Strategic procurement, openness and market structure

We examine strategic procurement behaviour by governments and its effect on market structure in sectors, such as defence and pharmaceuticals, where the government is the dominant consumer. In a world economy with trade between producer countries, and between producers and non-producers, we use a modified Dixit–Stiglitz utility function with an independent taste for variety. There is free entry and exit by firms, but by anticipating their participation constraint governments can indirectly choose the number of domestic firms and their size through its choice of procurement price. Unlike the standard model with no independent taste for variety and no external sector of non-producer countries, there are incentives for subsidies, openness impacts on industrial structure and procurement coordination between producer countries affects firm numbers.     

The impact of portfolio diversification on mean reverting components of stock indices

Positive autocorrelations are introduced into stock index portfolios when they are formed from individual stock indices while negative autocorrelations are induced in returns by increasing the investment horizon. Using monthly data of six international stock indices, this paper examines the diversification effect with different investment horizons on autocorrelations of stock index portfolios. The results show that portfolio diversification does not alter the impact of the investment horizon on autocorrelations. Different investment horizons, however, have great impact on the diversification effect on autocorrelations. With short (long) horizons, the average autocorrelation coefficient increases (decreases) with an increase in the portfolio size, suggesting that mean-reverting component dominates the delayed adjustment effect in long horizons and vice versa in short horizons. Our results are robust across two 10-year sub-periods.The author would like to thank an anonymous referee of this Journal for the comments on an earlier version of this paper and the Research Committee of Hong Kong Baptist University for the financial support in this research.     

企业增长文献综述

企业增长的可持续性对经济发展的意义重大。企业增长的机理较复杂,增长的过程既是量的增加也有质的变化,同时呈现出有机体成长的特性。当前,企业增长的研究尚未形成系统框架,对企业增长的动因和约束条件、增长的方式和路径、企业增长与市场结构和竞争的关系等观点散见于企业理论、产业经济学、发展经济学、公司金融中。企业增长文献的梳理,有利于企业增长研究的拓展和深化。本文对此进行了综述。     

产品市场竞争、领导权结构与公司多元化战略

通过解释领导权结构与公司多元化战略之间的对立结果,明确了代理理论与管家理论各自的适用范围,探讨了领导权结构与多元化战略两者的关系如何随着产品市场竞争程度的不同而变化。将产品市场竞争引入到研究中,对于如何依据不同情境选择最合适的制度设计提供了很好的分析思路。     

最终控制人与多元化价值效果——基于上市公司平衡面板数据的检验

众多研究表明,多元化对企业价值有显著影响,但是多元化究竟是增加了企业的价值还是减少了企业的价值则没有一致的结论。本文通过对2001至2004年我国上市公司的平衡面板数据进行分析后发现,多元化显著增加了上市公司的企业价值。无论是中央控股的国有上市公司还是地方控股的国有上市公司,均存在溢价现象,中央控股公司的多元化溢价的程度,显著大于地方控股公司的多元化溢价程度。而民营控股公司的多元化行为对企业价值没有显著影响。     

Portfolio selection, diversification and fund-of-funds: a note

The present paper examines the performance and diversification properties of active Australian equity fund‐of‐funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a mean–variance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio.     

The Evolution of Co‐operation,Pairings and Networks

In this paper we develop an approach that may be helpful in analysing a variety of issues related to the evolution of corporate activity. We analyse the firm as an integrated system concerned with the management and organisation of internal and external linkages between businesses, with the emergence of co‐operative behaviour as an endogenous feature of growing systems. It is argued that such a perspective can help illuminate a number of topics relating to the theory of the firm, including its boundaries and the mode of co‐ordination of economic activity, particularly the choice between integration and co‐operative modes of operation.     

Earnings Quality and the Equity Risk Premium: A Benchmark Model*

This paper solves a model that links earnings quality to the equity risk premium in an infinite‐horizon consumption capital asset pricing model (CAPM) economy. In the model, risk‐averse traders hold diversified portfolios consisting of risk‐free bonds and shares of many risky firms. When constructing their portfolios, traders rely on noisy reported earnings and dividend payments for information about the risky firms. The main new element of the model is an explicit representation of earnings quality that includes hidden accrual errors that reverse in subsequent periods. The model demonstrates that earnings quality magnifies fundamental risk. Absent fundamental risk, poor earnings quality cannot affect the equity risk premium. Moreover, only the systematic (undiversified) component of earnings‐quality risk contributes to the equity risk premium. In contrast, all components of earnings‐quality risk affect earnings capitalization factors. The model ties together consumption CAPM and accounting‐based valuation research into one price formula linking earnings quality to the equity risk premium and earnings capitalization factors.     

Multinationals and the gains from international diversification

This paper employs mean–variance spanning tests to examine the diversification potential of multinational firms and foreign market indices from the perspective of investors in the G7 countries over the 1984–1995 period. We find evidence that multinational corporations may have provided diversification benefits for investors in Germany and the United States. We find that the addition of foreign market indices to a domestic portfolio—inclusive of multinationals—provided substantial diversification benefits in all countries. The economic importance of the shift of the portfolio frontier varied considerably across markets.