A performance evaluation of portfolio managers: tests of micro and macro forecasting

This study examines the performance of Irish domiciled funds over the period 1988 to 2000. The study specifically examines whether Irish portfolio managers, particularly in light of the small and thinly traded domestic market, can effectively partake in micro or macro forecasting. Four alternative models are used to jointly assess micro and macro forecasting, while a fifth non-parametric model is used to solely examine market timing effects. The results reveal consistent evidence of poor micro forecasting/stock selection ability across the funds examined. The macro forecasting results are more varied, with some evidence of positive timing ability in two of the models. In addition, significant correlations are generally found between the funds micro and macro forecasting ability, while diagnostic tests reveal limited evidence of mis-specification in the models used.     

Timing versus Buy and Hold: A Model for Determining Predictive Accuracy Required for Superior Performance

In this application, we develop a model to simulate the decisions of a trader whose subjective distribution of returns may be correlated with realized stock returns. Using empirically estimated parameters from stocks in the CRSP database, we obtain performance data on a number of measures, including mean returns, volatility, the Sharpe measure, and the probability of a correct trading decision. The model suggests that daily trading of a portfolio of 20 volatile stocks gives a Sharpe measure better than that of buying and holding the S&P 500 when timing accuracy is 53% or better.     

Advertising Contribution to a Firm's Profit: Theory and Evidence from the Airline Industry in the United States

The author examined how to make advertising efficiency more effective in achieving the profit objective of a firm. The current study allowed profitability to be influenced by both multiple controllable efficiency factors (e.g., advertising efficiency and operations efficiency) and one uncontrollable environmental factor (i.e., growth timing). The results showed that advertising efficiency was most effective in driving up a publically-traded U.S. airline's profitability when the airline happened to grow its business later than average, whereas advertising efficiency was least effective when the firm ended up growing its business earlier than average. Also shown in the results was that drivers of profitability also included operations efficiency and growth timing.     

Retail internationalization and retail failure: issues from the case of Marks and Spencer

Notwithstanding the importance of retailing to urban economies, the role of retailing in the marketing of urban places has been an area neglected by both academics and practitioners alike. It is acknowledged that the principles of marketing can be applied (albeit with modification) to the context of urban places. The theoretical implications of this are considered using Corsico's () metaphors of the city as enterprise, market and commodity. Such issues are considered via a survey of place marketing actors within the specific context of the marketing of towns and cities as shopping destinations in urban places classified as sub-regional and above. Particular attention is paid to responsibility for the marketing of the retail provision, the emphasis given to retail in the marketing/promotional activities of various urban stakeholders, the perceived role of retailing, and the factors influencing the nature of the urban retail provision. Promotion of retailing was found to be important for all urban stakeholders to a greater or lesser degree. However, prime responsibility lay with town centre managers and shopping centre managers. The implications for both theory and practice are discussed.     

Is it a Timing or a Probability Effect? Four Simulations and an Application of Transition Rate Models to the Analysis of Unemployment Exit

Among the applications of event history analysis, in the last 10 years the lion's share has been played by proportional transition rate model. This type of models suffers from a major draw-back: it does not allow us to distinguish whether a covariate affects the event timing (the event occurs sooner/later) or the overall probability of the ultimate event occurrence (the chances of occurrence are constantly higher/lower). Thus, a positive/negative effect of a covariate found using a proportional transition rate model might reflect an acceleration/deceleration in the timing of the event and/or a high/low probability of the ultimate event occurrence (Yamaguchi, 1992). This paper shows how this problem can be reformulated in terms of the proportionality/non proportionality of the covariate effects. A twofold solution to disentangle the timing/probability problem is presented: this solution consists of a test of the proportionality of the covariate effects and a computation of the survival function at the end of the time interval studied. Two applications are discussed. The first one is based on four simulated processes. The second is based on an analysis of unemployment exit in Italy, with particular attention being paid to the effects of unemployment benefits. In the conclusion, implications for future applications of event history analysis are discussed.     

Entering China Today

Summary

The peripherally growing and remarkably dynamic Chinese economy is now encouraging the use of more diverse and creative entry modes for international investors. This article illustrates various entry modes of foreign direct investment available at present to foreign companies entering China. These entry modes include equity joint ventures, wholly foreign owned subsidiaries, contractual joint ventures, umbrella companies, acquisitions, representative offices, branches, build-operate-transfers, licensing and franchising. The merits and limitations of each entry mode are discussed. Some practical advice on entry strategies for international executives active in the Chinese market is also highlighted.     

THE EFFECTS OF ABANDONMENT OPTIONS ON INVESTMENT TIMING AND INTENSITY

This paper examines how the presence of an abandonment option affects the timing and intensity of a firm’s investment. We develop a continuous‐time model wherein a firm is endowed with a perpetual option to invest in a project at any time by incurring an investment cost at that instant. The amount of the investment cost is directly related to the intensity of investment that is endogenously chosen by the firm at the investment instant. The project generates a stream of stochastic revenue flows with a concomitant stream of constant cost flows, both of which increase with the investment intensity. We show that allowing the firm to make an irreversible decision to abandon the project does not affect the firm’s optimal investment intensity if the investment cost is totally reversible. Otherwise, the option to abandon the project induces the firm to choose a lower level of investment intensity. Furthermore, we show that the presence of the abandonment option pushes down the firm’s optimal investment trigger, thereby hastening the undertaking of the project.     

Strategic entry and externalities in groundwater resources: Evidence from the lab

This study uses economics experiments to extend the literature on common-pool resources by focusing on entry investment behavior in a stylized, spatially explicit aquifer. The model consists of a two-stage game, where participants make an entry decision in the first stage and, if they choose to enter, decide how much resource to extract in the second stage. Results show that entry behavior and groundwater pumping decisions are significantly affected by the underlying spatial externalities of the resource. In instances where the impacts of groundwater use are spread across all resource users, we observe both a greater number of users choosing to use the resource and a higher intensity of use. The results support expectations from the model that groundwater management policies should focus on entry in addition to decisions related to the volume of pumping. The results also discern the interplay of entry with both hydrogeologic characteristics of the resource and the option to exit and reveal that the option to exit increases the intensity of extraction as well as initial entry rates.     

High-speed rail transport valuation and conjecture shocks

In this paper, we derive the optimal investment policy in a high-speed rail transport (HSR) project. We assume that the source of uncertainty comes from the annual demand, and that it follows a geometric Brownian motion with jumps of random magnitude, occurring in random times, according to a Poisson process. We assess the impact of these shocks on the demand threshold, along with the investment opportunity value and option to differ. We consider several distributions for these jumps, and we compare with the no-jumps case. Numerical results are presented, showing the importance of assumptions about the underlying stochastic process.     

符号定时偏差对OFDM系统性能的影响

针对符号定时偏差对OFDM系统的影响进行了分析,推导了AWGN信道下定时偏差与信噪比损失的近似关系式,并通过仿真对分析结果进行了验证.研究表明,由于采用循环前缀,符号定时适度超前不会对系统性能造成大的影响,而定时滞后则会引入符号间干扰,使系统性能恶化.因此符号定时不一定要很精确,但一定要特别准确.