Periodic strategies in optimal execution with multiplicative price impact

We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of the asset price.     

Pensions and poverty traps: Is saving worthwhile for women?

Present policy means that a private pension, unless it is substantial, may fail to bring financial gain in retirement due to means testing: the pensions poverty trap. This paper examines women's acquisition of private (occupational and personal) pensions and their risk of facing this trap. Because of the loosening link between marriage and motherhood, previous patterns of pension advantage according to marital status are shifting. The employment and pension impact of motherhood varies with socio-economic status but the pension prospects of the majority of women are poor. It is concluded that women's need for financial advice to avoid the pensions poverty trap is greater than men's. An improved basic pension, indexed to national income, would reduce the risk of mis-selling and restore confidence that saving for a pension is worthwhile.     

Learning, Asset-Pricing Tests, and Market Efficiency

This paper studies the asset-pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash-flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.     

THE RETURNS TO ENDOGENOUS HUMAN CAPITAL IN PAKISTAN'S RURAL WAGE LABOUR MARKET

This paper estimates the private returns to human capital in Pakistani rural labour markets. The rich data used permit inclusion of several dimensions of human capital and control for endogeneity resulting from investment in human capital. The results suggest that, without data on determinants of human capital, it would not be possible to disentangle the separate effect of each dimension of human capital on wage differentials nor to distinguish human capital explanations for wage differentials from signalling and credentialist models. With control for endogeneity of human capital and selectivity into wage employment, cognitive achievement, but not schooling attainment separate from cognitive achievement nor long-run health status, affects wage differentials.     

Alliance competence, resources, and alliance success: Conceptualization, measurement, and initial test

This research examines the effect of an alliance competence on resource-based alliance success. The fundamental thesis guiding this research is that an alliance competence contributes to alliance success, both directly and through the acquisition and creation of resources. Using survey data gathered from 145 alliances, empirical tests of the hypotheses provide support for the posited explanation of alliance success. The findings indicate that an alliance competence is not only antecedent to the resources that are necessary for alliance success but also to alliance success itself. C. Jay Lambe (Ph.D., The Darden School at University of Virginia) is an assistant professor of marketing in the Pamplin College of Business at Virginia Tech. For 10 years prior to entering academe, he was engaged in business-to-business marketing for both Xerox and AT&T. His research interests include business-to-business marketing, relationship marketing, marketing strategy, and sales management. He has publications in theJournal of the Academy of Marketing Science, theJournal of Product Innovation Management, theEuropean Journal of Marketing, theJournal of Personal Selling and Sales Management, theInternational Journal of Management Reviews, theJournal of Business-to-Business Marketing, and theJournal of Relationship Marketing. He also serves as a reviewer for theJournal of Business-to-Business Marketing. Prior to joining the faculty at Virginia Tech, he was one of five Texas Tech University faculty members chosen in 1999 from the entire university for the annual Outstanding Faculty Member Award by the Mortar Board and Omicron Delta Kappa (Texas Tech University student organizations that recognize excellence in teaching). Robert E. Spekman is the Tayloe Murphy Professor of Business Administration at the Darden School at the University of Virginia. He was formerly a professor of marketing and associate director of the Center for Telecommunications at the University of Southern California. He is an internationally recognized authority on business-to-business marketing and strategic alliances. His consulting experiences range from marketing research and competitive analysis, to strategic market planning, supply chain management, channels of distribution design and implementation, and strategic partnering. He has taught in a number of executive programs in the United States, Canada, Latin America, Asia, and Europe. His executive program experience ranges from general marketing strategy, to sales force management, to channels strategy, to creating strategic alliances, to business-to-business marketing strategy, to a number of single-company and senior executive management programs. He has edited and/or written seven books and has authored (coauthored) more than 80 articles and papers. He also serves as a reviewer for a number of marketing and management journals, as well as for the National Science Foundation. Prior to joining the faculty at the University of Southern California, he taught in the College of Business at the University of Maryland, College Park. During his tenure at Maryland, he was granted the Most Distinguished Faculty Award by the MBA students on three separate occasions. Shelby D. Hunt is the J. B. Hoskins and P. W. Horn Professor of Marketing at Texas Tech University, Lubbock. A past editor of theJournal of Marketing (1985–87), he is the author ofModern Marketing Theory: Critical Issues in the Philosophy of Marketing Science (South-Western, 1991) andA General Theory of Competition: Resources, Competences, Productivity, Economic Growth (Sage, 2000). He has written numerous articles on competitive theory, macromarketing, ethics, channels of distribution, philosophy of science, and marketing theory. Three of hisJournal of Marketing articles—“The Nature and Scope of Marketing” (1976), “General Theories and Fundamental Explananda of Marketing” (1983), and “The Comparative Advantage Theory of Competition” (1995) (with Robert M. Morgan)—won the Harold H. Maynard Award for the best article on marketing theory. His 1985Journal of Business Research article with Lawrence B. Chonko, “Ethics and Marketing Management,” received the 2000 Elsevier Science Exceptional Quality and High Scholarly Impact award. His 1989 article, ”Reification and Realism in Marketing: in Defense of Reason,” won theJournal of Macromarketing Charles C. Slater Award. For his contributions to theory and science in marketing, he received the 1986 Paul D. Converse Award from the American Marketing Association, the 1987 Outstanding Marketing Educator Award from the Academy of Marketing Science, and the 1992 American Marketing Association/Richard D. Irwin Distinguished Marketing Educator Award.