive Industry

International Advances in Economic Research -     

Can staying overnight affect traveler satisfaction? Evidence from a gambling destination

Given that satisfied travelers tend to become repeat customers and spread positive word of mouth, destinations must induce travel satisfaction to increase their income. Travelers may face increasing physical and mental challenges during their travel that can undermine their travel experience, and staying overnight in a destination can improve the satisfaction of travelers by refreshing their energy. Given its important role in increasing the revenues of certain destinations such as Macau, staying overnight is strongly encouraged among travelers. However, the relationship between staying overnight and traveler satisfaction in the casino context has never been studied. By conducting a survey among 17,742 travelers in Macau, this study explores the moderating effect of staying overnight on the relationship between travel experience and satisfaction. The results indicate that staying overnight strengthens (reduces) the negative effect of visiting frequency (outside-Macau casino experience). However, staying overnight has no moderating effect on such relationship when the negative influence of first-time visit is considered. These findings also provide implications for tourism researchers and practitioners.     

Testing Calendar Effects of International Equity and Real Estate Markets

There are a lot of previous studies on calendar effects. However, most of them use traditional methods like regression. Hui et al. Habitat International 48, 38–45, (2015b) incorporated Shiryaev-Zhou index with logistic regression to study the Halloween and January effects of eight securitized real estate markets, but they fixed the moving-window size to be 130 days. How the change in moving-window size affects the calendar effects cannot be seen. In this study, we also apply the Shiryaev-Zhou index, but we allow the moving-window size to vary. Furthermore, we incorporated Shiryaev-Zhou index with analysis of mean (ANOM) and logistic regression to examine calendar effects of general equity and securitized real estate indices of Hong Kong, Japan, US, UK, France and Germany during the period 1996 – 2014. The results show that our new methods can detect additional channels of significant calendar effects of which normal methods fail to show. Furthermore, the general equity indices show significant Halloween and January effects. However, for the securitized real estate indices, the Halloween and January effects are less significant or even go into reverse in some cases. This study has two main implications. Firstly, investors can formulate a better trading strategy to earn more profits. Secondly, trends and phenomena found in equity markets may not be applicable to real estate markets, so investment rules on equity markets may not work on real estate markets.     

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.     

The Responsiveness of Corporate Investments to Changes in Corporate Income Taxation During the Financial Crisis: Empirical Evidence from Slovenian Firms

I examine the responsiveness of corporate investments to changes in corporate income taxation during the financial crisis. When investigating tax effects in financially constrained firms, the model of investment demand needs to be extended to include an additional channel through which taxes could affect investments. I model the tax effects via two transmission channels, the traditional user cost of capital channel and the cash flow channel, which is crucial for financially constrained firms. The empirical results show that corporate investments in financially constrained firms do not respond to changes in corporate income taxation through the user cost of capital channel, but there is strong evidence of the effect that materializes through the cash flow channel.