Trading behaviour and the performance of daily institutional trades

Using a unique database of daily trading activity, the present study examines the ability of active Australian equity managers to earn superior risk‐adjusted returns. We find evidence of superior trade performance, where performance is a function of stock size. Our findings indicate that active equity managers are able to successfully exploit private information more readily in stocks ranked 101–150 by market‐cap, where the degree of analyst coverage, information flows and market efficiency are lower than for large‐cap stocks. We also find evidence of manager specialization. Our evidence provides further support of the value of active investment management in Australian equities.     

Endogenous credit-card acceptance in a model of precautionary demand for money

A credit-card acceptance decision by retailers is embedded intoa simple model of precautionary demand for money. The modelgives a new explanation for how the use of credit-cards candiffer so widely across countries. Retailers’ propensityto accept cards reduces the need for buyers to hold cash asthe chance of a stock-out (of cash) is reduced. When retailersmake their decision with respect to credit-card acceptance theydo not take into account the effect that decision has on othersellers. This externality generates multiple equilibria oversome portions of the parameter space.     

An unobserved component model of asset pricing across financial markets

Our research focuses on multifactor asset pricing models that investigate the importance of economic factors in the pricing of assets beyond the scope of the stock market. We present a Bayesian learning model of asset pricing across financial markets in which unobserved components are estimated using a Kalman filter (KF). Economic factors serve to drive the pricing of risk in the market, and agents update expectations recursively, as new information becomes available. We generally find that the Kalman filter provides superior performance and that economic factors like industrial production and unanticipated inflation provide consistent implications across financial markets.     

The effect of exchange trading of gold options on the volatility of the underlying asset

On April 2, 1981 the European Options Exchange introduced options on gold. Data for the period immediately before and after is consistent with the effect being to reduce the daily price volatility of the underlying asset.     

On education,screening and human capital

The paper tests the hypothesis that educational attainment acts, inter alia, as a screening device for worker selection by comparing the average educational level of pairs of screened and non-screened groups within similar occupational categories. The results, based on Israeli data, support the view that strong screening effects are at work.     

Some identification and estimation results for regression models with stochastically varying coefficients

Although various theoretical and applied papers have appeared in recent years concerned with the estimation and use of regression models with stochastically varying coefficients, little is available in the literature on the properties of the proposed estimators or the identifiability of the parameters of such models. The present paper derives sufficient conditions under which the maximum likelihood estimator is consistent and asymptotically normal and also provides sufficient conditions for the estimation of regression models with stationary stochastically varying coefficients. In many instances these requirements are found to have simple, intuitively appealing interpretations. Consistency and asymptotic normality is also proven for a two-step estimator and a method suggested by Rosenberg for generating initial estimates.     

Die informative Warenkennzeichnung. Eine Übersicht über den Stand der Praxis und der Literatur

Zusammenfassung Der Artikel gibt zunächst einen Überblick über vier vorgefundene Warenkennzeichnungssysteme: die bundesdeutschen RAL-Testate, die österreichische Produktdeklaration sowie die schwedischen VDN-Fakta und Möbel-Fakta. Die Reaktion der Verbraucher auf die vorgefundenen Warenkennzeichnungssysteme war bisher jedoch sehr schwach. Der zweite Teil des Artikels knüpft an diese negativen Erfahrungen an und beschäftigt sich mit der grundsätzlichen Problematik. Der Autor beschreibt die Bedingungen, die bei der Konzeption informativer Warenkennzeichnungen erfüllt sein müssen, vor allem in bezug auf die Auswahl und die Darstellung der Informationen, und geht abschließend auf zu erwartende Reaktionen der Anbieter ein.

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Informative product labeling

The aim of informative product labeling is to make manifest to the consumers the supply of product alternatives that are available in the market place and enable them to make accurate buying decisions. Since the information that is given on informative labels is available at the point of purchase, informative labeling can be regarded as an ideal instrument for consumer information policy. The article reviews four informative labeling systems: the German RAL-Testate, the Austrian Produktdeklaration and the Swedish VDN-Fakta and Möbel-Fakta. However, the observed consumer reaction to these labeling systems is very weak.The article then deals with the conditions that must be satisfied if informative labeling is to lead to a positive consumer reaction, i. e. as (1) the selection of that information which meets the consumers' needs and takes the buyers' information-processing capacity into consideration, and (2) the presentation of the information in a way that is intelligible to the consumers and easy to handle.Finally indirect effects on producer and retailer behavior are discussed.

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Adrian Weser promoviert über Probleme der vergleichenden Warenkennzeichnung und wohnt in D-2000 Hamburg 13, Rutschbahn 39.     

大规模用户化尚待时日

"大规模用户化"(Mass customization)一词听起来就让人感到矛盾:一方面是大规模的生产,而另一方面每一产品又要适应不同用户的不同口味.这种冲突正在告诉人们这样一个事实,那就是大规模用户化的实现和管理是十分困难的,尽管近年来关于大规模用户化的大肆鼓吹不绝于耳,但是它要被生产商和零售商广泛采用还需要很长的一段时间,比预计所需要的时间要长得多.     

The Razor's edge: Managing MNC affiliates in Iran

Much has been written on the nature of international assignees’ experiences of managing Multinational Corporation (MNC) affiliates in the context of Western economies. This study aims to broaden the debate and elucidate these issues in the largely overlooked region of Middle East with a particular focus on Iran. Data from six MNC affiliates across two high growth global industries reveals that the nature of international assignees’ experiences can be explained in terms of desirable, indifference, and undesirable effects of managing MNC affiliates. Specifically, it was found that the international assignees’ perceptions of managing MNC affiliates were formed prior to their appointments. Furthermore, while conformance to headquarter (HQ) managerial orientations was seen to serve as a proxy for earlier desirable experiences of these international assignees, their current performance was seen to deteriorate by the need to fully comply with the HQ's way of doing things. Together, these findings support the view that the degree of congruence or fit between, on the one hand, the HQ and international assignees’ orientations, and on the other hand, between the international assignees and the host country culture could have implications for the success or failure of the international assignees in the context of Iranian-based MNCs. Finally, the paper concludes with implications and lessons for policy makers, practitioners and academics.     

Activists and Animal Welfare: Quality Verifications in the Canadian Pork Sector

Animal welfare is an emotive topic. Although most governments legislate against outright animal cruelty, animal welfare organisations have actively lobbied for more stringent farm animal welfare regulations. Food retailers and restaurant chains have faced pressure from animal welfare organisations to implement more stringent animal welfare requirements for their suppliers. Is the demand for more stringent farm animal welfare protocols primarily determined by a subset of consumers with very strong preferences or does it signal a more fundamental underlying change in societal preferences? Given the credence nature of farm animal welfare, whom do consumers trust for credible quality assurances? This article analyses the role of quality verification in a market characterised by consumers with heterogeneous preferences for animal welfare. Of particular interest are the relative strength of preferences for humane animal treatment assurances and the credibility of these quality claims. Using data from a Canadian survey targeted at two distinct samples – a general population group and members of animal welfare organisations – a discrete choice experiment is used to assess consumer attitudes towards animal welfare assurances for pork products. The credibility of quality verification by public sector, private sector and third party agents is assessed. Evidence confirms that consumer preferences for farm animal welfare assurance and the source of verification are indeed heterogeneous. Although a portion of consumers remain largely indifferent to pork products with animal welfare assurances, a group of highly motivated consumers exist with an economic incentive to lobby for tougher animal welfare standards.