Assessment Regressivity and Property Taxation

The Journal of Real Estate Finance and Economics - Homestead exemptions typically produce a moderately progressive statutory incidence for the property tax in the US when progressivity is measured...     

A capital adequacy buffer model

We develop a new capital adequacy buffer model (CABM) that is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default and the timeless capital asset pricing model (CAPM), which measures additional returns to compensate for additional share price risk. We apply the model to a portfolio of mid-cap loan assets over a 10-year period that includes pre-GFC (global financial crisis), GFC and post-GFC. An analysis of actual defaults over this period shows the model to be far more accurate in determining the capital adequacy levels needed to counter credit risk than an unresponsive ratings model such as the Basel standardized approach.     

Random matrix application to correlations amongst the volatility of assets

In this paper, we apply tools from random matrix theory (RMT) to estimates of correlations across the volatility of various assets in the S&P 500. The volatility inputs are estimated by modelling price fluctuations as a GARCH(1,1) process. The corresponding volatility correlation matrix is then constructed. It is found that the distribution of a significant number of eigenvalues of the volatility correlation matrix matches with the analytical result from RMT. Furthermore, the empirical estimates of short- and long-range correlations amongst eigenvalues, which are within RMT bounds, match with the analytical results for the Gaussian Orthogonal ensemble of RMT. To understand the information content of the largest eigenvectors, we estimate the contribution of the Global Industry Classification Standard industry groups to each eigenvector. In comparison with eigenvectors of correlation matrix for price fluctuations, only few of the largest eigenvectors of the volatility correlation matrix are dominated by a single industry group. We also study correlations between ‘volatility returns’ and log-volatility to find similar results.     

Reexamining momentum profits: Underreaction or overreaction to firm-specific information?

We design a new measure and find that the predictability of past returns on future returns increases as stocks respond with delay to firm-specific information. Our results suggest that momentum is caused by both investors’ underreaction and overreaction to information. However, underreaction to information seems to be the primary cause, particularly during the more recent period. Our findings are robust for recent explanations of momentum profits and alternative methods for computing our measure. We also find that stocks respond with delay to firm-specific information, partly due to certain firm characteristics, and partly because they escape investor attention due to their low visibility. Our paper extends and refines Jegadeesh and Titman’s (J Financ 56(2):699–720, 2001) finding that momentum profits are consistent with behavioral models’ predictions regarding investors’ overreaction.     

Foreign banks in the United States: Entry strategies and operations

This article deals with a very significant component of the U.S. banking industry: foreign banks in the United States. Their growth in the U.S., and specifically in California, is traced, as are the foci of their business strategy. In addition, the article explores the motivation of foreign banks to enter the U.S. market. All available theories are summarized and their relevance explored. The article goes on to speculate about some factors likely to influence the growth of foreign banking in the United States. © 2000 John Wiley & Sons, Inc.     

Redefining psychological contracts with the U.S. work force: A critical task for strategic human resource management planners in the 1990s

The well-publicized waves of layoffs in recent years have destroyed the long-standing psychological contract between employees and their employers which promised pay, promotion, and job security in exchange for worker skills, effort, and loyalty. This article provides empirical support for the transformational effect layoffs have had on psychological contracts and discusses the critical role human resource management must play in establishing and developing new contracts to guide future employment relationships between employers and employees. Implications for both academics and practitioners are provided. © 1998 John Wiley & Sons, Inc.     

Endogenous Average Cost Based Access Pricing

We analyze an endogenous average cost based access pricing rule, where both the regulated firm and its rivals realize the interdependence among their outputs and the regulated access price. In contrast, the existing literature on access pricing has always assumed that the access price is exogenously fixed ex-ante. We show that endogenous access pricing neutralizes the artificial cost advantage that is enjoyed by the incumbent firm. Further, endogenous access pricing results in a consumer surplus that is equal to or higher than that under exogenous access pricing. If the entrant is more efficient than the incumbent, then the welfare under endogenous access pricing is higher than that under exogenous access pricing.     

The Influence of CSR and Ethical Self-Identity in Consumer Evaluation of Cobrands

In a multi-source study, we examine how frequent change interacts with ethical leadership to reduce turnover intentions. We argue that ethical leaders enhance employees’ state self-esteem, which explains the moderating effect of ethical leadership. Results from 124 employee-coworker-supervisor triads revealed that ethical leadership moderated the relationship between frequent change and turnover intention such that the relationship was positive only when ethical leadership was low. The moderating relationship could be shown to be mediated by employees’ state self-esteem.     

Customer query handling in sales interactions

Using a novel approach with video-recordings of sales interactions, this study focuses on a dynamic analysis of salesperson effectiveness in handling customer queries. We conceptualize salesperson behaviors, namely, resolving, relating, and emoting, as separate elements of customer query handling and empirically identify the distinct verbal and nonverbal cues that salespeople use to display these behaviors during sales interactions. We draw from compensation effects in social cognition theory to propose that customers’ perceptions of a salesperson’s effectiveness are prone to trade-offs between competence (resolving behaviors) and warmth (relating and emoting behaviors). Results, robust to endogeneity corrections, support the proposed tradeoffs such that the effectiveness of salesperson’s resolving behavior is significantly curtailed, even neutralized, by the salesperson’s relating and emoting behaviors. We situate these counterintuitive results within the extant theory and research on sales interactions, and outline implications for practice.