Igor Vaynman and Brendan K. Beare
The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and…
Abstract
The variance targeting estimator (VTE) for generalized autoregressive conditionally heteroskedastic (GARCH) processes has been proposed as a computationally simpler and misspecification-robust alternative to the quasi-maximum likelihood estimator (QMLE). In this paper we investigate the asymptotic behavior of the VTE when the stationary distribution of the GARCH process has infinite fourth moment. Existing studies of historical asset returns indicate that this may be a case of empirical relevance. Under suitable technical conditions, we establish a stable limit theory for the VTE, with the rate of convergence determined by the tails of the stationary distribution. This rate is slower than that achieved by the QMLE. The limit distribution of the VTE is nondegenerate but singular. We investigate the use of subsampling techniques for inference, but find that finite sample performance is poor in empirically relevant scenarios.
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Lei Dong, Bernard Wong-On-Wing and Gladie Lui
Management has considerable discretion over how to present and announce earnings components that are either unusual or infrequent, but not both (hereafter referred to as special…
Abstract
Purpose
Management has considerable discretion over how to present and announce earnings components that are either unusual or infrequent, but not both (hereafter referred to as special items). In this study, we study the independent and joint effects of the accounting presentation format of, and the level of announcement prominence given to income-decreasing special items on investors’ judgments about the persistence of declining earnings.
Methodology/approach
Our study uses a 3 (format) × 2 (prominence) between-subjects design. In the experiment, participants act as proxies for nonprofessional investors to assess the persistence of a hypothetical firm’s declining earnings and make investment decisions.
Findings
Our results suggest that investors’ judgments are influenced by accounting presentation format and the level of announcement prominence. With respect to format, both classification and disaggregation affect investors’ assessment of earnings persistence. In addition, the degree of prominence given to an income-decreasing special item, albeit self-serving and not audited, introduces additional influence beyond that of accounting presentation format. In particular, we find that announcement prominence has a greater effect when the special item is aggregated with other operating expenses than when the special item is presented under the two other alternatives.
Research implications
Our study contributes to the literature by demonstrating that presentation format and announcement prominence both have significant impact on investors’ judgments and decisions, and that their effects are interactive. Our results also indicate that future research can possibly gain better insight if it considers the accounting attributes of the special items in addition to their economic attributes.
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Derrick R. Brooms, Marcus L. Smith and Darion N. Blalock
This chapter takes a panoramic view to explore the lives of collegiate Black men. We begin with brief reflections from our own experiences to position ourselves to and alongside…
Abstract
This chapter takes a panoramic view to explore the lives of collegiate Black men. We begin with brief reflections from our own experiences to position ourselves to and alongside Black men's lives and college years. After setting the stage through our own reflections, we explore the literature on Black men's lives during their college years and pay particular attention to their social statuses, campus engagement, and health and well-being. Two critical components in many Black men's collegiate experiences are how they are projected in wider US society through deficit-based perspectives and repositioned away from educational success. We interrogate these realities and advance a discussion on ways to improve the conditions, environment, and understanding of their college journeys and possibilities. We conclude with recommendations for research, practice, and policy.
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Isabel C. Botero and Tomasz A. Fediuk
Justice perceptions describe an individual's evaluation of whether decisions or actions are fair or unfair. These perceptions are important because they affect individual…
Abstract
Justice perceptions describe an individual's evaluation of whether decisions or actions are fair or unfair. These perceptions are important because they affect individual attitudes and behaviors in different situations. Family firms develop and implement governance policies and structures (i.e., governance systems) to diminish the problems that can arise from the overlap between the business, the family, and the ownership systems of a firm. Governance systems help family firms have a clear structure of accountability and a clear understanding of the rights and responsibilities that family and non-family members have toward the family enterprise. Research on governance to date has focused on the practices and policies that exist and their effects on the family firm. However, in the governance context, individual perceptions are important because they are likely to affect the attitudes that family and other members have toward the family enterprise and the likelihood that they will follow the different policies when they are implemented. This chapter takes a receiver perspective to explain how individuals create justice perceptions based on governance mechanisms and the effects of these perceptions. The goal is to understand how we can use this information when developing governance practices in family firms.
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Cassandra R. Davis, Sarah R. Cannon and Sarah C. Fuller
The purpose of this paper is to identify and describe the long-term impacts of hurricanes on schools and discuss approaches to improving recovery efforts.
Abstract
Purpose
The purpose of this paper is to identify and describe the long-term impacts of hurricanes on schools and discuss approaches to improving recovery efforts.
Design/methodology/approach
Interviews with 20 school districts in Texas and North Carolina after Hurricanes Harvey (2017) and Matthew (2016). In total, 115 interviews were conducted with teachers, principals, district superintendents and representatives from state education agencies. Interview questions focused on the impact of storms and strategies for recovery.
Findings
The authors uncovered three long-term impacts of hurricanes on schools: (1) constrained instructional time, (2) increased social-emotional needs and (3) the need to support educators.
Research limitations/implications
This paper focuses on two storms, in two states, in two successive years. Data collection occurred in Texas, one academic year after the storm. As compared to the North Carolina, data collection occurred almost two academic years after the storm.
Practical implications
This paper illuminates strategies for stakeholders to implement and expedite hurricane recovery through; (1) updating curricula plans, (2) providing long-term counselors and (3) supporting educators in and out of school.
Originality/value
To date, very few studies have explored the ways in which schools face long-term impacts following a disaster. This paper provides insight to the challenges that prolong the impacts of disasters and impede recovery in schools. With hurricanes and related disasters continuing to affect schooling communities, more research is needed to identify the best ways to support schools, months to years after an event.
Remedios Hernández-Linares, Vanessa Diaz-Moriana and Valeriano Sanchez-Famoso
It has long been known that family firms have a high mortality rate and that increasing these firms' survival rate is one of the most difficult challenges faced by both public…
Abstract
It has long been known that family firms have a high mortality rate and that increasing these firms' survival rate is one of the most difficult challenges faced by both public policies and scholars. While most policies and researchers have focused on the business side, in recent years, more attention has been paid to the family sphere. This chapter goes one step further by not focusing on one side or another of this binomial, but on the relationship between both. In particular, we analyze the paradoxes emerging between the different inter- and intragenerational dyads that coexist in family firms (mother-daughter, father-son, mother-son, father-daughter, brother-sister, wife-husband, etc.) to open new lines of debate and propose new basis for the establishment of family firms-targeted public politics. We propose policies that will help family decision-makers to manage unique paradoxes that characterize family businesses.
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Noah Mwelu, Peter R. Davis, Yongjian Ke and Susan Watundu
The propose of this study is to focus on the mediating role of compliance with procurement regulatory frameworks in implementing public road construction projects.
Abstract
Purpose
The propose of this study is to focus on the mediating role of compliance with procurement regulatory frameworks in implementing public road construction projects.
Design/methodology/approach
A cross-sectional research design was adopted. Structured questionnaires were developed in a three-step process including generating items, purifying measurement items and validating measurement items. Variables were anchored on a five-point Likert scale because it is an efficient unidimensional scale that ensures all items measure the same thing and widely applicable in construction research.
Findings
The findings show that compliance with a public procurement regulatory framework significantly mediates the relationship between familiarity with a public procurement regulatory framework, monitoring activities, sanction on staff and contractors’ resistance to non-compliance and public road construction project success. However, compliance with a public procurement regulatory framework does not mediate the relationship between the professionalism of staff and perceived inefficiency with public road construction projects’ success.
Research limitations/implications
Limited mediation studies and examples in the public road construction subsector affected this study to comprehensively investigate and compare study findings. Furthermore, the study adopted a cross-sectional research design that limits responses to one point in time. Finally, the study missed out other participants in different organizations and departments that could have had relevant information.
Social implications
The study contributes to public procurement and construction management research fields by uncovering this strong mediating role of compliance with a public procurement regulatory framework that collectively would help the government to implement public road construction projects successfully. Because no single factor can reliably attain objectives, blending these factors through a hybrid governance system would enable the government to achieve value for money, increase the quality and quantity of paved roads and save funds that can be channeled to other priority sectors for economic development.
Originality/value
Despite scholarly efforts to establish project success factors, studies have been limited to factors directly impacting the project success without considering a mediating effect among the factors that affect the success of these projects.
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Zeyu Xing and Rustam Ibragimov
Rapid stock market growth without real economic back-up has led to the 2015 Chinese Stock Market Crash with thousands of stocks hitting the down limit simultaneously multiple…
Abstract
Rapid stock market growth without real economic back-up has led to the 2015 Chinese Stock Market Crash with thousands of stocks hitting the down limit simultaneously multiple times. The authors provide a detailed analysis of structural breaks in heavy-tailedness and asymmetry properties of returns in Chinese A-share markets due to the crash using recently proposed robust approaches to tail index inference. The empirical analysis points out to heavy-tailedness properties often implying possibly infinite second moments and also focuses on gain/loss asymmetry in the tails of daily returns on individual stocks. The authors further present an analysis of the main determinants of heavy-tailedness in Chinese financial markets. It points out to liquidity and company size as being the most important factors affecting the returns’ heavy-tailedness properties. At the same time, the authors do not observe statistically significant differences in tail indices of the returns on A-shares and the coefficients on factors affecting them in the pre-crisis and post-crisis periods.
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Md. Nazmul Ahsan and Jean-Marie Dufour
Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult…
Abstract
Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult to apply due to the presence of latent variables. The existing methods are either computationally costly and/or inefficient. In this paper, we propose computationally simple estimators for the SV model, which are at the same time highly efficient. The proposed class of estimators uses a small number of moment equations derived from an ARMA representation associated with the SV model, along with the possibility of using “winsorization” to improve stability and efficiency. We call these ARMA-SV estimators. Closed-form expressions for ARMA-SV estimators are obtained, and no numerical optimization procedure or choice of initial parameter values is required. The asymptotic distributional theory of the proposed estimators is studied. Due to their computational simplicity, the ARMA-SV estimators allow one to make reliable – even exact – simulation-based inference, through the application of Monte Carlo (MC) test or bootstrap methods. We compare them in a simulation experiment with a wide array of alternative estimation methods, in terms of bias, root mean square error and computation time. In addition to confirming the enormous computational advantage of the proposed estimators, the results show that ARMA-SV estimators match (or exceed) alternative estimators in terms of precision, including the widely used Bayesian estimator. The proposed methods are applied to daily observations on the returns for three major stock prices (Coca-Cola, Walmart, Ford) and the S&P Composite Price Index (2000–2017). The results confirm the presence of stochastic volatility with strong persistence.