The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis-a-vis the equity markets, and reject this private information hypothesis. We also reject a liquidity hypothesis which suggests that equity markets always lead loan markets, despite bank lenders' access to private information, because of greater liquidity in equity markets. We further test, and reject, an asymmetric price reaction hypothesis that states that loan returns are more sensitive to negative information whereas equity returns respond symmetrically to both positive and negative information. We find evidence most consistent with an integrated markets hypothesis that suggests that both the equity and syndicated bank loan markets are highly integrated such that information flows freely across markets. This is particularly true when the equity market makers are also loan syndicate members.      

经济全球化条件下我国市场结构问题的理论思考和对策建议

经济全球化对我国市场结构的影响集中体现为跨国公司的进入和WTO规则的执行对我国行业中企业之间垄断竞争关系的影响.本文就此对开放条件下我国市场结构有效竞争模式进行理论思考,重点探讨了维护国家经济安全与促进国内市场开放、反对垄断与发展规模经济、促进竞争与防止竞争过度等方面问题,并在此基础上提出优化我国市场结构的政策建议.     

我国基金选股选时能力实证分析

本文运用西方基金绩效评价中较为常见的选股选时能力模型及其FF3改进模型对我国证券投资基金进行实证研究,在处理过程中考虑了不同取样频率和不同样本区间的影响.研究结果表明:(1)我国基金只存在很小程度的选股能力,而基本不存在选时能力,更没有基金同时具有选时能力和选股能力;(2)多因素改进模型与原模型相比显著提高了解释能力,说明在可能的情况下应尽可能使用多因素模型;(3)加快取样频率后基金表现出更强一些的选股能力,但在各年度内基金的选股能力有所差异.     

Market orientation and customer satisfaction: Evidence from British machine tool industry

This paper examines empirically the relationship between market orientation and business performance in the context of British machine tool industry. An industry-specific market orientation scale was developed. Factor analysis revealed that there were four latent dimensions underlying the market orientation: customer orientation, competitor orientation, departmental responsiveness, and customer satisfaction orientation. Findings suggest that customer orientation and customer satisfaction orientation have a stronger impact on performance than the other dimensions, and that competitor orientation has a U-shape relationship with performance. Departmental responsiveness did not appear to be significantly related to the business performance. Managers could use the multidimensional conceptualization to develop particular kinds of orientations required for better performance.     

Entry in the presence of dueling options

This paper investigates the influence of industry uncertainty on the decision by established firms to enter a new industry. Specifically, we examine the tension between the option to defer , which discourages entry in the presence of uncertainty, and the option to grow , which may encourage entry in the presence of uncertainty when there are early mover advantages. Empirical analysis on data from a broad array of industries revealed that the effect of uncertainty on entry is not monotonic. Our findings are the first to find support for the nonmonotonic effect of uncertainty that has only recently emerged in theoretical treatments of real options theory, and amplify the importance of considering both the option to defer and the option to grow when contemplating entry. Furthermore, we found evidence that the relationship between uncertainty and entry is moderated by: (a) irreversibility, which influences the value of the option to defer; (b) the total value of growth opportunities; and (c) early mover advantages, which magnify the value of growth options. Copyright © 2003 John Wiley & Sons, Ltd.     

Resource‐seeking agglomeration: a study of market entry in the lodging industry

We analyze whether firms prefer collocating with incumbent firms when choosing among markets to enter, highlighting the role of resource‐seeking as a motivation for collocation. We propose that entrants will locate near others possessing resources that can spill over, but will avoid locations where existing firms will exploit spillovers without contributing. To test these propositions, we analyze the location decisions of 570 new hotels in Texas between 1992 and 2000. We find that hotels are attracted to markets with branded upscale hotels. Further, we find that owners of upscale hotels avoid markets with hotels without similar resources. Copyright © 2004 John Wiley & Sons, Ltd.     

Inter‐temporal economies of scope,organizational modularity,and the dynamics of diversification

The question of whether corporations add value beyond that created by individual businesses has engendered much debate in recent years. Some of this debate has focused on the pros and cons of related vs. unrelated diversification. A standard explanation of the benefits of related diversification has to do with the ability to obtain intra‐temporal economies of scope from contemporaneous sharing of resources by related businesses within the firm. In contrast, this paper deals with inter‐temporal economies of scope that firms achieve by redeploying resources and capabilities between related businesses over time, as firms exit some markets while entering others. The transfer of resources due to market exit distinguishes our treatment of inter‐temporal economies of scope from standard intra‐temporal economies of scope. In addition, these inter‐temporal economies can benefit from a decentralized and modular organizational structure. This ability to obtain inter‐temporal economies of scope via organizational modularity and recombination suggests that corporations do not necessarily need a high degree of coordination between business units in order to benefit from a strategy of related diversification. Copyright © 2004 John Wiley & Sons, Ltd.     

Two Views of Accounting Measurement

The two views to be addressed here are the Chambers/Sydney view that accepts only one measurement method—current net realizable price—and the Staubus/mainstream view that accepts several measurement methods in the same financial report. These two views became well-established in the literature of accounting in the 1960s and their proponents have clung tenaciously to their oft-criticized positions for some forty years. However commendable their original expositions may have been, their continuing existence does no credit to the small coterie of accountants now interested in theory.
This article is aimed at 'narrowing the areas of difference' between adherents to the two views by isolating fundamental bases for them and exposing the reasoning supporting their structures. In a nutshell, they differ in their objectives and they can be expected to survive unless their adherents agree on the objectives of financial reporting.     

Scientific methods in finance

Computer software can easily produce many financial models with technical skill, but investigators need to interpret and adapt computer output. Such analysis requires a deep knowledge of scientific fundamentals. We argue that an evidential perspective is more appropriate than a decision framework for model selection. We discuss four necessary conditions for any scientific investigation: observables, interpretables, replicables, and robustness in the context of examples familiar to finance professionals. Carefully planning the design of an experiment is the best way to address many econometric maladies. Furthermore, we emphasize the need for more sensitivity testing and for independent replication of empirical results within the finance profession.     

On the source of contrarian and momentum strategies in the Italian equity market

This paper investigates the source of momentum profits, while inferring the validity of the assumptions underlying rational and behavioural theories. Using a unique sample of securities listed in the Italian Stock Exchange from 1950 to 1995, we observe that buying better performing stocks in the previous 3-12 months and selling worse performing stocks over the same period yields significant profits in the short term (less than 1 year). Results also hold when conditioned upon different risk specifications. On the other hand, the continuation effect seems to significantly revert over a longer period. More importantly, in contrast with Conrad and Kaul [Rev. Financ. Stud. 11 (1998) 489], bootstrap and Monte Carlo simulations show that momentum profits are more likely to be generated by stock returns time series properties rather than by their cross-sectional differences. While the overall findings cannot reject the market efficiency hypothesis, we argue that behavioural theory may be a possible “story” to interpret the continuation effect.