Tail mutual exclusivity and Tail-VaR lower bounds

In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (1999). The safest dependence structure among risks. Insurance: Mathematics and Economics 25, 11–21] to its tail counterpart and baptize this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency structure, at most one exceedance over the corresponding Value-at-Risks (VaRs) is possible, the other components being zero in such a case. No condition is imposed when all components stay below the VaRs. Several properties of this new negative dependence concept are derived. We show that this dependence structure gives rise to the smallest value of Tail-VaR (TVaR) of a sum of risks within a given Fréchet space, provided that the probability level of the TVaR is close enough to one.     

The Effects of Attributes on the Repeat Sales Pattern of Residential Property in Hong Kong

There has been copious research work on the development of house price models and the construction of house price indices. However, results in some studies revealed that the accuracy of such indices could be subject to selection bias when using only information from a sample of sold properties to estimate value movements for the entire housing stock. In particular, estimated house price appreciation is usually systematically higher among properties that change hands more frequently. It therefore suggests that the determination of important factors affecting the transaction frequency or intensity of a housing unit should be a more fundamental research question. This paper examines the possible factors that determine the popularity of residential unit by means of a repeated sales pattern. The Poisson regression model and event history analysis techniques are employed to assess the effect of attributes on transaction frequency and intensity. The event history analyses technique can take account of transaction-specific as well as time-dependent covariates, and therefore is recommended for analyzing repeated sales data in a real estate market. All transaction records during the period 1993–2000 from the Land Registry of one of the most popular residential estates in Hong Kong were used to illustrate the method. Unlike a response to favorable transaction price, good quality units do not necessarily inherently display a high transaction frequency. Rather, units of average quality are more likely to be transactionally active.     

Managerial ownership and performance: A commentary essay

Florackis, Kostakis, and Ozkan [Florackis, C., Kostakis, A., and Ozkan, A., 2008. Managerial ownership and performance, Journal of Business Research, forthcoming] empirically examine the exact nature of the relationship between managerial ownership and corporate performance in the framework of semi-parametric regression. This commentary explores the authors' contribution to the corporate governance literature in the light of recent advances in semi-parametric regression. The commentary also considers how Florackis et al.'s findings align with important, emerging work in the corporate governance literature.     

Assessing the Role of Ecotourism Training in Changing Participants' Pro-Environmental Knowledge,Attitude and Behaviour

Ecotourism training is usually considered to be undertaken only by tourism practitioners for professional development. However, ecotourism training has a more important role to play, as it could be adopted as a long-term strategy for environmental conservation by altering people's attitudes and behaviours towards greater environmental responsibility. In this study, the role of ecotourism training with respect to pro-environmental knowledge enhancement as well as attitude and behavioural changes is investigated. A questionnaire survey was conducted on participants of an ecotourism training programme. Participants' environmental knowledge, attitudes and behaviours were evaluated using a pre- and post-test method. The results indicated that participants demonstrated a significant increase in environmental knowledge after the training. Moreover, participants' demographic characteristics such as age group, occupation and salary are significantly associated with the improvement in knowledge, change in pro-environmental attitudes and behaviours. Participants tend to adopt environmentally responsible attitudes and behaviours after completion of ecotourism training.     

The Transmission of Pricing Information of Dually-Listed Stocks

We use the daily opening and closing prices of eighteen dually-listed Hong Kong companies to investigate the transfer of pricing information between the Stock Exchange of Hong Kong (SEHK) and the London Stock Exchange (LSE). Evidence shows that (1) SEHK overnight returns respond significantly to change in LSE intraday returns, but the transmission process is not completed at the opening of the SEHK; (2) LSE overnight returns respond significantly to changes in SEHK intraday returns, but the transmission process is not completed at the opening of the LSE, either; (3) the impact is stronger moving from the LSE to the SEHK. This evidence indicates that information transfer runs in both directions and that most of the transmitted information continues to be processed throughout the following trading day (JEL G15).     

An integrative analysis of business bankruptcy in Australia

This paper proposes an integrative and dynamic approach for analyzing business failure. The simultaneous estimation results obtained with Australian data indicate significant associations between bankruptcy rates in different industries. Most of these associations are positive and hence implying that bankruptcy in one industry can inflict a ‘domino’ effect on other industries. The estimated significant negative association between current and lagged bankruptcy rates in the industries under consideration lend support to the survival of the fittest hypothesis. The estimation results also highlight the important effects of industry, domestic and international economic conditions on bankruptcy rates.     

Board Structure and Intragroup Propping: Evidence from Family Business Groups in Hong Kong

Using earnings announcement events made by group member firms in Hong Kong, this study examines the governance role of boards of directors in curbing propping activities within family business groups. We find that earnings released by group member firms affect the stock prices of their nonannouncing group peers in a manner consistent with intragroup propping. More importantly, this effect is less pronounced when the announcing firms have a larger board or a board with a higher proportion of independent directors, but more pronounced when they have an executive director from their controlling families acting as board chairperson. Furthermore, the monitoring effect of boards of directors is strengthened for firms subject to new regulations increasing board power. Our results suggest that board oversight can mitigate propping activities.     

Information disclosure quality: correlation versus precision

We investigate how a multidimensional disclosure quality (i.e., correlation and precision) determines an optimal information disclosure strategy. We find that, for an infinitely lived, unlevered firm with market perfection, a truth‐telling disclosure is optimal at increasing the expected firm value. However, for a finitely lived, levered firm in the presence of market imperfections (e.g., bankruptcy cost), the optimal disclosure quality depends negatively on the level of imperfections. Once we consider the agency problem, such dependence can become positive, thereby highlighting the importance of a proper managerial‐incentive scheme to align the information disclosure interests of managers and shareholders.     

人民币的困境

一 中国的经济发展是一个奇迹,发展得那么好,人民币币值强劲应该是大好形势.但是现在我们国家在人民币问题上遇到了困境,这些问题处理得不好,会影响中国的发展.     

How regulatory changes affect IPO underpricing in China

This paper examines the underpricing of IPOs in the Chinese A-share market during the period 1992–2006. Since its inception, the Chinese IPO market has transformed from a tightly-controlled system to a more market-oriented system. Reforms include the abolishment of listing quotas and fixed issue price determination; allowing for more market participation in IPO pricing. The regulatory changes of Chinese IPO market, though improving over time, actually are not monotonic. The regulatory framework started from over-restrictive to over-unrestrictive, then fine-tuned with additional restrictions. This study documents the regulatory reforms during the sample period and investigates how these regulatory changes affect IPO underpricing in China. During this period, we find that Chinese IPOs exhibit a huge underpricing. The size of the underpricing, however, decreases over the sample period. This study further finds that the IPO pricing method before the regulatory changes, which was based on a fixed P/E ratio pre-determined by the regulators, contributed significantly to the IPO underpricing in China. After adopting a series of regulatory reforms allowing underwriters discretion in the determination of issue price, this regulatory underpricing component vanishes. This study has policy implications in demonstrating the impacts of regulatory frameworks on IPO underpricing.