the behavior of foreign exchange rates the analysis of the distribution of foreign exchange rate changes provides a description of the behavior of foreign exchange rates and its determining underlying process the application of empirical methodologies or further theoretical developments is limited by the nature of this distribution in this paper the empirical analysis of major currencies during the flexible exchange rate period suggests that there is no unique distribution representing the behavior of the foreign exchange rate this however is determined both by foreign exchange management policies and the fundamental economic forces

faculty entrepreneurship and economic development the case of the university of calgary abstract the common perception of universities as merely institutions of higher learning is giving way to one where universities are viewed as engines of economic growth and development this study documents the entrepreneurial activities of the faculty of the university of calgary as well as the impact the university has had and the impact its recent budgetary problems might have on such activities results indicate that nearly 100 new ventures with at least one full time employee were started by faculty or were started as a consequence of significant faculty inputs these ventures in turn have generated at least 723 new jobs in alberta furthermore our projections suggest that faculty entrepreneurs will create approximately 14 ventures per year in the near future implications for the role universities and governments should play to encourage faculty entrepreneurship are discussed

academic research underlying industrial innovations there has been no systematic study of the characteristics of the universities and academic researchers that seem to have contributed most to industrial innovation nor do we know how such academic research has been funded this paper based on data obtained from sixty six firms in seven major manufacturing industries and from over two hundred academic researchers sheds new light on the sources characteristics and financing of academic research underlying industrial innovation the findings should be of interest to economists concerned with technological change and to policymakers attempting to increase the economic payoff from the nation s academic research copyright 1995 by mit press

robust dynamic estimation managing marketing resources over time requires dynamic model estimation which necessitates specifying some parametric or nonparametric probability distribution when the data generating process differs from the assumed distribution the resulting model is misspecified to hedge against such a misspecification risk the extant theory recommends using the sandwich estimator this approach however only corrects the variance of estimated parameters but not their values consequently the sandwich estimator does not affect any managerial outcomes such as marketing budgeting and allocation decisions to overcome this drawback we present the minimax framework that does not necessitate distributional assumptions to estimate dynamic models applying minimax control theory we derive an optimal robust filter illustrate its application to a unique advertising data set from the canadian blood services and contribute several novel findings we discover the compensatory effect advertising effectiveness increas

policy orientation effects on performance with licensing to start ups and small companies abstract this study empirically tests a model of a university s selectivity and support policy orientation for technology licensing and its interaction with the external environment for entrepreneurship using a sample of 134 us research universities we investigate main two way and three way interaction effects for two measures of technology transfer performance licenses with companies that subsequently go public and product royalties results indicate both main and moderating effects for both measures of performance implications for practice and policy are offered with special attention to public universities

endogeneity in brand choice models applications of random utility models to scanner data have been widely presented in marketing for the last 20 years one particular problem with these applications is that they have ignored possible correlations between the independent variables in the deterministic component of utility price promotion etc and the stochastic component or error term in fact marketing mix variables such as price not only affect brand purchasing probabilities but are themselves endogenously set by marketing managers this work tests whether these endogeneity problems are important enough to warrant consideration when estimating random utility models with scanner panel data our results show that not accounting for endogeneity may result in a substantial bias in the parameter estimates

order of entry as a moderator of the effect of the marketing mix on market share order of entry has been demonstrated to have a significant effect on market share a number of explanations for this effect have been suggested in the marketing and strategy literatures to date the market share advantage gained by pioneers has typically been treated as a main effect an automatic regularity treating order of entry as a main effect implies that there is no penalty on the effectiveness of a brand s marketing instruments for late entry and that a late entrant can compensate for being late by dedicating sufficient marketing resources to their product in this study we investigate the influence of order of entry into a market on the effectiveness of a firm s marketing mix decisions by asking the question can followers compensate for not being first by their marketing mix decisions also even if they can compensate for being late does this effort become increasingly more difficult with later entry that is are there asymmetries in the effectiveness of a brand s marketing mix variables that relate to its order of entry into the market or as has been typically assumed to date is order of entry strictly a main effect an asymmetry exists for example if the market response to advertising is different for the first entrant versus the second or third entrant an asymmetry also exists if the effects of say a price change by the first entrant on the second entrant are different than the effects on the third entrant we develop a market share attraction model where the parameters vary as a function of order of entry our main contribution is in modeling the sources of order of entry advantage as asymmetries in the effectiveness of a brand s marketing instruments hence distinct from previous research we explain why there are inherent order of entry effects this paper is potentially of interest to researchers developing market share models and studying the effectiveness of marketing mix variables the substantive implication of our results concern directly academics interested in marketing strategy as well as the practicing marketing strategists we model asymmetries in the market response of early entrants versus late entrants using data from two durables and three nondurables categories with one exception all data sets are established from the inception of the category and hence do not suffer from the possible bias of excluding pioneers who have failed results show that asymmetries in the effectiveness of a brand s marketing mix variables are an essential source of order of entry effects we find that the main effects of order of entry are minimal order of entry effects do not necessarily lead to lower shares but overcoming these effects is not without substantial cost to the late entrant our results support previous research that has demonstrated advantages to early entry in addition we provide guidelines for how late entrants should compete later entry tends to reduce a competitor s price sensitivity suggesting that they not instigate in a price war with earlier entrants in order to gain share order of entry tends to decrease response to quality and to promotion to achieve the same impact on market share later entrants need a bigger change in quality and need to spend more on promotion our data did not support an asymmetric effect on advertising

the distribution of foreign exchange price changes trading day effects and risk measurement a comment in their 1982 study mcfarland pettit and sung 16 mps found that consecutive daily foreign exchange rates conform to neither a normal nor a nonnormal stable process and that day of the week data could be adequately described by a series of different stable distributions the authors have also documented a weekday effect in the foreign exchange market mondays and wednesdays offered higher average price changes than did thursdays and fridays in a more recent study jaffe and westerfield 9 documented negative monday returns for the currencies of the u k canada and australia in estimating the parameters of the distribution mps have utilized the fama and roll 5 6 method which assumes a symmetric distribution jaffe and westerfield 9 report only estimates of the sample moments the sample moments reported in mps s table ii part of which is reproduced in table i here reveal that most currencies especially the minor currencies the australian dollar the spanish peseta and the swedish krona have significant skewness the results indicate that the asymmetric stable paretian distribution may be more appropriate for the overall daily returns this hypothesis is consistent with

attraction versus linear and multiplicative market share models an empirical evaluation linear and multiplicative market share models are compared with the attraction specification on the basis of both predictive and descriptive measures the data used represent 15 brands in three dif

strategy and the board of directors in venture capital backed firms abstract the results of this research demonstrate that boards of directors in venture capital backed companies are more involved in both strategy formation and evaluation than are boards where members do not have large ownership stakes these same results are demonstrated even when industry board size level of diversification and insider board representation are held constant agency theory and institutional theory are advanced as reasons for this higher level of involvement venture capitalists are generally seen as value added investors who have played a significant role in the development of many entrepreneurial businesses bygrave and timmons 1992 this success has lead students of industrial competitiveness like thurow 1992 to argue that the venture capitalist should serve as an example for directors of all types of organizations one of the most significant value added activities of the venture capitalist is involvement with strategy fried and hisrich 1995 macmillan kulow and khoylian 1988 sapienza 1989 sapienza et al 1996 rosenstein bruno bygrave and taylor 1993 implicit in the writings extolling directors who act like venture capitalists porter 1992a porter 1992b bhide 1994 thurow 1992 is the belief that they will be more active than traditional board members however little empirical work has been done to directly compare the level of strategic involvement of the two types of boards building on the work of judge and zeithaml 1992 this study compares the level of board involvement with strategy by the boards of venture capital backed companies with the boards of other types of organizations after establishing different levels of involvement it then examines why there is a difference finally this study provides additional empirical evidence on the relationship between board involvement and performance zahra and pearce 1989

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

customized advertising via a common media distributor we show that when a single media content distributor such as a television cable company or an internet provider delivers advertising messages on behalf of multiple competing brands it can sometimes utilize customized advertising to implement monopoly pricing even though such monopolistic pricing can be implemented with varying degrees of customization of commercials product revenues and consumer surplus are highest when the distributor chooses the highest level of customization feasible consumers would obviously prefer aggressive price competition in product markets however given that collusion on prices is facilitated anyway when the distributor acts as a common agent the welfare of consumers is enhanced when commercials are better aligned with their preferences

the effects of university rules on spinoff creation the case of academia in italy the economics literature provides rich evidence on the convergence between the institutional factors and individual level characteristics influencing the involvement of academia in knowledge transfer activities and spinoff creation however little is known about the effects of internal university regulations on academic entrepreneurship in the last ten years spinoff activity from academia in italy has been intensive and most academic institutions have policies related to the regulation of academic entrepreneurship practices known as regolamento spinoff this paper investigates the impact of the set of university rules governing the creation of spinoffs on institutional capability to generate new ventures based on panel data analysis using detailed university level data on academic spinoffs we identify three classes of institutionally defined rules that can motivate faculty members to establish a spinoff company these are general rules and procedures rules regulating monetary incentives rules related to the entrepreneurial risk we find that at least some rules pertaining to each of these three classes have some effect on spinoff creation in particular we find that monetary incentives play a significant role in promoting academic spinoff activity and that overly restrictive university rules regarding contract research have a negative effect on spinoff creation

preference free optimal hedging using futures abstract this paper provides an alternative formulation and proof of the conditions under which optimal hedge ratios are independent of risk preference and points out that the conditions are satisfied by a wide class of models of spot and futures returns

are exchange rate changes normally distributed abstract although assumed to be normal daily returns in reality are leptokurtic monthly returns however are shown to be more normally distributed evidence was found of dependence on consecutive daily price changes which may be an explanation for the leptokurtosis

mapping the university technology transfer process abstract transfer of technologies from the universities to the private sector is increasingly regarded as playing a significant role in new business starts growth of existing businesses and new job creation further there are monerous models describing the process of technology transfer some of the existing models represent this process as a linear progression of steps from idea generation and technology development at the university to patenting the technology and then establishing a university private firm link through a formal search process the process culminates in patent rights transfer other models describe technology transfer in terms of networking arrangements and emphasize not so much formal search as the role of long term relationships between the two parties still other studies indicate that it is possible to combine the two approaches formal search and informal networking arrangements to ensure successful transfer business firms involved in transfer also may be classified into several groups transfer could occur between the university and an established firm between the university and a recently created new venture or transfer could result in the creation of a new company technology for example could be transferred to a large company that uses the transferred technology as a basis for just one of many product lines or to a small firm that makes the transferred technology a cornerstone of its product strategy are there any differences among the transfer processes used when large or small firms are involved or when technology is transferred to an existing company or results in the creation of a new firm to address these questions we mapped the technology transfer processes of 23 different technologies developed at the university of minnesota from 1983 to 1993 more than half of the technologies studied went to large companies and were used either to upgrade existing products or to extend existing product lines in eight cases technologies were transferred to small firms in three cases technologies were transferred to venture capital firms or intermediaries and had not been commercialized at the time the study was completed in the rest of the cases new firms were created by the inventors university scientists themselves and served as vehicles for marketing their inventions none of the firms of the latter group have grown beyond a part time employment opportunity for the inventors and only one firm provided evidence that additional hiring would be necessary in the near future only four cases involved transfers of technologies that have been developed and patented by the university to firms that did not have any relationships with the university prior to the transfer in these four cases the firms used some form of search strategy to find a needed technology however there is no evidence that any of the firms had a well developed formal search procedure in the overwhelming majority of cases some form of relationship existed between the university or individual inventors and the private firm prior to the transfer these relationships ranged from long term friendships and or cooperation to such less involved forms as interaction at research seminars and university sponsored events further in four cases the technologies were initially developed by private companies whereas the university s role was to assist in refinement or testing of the technology the research yielded a number of additional findings that deserve further investigation and discussion specifically the study did not provide any evidence that the successfully completed technology transfers made any substantial contribution to either new business creation or the generation of new jobs this finding suggests that scholars and policy makers should proceed with caution before accepting a notion that new or high technology firms will have any direct economic impact the study findings hold specific implications for entrepreneurial behavior and public policy the formal search and shopping for a technology model suggests that both business and academic government laboratories publicize respectively their requirements and offerings and that opportunities for creative brokerage ought to exist we found that in the majority of cases technology was transferred not through formal search but through some prior relationships among individuals this observation suggests that the ability to build extended networks of relationships not only within the business world but also with the university community is an important skill that owners and managers of the technology based businesses need to possess entrepreneurs seeking to start businesses based on new technologies may need to reevaluate how much of their limited time to allocate to build and maintain networks and cooperative relationships and how much time to shop for new technologies through formal channels further public policy and the efforts of the university transfer agencies intended to facilitate transfer may need to shift their emphasis from facilitating shopping by organizing and or paying for publicity which is currently the major emphasis to providing assistance in network building and relationship marketing efforts

a critical exploration of sponsorship infrastructure and new organizations this research focuses on the effects of public sponsorship and regional infrastructure on the emergence and survival of new organizations propositions are tested regarding the joint effects of sponsorship and infrastructure on industrial development in a randomly selected sample of fourteen regions the data include six measures of infrastructure sponsorship as measured by the total dollars spent for economic development and their individual and joint effects on the number of firms and employees in high technology industries for the years 1965 1970 1975 1980 and 1984 this preliminary analysis suggests that variation in the infrastructure and level of sponsorship within a region is related to the birth and survival of new organizations

university revenues from technology transfer abstract this paper analyzes the financial return of universities taking equity in their spin off companies and the prevailing attitudes toward taking equity the reasons for taking equity include the flexibility it gives licensing managers in structuring deals the possibility that the university will still hold something of value if their technology is replaced and the reduced time required to generate revenue compared to a traditional license a traditional license is preferred when the technology is not suitable for a spin off company or when the technology is one of the rare jackpot licenses that bring in millions of dollars every year the financial reward of taking equity was determined by comparing the value of equity sold in public spin off companies to the return on an average license a traditional license consists of a license issue fee between 10 000 and 250 000 and an annual royalty on sales in 1996 the average annual income from a traditional license was 63 832 the average value of equity sold in 16 university spin off companies is 1 384 242 if one assumes that half the spin offs fail before they go public the average value of equity is 692 121 this is more than 10 times the average annual income from a traditional license and is significantly higher than the amount usually received as a license issue fee the high average value of equity depends on the presence of a few million dollar equity sales if those sales are excluded the average value of equity is 139 722 which is within the range that can be received as a license issue fee there is a high correlation between million dollar equity sales and the amount of venture capital spending in the region the million dollar sales in this study all occurred in the top 11 states in the country in terms of venture capital spending in 1997 from a financial viewpoint it makes sense for licensing managers to take equity in their start up companies our data show that even if none of the start ups produces a million dollar equity sale the financial return of equity will be within the range normally received as a license issue fee taking equity leaves the door open for the occasional jackpot which will bring in significantly more money than a standard license when combined with a strong program of traditional licensing taking equity in start up companies maximizes the financial return that universities realize from their intellectual property

leveraging knowledge as a competitive asset the intensity performance and structure of universities entrepreneurial knowledge exchange activities at a regional level universities are no longer considered to be isolated islands of knowledge but as institutions increasingly engaged with a range of external partners through entrepreneurial activities this paper examines the associations between the intensity and performance of knowledge exchange activities undertaken in uk universities with non academic actors drawing on data concerning the structural factors of interactions of universities in the uk with external partners the paper sheds further light on the nature of these activities through a prism of competitive and uncompetitive regions in order to better understand how universities may be able to leverage both their knowledge and partnerships more effectively as competitive assets on the one hand it is found that academics in uncompetitive regions are more intensively engaged in entrepreneurial activities but generate less income from them than their counterparts in competitive regions suggesting that there are differences in the income generating capacity of academics across regions on the other hand academic knowledge is found to be more strongly bounded within a certain distance in uncompetitive regions whilst geographical distance seems less of a hindrance to academics in competitive regions

the effect of advertising on the distribution free newsboy problem abstract advertising is very important for the newsboy problem because the shelf life of the newsboy product is short and advertising may increase sales to avoid overstocking in this paper models to study the effect of advertising are developed for the distribution free newsboy problem where only the mean and variance of the demand are known as in khouja and robbins 2003 it is assumed that the mean demand is an increasing and concave function of advertising expenditure three cases are considered 1 demand has constant variance 2 demand has constant coefficient of variation and 3 demand has an increasing coefficient of variation this paper provides closed form solutions or steps to solve the problem numerical results of the model are also compared with those from other papers the effects of model parameters on optimal expenditure on advertising optimal order quantity and the lower bound on expected profit are derived or discussed

are researchers deliberately bypassing the technology transfer office an analysis of tto awareness most universities committed to the commercialization of academic research have established technology transfer offices ttos nonetheless many researchers bypass these ttos and take their inventions directly to the marketplace while tto bypassing has typically been portrayed as deliberate and undesirable behavior we argue that it could be unintentional as many researchers may simply be unaware of the tto s existence taking an information processing perspective and using data on 3250 researchers in 24 european universities we examine researcher attributes associated with tto awareness our evidence confirms that only a minority of researchers are aware of the existence of a tto at their university tto awareness is greater among researchers who possess experience as entrepreneurs closed many research and consulting contracts with industry partners conduct research in medicine engineering or life sciences or occupy postdoctoral positions policy implications of these findings are discussed

the shape of advertising response functions revisited a model of dynamic probabilistic thresholds prior work in marketing has suggested that advertising threshold effects levels beneath which there is essentially no sales response are rarely encountered in practice because advertising policies settle into effective ranges through early trial and error thresholds cannot be observed directly and arguments for their existence must be based primarily on a statistical footprint that is on relative fits of a range of model types to detect possible threshold effects we formulate a switching regression model with two regimes in only one of which advertising is effective mediating the switch between the two regimes is a logistic function of category specific dynamic variables e g order of entry time in market number of competitors and advertising levels nesting a variety of alternative formulations among them both standard concave and s shaped responses a sequence of comparisons among parametrically related models strongly suggests that threshold effects exist that market share response to advertising is not necessarily globally concave that superior fit cannot be attributed to model flexibility alone and that dynamic environmental competitive and brand specific factors can influence advertising effectiveness these effects are evident in two evolving durables categories suvs and minivans although not in the one mature nondurable category liquid detergent studied

technology strategy and software new ventures performance exploring the moderating effect of the competitive environment abstract technology strategy ts is one of the most important aspects of any firm s strategic posture especially in dynamic environments such as the computer software industry not only do new ventures face the pressures that accompany all young companies e g shortages of capital but they also have to keep up with a rapid rate of technological change consequently ts the sum of a firm s choices on how to develop and exploit its technological resources can profoundly affect a venture s performance and survival this empirical study examines the relationships between ts and new venture performance nvp by focusing on ts variables and analyzing their performance outcomes the study offers insights into the factors that can influence the success of new ventures in a fast paced environment this study also examines key environmental moderators those external environmental forces which can significantly impact the strength or direction of the relationship between a firm s ts and nvp the study examines five tss that can enhance npv the first is radicality which means developing and introducing new products ahead of competitors the second is the intensity of product upgrades which refers to a venture s commitment to introducing more refinements and extensions of its products than its competition the third is the level of r d spending which indicates a venture s strong investment in internal research and development activities the fourth is the use of external technology sources e g strategic alliances and licenses to augment a firm s own r d efforts the final dimension is the use of

the sub gaussian distribution of currency futures stable paretian or nonstationary this study conducts an empirical test to examine wh ether the observed non normal distribution of currency futures price changes isgenerated by the relationship between maturity and variability in general the author finds that the relationship between maturity and vari ability is not suff icient to explain the observed non normality although some amount of non statio narity is present in the scale and in the characteristic exponent the non norma l stable paretian distribution adequately describes futures price changes for mo st currencies and most contracts during the period covered in thisstudy copyright 1987 by mit press

university start up formation and technology licensing with firms that go public a resource based view of academic entrepreneurship abstract although academic entrepreneurship is a topic receiving some attention in the literature higher education s appetite for expanding technology transfer activities suggests that more research is needed to inform practice this study investigates the effects of particular resource sets on two university commercialization activities the number of start up companies formed and the number of initial public offering ipo firms to which a university had previously licensed a technology utilizing multisource data on 120 universities and a resource based view of the firm framework a set of university financial human capital and organizational resources were found to be significant predictors of one or both outcomes

determinants of entrepreneurial activities in china abstract the institutional environment including protection of private properties and contract enforcement has been rather unfavorable for the emergence and development of china s private enterprises this is in sharp contrast to the case of the developed economies where the institutional environment is conductive to the entrepreneurial activities and only the personal attributes of would be entrepreneurs determine their entrepreneurship decision we thus propose a theoretical framework for the entrepreneurship decision in china with a focus on the role of the institutional environment using a life histories survey data of 2854 respondents from twenty cities in china we find strong support for the impacts of the institutional environment and its interactions with other determinants of entrepreneurship decision

dynamic optimal control models in advertising recent developments this paper presents a review of recent developments that have taken place in the area of dynamic optimal control models in advertising subsequent to the comprehensive survey of the literature by sethi in 1977 the basic problem underlying these models is that of determining optimal advertising expenditures and possibly other variables of interest over time for a firm or a group of competing firms under consideration this optimization is done subject to some dynamics that define how these variables translate into sales and in turn into profits the purpose of this update is twofold on the one hand new contributions in the areas already treated in the earlier survey are reviewed on the other hand new trends in the advertising literature since 1977 such as quality as an additional marketing instrument cumulative sales models pulsing advertising and advertising as a part of corporate models of the firm are discussed the models covered in this update are organized under six headings models with ca

semiparametric analysis to estimate the deal effect curve abstract the marketing literature suggests several phenomena that may contribute to the nature of the relationship between sales and price discounts these phenomena can produce complex nonlinearities and interactions in the deal effect curve that are best captured with a flexible approach because a fully nonparametric regression model suffers from the curse of dimensionality the authors propose a semiparametric regression model store level sales over time are modeled as a nonparametric function of own and cross item price discounts and a parametric function of other predictors the authors compare the predictive validity of the semiparametric model with that of two parametric benchmark models and obtain superior performance the results for three product categories indicate threshold and saturation effects for both ownand cross item temporary price cuts the authors also find that the nature of the own item curve depends on other items price discounts comparisons with restricted model specification

practice prize reports the practice prize reports consist of one article with two parts as follows sinha ashish j jeffrey inman yantao wang joonwook park attribute drivers a factor analytic choice map approach for understanding choices among skus and tellis gerard j rajesh k chandy deborah macinnis pattana thaivanich modeling the microeffects of television advertising which ad works when where for how long and why

on the superiority of pulsing under a concave advertising market potential function abstract the authors study the superiority of advertising pulsing policy turning advertising on and off in a cyclic fashion over its uniform constant spending counterpart that costs the same under the assumption that sales dynamics follow a modified vidale wolfe aggregate advertising model the authors show that pulsing can be superior if the product of the concave market potential function and the linear or concave advertising response function is convex in advertising similar to previous studies in the literature the average undiscounted profit over the infinite planning horizon is considered as a performance measure according to which alternative advertising pulsation policies are compared employing a well known data set relating advertising to sales the above convexity requirement is empirically supported and the superiority of pulsing is established numerically the performance of the proposed model is found to be superior to two rival models using a one step ahead forecasting procedure the analytical findings of the study are documented into six theoretical results for which proofs are relegated to a separate appendix managerial implications of the study and directions for future research are also discussed

the behavior of foreign exchange rates reply in the preceding comment on our jibs paper 1 three basic claims are made the results in 1 are contrary to those reported elsewhere the contradiction may be due to certain weakness in the methodology employed by us based on a direct approach three currencies out of the fourteen we analyzed are regrouped two the australian dollar and japanese yen from group iii into group i currencies with a symmetric distribution and one the italian lira from group iii into group ii currencies close to have a symmetric distribution except for at least 1 subperiod andthat the arguments presented by us concerning the effects of foreign exchange management policy on exchange rates are no longer supported by the data 1986 jibs journal of international business studies 1986 17 177 180

statistical study of foreign exchange rates empirical evidence of a price change scaling law and intraday analysis abstract in this paper we present a statistical analysis of four foreign exchange spot rates against the u s dollar with several million intra day prices over 3 years the analysis also includes gold prices and samples of daily foreign exchange prices over 15 years the mean absolute changes of logarithmic prices are found to follow a scaling law against the time interval on which they are measured this empirical law holds although the distributions of the price changes strongly differ for different interval sizes systematic variations of the volatility are found even during business hours by an intra day analysis of price changes seasonal heteroskedasticity is observed with a period of one day as well as one week as the result of an analogous intra week analysis taking this into account is necessary for any future study of intra day price change distributions and their generating process the same type of analysis is also made for the bid ask spreads

distribution of parallel exchange rates in african countries abstract this paper investigates the distribution of parallel exchange rates in african countries using exploratory data analysis techniques and model fitting stable laws are fitted to empirical distributions using the maximum likelihood estimation method empirical evidence supports the stable hypothesis these distributions are positively skewed and have tails that are much heavier than gaussian counterparts the stable hypothesis is further supported by the converging variance test which suggests that these distributions have infinite variance

mixed diffusion jump process modeling of exchange rate movements this study demonstrates that the mixed diffusion jump process is superior to the stable laws or a mixture of normals as a model of exchange rate changes for the british pound french franc and the we st german mark relative to the united states dollar the parameter value s for the mixed diffusion jump process are dependent on the monetary policy regime in force in the united states with the estimates for the franc and mark being intertemporally similar but different from the pound copyright 1988 by mit press

a comparison of foreign exchange forward and futures prices abstract in theory futures resettlement should create systematic pricing differences between futures and forward contracts however previous empirical studies do not demonstrate such differences in the foreign exchange markets on the other hand inferences from these studies are suspect since they do not directly implement theortical measures of resettlement effects and are unadjusted for sub gaussian data properties in this paper these limitations are addressed through the use of the multivariate autoregressive moving average model our findings provide evidence of systematic pricing influences arising from futures resettlement

dynamic models incorporating individual heterogeneity utility evolution in conjoint analysis it has been shown in the behavioral decision making marketing research and psychometric literature that the structure underlying preferences can change during the administration of repeated measurements e g conjoint analysis and data collection because of effects from learning fatigue boredom and so on in this research note we propose a new class of hierarchical dynamic bayesian models for capturing such dynamic effects in conjoint applications which extend the standard hierarchical bayesian random effects and existing dynamic bayesian models by allowing for individual level heterogeneity around an aggregate dynamic trend using simulated conjoint data we explore the performance of these new dynamic models incorporating individual level heterogeneity across a number of possible types of dynamic effects and demonstrate the derived benefits versus static models in addition we introduce the idea of an unbiased dynamic estimate and demonstrate that using a counterbalanced design is important from an estimation perspective when parameter dynamics are present

academic spin off s transfer speed analyzing the time from leaving university to venture for academic spin offs i analyze the length of time between the founder s leaving of academia and the establishment of his firm technology transfer can take place even years after leaving the mother institution a duration analysis reveals that a longer time lag is caused by the necessity of assembling complementary skills either by acquisition by a single founder or by searching for suitable team members furthermore new ventures are established earlier if the intensity of technology transfer is high the founders have access to university infrastructure or received informal support by former colleagues

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

a model of uk real effective exchange rate behaviour an integrated model of the uk real effective exchange rate is examined which links purchasing power parity with trade flow and asset market mechanisms furthermore time series and econometric analysis using quarterly data from 1972 to 1987 are applied the results obtained are broadly consistent with this model and imply that the uk real effective exchange rate index is constant in the long run

endogeneity in marketing decision models there are many critical concerns including the accounting for endogeneity when one is properly estimating response functions however it is sometimes certainly not always better to leave some variables exogenous when building mathematical models intended to help decision makers the exogenous variables allow the decision maker to better adapt the mathematical model to different situations and to incorporate myriad variables and constraints outside of the model

the impact of firmspecific capabilities on the amount of capital raised in an initial public offering evidence from the biotechnology industry abstract going public has a magical sound to most entrepreneurial managers by going public the firm increases its legitimacy in the business community improves access to debt financing and creates a means of exit for major shareholders however by far the most important reason for going public is to infuse a significant amount of investment capital into the firm it is well documented that small businesses frequently fail because of insufficient funding and heavy debt loads issuing an initial public offering ipo allows entrepreneurial firms to overcome these pitfalls clearly if access to capital is the major goal of going public then the success of an offering is measured by the amount of capital raised by the firm this study presents a model of the total amount of capital raised by a firm through an ipo the explanatory variables include several indicators of the scientific capabilities of the firm including the location of the firm the quality of the research staff the number of products under development the number of patents held by the firm and the firm s prior spending on research and development r d the model is empirically tested on a sample of 92 biotechnology ipos the results provide strong support for the hypothesized positive relationship between the total amount of capital raised by a firm s ipo and the scientific capabilities of the firm our results have important implications for entrepreneurs first an entrepreneur needs to develop and send credible signals indicating the value of the firm s intangible assets to the market second the market values as deep a product pipeline as possible given a firm s resource constraints third choice of location is a key strategic decision that should not be overlooked fourth the market values firm specific capabilities and will increase the capital it is willing to invest in a firm accordingly finally the amount of capital a firm raises in its ipo can be influenced by entrepreneurial managers strategic decisions

advertising and aggregate consumption a bayesian dsge assessment aggregate data reveal that advertising in the u s absorbs approximately 2 of gdp and has a well defined pattern over the business cycle being strongly procyclical and highly volatile because the purpose of brand advertising is to foster sales we ask whether such spending has an appreciable effect on the pattern of aggregate consumption and through this avenue on economic activity this question is addressed by developing a dynamic general equilibrium model in which households preferences for differentiated goods depend on the intensity of brand advertising which is endogenously determined by profit maximizing firms once the model is estimated to match the u s economy it argues that the presence of advertising in the long run raises aggregate consumption and hours worked eventually fostering economic activity we also find that advertising has a relevant impact on fluctuations in consumption investment and markup over the business cycle all of the abovementioned effects are proven to epend crucially on the degree of competitiveness of advertising at the firm level

institutional determinants of university spin off quantity and quality a longitudinal multilevel cross country study the creation of spin off firms from universities is seen as an important mechanism for the commercialization of research and hence the overall contribution from universities to technological development and economic growth governments and universities are seeking to develop framework conditions that are conductive to spin off creation the most prevalent of such initiatives are legislative changes at national level and the establishment of technology transfer offices at university level the effectiveness of such initiatives is debated but empirical evidence is limited in this paper we analyze the full population of universities in italy norway and the uk three countries adopting differing approaches to framework conditions to test whether national and university level initiatives have an influence on the number of spin offs created and the quality of these spin offs building on institutional theory and using multilevel analysis we find that changes in the institutional framework conditions at both national and university levels are conductive to the creation of more spin offs but that the increase in quantity is at the expense of the quality of these firms hence the effect of such top down changes in framework conditions on the economic impact from universities seems to be more symbolic than substantive

optimal dynamic advertising policy for new products advertising is one of the key marketing tools managers have at their disposal to influence their customers into purchasing a new product the overall objective of new product advertising is to inform and persuade customers drawing up an advertising plan for a new product that is under the influence of diffusion phenomenon is not an easy task hence research in this area is very limited in our research we use an empirically proven diffusion demand function that explicitly incorporates the advertising component our results suggest that optimal advertising is determined by the advertising effectiveness discount rate and the ratio of advertisement to profits depending upon the interplay among these factors the optimal advertising takes decrease increase increase decrease monotonically increasing or monotonically decreasing shape

distribution properties of latin american black market exchange rates abstract this paper conducts a statistical analysis of the distribution properties of black market exchange rate changes for 12 latin american currencies the infinite variance stable law hypothesis is tested using a regression type technique to estimate the parameters of the stable paretian distribution strong evidence is found supporting this hypothesis a separate analysis of extreme observations using a robust statistical procedure further supports these findings

target market selection and marketing effort under uncertainty the selective newsvendor abstract we consider a firm that markets procures and delivers a good with a single selling season in a number of different markets the price for the good is market dependent and each market has an associated demand distribution with parameters that depend on the amount of marketing effort applied given long procurement lead times the firm must decide which markets it will serve prior to procuring the good we develop a profit maximizing model to address the firm s integrated market selection marketing effort and procurement decisions the model implicitly accounts for inventory pooling across markets which reduces safety stock costs but increases model complexity the resulting model is a nonlinear integer optimization problem for which we develop specialized solution methods for the case in which budget constraints exist we provide a novel solution approach that uses a tailored branch and bound algorithm our approach solves a broad range of 3000 test instances in an average of less than 2 seconds significantly outperforming a leading commercial global optimization solver

on continuous time optimal advertising under s shaped response continuous time monopolistic models of advertising expenditure that rely on strict response concavity have been shown to prescribe eventual spending at a constant rate however analyses of discrete analogs have suggested thats shaped response convexity for low expenditure levels may allow for the periodic optima encountered in actual practice casting the dynamic between advertising and sales in a common format an autonomous first order relationship the present paper explores extensions along three dimensions an s shaped response function the value of the discount rate and the possibility of diffusion like response supplementing the treatment by mahajan and muller 1986 a flexible class of s shaped response models is formulated for which it is demonstrated that in contrast to findings in the literature on discretized advertising models continuous periodic optima cannot be supported further a set of conditions on the advertising response function are derived that contains and extends that suggested by sasieni 1971 collectively these results both suggest a set of baseline properties that reasonable models should possess and cast doubt on the ability of first order models to capture effects of known managerial relevance

the relative valuation of american currency spot and futures options theory and empirical tests this study empirically tests contingent claims pricing models for american currency spot and futures options numerical analysis indicates that the difference in the model prices of spot and futures put call options with the same exercise price and maturity is for a premium discount currency positive and an increasing function of a the absolute dif ference in the prices of the underlying spot and futures contracts and b the maturity of the options tests on british pound deutsche mark and swiss franc options indicate many violations ofthe ordinal pricing relationships noted above additional tests indicate that option prices are inconsistent with functional relationship b above most of the ob served violations are sufficiently large to provide arbitrage profits net of transaction costs assuming interest rates are constant and the interest rate parity theorem holds continu ously alternatively both the violations and the inconsistent functional relationship may be due to violation of the assumption of constant interest rates

wearout effects of different advertising themes a dynamic bayesian model of the advertising sales relationship models of advertising response implicitly assume that the entire advertising budget is spent on disseminating one message in practice managers use different themes of advertising for example price advertisements versus product advertisements and within each theme they employ different versions of an advertisement in this study we evaluate the dynamic effects of different themes of advertising that have been employed in a campaign we develop a model that jointly considers the effects of wearout as well as that of forgetting in the context of an advertising campaign that employs five different advertising themes we quantify the differential wearout effects across the different themes of advertising and examine the interaction effects between the different themes using a bayesian dynamic linear model dlm such a response model can help managers decide on the optimal allocation of resources across the portfolio of ads as well as better manage their scheduling we develop a model to show how our response model parameters can be used to improve the effectiveness of advertising budget allocation across different themes we find that a reallocation of resources across different themes according to our model results in a significant improvement in demand

measuring tail thickness to estimate the stable index α a critique a generalized pareto or simple pareto tail index estimate above 2 has frequently been cited as evidence against infinite variance stable distributions it is demonstrated that this inference is invalid tail index estimates greater than 2 are to be expected for stable distributions with as low as 1 65 the nonregular distribution of the likelihood ratio statistic for a null of normality and an alternative of symmetric stability is tabulated by monte carlo methods and appropriately adjusted for sampling error in repeated tests real stock returns yield a stable of 1 845 and reject iid normality at the 996 level

estimating threshold effects of u s generic fluid milk advertising this paper addresses the issues of threshold effects pertaining to u s generic fluid milk advertising a threshold delineates the level of advertising intensity that has to be met to generate a specific level of sales effect given that promotional organizations face budget constraints it is of particular interest to ascertain if there exists a minimum threshold that an advertising campaign has to cross to yield a non trivial sales effect despite strong beliefs among market practitioners the existence of advertising threshold effects has rarely been studied by researchers interested in agricultural commodity promotions adopting a spline threshold estimation procedure this paper represents the first attempt to identify thresholds in the sales effect of generic advertising and the impacts the thresholds may have on consumers reactions to changes in important economic variables such as own price and income using quarterly u s generic fluid milk advertising data from 1975 to 2004 a regime dependent fluid milk demand equation is estimated the results support the existence of advertising thresholds and show that generic advertising has the effect of rendering fluid milk demand less elastic with respect to own price and more elastic with respect to income the results of policy simulation further highlight the importance of accounting for the threshold effects of advertising in evaluating promotion program effectiveness

universities and industrially relevant science towards measurement models and indicators of entrepreneurial orientation abstract which university departments engaged in industrially relevant science are likely candidates to become entrepreneurial at present there are neither measurement models nor leading indicators that can answer such questions at an international comparative level this paper introduces concepts theory and a measurement model for identifying the early stages of a university s enterpreneurial orientation within a quantitative analytical framework this approach focuses specifically on university industry interactions in which the connectivity between academic science and industrial research is captured and measured empirically in terms of 1 public private co authored research articles and 2 references citations within corporate research articles to university research articles the paper examines a range of country level and institutional determinants of industrially relevant science across 18 research areas of significant industrial interest and at two different levels of analysis research systems of oecd countries and large sets of research universities within those countries the results of these large scale analyses along with those of a case study dealing with european universities active in the field of immunology research suggest that many structural factors determine university industry interactions and the potential for entrepreneurial orientation the two connectivity indicators appear to be of minor significance compared to a university s country of location and the magnitude of its research activities in industrially relevant fields of science

technology transfer and public policy a review of research and theory abstract my purpose is to review synthesize and criticize the voluminous multidisciplinary literature on technology transfer to reduce the literature to manageable proportions i focus chiefly not exclusively on recent literature on domestic technology transfer from universities and government laboratories i begin by examining a set of fundamental conceptual issues especially the ways in which the analytical ambiguities surrounding technology transfer concepts affect research and theory my literature review follows and i emphasize technology transfer s impact and effectiveness i employ a contingent effectiveness model of technology transfer to organize the literature as the model s name implies it assumes that technology effectiveness can take a variety of forms in addition to examining the more traditional effectiveness criteria those rooted in market impacts the model considers a number of alternative effectiveness criteria including political effectiveness capacity building

testing alternative econometric models on the existence of advertising threshold effect threshold effect of advertising has received wide attention in the marketing literature but little formal representation of this phenomenon has been developed on the basis of monthly time series

forward and futures prices evidence from the foreign exchange markets empirical studies of the treasury bill markets have revealed substantial differences between the futures price and the implied forward price these differences have been attributed to taxes transaction costs and the settling up procedure employed in the futures market this paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations empirical studies of the treasury bill market have revealed differences between the futures price or rate and the implicit forward price derived from the term structure of interest rates 1 these differences have generally been attributed to market imperfections such as taxes and transaction costs see for example arak 1 capozza and cornell 2 and rendelman and carabini 6 recently however cox ingersoll and ross 3 henceforth cir derived a model in which forward and futures prices need not be equal even in perfect markets without taxes as long as interest rates are stochastic the significance of the cir effect may be hard to investigate using only data from the bill market because of the potentially complicating effects of taxes and transaction costs unique to this market by using data from the foreign exchange market we are able to eliminate the tax effect and reduce the impact of transaction costs the question we address is whether the discrepancies observed in the treasury bill market are also observed in the foreign exchange market if they are then we have evidence that the differences are due to a combination of the cir effect and the transaction costs common to both markets if they are not then either the magnitude of the cir effect is much less in the foreign exchange market or the treasury bill results are due to the unique tax treatment and transaction costs of that market this paper is organized as follows in section i the trading mechanics of the forward and futures markets in foreign exchange are discussed section ii reviews the explanations for the discrepancies between the forward and futures prices for treasury bills the institutional differences between the foreign exchange and bill markets are also summarized to show which of these explanations cannot apply to the foreign exchange market in section iii the data are decribed and the empirical results are presented the conclusions are summarized in the final section

forward and futures pricing of treasury bills the paper discusses the recent literature on interest rate futures contracts applying both traditional futures and term structure theories it is argued that an important characteristic of futures contracts has been ignored in most of the futures literature by constructing a riskless arbitrage between implicit forward contracts and futures contracts it is demonstrated that even in an efficient market the futures and forward prices will be different the difference results because the marking to the market that is required on a futures contract implies that the course of interest rates is important to the pricing of interest rate futures contracts

the effects of advertising prices and distribution on market share volatility although the influence of marketing decision variables on market share has received ample attention in the literature less is known about their effects on volatility this study attempts to shed light on this issue by empirically examining the effects of advertising pricing and distribution not only on market share but also on its volatility using an egarch model we argue that establishing a link between management controlled actions such as advertising pricing and distribution and market share volatility may benefit firms seeking to reduce uncertainty in their market share performance application of the proposed model to data on two markets suvs and minivans suggested that advertising pricing and distribution significantly influence market share volatility

entrepreneurial orientation technology transfer and spinoff performance of u s universities this paper adopts a resource based perspective to understand why some universities are more successful than others at generating technology based spinoff companies in this respect we derive eight hypotheses that link attributes of resources and capabilities institutional financial commercial and human capital to university spinoff outcomes using panel data from 1980 to 2001 our econometric estimators reveal evidence of history dependence for successful technology transfer to occur although faculty quality size and orientation of science and engineering funding and commercial capability were also found to be predictors of university spinoff activity we conclude by drawing implications for policy makers and university heads