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Dong Wook Lee 《Journal of Banking & Finance》2011,35(6):1563-1580
We investigate the relation between price informativeness and idiosyncratic return volatility in a multi-asset, multi-period noisy rational expectations equilibrium. We show that the relation between price informativeness and idiosyncratic return volatility is either U-shaped or negative. Using several price informativeness measures, we empirically document a U-shaped relation between price informativeness and idiosyncratic return volatility. Our study therefore reconciles the opposing views in the following two strands of literature: (1) the growing body of research showing that firms with more informative stock prices have greater idiosyncratic return volatility, and (2) the studies arguing that more information in price reduces idiosyncratic return volatility. 相似文献
2.
This article examines the strategic framework and options available for product strategy towards commercial and environmental excellence. It defines the environmental dimension as a ‘moving target’, explores a conceptual framework to integrate commercial and environmental dimensions and elaborates a ‘green portfolio matrix’. The proposed matrix is also empirically investigated as to its practical validity by using a set of secondary data including twelve product cases. Using the matrix, a company can diagnose its existing product mix from an environmental point of view, and furthermore can establish future ‘targets’ for an environmentally-friendly product portfolio. In addition, the matrix can be used as a framework for comparative analyses between strategic business units or for longitudinal assessment of a specific business entity. 相似文献
3.
This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank’s interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatility of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates. The panel VAR represents interest rate channel is a more important than exchange rate and stock price channel. 相似文献
4.
Equity marginal q is the change in the market value of a company's equity in response to a one-unit unexpected change in its asset base. Hence, it is a profitability index that evaluates a firm's capital budgeting decisions at the margin. We estimate the equity marginal q for real estate–managing public corporations, namely, real estate investment trusts (REITs), in an attempt to understand how the various costs and benefits of being a public corporation play a role in managing this important asset class. Using the universe of equity REITs for the period from 1993 to 2005, we find that REITs with greater idiosyncratic volatility, higher stock turnover and smaller bid-ask spread have a higher equity marginal q . In addition, both the holdings of institutional investors and their investment horizons are respectively positively related to equity marginal q. With these firm characteristics taken into account, firm size is found to be negatively related to equity marginal q . Our findings are economically important as well, because the equity marginal q ratio alone accounts for approximately one-third of the total REIT shareholder wealth change during the study period. 相似文献
5.
This study investigates the relevant predictors of customer satisfaction and customer loyalty, and explores the group difference by innovativeness or device type, based on equity theory for emerging devices in the initial market of Korea. The results from an online survey of users of emerging devices and structural equation modeling indicate that utilitarian benefit, hedonic benefit, nonmonetary cost, and alternative attractiveness are significant predictors of customer satisfaction, which in turn affects customer loyalty. Hedonic benefit has a stronger relationship with customer satisfaction for more innovative users and nonmonetary cost has a stronger relationship with customer satisfaction for less innovative users. Nonmonetary cost has a negative relationship with customer satisfaction for netbooks; an additional exploratory analysis produced no such evidence for smartphones. These findings suggest managerial implications for customer loyalty regarding emerging devices. 相似文献
6.
This paper contributes to research on “postponement” strategy in the context of a global production–distribution system of an automobile manufacturer. It proposes a model that integrates multiple considerations germane to global supply chains. Postponement is important in this context because it is necessary to consider international transfers and tariffs, and it is important to appropriately account for the impact of postponement on total costs. Consideration of several key variables such as shipping point, customs tariff, and cost differences between countries is essential to derive full benefits from postponement strategy in global supply chains. International transfer of goods among countries in global automobile industry is complex and dynamic because of the multitude of factors that must be considered. The paper develops insights regarding postponement strategy in global supply chains via a system dynamics simulation model. The model draws on the experiences of a Korean automobile manufacturer with operations in developing and developed countries. 相似文献
7.
This article summarizes recent studies on regional financial arrangements (RFAs) and examines the role played by global multilaterals and RFAs in emerging crises. We also review the major RFAs with regard to their basic organizational structure, activities, legal framework, and lending facilities. Finally, we discuss the attributes needed for the sustainable development of RFAs and we look at how they can expand their role for economic cooperation in the associated regions. 相似文献
8.
This paper proposes an investor heterogeneity approach to the different domestic stock holdings between domestic and foreign investors. Specifically, we hypothesize that domestic and foreign investors evaluate domestic stocks via different models and thus arrive at different valuations for them; consequently, the two investor groups are attracted to different sets of domestic stocks. Using panel data from Korea, we find strong support for our hypothesis. More precisely, we find that the foreign ownership of a stock increases with foreigners’ valuation for the stock in excess of that of domestic investors. As we control for various firm characteristics known to be correlated with foreign ownership, our results indicate that the valuation difference between domestic and foreign investors can help explain the allocation of domestic stocks between the two groups over and above the existing explanations. 相似文献
9.
The volatility of daily futures returns for six important commodities are found to be well described as FIGARCH, fractionally integrated processes, whereas the mean returns exhibit very small departures from the martingale difference property. Several years of high frequency intraday commodity futures returns are also found to have very similar long memory in volatility features as the daily returns. Semiparametric local Whittle estimation of the long memory parameter in absolute returns also finds very significant long memory features. Estimating the long memory parameter across many different data sampling frequencies provides consistent estimates of the long memory parameter, suggesting that the series are self‐similar. The results have important implications for empirical work using commodity futures price data. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:643–668, 2007 相似文献
10.
We review strategies that movie distributors have used to cope with piracy, copying, and sharing of movies in the United States
in four categories: “hard goods” commercial piracy, consumer theft of pay TV signals, consumer copying and sharing of videos
and pay TV, and (mostly in prospect) Internet file sharing. In the past, distributors have mainly sought to raise costs of
engaging in these activities by increasing legal jeopardy, advantaging anti-copy technology, and reducing original sources
of supply. They appear to have effectively reduced or contained most piracy, copying, and sharing of movies in the U.S., at
least with analog media. Movie distributors are following similar strategies with digital media, including Internet file sharing.
Digital media raise the stakes because of lower costs of copying or sharing and higher quality of outputs. Digital outputs
are not always as high quality as source originals, however, and digital rights management (DRM) technologies potentially
improve distributor control. The movie studios now face technological, demand, and political uncertainties in the U.S., notably
in maintaining or achieving technically compatible DRM systems to control file sharing and PPV/VOD copying. Implications for
foreign markets and directions for research are discussed.
Some sections of this article draw substantially on David Waterman (2005a). Hollywood’s road to riches (Cambridge, MA: Harvard
University Press). 相似文献