Sam Ho Son, Seiwoon Hwang and Ki Beom Binh
This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In…
Abstract
This paper examines long-run consumption based asset pricing models by studying sixteen Fama-French size and book-to-market portfolios in KRX (Korea Exchange) as test assets. In our empirical implementation, we follow both models of Hansen, Heaton and Li (2008) and Parker and Julliard (2005).
Hansen, Heaton and Li (2008) used recursive utility framework. The stochastic discount factor for this model depends on the present value of expectations about future consumption growth rates. In the empirical specification for this model, we follow Malloy, Moskowiz and Vissing-Jørgensen (2008). Meanwhile, Parker and Julliard (2005) proposed a model based upon the power utility framework and explicitly considers the consumption adjustment period.
Our main results are surprisingly consistent with the results of existing literatures. By assessing both of these models, we find that the significance of the excess returns of the test assets in predicting consumption growth peaks at the horizon of 2.5 years.
These empirical results partly proves the existence of long-run consumption risk in Korean economy. We can relate stock returns to long-run consumption risk and business cycle. Specifically, the stochastic discount factor of Parker and Julliard’s model captures the financial crises in the years of 1997 and 2003. Moreover, it catches the business cycle pattern of composite leading index in Korea.
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Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American…
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Man has been seeking an ideal existence for a very long time. In this existence, justice, love, and peace are no longer words, but actual experiences. How ever, with the American preemptive invasion and occupation of Afghanistan and Iraq and the subsequent prisoner abuse, such an existence seems to be farther and farther away from reality. The purpose of this work is to stop this dangerous trend by promoting justice, love, and peace through a change of the paradigm that is inconsistent with justice, love, and peace. The strong paradigm that created the strong nation like the U.S. and the strong man like George W. Bush have been the culprit, rather than the contributor, of the above three universal ideals. Thus, rather than justice, love, and peace, the strong paradigm resulted in in justice, hatred, and violence. In order to remove these three and related evils, what the world needs in the beginning of the third millenium is the weak paradigm. Through the acceptance of the latter paradigm, the golden mean or middle paradigm can be formulated, which is a synergy of the weak and the strong paradigm. In order to understand properly the meaning of these paradigms, however, some digression appears necessary.
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Presents a special issue, enlisting the help of the author’s students and colleagues, focusing on age, sex, colour and disability discrimination in America. Breaks the evidence…
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Presents a special issue, enlisting the help of the author’s students and colleagues, focusing on age, sex, colour and disability discrimination in America. Breaks the evidence down into manageable chunks, covering: age discrimination in the workplace; discrimination against African‐Americans; sex discrimination in the workplace; same sex sexual harassment; how to investigate and prove disability discrimination; sexual harassment in the military; when the main US job‐discrimination law applies to small companies; how to investigate and prove racial discrimination; developments concerning race discrimination in the workplace; developments concerning the Equal Pay Act; developments concerning discrimination against workers with HIV or AIDS; developments concerning discrimination based on refusal of family care leave; developments concerning discrimination against gay or lesbian employees; developments concerning discrimination based on colour; how to investigate and prove discrimination concerning based on colour; developments concerning the Equal Pay Act; using statistics in employment discrimination cases; race discrimination in the workplace; developments concerning gender discrimination in the workplace; discrimination in Japanese organizations in America; discrimination in the entertainment industry; discrimination in the utility industry; understanding and effectively managing national origin discrimination; how to investigate and prove hiring discrimination based on colour; and, finally, how to investigate sexual harassment in the workplace.
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Yaw A. Debrah and Ian G. Smith
Presents over sixty abstracts summarising the 1999 Employment Research Unit annual conference held at the University of Cardiff. Explores the multiple impacts of globalization on…
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Presents over sixty abstracts summarising the 1999 Employment Research Unit annual conference held at the University of Cardiff. Explores the multiple impacts of globalization on work and employment in contemporary organizations. Covers the human resource management implications of organizational responses to globalization. Examines the theoretical, methodological, empirical and comparative issues pertaining to competitiveness and the management of human resources, the impact of organisational strategies and international production on the workplace, the organization of labour markets, human resource development, cultural change in organisations, trade union responses, and trans‐national corporations. Cites many case studies showing how globalization has brought a lot of opportunities together with much change both to the employee and the employer. Considers the threats to existing cultures, structures and systems.
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Purpose: This paper contains an evaluation of the results from a survey on ISO 9000 certified hotels in Egypt. This study is focused on factors influencing the choice of the…
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Purpose: This paper contains an evaluation of the results from a survey on ISO 9000 certified hotels in Egypt. This study is focused on factors influencing the choice of the registration agency; problems with registration agencies; satisfaction level with the registration agencies and the use of training and consultancy in achieving the certification. Design/methodology/approach: Postal survey was used in this study to gather the required data from a sample size of 40 certified large hotels in Egypt. The sample was drawn from a list provided by ISO 9000 certification office in Egypt. A response rate of 60 per cent was achieved. Findings: The certified hotels in Egypt performed well in their registration process and benefited from ISO implementation. They were using their registration agencies for private consultancy and it has been recommended that they should avoid using their registration agencies for private consultancy as this creates conflict of interest and constitutes a violation of ISO 62. Originality/value: Adds to the body of knowledge concerning the ISO 9000 registration agencies in the service sector with particular focus on Egypt.
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Gives an in depth view of the strategies pursued by the world’s leading chief executive officers in an attempt to provide guidance to new chief executives of today. Considers the…
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Gives an in depth view of the strategies pursued by the world’s leading chief executive officers in an attempt to provide guidance to new chief executives of today. Considers the marketing strategies employed, together with the organizational structures used and looks at the universal concepts that can be applied to any product. Uses anecdotal evidence to formulate a number of theories which can be used to compare your company with the best in the world. Presents initial survival strategies and then looks at ways companies can broaden their boundaries through manipulation and choice. Covers a huge variety of case studies and examples together with a substantial question and answer section.
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Refers to previous research on the accuracy of financial analysts’ earnings forecasts and explores the differences in accuracy for loss making and non‐loss making firms using…
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Refers to previous research on the accuracy of financial analysts’ earnings forecasts and explores the differences in accuracy for loss making and non‐loss making firms using 1985‐1993 US data. Finds an optimistic bias for both types of firms (smaller for more recent forecasts); which is greater for loss making firms even after controlling for forecast horizon, year of forecast and industry. Considers possible explanations for this finding and consistency with other research.
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Reports on a survey conducted to investigate acute respiratory infections (ARI) in children in developing countries, looking particularly at the Philippines. Explores the role of…
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Reports on a survey conducted to investigate acute respiratory infections (ARI) in children in developing countries, looking particularly at the Philippines. Explores the role of the National Committee for Acute Respiratory Infections and states its objectives and responsibilities. Asserts that state of health is associated with community structure, environmental factors, and social and psychological conditions. Finds also that maternal factors are important determinants in the incidence of ARI episodes, for example, the mother’s characteristics, level of health knowledge, her illness control activities, age, level of education, number of children, smoking behaviour, and the extent to which she has to fulfil other tasks. Explains the methodology used in the survey, the sampling procedure and research instruments used. Indicates that poor housing and living conditions should become the focal point of developmental efforts, and that better nipping in the bud health management should be encouraged through health education programmes.
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Cheryl Leo, Rebekah Bennett and Charmine E.J. Härtel
This article compares consumer decision‐making styles between Singaporeans and Australians. Utilising Hofstede’s framework, the paper argues that cultural dimensions influence…
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This article compares consumer decision‐making styles between Singaporeans and Australians. Utilising Hofstede’s framework, the paper argues that cultural dimensions influence consumer decision making styles. It is essential that managers understand cross‐cultural consumer decision‐making styles to make strategic decisions or effectively handle members of these nationalities. Marked differences were found between the two populations for: brand consciousness, innovativeness and overchoice confusion. The results suggest that some consumer decision‐making styles differ due to consumers’ cultural values. Managerial implications and future research directions are discussed.
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Classifies previous research on the links between earnings management and managerial opportunism into studies of the links between earnings‐based compensation schemes and…
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Classifies previous research on the links between earnings management and managerial opportunism into studies of the links between earnings‐based compensation schemes and opportunistic, short‐term earnings management; and earnings management around CEO changes. Suggests some reasons why the sensitivity of compensation to earnings and stock return performance measures might change over the length of CEO tenure and presents a study of 1970‐1991 US data to examine this. Finds that sensitivity to earnings is greater than to stock returns and that the significance of both varies during the first and second halves of tenure, as does the use of discretionar accruals. Considers the underlying reasons for this, consistency with other research and the implications for research and practice.