Return enhancement trading strategies for size based portfolios

Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged value of the market risk premium is useful for successfully predicting the return sign for CRSP small decile portfolio returns, but not large ones. We additionally employ this model in market timing simulations of micro-cap mutual funds in which investment can actually be made. The results indicate that a market-timing strategy based on our return-sign forecasting model outperforms a buy-and-hold strategy for 13 of 14 micro-cap funds studied. On average, the buy-and-hold strategy produces an average compound return of 11.98% per annum versus an average of 16.60% for the market-timing strategy. Nevertheless, trading restrictions make the return-sign forecasting model more practical to employ by the micro-cap fund portfolio manager rather than the individual fund investor.

Seasonality in firm-size portfolio returns: A nonparametric analysis

In this study the author uses stochastic dominance, a nonparametric method of portfolio performance analysis, to test for seasonality in firm-size portfolio return behavior. Stochastic dominance confirms the January effect, found in previous parametric studies, only for the smallest firm-size portfolio. It statistically eliminates the size effect for the larger firm-size portfolios in January and for all firm-size portfolios in the other months of the year. It is demonstrated that a market proxy problem and normality assumption violation may bias the parametric results. Nonparametric analysis, therefore, suggests that markets may be more efficient than parametric methods imply when model violations exist.     

Chief Financial Officers' Perceptions Concerning the IMA's Standards of Ethical Conduct

Do chief financial officers (CFOs) of publicly held corporations agree with the Institute of Management Accountants' (IMA) Standards of Ethical Conduct and are they willing to adopt them? To address these issues, a survey was conducted concerning the Standards. The IMA issued the Pronouncement of Standards in June, 1982. In November, 1992, 790 survey questionnaires were mailed to chief financial officers (CFOs) of corporations listed in Forbes. These CFOs held the positions of vice president of finance and controller. Completed questionnaires were received from 208 CFOs representing a 26.3% response rate. The questionnaire employed a 5-point Likert scale and included seven demographic questions to facilitate the interpretation of the findings. The surveyed CFOs agreed with the majority of the Standards. However, many CFOs commented that some of the Standards of Ethical Conduct were difficult to implement in the real world. The CFOs critically commented that all the Standards were too general, too vague, or did not cover the grey areas that occur in real world situations. Ironically, the more years of experience acquired by CFOs, the less they believed in the Standards. Surprisingly, only 41.3 percent indicated that their corporations experienced ethical issues or problems. From the survey, 98.6 percent consider the Standards reasonable, 96.6 percent comply with the them, and 88.4 percent have implemented their own code of ethical conduct standards within their organizations. Thus, 10.2 percent of the CFOs believe the Standards are reasonable but have not implemented any code of ethical conduct standards within their organizations. Also, 8.2 percent of the CFOs comply with the Standards but have not implemented them as policies in their organizations. Interestingly, 11.6 percent of the CFOs that have not implemented their own code of which 60 percent believed that their organizations should adopt a code of ethical conduct. The other 40 percent expressed no plans to adopt any code as policy. Evidence indicates that the less CFOs support the Standard to "Recognize and communicate professional limitations . . .", the more ethical issues and problems occur within their organizations. Also, the organizations with codes of ethical conduct support two particular Standards more than organizations without codes. Finally, CFOs with CPA certification supported the Standard to "Prepare complete and clear reports after appropriate analysis of relevant and reliable information" less than CFOs without the certification.     

To Centralise or Disperse – A Question for Interpretation: A Case Study of Interpretive Planning in the Brecks

The connections between interpretation and sustainable tourism are gradually being realised and it is now generally accepted that interpretation, if planned carefully and sensitively, can contribute in a variety of ways to sustainable tourism development. This paper reports on a case study of sustainable interpretive planning in the Brecks countryside straddling the Norfolk–Suffolk border in the UK. The key question raised is: if interpretation is to be fully accepted as a mechanism in developing sustainable tourism practices should interpretation be planned and implemented in a dispersed or in a centralised fashion? A review of several projects undertaken in a variety of UK destinations illustrates that this question is far from straightforward, and that the results are far from conclusive. The paper discusses the way in which this question was addressed in the Brecks and why the dispersal option was adopted.     

Encroachment Patterns of the “Best Products” from the Last Decade*

Based on the examination of 239 “best products” (all those on Business Week's annual lists from the past decade), this article tests and validates a conceptual framework identifying six ways in which new products open new markets and/or encroach on original products. Three of these six scenarios involve high‐end encroachment (the new product first opens a new high‐end market, or enters at the high end of an existing market, and then diffuses down‐market), and three scenarios involve low‐end encroachment (encroachment starts at the low end, followed by diffusion up‐market). As illustrated in a 2 × 3 matrix, high‐end encroachment ensues when the new product enhances performance with regard to the market's core attribute (low‐end encroachment ensues when this performance is diminished). The three high‐end sub‐types and three low‐end sub‐types are determined by the strength of performance along an ancillary attribute dimension. If the ancillary attribute performance is week, then the encroachment of the new product on the old market is immediate (corresponding to immediate high‐end encroachment and immediate low‐end encroachment, respectively). If the ancillary performance is moderate, then the new product expands the market at the high or low end (corresponding to new‐attribute high‐end encroachment and fringe‐market low‐end encroachment, respectively). If the ancillary performance is strong, then the new product first opens an entirely new market at the high or low end (corresponding to new‐market high‐end encroachment and detached‐market low‐end encroachment, respectively). The reliability and comprehensiveness of the encroachment framework is tested by asking a panel of eight judges to categorize each of the 239 products. Results show inter‐judge reliability of 98%, with all products falling within one of the six encroachment categories. Each of the encroachment types has unique implications on product positioning and pricing, as further discussed in the paper. Thus the model helps firms identify and analyze the various possible strategies that they might choose from when introducing new products.     

Film tourism: celebrity involvement,celebrity worship and destination image

Film tourism is a growing phenomenon worldwide. Previous studies have attempted to examine the relationship between celebrity involvement and destination image in film tourism, though the mechanism underlying this relationship remains a black box. The purpose of this research is to examine the relationship between celebrity involvement and destination image, and to clarify the role of celebrity worship for film tourists. A quantitative method is adopted to examine the hypotheses, and by applying multiple regression analysis. Questionnaire data from 390 Taiwanese purposeful film tourists indicate that celebrity involvement is positively related to destination image. Furthermore, celebrity worship mediates the relationship between celebrity involvement and destination image. The findings contribute to understanding this specific type of film tourist, and especially the role of celebrity in their image, motivations and decision. Research implications suggest that celebrity and film can be an effective promotional tool to induce these specific film tourists.     

Optimal forest harvest age considering carbon sequestration in multiple carbon pools: A comparative statics analysis

We present an analytical model for determination of the economically optimal harvest age of a forest stand considering timber value, and the value of carbon fluxes in living biomass, dead organic matter, and wood products pools. Through comparative statics analysis, we find that consideration of timber value and fluxes in biomass carbon increase harvest age relative to the timber only solution, and that the effect on optimal harvest age of incorporating fluxes in the dead organic matter and wood products pools is indeterminate.We also present a numerical example to examine the magnitudes of these effects. In general, incorporating the dead organic matter and wood products pools have the effect of reducing rotation age. Perhaps more interestingly, when initial stocks of carbon in dead organic matter or wood products pool are relatively high, consideration of these pools can have a highly negative effect on net present value.