LIQUIDITY AND ASSET PRICING UNDER THE THREE‐MOMENT CAPM PARADIGM

We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.     

Capital structure around the world: The roles of firm- and country-specific determinants

We analyze the importance of firm-specific and country-specific factors in the leverage choice of firms from 42 countries around the world. Our analysis yields two new results. First, we find that firm-specific determinants of leverage differ across countries, while prior studies implicitly assume equal impact of these determinants. Second, although we concur with the conventional direct impact of country-specific factors on the capital structure of firms, we show that there is an indirect impact because country-specific factors also influence the roles of firm-specific determinants of leverage.     

Modified efficient importance sampling for partially non‐Gaussian state space models

The construction of an importance density for partially non‐Gaussian state space models is crucial when simulation methods are used for likelihood evaluation, signal extraction, and forecasting. The method of efficient importance sampling is successful in this respect, but we show that it can be implemented in a computationally more efficient manner using standard Kalman filter and smoothing methods. Efficient importance sampling is generally applicable for a wide range of models, but it is typically a custom‐built procedure. For the class of partially non‐Gaussian state space models, we present a general method for efficient importance sampling. Our novel method makes the efficient importance sampling methodology more accessible because it does not require the computation of a (possibly) complicated density kernel that needs to be tracked for each time period. The new method is illustrated for a stochastic volatility model with a Student's t distribution.     

Trade facilitation in ASEAN countries: harmonisation of logistics policies

This paper studies the effectiveness of the implementation of trade facilitation measures in member countries of the Association of Southeast Asian Nations (ASEAN). We evaluate trade facilitation performance and indicate trade facilitation needs and priorities that vary between ASEAN members. In particular, we examine logistics‐related costs in ASEAN and whether the current level of logistics‐related costs could be a burden or an advantage for ASEAN countries. We also identify critical barriers that have impacts on logistics services related to foreign investment and customs across ASEAN. Finally, we propose recommendations for the harmonisation of logistics policies in ASEAN countries aimed at the development of the ASEAN Economic Community.     

A Systematic Review on the Effects of Personalized Price Promotions for Food Products

Recent decades have witnessed the increasing adoption of personalized price promotion (PPP) at grocery stores. Despite the growing body of research debating whether PPP is more effective than untargeted price promotions, there is no literature synthesizing the relevant evidence on food products. Therefore, we conduct a systematic review to examine empirical findings on the effects of PPP targeting food products. Outcomes of 12 identified studies demonstrate larger sales and profit boosting effects of PPP than its non-personalized counterparts. Meanwhile, the results on how this approach influences consumer behavior are mixed. The effectiveness of PPP varies among different targeting strategies (e.g. reward or cross-selling) and information collection methods (e.g. using within- or across-chain data). The findings of this review have important managerial implications for the future evaluation and application of PPP as well as imply potential directions of further research on this topic.     

Does context matter for sustainability disclosure? Institutional factors in Southeast Asia

Corporate sustainability is a dynamic, socially constructed concept. Relatedly, to understand the variations in the disclosure of corporate sustainability activities across countries, we need to inherently explore their underlying sociopolitical contexts. At present our understanding in this regard, is deficient. We respond to this extant research gap by adopting a multi‐country approach to investigate the relationship between countries' institutional environments and firms' sustainability disclosure (SD) practices, across six countries in the Southeast Asian region. Our findings reflect a common focus of Southeast Asian firms on community and human resources (HRs) related disclosures. Nevertheless, nuanced differences in their overall SD levels confirm the influence of differing legal, normative, and sociocultural systems in engendering greater disclosure and transparency at a national level. By quantifying the institutional environment and identifying external influencing factors, our study provides a useful framework grounded in neo‐institutional theory to widen the existing understanding of how institutional pressures can be measured and compared across different contexts.     

Being Innovative While Being Green: An Experimental Inquiry into How Consumers Respond to Eco‐Innovative Product Designs

Eco‐innovations are an effective way for companies to strategically align themselves with customers’ growing environmental concerns. Despite their crucial role, scant research has focused on eco‐innovative product designs. Drawing from the sustainability and innovation literature, this article proposes that in the design of an eco‐innovation, its degree of innovativeness, level of eco‐friendliness, and detachability significantly affect consumers' adoption intentions. This article develops various conceptual models tested through three independent online experiments with U.S. consumers. The findings support the hypotheses and provide useful insights into the underlying mechanisms of how and why consumers respond to eco‐innovative product designs across various high‐tech product categories. Specifically, the results show (1) a positive effect of innovativeness degrees of eco‐innovative attributes on consumers' perceptions of product eco‐friendliness and on their adoption intentions as well as a significant moderating role of consumers' need for cognition (Study 1); (2) a positive influence of eco‐friendliness levels of eco‐innovative attributes on consumer adoption intentions in the case of high‐complexity products but not for low‐complexity products, emphasizing the need to adopt different approaches when developing eco‐innovations to ensure favorable consumer reactions (Study 2); and (3) a significant impact of the detachability of eco‐innovative attributes on consumers' perceptions of trade‐offs between environmental benefits and product functionality and on their intentions to adopt eco‐innovations (Study 3). These findings add to existing theoretical knowledge, provide actionable managerial implications, and identify fruitful avenues for future research.     

Social media bots and stock markets

This study examines the link between information spread by social media bots and stock trading. Based on a large sample of tweets mentioning 55 companies in the FTSE 100 composites, we find significant relations between bot tweets and stock returns, volatility, and trading volume at both daily and intraday levels. These results are also confirmed by an event study of stock response following abnormal increases in the volume of tweets. The findings are robust to various specifications, including controlling for traditional news channel, alternative measures of volatility, information flows in pretrading hours, and different measures of sentiment.