FORWARD RISK PREMIA AND THE MATURITY OF CONTRACTS: A NOTE

This paper examines the behavior of the risk premium component of currency forward rates. Analyzing forward rates of one, two and three-month maturity, we find that the power of forward rate as a predictor of future spot rate decreases with the length of contract maturity. Further, we find that the proportion of the variance of the forward premium which is due to the variation of the risk premium is larger than the proportion due to the expected spot rate change for all currencies except for the Canadian dollar. This proportion also increases with the length of maturity.     

On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?

We examine the role of index futures trading in spot market volatility. We use the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) approach to measure volatility, analyze causality and feedback relations between volatilities in the spot and futures markets, and test various hypotheses in the context of a multivariate model that incorporates other macrostate variables. Our empirical results suggest index futures trading may not be blamed for the observed volatility in the spot market. Rather, we find stronger and more consistent support for the alternative posture that volatility in the futures market is an outgrowth of a turbulent cash market. We use the regret (cognitive dissonance) theory to explain our results.     

Corporate mergers and union wage premiums

Corporate mergers possibly enhance the labor negotiation advantage of employers. This study investigates the association between wage levels and merger activity to test the employer bargaining strength hypothesis. The results indicate significantly lower union wages as a consequence of merging. Merger activity, however, does not influence wage levels of non-union workers. These findings are supportive of the employer bargaining strength hypothesis.     

Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach

While univariate nonparametric estimation methods have been developed for estimating returns in mean-downside risk portfolio optimization, the problem of handling possible cross-correlations in a vector of asset returns has not been addressed in portfolio selection. We present a novel multivariate nonparametric portfolio optimization procedure using kernel-based estimators of the conditional mean and the conditional median. The method accounts for the covariance structure information from the full set of returns. We also provide two computational algorithms to implement the estimators. Via the analysis of 24 French stock market returns, we evaluate the in-sample and out-of-sample performance of both portfolio selection algorithms against optimal portfolios selected by classical and univariate nonparametric methods for three highly different time periods and different levels of expected return. By allowing for cross-correlations among returns, our results suggest that the proposed multivariate nonparametric method is a useful extension of standard univariate nonparametric portfolio selection approaches.     

The effect of the dynamics of knowledge base complexity on Schumpeterian patterns of innovation: the upstream petroleum industry

This article analyzes important changes in technological innovation in the upstream petroleum industry. It provides evidence that shifts in sectoral patterns of innovation over the petroleum industry's lifecycle from the 1970s up to 2005 were dependent on the dynamics of knowledge base complexity (KBC), a key dimension of an industry's technological regime. Accordingly, observed shifts in innovation patterns are understood to be the aggregated strategic response of industry innovators to changes in the technological regime. The article proposes a quantitative method for exploring KBC and Schumpeterian patterns of innovation, and interactions between the two at the industry level. As the industry evolved, its knowledge base moved to higher orders of complexity creating a shift in the Schumpeterian pattern of innovation. Increased KBC was found to alter Schumpeterian patterns from Mark I toward a ‘modified’ Mark II. Instead of coming predominantly from ‘traditional’ established oil operators, technological innovation was increasingly triggered by a new class of emergent integrated service companies – ‘second tier’ systems integrators of the upstream sector able to cope with increased KBC.     

Forecasting technology diffusion: a new generalisation of the logistic model

The present research proposes a new generalisation of the logistic model aiming at technology diffusion forecasting. Regarding criticisms and failures reported in the literature to apply logistic function for long-term forecasting, in our work we focused on short-term accuracy of forecast. To formulate the model, based on mathematical approximation, at first the differential equation governing the diffusion process is found and then by solving the derived differential equation, the forecast function is obtained. In all steps, mathematical tools from numerical analysis are used. We compared the New Generalized Logistic Model with eight of the most renowned models in the literature. The model led to more accurate fits and forecasts than those obtained from other models we applied for comparison.     

Competitive strategies,innovation, and firm performance: an empirical study in a developing economy environment

This paper studies the relationships between competitive strategies, innovation, and firm performance within the context of Turkish manufacturing companies. The data were collected from top management of the firms via Computer Assistant Telephone Interviewing method. One hundred and forty manufacturing firms operating in various sectors including textile, automotive supply, computer and electronics provide the basis for this empirical research. In order to test our model, we employ structural equation modelling using partial least squares. The results show that competitive strategies such as cost-leadership and differentiation can lead to innovation, which, in turn, increase firm performance. Managers implement cost-leadership and differentiation strategies to take part in competitive market conditions; however, they should put additional importance on innovation that plays a significant role as a bridge between competitive strategies and firm performance.     

Consumer adoption of Internet banking in Jordan: Examining the role of hedonic motivation,habit, self-efficacy and trust

Despite the rapid growth of Internet banking (IB), customers in developing countries still hesitate to adopt this technology and its use in the Middle East remains low. This study aims to identify and examine the factors that predict behavioural intention and adoption of IB in Jordan. Four factors – hedonic motivation, habit, self-efficacy and trust – are proposed in a conceptual model. Data was collected by means of a survey with bank customers in Jordan. Structural equation modelling (SEM) was used to analyse the data. The results strongly supported the conceptual model. Further, hedonic motivation, habit, self-efficacy and trust were all confirmed to have a significant influence on behavioural intention. Trust was found to be strongly predicted by both hedonic motivation and self-efficacy. This study provides both academics and practitioners with an insight into the factors that can be used to encourage customer adoption of IB specifically in a Middle East context.