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.     

Evaluation of subsidiary marketing performance: combining process and outcome performance metrics

Issues in evaluating marketing performance and devising appropriate metrics for measurement have taken center stage in marketing thought and practice in recent years. We propose an empirical model that enables a multinational enterprise (MNE) to assess the marketing performance of its subsidiaries, taking into explicit consideration the fact that tactical actions by subsidiaries contribute to the creation of assets that can be harnessed for marketing outcomes. Thus, our model captures the asset creation abilities of marketing expenditures and also takes in to account the environmental differences of the context in which each MNE subsidiary operates. We evaluate comparative, overall, and process-level (creation of market assets and market yield) marketing performance in the context of multi-country operations. This simultaneous examination of marketing process and marketing outcome performance enables a global corporation to gain strategic, operational, and diagnostic insights into the performance of its subsidiaries. Our approach is empirically illustrated with an evaluation of the marketing performance of subsidiaries of a large global corporation.     

Identity,Spatiality and Post-colonial Resistance: Geographies of the Tourism Critique in Goa

This article maps some of the ways that the critique of tourism development in the Indian state of Goa is connected to Goan patriotism. Reactions against tourism in Goa assume a prior definition of 'Goa', and this definition is often patriotic. One of the central processes to understanding contemporary Goa's identity politics in the face of tourism is its former colonisation by the Portuguese. Treating the tourism critique in Goa as a geographically and historically specific discourse in this article means discussing four aspects of what will be called its spatiality: geopolitics, geohistories/disembeddings, socio-spatial biases and situatedness. It will be argued that the spatiality of the tourism critique shows that its connection to patriotism is not straightforward and immediate, but contingent. It will also be argued that although the spatiality of the tourism critique points to its heterogeneity, it is precisely because there are multiple constructions of 'Goa' and 'Goan identity' that the discourse constitutes its object, Goa.     

Exchange traded funds: leverage and liquidity

This paper examines the differences between leveraged and unleveraged Exchange Traded Funds (ETFs), particularly for liquidity and volatility characteristics. The impact of leverage on intraday liquidity (spread and depth) is analysed in two periods – one of normal volatility and the other of abnormal/high volatility. There is a significant difference in spread and depth of leveraged and unleveraged ETFs in periods of both normal volatility and high volatility; however, this difference is more pronounced in higher volatility periods. In high volatility periods, liquidity typically diminishes in all ETFs, and this is even more so for the leveraged ETFs. When leveraged ETFs are segregated into multiples based on their power to replicate the underlying benchmark (i.e. multiples of ?3, ?2, ?1, 2, 3), the difference in spreads between normal and high volatility periods is typically larger. The double-leveraged ETF has the most significant difference between the positive and negative counter parts. However, the relationship in the progression of the multiples does not change linearly to correspond with the level of volatility. This may be due to the nonlinear relation between volume and volatility. We shed light on the magnification effect of financial leverage on microstructure of the ETFs.     

Board structure and CEO compensation: Evidence from U.S. lodging industry

Using a sample of U.S. lodging firms, this paper examines the relationship between board of director characteristics and chief executive officer (CEO) compensation. Previous research shows that larger boards are detrimental to the effectiveness of the board of directors and deteriorate the control imposed on CEO actions and pay. Board independence is also suggested as an important quality to emphasize the control on the CEO. We propose that U.S. lodging firms’ board of directors provide a nice setting to investigate the effects of size and independence on CEO compensation level. Our findings suggest that CEO compensation is not related to board size, and positively related to proportion of the outside board members. These findings are contrary to the findings of previous studies. Our findings may provide significant insights to lodging firms’ board of directors to structure efficient compensation packages.     

On efficiency of the ratio estimator

Summary The exact mean square error for the ratio estimator of a finite population total based on simple random sampling without replacement is shown to have an expected value less than that of the variance of the ratio estimator based on Midzuno’s scheme, under a usual super-population model.