The role of bank monitoring in corporate governance: Evidence from borrowers’ earnings management behavior

In this paper, we examine the corporate governance role of banks by investigating the effect of bank monitoring on the borrowers’ earnings management behavior. Our analyses suggest that a borrowing firm’s earnings management behavior generally decreases as the strength of bank monitoring increases. The strength of bank monitoring is measured as (1) the magnitude of a bank loan, (2) the reputation (rank) of a lead bank, (3) the length of a bank loan, and (4) the number of lenders. These results imply that bank monitoring plays an important role in the corporate governance of bank-dependent firms. We further examine other bank loan characteristics (collateral, refinancing, loan types, and loan purposes) and their effects on borrowers’ earnings management behavior. Our analyses show that collateral and loan types are significantly associated with borrowers’ earnings management behavior while refinancing and loan purposes have no association.     

Knowledge Flows Between Advertising and Other Disciplines: A Social Exchange Perspective

Knowledge flows between advertising and other academic disciplines are examined to identify the structure of scientific knowledge, the extent of social exchange and the scientific status of the field. Bibliometric analysis is used to identify who is citing our research and who we cited. Cocitation patterns for the leading advertising journals (Journal of Advertising [JA], Journal of Advertising Research [JAR], International Journal of Advertising [IJA], Journal of Interactive Advertising [JIA], and Journal of Current Issues and Research in Advertising [JCIRA]) and the top 50 citing and cited journals with citation relationships from 2005 to 2014 were examined. Findings revealed that advertising is citing advertising scholarship the most, followed by marketing, consumer research, psychology, and communication. This suggests a “maturing field” where scholars look within the discipline's body of knowledge. In turn, advertising research is cited by advertising, marketing, business (general), communication, and psychology. The overall citing-to-cited ratio suggests that advertising is more a “receiver” than “provider” of knowledge to other disciplines; however, there is variation across the advertising journals. The positioning of advertising journals in the larger disciplinary framework shows close relationships to consumer research and interactive communication. The most common focus among the top-cited articles is digital media, with few articles focusing on traditional advertising. The implications of our findings for the field of advertising are discussed.     

Rent seeking in groups

Rent-seeking contests between groups involve conflicts of interests at the levels of individuals, groups, and the society as a whole. We conduct a series of economic experiments to study the behavior of groups and individuals competing against each other in rent-seeking contests. We find substantial over-contribution to rent-seeking relative to the equilibrium predictions of standard models regardless whether individuals compete against other individuals, groups compete against other groups, or individuals compete against groups.     

The employment dynamics of less‐educated men in the United States: The role of self‐employment

Using data from the 1979 National Longitudinal Survey of Youth, I construct a sample of working‐age males and examine the employment dynamics with a particular focus on the role of self‐employment for less‐educated men in the US. I find that men responding they had at some point been self‐employed tend to spend less time in non‐employment than other less‐educated men. The results from the dynamic multinomial logit model reveal positive aspects of self‐employment by indicating that less‐educated men who were self‐employed in the previous year were less likely to be non‐employed in the future as compared to those who were paid workers in the previous year.     

The Effect of Cultural Distance on Tourism: A Study of International Visitors to Hong Kong

This study focuses on the impact of cultural distance on the behavior of international pleasure tourists who visited Hong Kong. It analyzes data drawn from the Hong Kong Tourism Board's Visitor Profile Report, and tests whether cultural distance has a similar impact on behavior as noted in previous studies examining physical distance. The study concludes that cultural distance exerts a modest impact on such attributes as demand, travel party composition, trip profile, behaviors, expenditure and satisfaction.     

Optimal Risk Management Using Options

This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value-at-Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired by the institution. Moreover, the costs associated with a suboptimal choice of exercise price are economically significant.     

原产国和消费者民族中心主义对组织购买者产品评价的影响

原产国和消费者民族中心主义是全球化营销研究领域的热点问题，但是二者对组织购买者产品评价的影响研究相对较少。本研究以中国组织购买者为被访者，采用结构化问卷对其进行调查。通过多元方差分析和T检验发现，无论是基本生产设备还是辅助生产设备，组织购买者对其评价显著地受到原产国效应影响，尤其是受设计国信息的影响；无论是对本国产品还是文化相似国产品的评价，组织购买者并未受到消费者民族中心主义的影响。另外，本研究还发现，原产国效应不受组织特征的干扰。     

Attitudes toward risk and self-employment of young workers

A high degree of risk tolerance is often regarded as one of the fundamental characteristics of entrepreneurs. Using multiple responses on risky income gambles in the 1979 National Longitudinal Survey of Youth (NLSY79), I investigate the effect of individual risk tolerance on the probability of entry into self-employment. I construct a measure of individual level of risk tolerance that is corrected for reporting error and that varies with age and other covariates that potentially affect self-employment decision. I find that risk tolerance is an important determinant of the decision to enter self-employment. However, I find that the estimated effect of risk tolerance on the probability of entering self-employment is dramatically understated if measurement error is not taken into account. In addition, I find that that accounting for the correlation between risk tolerance and other covariates is important to correctly assess the effects of the other determinants of self-employment while it has a trivial effect on the estimated marginal effect of risk tolerance.     

GMM estimation of the number of latent factors: With application to international stock markets

We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation procedure is simple and robust to the configurations of idiosyncratic errors encountered in practice. In addition, the method can be used to evaluate the validity of observable candidate factors. Monte Carlo experiments show that the proposed estimators have good finite-sample properties. Applying the estimators to international stock markets, we find that international stock returns are explained by one strong global factor. This factor is highly correlated with the Fama–French factors from the U.S. stock market. This result can be interpreted as evidence of market integration. We also find two weak factors closely related to markets in Europe and the Americas, respectively.     

Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling

Abstract

The α-level value at risk (Var) and the α-level conditional tail expectation (CTE) of a continuous random variable X are defined as its α-level quantile (denoted by q_α ) and its conditional expectation given the event {X > q_α }, respectively. Var is a popular risk measure in the banking sector, for both external and internal reporting purposes, while the CTE has recently become the risk measure of choice for insurance regulation in North America. Estimation of the CTE for company assets and liabilities is becoming an important actuarial exercise, and the size and complexity of these liabilities make inference procedures with good small sample performance very desirable. A common situation is one in which the CTE of the portfolio loss is estimated using simulated values, and in such situations use of variance reduction techniques such as importance sampling have proved to be fruitful. Construction of confidence intervals for the CTE relies on the availability of the asymptotic distribution of the normalized CTE estimator, and although such a result has been available to actuaries, it has so far been supported only by heuristics. The main goal of this paper is to provide an honest theorem establishing the convergence of the normalized CTE estimator under importance sampling to a normal distribution. In the process, we also provide a similar result for the Var estimator under importance sampling, which improves upon an earlier result. Also, through examples we motivate the practical need for such theoretical results and include simulation studies to lend insight into the sample sizes at which these asymptotic results become meaningful.