the nature of diversified business groups a research design and two case studies diversified business groups dominate the private sectors of most of the world s economies several of these economies have undergone sudden policy changes that significantly increase domestic competitive intensity the authors demonstrate how the changes in corporate scope that accompany such competitive shocks can be used to weigh the importance of different explanations for the existence of diversified business groups the authors illustrate their reasoning by studying the restructuring of two of india s largest business groups following a comprehensive post 1991 package of policy reforms the case studies also elucidate aspects of the restructuring process that should inform larger sample empirical analyses copyright 1998 by blackwell publishing ltd

towards an attention based view of the firm the central argument is that firm behavior is the result of how firms channel and distribute the attention of their decision makers what decision makers do depends on what issues and answers they focus their attention on what issues and answers they focus on depends on the specific situation and on how the firm s rules resources and relationships distribute various issues answers and decision makers into specific communications and procedures the paper develops these theoretical principles into a model of firm behavior and presents its implications for explaining firm behavior and adaptation 1997 by john wiley sons ltd

two faces effects of business groups on innovation in emerging economies this paper shows that business groups in emerging economies exert dual effects on innovation while groups facilitate innovation by providing institutional infrastructure groups also discourage innovation by creating entry barriers for nongroup firms and thereby inhibit the proliferation of new ideas this pattern reflects an evolutionary process in which the interplay of the availability of innovation infrastructure and variety of ideas influences the level of innovation in an industry we show that group market share has an inverted u impact on innovation in industrial sectors of both korea and taiwan during the 1981 1995 period institutional differences between korea and taiwan in terms of market structure and industrial policies lead to different innovation thresholds the point at which the marginal costs of increasing group share begin to dominate the marginal benefits in the two countries

business group affiliation and firm search behavior in india responsiveness and focus of attention this paper investigates the effects of organizational form on problemistic search we contrast how indian firms affiliated with business groups and unaffiliated firms evaluate performance and react by adjusting their internal technology search and external market search we propose that compared with unaffiliated firms business group affiliated bg affiliated firms are more externally oriented in setting aspiration levels and more likely to respond to low performance in the market domain we find support for an external orientation of bg affiliated firms and find that group affiliation determines the responsiveness to performance feedback in different search domains the findings suggest a need to add considerations of organizational form and governance to the theory of organizational search

international search behavior of business group affiliated firms scope of institutional changes and intragroup heterogeneity this paper investigates whether and when affiliation to business groups enables or constrains firms international search behavior during institutional transitions we theorize that given the unique structure and complex form of business group organizations the search behavior of affiliated firms is influenced by the degree of misalignment in outlook at the group and affiliate levels of management we identify the scope of institutional changes business group attributes and affiliate characteristics as sources of such misalignment the results from panel data on 298 firms from the indian pharmaceutical industry for the 1992 2007 period show that the constraining effects of business group affiliation are observed only when institutional changes are specific to the affiliates industry and not when broad institutional changes affect the business group as a whole moreover we observe heterogeneity in the search behavior of group affiliated firms first the degree of misalignment is greater in the case of affiliates belonging to older business groups and those that are more distant in terms of age and industry since the group s founding second by contrast and suggesting an alignment in outlook we find that affiliated firms that occupy a prominent position within a group or industry are able to bargain for and receive attention and support from the business group to undertake international search our findings have implications for research on the role of business groups in a changing institutional context and for the strategic adaptation of firms embedded in complex organizational and institutional settings

an analysis of bank risk and deposit rate ceilings abstract the effect of deposit rate regulation on bank solvency is an important and unresolved issue that has received only limited attention in this paper capital market data is used to assess changes in both systematic and non systematic risk of a portfolio of bank stocks at the time of deposit rate deregulation the evidence indicates that neither measure of capital market risk is significantly affected leading to the conclusion that bank solvency risk will not be increased by the deregulation of interest rates on deposits

interest rate risk and the pricing of depository financial intermediary common stock empirical evidence abstract using the likelihood ratio test this paper presents evidence that interest rate risk is priced these results are consistent with earlier findings presented by sweeney and warga based on a different sample and methodology the statistical results further reveal that failure to discern significant interest rate premia is attributable to insufficient rate sensitivity rather than being an outcome of monetary policy i e inadequate rate volatility

stock returns and volatility a firm level analysis abstract it has been previously documented that individual firms stock return volatility rises after stock prices fall this paper finds that this statistical relation is largely due to a positive contemporaneous relation between firm stock returns and firm stock return volatility this positive relation is strongest for both small firms and firms with little financial leverage at the aggregate level the sign of this contemporaneous relation is reversed the reasons for the difference between the aggregate and firm level relations are explored

the wealth effects of deregulation of canadian financial institutions abstract canada like other industrial countries recently introduced various financial reforms to remove the barriers separating the operations and ownership of banks from non bank financial institutions this study analyzes the wealth effects of the reforms on the banks and non bank financial institutions and the changes in their systematic risk resulting from financial deregulation over the period 1984 to 1991 the results indicate that while there was a significant cumulative gain for the insurance industry unlike a number of u s studies there was no evidence of wealth transfer among the institutions during the period of deregulation of the canadian financial system additional tests indicate that although the regulatory changes did not have a significant effect on the risk of the banks the systematic risk of the non bank financial institutions increased significantly during the period of regulatory reforms

multivariate tests of the zero beta capm abstract a cross sectional regression test csrt of the capm is developed and its connection to the hotelling t2 test of multivariate statistical analysis is explored algebraic relations between the csrt the likehood ratio test and the langrange multiplier test are derived and a useful small sample bound on the distribution function of the csrt is obtained an application of the csrt suggests that the crsp equally weighted index is inefficient but that the inefficiency is not explained by a firm size effect from february to december

unexpected inflation and bank stock returns the case of france 1977 1991 abstract this paper evaluates the impact of unexpected inflation on the stock returns of a sample of french banks it offers an empirical test of theories that have predicted an impact of inflation on the stock returns of banks the paper complements a large literature that has focused exclusively on the impact of unexpected interest rates the analysis provides empirical support to the hypothesis that in periods of volatile inflation there exists an inflation risk factor which is independent of the well documented interest rate factor

state capitalism and performance persistence of business group affiliated firms a comparative study of china and india business groups emerged in developing economies through direct or indirect support from the state in order to overcome a variety of institutional voids and or to further state objectives of economic growth however the efficacy of this organizational form and its associated governance structures have been debated given the dual possibility of business groups to allocate resources among its affiliates for cross subsidization or winner picking we argue that elements of the institutional environment comprising of the state s approach to organizations and the political context of these interactions vary across countries thereby influencing business groups resource allocation strategies and affecting the persistence of affiliated firms superior performance contrasting the types of state capitalism in china and india we develop and test our hypotheses we find that the effect of business group affiliation on firms superior performance persistence is stronger in a state led system of state capitalism e g china than in a co governed system e g india and that this divergence of the business group effect is weakened as affiliated firms internationalize our findings have implications for understanding business groups across institutional contexts and the influence of diversity in the types of state capitalism on organizational strategies

exchange rate volatility and u s monetary policy an arch application this paper examines the effect of shifts in u s monetary policy regimes on the stochastic process that generates foreign exchange rates to account for the observed behavior of the data record the author models nominal dollar exchange rates as univariate autoregressive conditional heteroskedastic processes he then tests the stability of this process across u s monetary policy regimes for four of the currencies in the sample accounting for regime shifts improves the fit of the model regime shifts also appear to diminish the degree of persistence of variance making it less likely that exchange rates are integrated in variance copyright 1989 by ohio state university press

conditional heteroscedasticity in time series of stock returns evidence and forecasts this article presents new evidence about the time series behavior of stock prices daily return series exhibit significant levels of second order dependence and they cannot be modeled as linear white noise processes a reasonable return generating process is empirically shown to be a first order autoregressive process with conditionally heteroskedastic innovations in particular generalized autoregressive conditional heteroskedastic garch 1 1 processes fit to data very satisfactorily various out of sample forecasts of monthly return variances are generated and compared statistically forecasts based on the garch model are found to be superior copyright 1989 by the university of chicago

investigating the influence of tourism on economic growth and carbon emissions evidence from panel analysis of the european union the study investigates the influence of tourism on economic growth and co2 emissions in the empirical analysis unit root and cointegration tests using panel data of european union countries from 1988 to 2009 are performed to examine the long run equilibrium relationship among tourism co2 emissions economic growth and foreign direct investment fdi results from panel cointegration techniques and fixed effects models indicate that a long run equilibrium relationship exists among these variables furthermore tourism co2 emissions and fdi have high significant positive effect on economic growth economic growth in turn shows a high significant positive impact on co2 emissions while tourism and fdi incur a high significant negative impact on co2 emissions

treasury bill factors and common stock returns capital asset pricing theory gives a linear ex ante relationship between a security s return and one special portfolio return the return on all assets this linear equation is called the capital asset pricing model capital asset pricing theory alone provides no empirical hypotheses because it is derived and defined wholly with expectations tests of empirical hypotheses with historical data require an additional proposition that relates ex ante and ex post returns a model for this second proposition is called a return generating equation arbitrage pricing theory gives a more compact method for deriving a linear ex ante security return model in the arbitrage theory developed by ross 6 the return generating equation is the basis for the ex ante return relationship briefly an approximate linear expected return equation is derived directly from the return generating equation so two separate models are not required in addition the ex ante return equation is defined in terms of an arbitrary number of special factor portfolio returns rather than a single market portfolio return in this sense arbitrage pricing theory has richer implications and a simpler structure than capital asset pricing arbitrage pricing theory starts with a linear return generating equation for each security

off season tourists and the cultural offer of a mass tourism destination the case of rimini abstract this paper assesses the potential implications on off season tourism of enhancing the cultural offer of rimini a popular italian seaside holiday destination hosting about 12 million overnight stays per year since more than 9 million of these stays are concentrated in the summer season in the last 20 years rimini has been undergoing a policy of seasonality smoothing which mainly pivots around business and cultural tourism this assessment has been carried out through discrete choice experiments submitted to a sample of about 800 tourists who visited rimini outside the summer months since tourism can be viewed as a composite good which overall utility depends on how the component characteristics are arranged the choice experiments allow to disentangle the importance and the willingness to pay of tourists for different attributes of the holiday the choice model incorporates a number of possible changes to actual tourism features which are also the subject of public debate including them in hypothetical alternative holiday packages the conditional logit analysis of the choice experiments can highlight any synergy or trade off between cultural and business tourism results suggest that business and leisure tourists share many features related to the use of the territory while there are important trade offs between these two groups and cultural tourists since business tourists have a higher willingness to extend their stay a softer budget and their demand is also complementary to the demand of summer tourists brau scorcu vici 2009 from the destination point of view investing in this market segment would be the best option although a second best however cultural tourists share with the local population of rimini many aspects of the demand of territory figini castellani vici 2009 hence cultural tourism can play a fundamental role in the intermediate season as a tool for smoothing seasonality to diversify investments and to give value to the city s cultural heritage

the sources of garch empirical evidence from an intraday returns model incorporating systematic and unique risks abstract garch models propose that volatility is time varying and persistent as a parsimonious statistical description of the process driving returns in many financial markets these models have been very successful however garch lacks a substantiated economic motivation this paper provides new and more definitive evidence on the mixture of distributions hypothesis a prominent potential economic explanation the mixture hypothesis posits that autocorrelation in the time varying rate of information arrival leads to the volatility dependencies captured by garch models previous investigations of this hypothesis have been inconclusive this paper makes use of a more theoretically appealing risk specification more appropriate measures of the rate of information arrival and higher frequency data from the currency futures market the results show that the mixture hypothesis explains substantial portions of contracts unique risks but systematic garch remains

risk return and equilibrium a revisit this paper reports the results of tests of the major implications of the two parameter capital asset pricing model the findings indicate that the relationship between stock returns and systematic risk contains important nonlinearities during 1935 82 these nonlinearities cannot be ascribed to previously documented anomalies related to firm size or january seasonality moreover the test results appear to be sensitive to the choice of the proxy for the market portfolio

banking sector development and interest rate volatility in emerging economies over the last decades macroeconomic stability is said to be one of the major concerns of emerging economies financial sector as a core of macroeconomic stability has been under close consideration of policy makers the relationship between interest rate uncertainty and banking sector development as one of the most important indicators of financial sector development especially for emerging economies has not received enough attention in the literature perhaps this article is the most comprehensive study that investigates the relationship between interest rate uncertainty and banking sector development for a large group of emerging economies to do this the short run and long run models using a bounds testing approach to cointegration for 12 emerging economies over the period 1980 2011 have been developed estimated results from all models indicate that interest rate uncertainty has significant effect on banking sector development in both short run and long run phenomena in the majority of countries

sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate a garch m model abstract the objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean garch m methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process this framework discards the restrictive assumptions of linearity independence and constant conditional variance in modeling bank stock returns the model presented here allows for shifts in the volatility equation in response to the changes in monetary policy regime in 1979 and 1982 to be estimated arch garch and volatility feed back effects are found to be significant interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank stock returns distribution respectively the latter also affects the risk premia indirectly the degree of persistence in shocks is substantial for all the three bank portfolios and sensitive to the nature of the bank portfolio and the prevailing monetary policy regime

a two factor arch model for deposit institution stock returns this paper specifies a two factor model for a sample of deposit institutions the factors are the market return and an interest rate factor the two factor model is specified with autoregressive conditional heteroskedacity arch modeling strategy and is estimated by generalized method of moments gmm the market and interest rate risks are measured by their time varying betas the results suggest that the market risks have been volatile over the sample period 1977 87 and they increased and became more volatile after 1982 the interest rate risks were more stable and they did not respond to the fed s regime change in monetary policy in 1979 and 1982 specification tests suggest the usefulness of my two factor arch model in the study of deposit institution stock returns copyright 1994 by ohio state university press

commodity betas with mean reverting output prices abstract this paper provides a theoretical derivation of commodity beta stock price sensitivity to commodity price using a contingent claim model the model incorporates operating leverage financial leverage costly financial distress and mean reverting commodity prices and highlights the important role played by the speed of reversion of the commodity price it is used to identify theoretically the main determinants of commodity beta commodity beta is predicted to be an increasing function of the operating and financial leverage of the firm and a decreasing function of the company s tax rate and the level volatility and speed of reversion of the commodity price empirical tests with a sample of gold mining firms provide support for these predictions particularly the new implications of the model the effect of the commodity price s speed of reversion and the company s tax rate

partitioning seasonal employment in the hospitality industry abstract adjustment of labor to variation in demand is known to be a major tool in hotel productivity management the pace and timing of hotel labor adjustment depends presumably on the characteristics of the hotel internal labor force as well as prevailing conditions in the external labor markets the actual adjustment process depends however on past experience of hotel operators and on their expectations with respect to future occupancy rates this paper analyzes longitudinal employment adjustment trends in eight tourist centers in israel five variables are employed in order to account for monthly variation in hotel employment these are measures of foreign and domestic demand rates of bed occupancy and indices of the expected monthly fluctuation and long term trend most results confirm the hypothesized relationships with r2 ranging from 0 47 to 0 95 only the effect of the occupancy rate was found to be inversely related to the level of monthly hotel employment the results suggest that while hotel operators are accustomed to hiring and firing employees according to the rhythm of regular seasonal fluctuations they are less prepared unwilling or unable to fully synchronize labor to demand major differences appear to exist among the eight local tourist centers in the way hotel operators adjust internal employment to their respective external labor markets

what s different about banks abstract negotiable certificates of deposit cd s trade in the capital market in competition with other securities like commercial paper and bankers acceptances if cd s must pay lenders competitive monetary interest the reserve tax on cd s is borne by bank borrowers viability of the tax means there must be something special about bank loans that makes some borrowers willing to pay higher interest rates than those on other securities of equivalent risk moreover there must be something special about banks that prevents other intermediaries from competing to assure that it never pays to finance loans with cd s

organizational inertia and momentum a dynamic model of strategic change this study provides an empirical test of hannan and freeman s theory of structural inertia we examined the changes organizations undertook in response to a major environmental change in addition

the embeddedness of networks institutions structural holes and innovativeness in the fuel cell industry plentiful research suggests that embeddedness in alliance networks influences firms innovativeness this research however has mostly overlooked the fact that interorganizational ties are themselves embedded within larger institutional contexts that can shape the effects of networks on organizational outcomes we address this gap in the literature by arguing that national institutions affect the extent to which specific network positions such as brokerage influence innovation we explore this idea in the context of corporatism which fosters an institutional logic of collaboration that influences the broker s ability to manage its partnerships and recombine the knowledge residing in its network as well as the extent of knowledge flows among network participants we argue that differences in institutional logics lead brokerage positions to exert different effects on firm innovativeness we propose that the firm spanning structural holes obtains the greatest innovation benefits when the firm the broker or its alliance partners are based in highly corporatist countries or under certain combinations of broker and partner corporatism we find support for these ideas through a longitudinal study of cross border fuel cell technology alliance networks involving 109 firms from nine countries between 1981 and 2001

tourism development and economic growth a closer look at panels abstract this paper applies the new heterogeneous panel cointegration technique to re investigate the long run comovements and causal relationships between tourism development and economic growth for oecd and nonoecd countries including those in asia latin america and sub sahara africa for the 1990 2002 period on the global scale after allowing for the heterogeneous country effect a cointegrated relationship between gdp and tourism development is substantiated it is also determined that tourism development has a greater impact on gdp in nonoecd countries than in oecd countries and when the variable is tourism receipts the greatest impact is in sub sahara african countries additionally the real effective exchange rate has significant effects on economic growth finally in the long run the panel causality test shows unidirectional causality relationships from tourism development to economic growth in oecd countries bidirectional relationships in nonoecd countries but only weak relationships in asia our empirical findings have major policy implications

volatility persistence and stock valuations some empirical evidence using garch summary in this paper issues of volatility persistence and the changing risk premium in the stock market are investigated using the garch estimation technique we get a point estimate of the index of relative risk aversion of 4 5 and confirm the existence of changing equity premiums in the us during 1962 1985 the persistence of shocks to the stock return volatility is so high that the data cannot reject a non stationary volatility process specification the results of this paper are consistent with malkiel and pindyck s hypothesis that it is the unforseen rise ini the investment uncertainty during 1974 that causes the market to plunge

testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity summary we examine the form of heteroscedasticity in deutsche mark futures price data and compare different specifications of the particular way that the variance is changing over time the martingale hypothesis is tested with daily and weekly rates of change of futures prices for the deutsche mark and some evidence is found against this hypothesis in analyses of daily data from 1981 to 1985 this rejection of the martingale hypothesis may be attributed to trading day effects in foreign currency prices and the resulting day of the week patterns in futures prices when the martingale hypothesis is tested with weekly data the null hypothesis is retained

does the exchange rate follow a random walk a monte carlo study of four tests for a random walk abstract several authors have urged that real and nominal exchange rates follow a random walk conditions under which the exchange rate follows a random walk are reviewed in this paper many of these do not appear to hold therefore the empirical evidence presents a puzzle some evidence suggets the exchange rate follows a random walk while other evidence suggests the opposite should be true this paper attempts to reconcile the evidence it is argued that the tests for a random walk have low power monte carlo evidence on four tests for a random walk is presented that suppors this claim

thrift stock returns and portfolio interest rate sensitivity abstract in practice the interest rate sensitivity of depository institution di net worth is measured in terms of maturity mismatches arising from nominal contracts in their financial portfolios academic studies also frequently invoke nominal contracting to explain a positive covariation observed between di stock returns and bond returns for a sample of thrifts reporting detailed financial data 1984 1992 this study estimates monthly changes in their financial portfolio values due to changes in interest rates these portfolio value changes are found to be unimportant in explaining the thrifts stock returns and are unable to account for a positive covariation between the stock returns and bond market returns potential weaknesses in the tests seem inadequate to explain the results explanations other than nominal contracting may warrant more consideration in relating dis net worth to interest rate changes

conditional risk and return in asian emerging markets evidence from the banking sector previous studies reach no consensus on the relationship between risk and return using data from one market this study argues that the market factor should be noticed in assessing the risk return relationship in a partially integrated emerging market the analysis aims to provide new insight into the nature of the risk return relationship by a conditional factor garch m framework that controls for time series effects to investigate the banking sector in five asian emerging markets of china hong kong indonesia malaysia and taiwan during the period 1995 to 2004 finally the study provides evidence on these relations before and after the asian financial crisis of 1997 the results are generally consistent across the markets and with expectations and have implications for empirical assessments of the risk return relationship and diversification

seasonal concentration of the hotel demand in costa del sol a decomposition by nationalities abstract costa del sol is a mature mediterranean destination in the south of spain with a degree of seasonality that has shown little variation during the last 20 years in this paper we apply the decomposition of the gini index of seasonal concentration by nationalities the main outcome of this decomposition is the estimation of relative contributions to the overall seasonal concentration and marginal effects by nationalities these measures can be of great help in the design of counter seasonal policies our results suggest that planners interested in reducing seasonality may concentrate their efforts in consolidating markets with negative marginal effect over the index of concentration like the british and nordic ones in addition marketing targets may be focused primarily in the winter season for the markets with positive relative marginal effect

international expansion of emerging market enterprises a springboard perspective in this article we present a springboard perspective to describe the internationalization of emerging market multinational corporations em mnes em mnes use international expansion as a springboard to acquire strategic resources and reduce their institutional and market constraints at home in so doing they overcome their latecomer disadvantage in the global stage via a series of aggressive risk taking measures by aggressively acquiring or buying critical assets from mature mnes to compensate for their competitive weaknesses we discuss unique traits that characterize the international expansion of em mnes and the unique motivations that steer them toward internationalization we further delineate peculiar strategies and activities undertaken by these firms in pursuit of international expansion as well as internal and external forces that might compel or facilitate their propulsion into the global scene we finally explain the risks and remedies associated with this international springboarding strategy and highlight major issues meriting further investigation

the robustness of risk return nonlinearities to the normality assumption in a recent study tinic and west 1986 empirically reexamine the risk return relationship posited by the traditional mean variance capm they find a positive nonlinear relationship between risk and return except during january when the market rewards bearing nonsystematic risk this study examines the hypothesis that nonnormality of re turn distributions may account for some of these anomalous results we compare shalit and yitzhaki s 1984 mean extended gini capm an equilibrium asset pricing relation that is independent of the form of the underlying asset distribution with the traditional capm our results indicate that the nonlinear risk return relationship and the size and january effects are robust to nonnormality of return distributions

affiliated firms and financial support evidence from indian business groups abstract we investigate the functioning of internal capital markets in indian business groups we document that intragroup loans are an important means of transferring cash across group firms and are typically used to support financially weaker firms evidence suggests that an important reason for providing support may be to avoid default by a group firm and consequent negative spillovers to the rest of the group consistent with such spillovers the first bankruptcy in a group is followed by significant drops in external financing investments and profits of other firms in the group and an increase in their bankruptcy probability

coase revisited business groups in the modern economy ronald coase s celebrated query as to why economic actors typically aggregate into entities called firms rather than transacting as individuals in a market has engendered a vigorous stream of research this paper asks a parallel question why is it that in all modern economies firms themselves aggregate into larger entities often more stable than any literature predicts which are here referred to as business groups after establishing some working definitions and discussing the curious conjunction of empirical importance and analytical invisibility of business groups an attempt is made to establish the most significant dimensions along which such groups vary we end with some speculations on the role of these groups in economic development copyright 1995 by oxford university press

the siable law model of stock returns this study investigates the tail shapes of empirical distributions of returns on an extensive group of common stocks the tails of the return distributions are found to be thinner than those of infinite variance stable distributions therefore although homogeneity is evident in general economic and statistical inferences drawn from stable law parameters estimated from samples of stock returns may be misleading this is in spite of the apparent overall similarity in shape between empirical and stable distributions

economic reforms in india since 1991 has gradualism worked opinions on the causes of india s growth deceleration vary world economic growth was slower in the second half of the 1990s and that would have had some dampening effect but india s dependence on the world economy is not large enough for this to account for the slowdown critics of liberalization have blamed the slowdown on the effect of trade policy reforms on domestic industry however the opposite view is that the slowdown is due not to the effects of reforms but rather to the failure to implement the reforms effectively this in turn is often attributed to india s gradualist approach to reform which has meant a frustratingly slow pace of implementation however even a gradualist pace should be able to achieve significant policy changes over ten years this paper examines india s experience with gradualist reforms from this perspective

how foreign participation and market concentration impact bank spreads evidence from latin america increasing foreign participation and high concentration levels characterize the recent evolution of banking sectors market structures in developing countries the authors analyze the impact of these factors on latin american bank spreads during the late 1990s their results suggest that foreign banks were able to charge lower spreads relative to domestic banks this was more so for de novo foreign banks than for those that entered through acquisitions the overall level of foreign bank participation seemed to influence spreads indirectly primarily through its effect on administrative costs bank concentration was positively and directly related to both higher spreads and costs

bigger may be better but is older wiser organizational age and size in the new york life insurance industry the author explores the effects of organizational size and age on failure rates among new york life insurance companies between 1813 and 1985 theorists tend to agree that organizational growth and aging processes increase organizational inertia but they disagree on the effect of that inertia on failure rates he finds that organizational size affects failure rates nonmonotonically but over the actual range of sizes large size almost always lowers failure rates he also finds a strong liability of aging this runs counter to ecological theories of liabilities of newness and adolescence an empirical test of the relative effects of age during periods of environmental turbulence and calm indicates that organizational inertia is especially problematic during turbulent times this suggests that the liability of aging occurs more through obsolescence than senescence at least in the population of insurance companies he investigate

spatial wage disparities sorting matters spatial wage disparities can result from spatial differences in the skill composition of the workforce in non human endowments and in local interactions to distinguish between these explanations we estimate a model of wage determination across local labour markets using a very large panel of french workers we control for worker characteristics worker fixed effects industry fixed effects and the characteristics of the local labour market our findings suggest that individual skills account for a large fraction of existing spatial wage disparities with strong evidence of spatial sorting by skills interaction effects are mostly driven by the local density of employment not controlling for worker heterogeneity leads to very biased estimates of interaction effects endowments only appear to play a small role

risk return and equilibrium an extension this study extends a recent empirical reexamination of the risk ret urn relationship by examining the possibility that an omitted size re lationship may account for the anomalous results h levy s generaliz ed capital asset pricing model provides the theoretical basis for incorporating the impact of firm size on expected return by examining the relative importance of unsystematic risk in pricing closely held securities compared to pricing widely held securities in so doing the empirical analysis also provides a test of an implication of the generalized capital asset pricing model two methodologies are used t o test the hypotheses empirically the results indicate that even thou gh size has a significant impact on the risk return relationship it apparently does not account for the anomalous results this implicati on is consistent under both methodologies copyright 1988 by the university of chicago

estimating the performance effects of business groups in emerging markets business groups confederations of legally independent firms are ubiquitous in emerging economies yet very little is known about their effects on the performance of affiliated firms we conceive of business groups as responses to market failures and high transaction costs in doing so we develop hypotheses about the effects of group affiliation on firm profitability affiliation could either boost or depress firm profitability and members of a group are likely to earn rates of return similar to other members of the same group using a unique data set compiled largely from local sources we test for these effects in 14 emerging markets argentina brazil chile india indonesia israel mexico peru the philippines south africa south korea taiwan thailand and turkey we find evidence that business groups indeed affect the broad patterns of economic performance in 12 of the markets we examine group affiliation appears to have as profound an effect on profitability as does industry membership yet strategy scholars have a much clearer grasp of industries than of groups moreover membership in a group raises the profitability of the average group member in several of the markets we examine this runs contrary to the wisdom conventional in advanced economies that unrelated diversification depresses profitability overall our findings suggest that the roots of sustained differences in profitability may vary across institutional contexts conclusions drawn in one context may well not apply to another copyright 2001 john wiley sons ltd

a conditional variance model for daily deviations of an exchange rate a model for the distribution of daily deviations of an exchange rate is suggested the distribution is gaussian with a variance that depends on previous deviations the model is applied to the exchange rate of the u s dollar to special drawing rights

interest rate uncertainty and the financial intermediary s choice of exposure the financial intermediary s choice of operating as a broker with minimal risk exposure or as an asset transformer with interest rate risk is modeled as a funds inventory decision made prior to the resolution of uncertainty regarding the borrowing or lending interest rates it is shown that an increase in the interest rate uncertainty leads the intermediary to reduce its exposure thereby offering decreased asset transformation and more brokerage services however a stochastic increase in the interest rates leads to greater asset transformation and less brokerage services the high and volatile nominal interest rates associated with contemporary inflation have prompted a pronounced change in commercial bank balance sheets low cost deposits have been replaced by alternative funding vehicles bearing high and increasingly variable interest rates see budzeika 3 4 kane 9 and silber 13 in an apparent adaptive response to the loss of deposits banks have eschewed fixed rate loans in favor of variable rate lending thereby more closely matching the durations of their assets and liabilities see flannery 6 and boltz and campbell 2 this change in bank lending practices has been popularly interpreted as an effort to immunize cash flows in the face of increased interest rate uncertainty see haley 8 and wojnilower 15 however apart from niehans and hewson 11 the adaptive recomposition of bank balance sheets has not been formally addressed in this paper we provide a model of balance sheet duration mismatching and then show that an increase in interest rate volatility is likely to lead an intermediary to choose a balance sheet that is more closely matched 1 balance sheet mismatching can be understood in terms of the two basic functions of financial intermediaries as explained by niehans 10 brokerage and asset transformation if a financial intermediary precisely matches the properties of its assets and liabilities and thereby maintains a perfectly hedged position it functions exclusively as a broker joining borrowers and lenders without assuming any risk the broker s function is then simply to reduce the search costs associated with joining complementary transactors the brokerage function is deshmukh is professor of managerial economics and decision sciences greenbaum is harold l stuart professor of banking and finance and kanatas is assistant professor of finance all at northwestern university s j l kellogg graduate school of management we gratefully acknowledge the helpful suggestions of michael brennan and an anonymous referee this project was supported by the banking research center and the kellogg center for advanced study in managerial economics and decision sciences

costs of adjustment portfolio separation and the dynamic behavior of bank loans and deposits this paper develops a model of the banking firm and tests for the presence of portfolio separation the theoretical model generalizes existing intertemporal adjustment costs models by assuming that these costs coexist simultaneously on both sides of the bank s balance sheet our analysis predicts that bank loan demand and deposit supply respond to past current and expected fixture values of the federal funds rate deposit rate and loan rate we estimate the model and find that the restrictions imposed by the portfolio separation assumption are inconsistent with the estimated behavior of the banking firms in our sample we also find some limited empirical support for our extended model of the adjustment cost process copyright 1995 by ohio state university press

visitor attractions and events responding to seasonality seasonality is a protracted problem for the tourism sector due to the uneven nature of demand and the relatively fixed nature of the supply of capacity and resources particularly in the attraction sector managing the demand and supply at an individual business level poses many challenges for attraction infrastructure that is fixed in time and space and has a finite capacity this paper explores how attraction managers develop and use special events as a tool to address issues of seasonality at a country level the results show that 70 of businesses remained open throughout the year albeit with reduced opening hours to attract more visitors 39 of attractions that stay open host special events the local community is a key source market for special events the periodicity of events and themes engage visitors most effectively business responses to seasonality are a more complex issue than conventional tourism research has recognised

banks exposure to interest rate risk their earnings from term transformation and the dynamics of the term structure abstract we use a unique dataset of german banks exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation the systematic factor for the exposure to interest rate risk moves in sync with the shape of the term structure at bank level however the time variation of the exposure is largely determined by idiosyncratic effects over time changes in earnings from term transformation have a large impact on interest income across banks however the earnings from term transformation do not seem to be a decisive factor for the interest margin

the pricing of interest rate risk evidence from the stock market this paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest rate changes a two factor apt model with the market and changes in the yield on long term government bonds as factors is employed the paper shows that empirically most of the interest sensitive stocks are in the utility industries and that there is reasonable evidence that the interest factor is priced in the sense of the apt several sources for the interest sensitivity are considered and regulatory lags are focused on as a likely candidate some firms exhibit ex post sensitivity in their stock returns to unanticipated changes in interest rates are these firms required to pay investors ex ante for bearing this risk of interest rate changes the framework for examining pricing of unanticipated interest rate changes is a two factor apt model with the market and changes in the yield on long term government bonds as factors the issue is whether the interest rate change premium is significant to study this the paper uses full information maximum likelihood fiml estimation on groups of twenty five individual firms with both cross equation constraints and withinequation nonlinear constraints on the parameters as mandated by the apt model whether the risk of unanticipated changes in interest rates is priced in the market is of particular interest with regard to regulated firms regulated firms especially electric utilities turn out to comprise the big majority of firms that are sensitive to unanticipated interest rate changes after some preliminary investigation the analysis focuses on electric utilities much empirical work on the apt relies on factor analysis e g roll and ross 30 bower bower and logue 5 use factor analysis in comparing the apt and the capm to explain utilities returns the present paper however uses observable variables at the macro level chan chen and hsieh cch 7 and chen roll and ross crr 8 also examine apt models with specific macroeconomic factors cch and crr use a traditional fama macbeth type of cross sectional estimation approach in the premia calculations rather than a fiml approach gibbons and stambaugh have applied fiml techniques to models using only the market as an explanatory variable gibbons 20 used a noniterative algorithm on portfolios of firms equivalent to a two step cross sectional approach stam

risk inflation and the stock market most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation this paper considers an alternative explanation a substantial increase in the riskiness of capital investments we show that the variance of firms real gross marginal return on capital has increased significantly increasing the relative riskiness of investors returns on equity and that this can explain a large part of the market decline we also assess the effects of increase in the mean and variance of the inflation rate and a decline in firms expected return on capital this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

is knowledge power knowledge flows subsidiary power and rent seeking within mncs in recent years as multinational corporation mnc subsidiaries have become more closely linked to international networks their knowledge intensity has risen and some of their r d has gained a more creative role simultaneously and often connectedly many subsidiaries have acquired considerable strategic independence in all aspects of their operations and therefore are able to exercise considerable intra firm bargaining power to influence the distribution of the firm s resources in this context we suggest that intra mnc knowledge flows are a key determinant of subsidiary bargaining power we argue that subsidiary managers can exploit such power to pursue their own ends such rent seeking behavior is implicit in much of the literature on managerialism but our analysis suggests that such behavior can now occur in headquarters subsidiary and subsidiary subsidiary relations thus subsidiary strategic independence designed to enhance the competitiveness of outputs market knowledge and inputs asset seeking and learning can be corroded when the pursuit of subsidiary objectives encourages rent seeking empirical analysis of a sample of high technology subsidiaries in the uk provides strong support for the theory we examine several avenues whereby the incentives of units within the mnc can be aligned

third world copycats to emerging multinationals institutional changes and organizational transformation in the indian pharmaceutical industry this article investigates how indian pharmaceutical firms facing discontinuous institutional changes in their domestic environment due to economic liberalization and intellectual property reforms have undertaken organizational transformation internationalization of resources and product markets constitutes an important component of organizational transformation for local firms in emerging economies using longitudinal data on 206 indian pharmaceutical firms from 1995 2004 we find that firms access to international technological and financial resources enables product market internationalization furthermore we theorize and find support for our predictions that the association between international resources and markets is conditioned by time and business group affiliation and product market internationalization affects financial performance several implications thus emerge for theory and practice associated with the sources of competitiveness in emerging economy firms and their transformation into globally competitive multinational firms

balancing subsidiary influence in the federative mnc a business network view the contest for intra organisational power in the multinational corporation mnc has gradually become a prominent issue on the research agenda as long as 25 years ago hedlund 1980 investigated the strategic roles of subsidiaries in mncs and doz and prahalad 1981 raised the issue of how difficult it is for headquarters to remain in control of its subsidiaries and to influence their strategies over time since then several researchers have suggested that mncs can be considered to be dispersed structures of power in which the top management s authority does not necessarily result in hierarchical power being the ultimate control mechanism hedlund 1986 forsgren 1989 ghoshal and bartlett 1990 doz and prahalad 1993 ferner and edwards 1995 kristensen and zeitlin 2001 morgan and whitley 2003 birkinshaw and hood 1998 examined the evolution of capabilities at the subsidiary level and recognised that in most corporations there is an internal competition for charter that implies a process of change in subsidiary roles birkinshaw and hood 1998 782 case research has also indicated that changes in the charters of divisions or subsidiaries in mncs constitute a strong feature of horizontal or vertical competition in the corporate marketplace galunic and eisenhardt 1996 birkinshaw and fry 1998 the tension between the headquarters and overseas laboratories caused by the laboratories desire for autonomy and influence is an example of such a competition asaka wa 2001

citicorp travelers group merger challenging barriers between banking and insurance abstract the citicorp travelers group merger increased the prospects for new legislation to remove the barriers between banking and insurance resulting in a positive wealth effect for institutions most likely to gain from deregulation analysis of abnormal returns surrounding the merger show that life insurance companies and large banks excluding citicorp and travelers group have significant stock price increases while the returns of small banks health insurers and property casualty insurers are insignificantly different from 0 this analysis provides evidence that investors expect large banks and insurance companies to receive significant benefits from recent congressional legislation removing barriers to bancassurance

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

the persistence of volatility and stock market fluctuations this paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices it demonstrates that volatility is only weakly serially correlated implying that shocks to volatility do not persist these shocks can therefore have only a small impact on stockmarket prices since changes in volatility affect expected required rates of return for relatively short intervals these findings lead us to be skeptical of recent claims that the stock market s poor performance during the 1970 s can be explained by volatility induced increases in risk premia this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

using monthly returns to model conditional heteroscedasticity this empirical study examines the extent of non linearity in a multivariate model of monthly financial series to capture the conditional heteroscedasticity in the series both the garch 1 1 and garch 1 1 in mean models are employed the conditional errors are assumed to follow the normal and student t distributions the non linearity in the residuals of a standard ols regression are also assessed it is found that the ols residuals as well as conditional errors of the garch models exhibit strong non linearity under the student density the extent of non linearity in the garch conditional errors was generally similar to those of the standard ols the garch in mean regression generated the worse out of sample forecasts

intra industry effects of bank privatization a clinical analysis of the privatization of the commonwealth bank of australia abstract this paper provides a comprehensive analysis of the effects of the privatization of the commonwealth bank of australia cba on the bank s performance and that of the rival banks first we find that the major rival banks reacted negatively to the privatization announcements although the initial partial privatization and the final full privatization announcements elicited stronger stock market reaction from the rival banks second we find that the cba s long term stock market performance improved markedly as the proportion of government ownership decreased with the bank s cumulative abnormal returns being 50 more than those of its rivals three years after the bank had been fully privatized also the cba has not only been very efficient in reducing cost and improving its profitability in the post privatization period it has outperformed its rivals on almost all the operating performance measures and has become the most profitable bank in australia a particularly noteworthy finding is that the improvements in the cba s operating and stock market performance and the rival banks reaction to the partial and full privatization announcements were strongest after the bank had been fully privatized the implication of the results for governments contemplating privatization of state owned enterprises is that full privatization is necessary in order to achieve strong gains in efficiency profitability and stock market performance

uk tourism arrivals and departures seasonality persistence and time trends issues such as seasonality persistence and trends are examined in the series referring to the number of uk arrivals and departures using techniques based on fractional integration this methodolog

seasonality and regional productivity in the spanish accommodation sector abstract this study quantifies the impact of peak demand and seasonality on regional productivity in the spanish accommodation sector we then identify factors affecting seasonal fluctuations and their relative contributions to regional variations in seasonality the results show that demand for accommodation in the peak season mainly determines productivity thus improving a region s attractiveness as a tourist destination is most effective for tourism based regional development in addition reducing seasonal variations has a non negligible impact on productivity a decomposition analysis reveals that providing climate independent tourist attractions and attracting business travelers are effective in reducing seasonality

springboard internationalization by emerging market firms speed of first cross border acquisition according to the springboard perspective emerging market multinationals seek strategic assets aggressively from the outset in this paper we investigate the role of firms institutional embeddedness in terms of age and affiliation to business group on their aggressive internationalization pursuits an issue which has remained less explored in international business scholarship this study based on 8163 indian listed firms over 18 years identifies a trend that younger firms founded in the liberalized era post 1991 and unaffiliated firms are more likely to pursue aggressive internationalization by conducting their first cross border acquisition cba faster among affiliated firms younger ones are relatively faster in conducting their first cba furthermore the evidence signals a moderating impact of inter group heterogeneity in terms of group level assets and foreign investments on the relationship between firm age and aggressive internationalization

does shariah compliance make interest rate sensitivity of islamic equities lower an industry level analysis under different market states abstractthis paper examines the sensitivity of the dow jones islamic market index and its corresponding industry equity indices to changes in the level slope and curvature of the u s term structu

the sensitivity of bank stock returns to market interest and exchange rate risks abstract this paper presents and estimates a multifactor model of bank stock returns that incorporates market return interest rate and exchange rate risk factors a model of the optimizing behavior of an international banking firm is used to derive the sensitivity coefficients of the alternative factors regression equations are estimated that are based on either actual or unexpected values of the underlying factors with a post october 1979 time dummy variable and with a money center bank dummy variable standard results are obtained for the market and interest rate variables while new results are derived for the exchange rate variable the specific effects of the latter variable are found to be dependent on the time period of observation and the money center status of banks

business groups as information resource an investigation of business group affiliation in the indian software services industry although business groups benefit firms when markets fail does group affiliation continue to be an advantage for firms in deregulated globally competitive industries i argue that affiliation allows firms to tap into the knowledge and connections of sister affiliates this enables them to attract clients from more industries and foreign markets than can unaffiliated firms and to attain higher international sales using data from the indian software industry i find support for these hypotheses but only for 2000 02 when competition increased as a result of new deregulation these results suggest business groups continue to provide benefits to group affiliated firms including information on market opportunities and reputation signaling to clients abstract from author

estimates of the variance of u s inflation based upon the arch model it is generally agreed that the unpredictability of future inflation is a major component of the welfare loss associated with inflation perfectly predicted inflation might induce some costs through institutional rigidities governmental interference and transaction costs but in the long run these should be rather minimal as these institutions adopt various forms of indexing when inflation is unpredictable risk averse economic agents will incur a loss even if prices and quantities are perfectly flexible in all markets inflation is a measure of the relative price of goods today and goods tomorrow thus uncertainty in tomorrow s price impairs the efficiency of today s allocation decisions friedman in his nobel lecture 8 argues convincingly that higher variability of inflation would lead to decreased output ceteris paribus he then conjectures that higher rates of inflation are generally associated with higher variability of inflation and presumably greater uncertainty about future rates if this is true then higher rates of inflation would also be associated with low levels of output which implies a positively sloped phillips curve this paper uses a new statistical technique arch to estimate the conditional mean and variance of inflation from u s time series data the main finding is that the variance of inflation in the seventies was only slightly greater than in the sixties

interest risk sensitive deposit insurance premia stable ach estimates abstract the parameters of interest rate uncertainty are estimated by maximum likelihood for the period 1952 1982 and used to evaluate bank or thrift deposit insurance as a function of duration mismatching capital asset ratio and the recent history of interest rate forecasting errors homoskedasticity is overwhelmingly rejected in favor of adaptive conditional heteroskedasticity ach even after removing this heteroskedasticity normality gives much lower likelihood than paretian stable distributions with characteristic exponent in the range 1 614 to 1 714 the conditional deposit insurance values fluctuate by factors in excess of 300 for some duration gaps over the past three decades

the time variance relationship of security returns implications for the return generating stochastic process using a test statistic which specifically allows for parameter shifts over time we investigate the time variance relationship of security returns the null hypothesis of stationary and independent increments is rejected and the existence of a complex short term reversal phenomenon is reported

a comparison of the moderating effect of tourism reliance on the economic development for islands and other countries abstract tourism is usually one of the top industries in most countries especially islands however there is some question as to whether there is a negative potential impact if a country relies too much on tourism as a means of economic development to the detriment of other industries such as manufacturing and agriculture the purpose of this paper is to examine the moderating effect of tourism reliance on the relationship between tourism development and economic development for regular countries and island economies including small island developing states sids this study uses quantile regression on panel data from the wdi database from 1995 through 2014 for all of the countries that report tourism and economic data the findings demonstrate that tourism reliance does have a moderating effect on the relationship between tourism development and economic development for all countries but mainly at higher levels of economic development

heteroskedasticity in stock return data volume versus garch effects this paper provides empirical support for the notion that autoregressive conditional heterqskedasticity arch in daily stock return data reflects time dependence in the process generating information flow to the market daily trading volume used as a proxy for information arrival time is shown to have significant explanatory power regarding the variance of daily returns which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns furthermore arch effects tend to disappear when volume is included in the variance equation the autoregressive conditiqnal heteroskedasticity arch process of engle 1982 has been shown to provide a good fit for many financial return time series 1 arch imposes an autoregressive structure on conditional variance allqwing volatility shocks to persist over time this persistence captures the propensity of returns of like magnitude to clu ter in time and can explain the well documented nonnormality and nonstability of empirical asset return distributions see especially fama 1965 an appealing explanation for the presence of arch is based upon the hypothesis that daily returns are generated by a maiture of distributions in which the rate of daily information arrival is the stochastic mixing variable as suggested by diebold 1986 gallant hsieh and tauchen 1988 and stock 1987 1988 arch might capture the time series properties e g serial correlation of this mixing variable hqwever this linkage has not been broadly documented with the datia the objective of this study is to examine the validity of this explanation for daily stock returns the empirical strategy exploits the implication of the mixture model that the variance of daily price increments is heteroskedastic specifically positively related to the rate of daily information arrival using daily trading volume as a proxy for the mixing variable we show that for a sample of 20 common stocks arch effects vanish when volume is included as an explanatory variable in the conditional variance equation

the effects of a shift in monetary policy regime on the profitability and risk of commercial banks abstract this paper examines the effects of the fed s october 6th 1979 change in monetary policy regime on the profitability and risk of commercial banks using capital market data and an event study methodology it was found that bank stocks exhibited significant abnormal returns during the announcement week of the policy change when these abnormal returns were decomposed into a part related to unexpected interest rate changes and a part assumed to reflect increased rate variability the results were consistent with a negative relationship between bank returns and interest rate surprises as well as between bank returns and rate variability

diversifying away the risk of war and cross border political crisis this paper investigates the behavior of crude oil prices government bonds and stock market indices around outbreaks of severe international crises and wars using a constant mean return event study we show that these events are associated with positive and significant abnormal returns on oil and bonds which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises a formal safe haven analysis confirms this insight such price movements may reflect a reallocation of funds across asset classes in response to the events as well as shifts in the demand for oil due to precautionary speculative and military motives we also calculate the weights for optimal portfolios which could provide insurance against conflict risk

stock returns and volatility most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance of the asset price this paper uses garch in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation after estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak the results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns