bluuebunny/crossref_metadata_2025 huggingface dataset:
Re‐examining Cointegration, Unit Roots and Efficiency in Foreign Exchange Rates
Authors: Lajaunie John P. , Naka Atsuyuki
Published: March 2003

This paper examines the cointegrating relationships in seven foreign exchange rates for a sample period from 1974 to 1991 by utilizing Johansen's (1991) method. Three subperiods are also examined to confirm the intertemporal stability of the test results. In addition, subgroups of the seven exchange rates are analyzed to determine the consistency of the empirical results with respect to different dimensions in the system. We find that the test results are sensitive to the choice of test statistics, time trends, subperiods as well as subgroups. All results indicate either one or no cointegrating relationship exists. Further, we study time series properties of twenty one cross‐currency rates and the corresponding exchange rates in terms of a common currency. None of cross‐currency rates are stationary and hence the pairs of exchange rates are not cointegrated.
Optimal Bond Refunding: A Practical Approach
Authors: Sarkar Sudipto
Published: March 2003

Although there is substantial research on optimal bond refunding, an important real‐life feature is missing from the existing literature: imperfect adjustment or ‘stickiness’ of bond yields to short term interest rate changes. Our model takes this behavior into account, and also has the ability to handle mean reverting interest rates. The results indicate that the former has a significant effect on the optimal refunding policy (especially for longer maturities), but the latter does not. By incorporating these features, our model will hopefully offer a fairly complete and easily implementable guide to managers with regard to the bond refunding decision.
Planned Changes in Accounting Principles for UK Life Insurance Companies: A Preliminary Investigation of Stock Market Impact
Authors: Horton Joanne , Macve Richard
Published: March 2003

The Association of British Insurers’ (ABI) proposals for an ‘accruals’ method would have the effect of ‘front‐loading’ profits reported on life assurance business compared with the traditional ‘statutory solvency’ basis. The ABI argued that adoption of the method would lead to a more realistic valuation of life company shares. This research tests this view by investigating, by means of an event study, the stock market impacts of the announcements of the proposals and the initial releases of ‘accruals’ profits, utilising a recently developed methodology for allowing for the effect of industry and event date clustering. The results found here do not provide any evidence to substantiate the ABI’s view, although they do indicate that, where companies signal a change in the allocation of results as between shareholders and policyholders, share prices do reflect the perceived change in shareholder wealth. Moreover, it is argued that the accruals method itself may be more appropriately seen as reflecting and enabling a more pervasive change in managerial approach, refocusing on adding value for shareholders rather than policyholders. Any improvement in share prices resulting from this development might therefore only be expected to be very gradual and hard to distinguish from the impact of other effects.
A Re‐examination of the Case for Accounting Separately for the Debt and Equity Features of Convertible Debt
Authors: Casson Peter
Published: March 2003

The case for accounting separately for the debt and equity features of a convertible bond is based on two main assumptions: convertible debt can be decomposed into two, or more, fundamental financial instruments, and a convertible bond has the same economic substance as a bond with a detachable warrant. These assumptions are re‐examined in this paper where it is shown that it is generally not possible to decompose a convertible bond into fundamental financial instruments, nor is it possible to form a package of a bond and a detachable warrant that replicates the character of the convertible bond.
A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics
Authors: Masih Abul M.M. , Masih Rumi
Published: March 2003

This paper applies a relatively new but generalised concept of fractional cointegration to shed some light on the validity of a long‐run relationship between high frequency daily spot and the lagged forward Australian‐US dollar exchange rate. An investigation of the stochastic properties of these rates reveals that, while the relationship is not cointegrated in their logs, they appear to be fractionally cointegrated if we allow for mean reverting processes that are CI(1, d) with 0<d<1. The paper demonstrates that relaxing the condition that the residual from the cointegration equation must be a I(0) process, captures a much wider class of mean‐reversion behaviour. This result is interpreted in the context of the speculative EMH between the spot and forward exchanges rates, as having some empirical support. Furthermore, an analysis of the short‐run dynamics propelling the long‐run relationship tends to imply that in both the short‐ and long‐term, the forward rate is led by the spot rate. In the longer term, the spot rate is found to be the initial receptor of any exogenous shock to the equilibrium and it is the forward exchange rate that bears the brunt of short‐run adjustment to re‐establish the long‐run equilibrium relationship. The approach illustrated in this paper is shown to hold enormous potential for tests of mean reversion involving hypotheses popular to financial econometrics in general, where the dynamics of high frequency data are under scrutiny.
Valuing Fixed‐Income Options and Mortgage‐Backed Securities with Alternative Term Structure Models
Authors: Chen Ren‐Raw , Maris Brian A. , Yang Tyler T.
Published: March 2003

To value mortgage‐backed securities and options on fixed‐income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi‐factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage‐backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single‐factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single‐factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered.
Interdaily Volatility in a Continuous Order‐Driven Market
Authors: Lam Peter H.L. , Tong Wilson H.S.
Published: March 2003

Since Amihud and Mendelson (1987) documented a higher open‐to‐open return volatility compared to close‐to‐close return volatility in the US market, there have been various explanations offered, such as call auction opening, a long halt of trade, and specialist systems. No consensus has been reached so far. As an order‐driven dealership market, the Hong Kong stock market provides another dimension for examination. If halt of trade is the major cause of the open‐to‐open volatility in the Hong Kong market, this volatility should also be higher. This is not observed. Positive autocorrelation of the open‐to‐open return series also suggests that there is no temporary price deviation at market opening. We view these as consistent with the specialist argument put forth by Stoll and Whaley (1990).
Depreciation: A Stochastic Approach
Authors: Rhys Huw
Published: March 2003

This paper introduces a rationale for modelling physical depreciation under uncertainty and compares two variants of it. The first variant leads to a model, the ‘gamma’ model which has been discussed in the literature, while the second variant leads to a model, the ‘binomial’ model, which has not been investigated before. The binomial model is shown to approach a deterministic limit (the reducing balance method) as the depreciated asset becomes infinitely divisible. In contrast it has been demonstrated in the literature that the gamma model approaches a particular statistical distribution under these circumstances. The paper goes on to investigate the useful lives of assets under the two models, by reporting results on waiting times, none of which have appeared in the literature before.
Optimal Entrepreneurial Financial Contracting
Authors: Ebrahim M. Shahid , Mathur Ike
Published: March 2003

This paper studies the optimal financing (capital structure) of entrepreneurial activity in the context of risk‐aversion by incorporating the deadweight costs of bankruptcy and taxes. Unlike the extreme debt ratio (corner solution) predicted by scholars using linear models, this paper provides unique interior results for risk‐free as well as risky debt, irrespective of corporate taxes. The paper also shows the necessary and sufficient conditions for both forms of debt, and the pareto‐optimality of one over the other. The important findings of this paper are: (i) the existence of an equilibrium, where the borrowing interest rate is greater than the lending rate, despite the violation of Fisher separation theorem (1930); (ii) wealth plays a critical role in determining the debt ratio and the equilibrium risk‐free rate of interest, complementing the De Meza and Webb (1987 and 1999) studies; (iii) an explanation for the preferred stock and income bond puzzles, extending Fooladi et al. (1991) and McConnell and Schlarbaum (1991).
Fundamental Information and Monetary Policy: The Implications for Earnings and Earnings Forecasts
Authors: Dowen Richard J.
Published: March 2003

Building on the work of Lev and Thiagarajan (1993) and Abarbanell and Bushee (1997 and 1998) this paper tests whether market‐based information including dividend yield (Fama and French, 1998), firm size (Reinganum, 1981), and the ratio of book value to market value (Fama and French, 1992) add explanatory power to accounting data for predicting future earnings. The paper also tests whether earnings changes and the predictability of those changes are conditioned on monetary policy. It is found that the ratio of book value to market value is significantly related to earnings changes. Analyst forecast accuracy differs depending on monetary policy regime, but this difference is not due to differing interpretation of fundamental signals on financial statements appearing under differing monetary policy regimes. It is also found that there is a significant relation between monetary policy, earnings changes, and the level of signals concerning earnings changes.
The Democratic Accountability of the European Central Bank: A Comment on Two Fairy‐tales
Authors: De Haan Jakob , Eijffinger Sylvester C.W.
Published: March 2003

The European Central Bank (ECB) is widely considered to be (legally) independent. Buiter (1999) critizes the ECB for its lack of democratic accountability, which he does not define in a very precise way. Issing (1999) replies to some of the points raised by Buiter and argues that the ECB is both accountable and transparent. We first outline the concept of democratic accountability of central banks, before we comment on some of the disagreements between Buiter and Issing. Furthermore, we compare the legal accountability of the ECB with those of some other central banks (Bank of Canada, Bank of Japan, Bank of England and the Federal Reserve System).
Risk Management at the Shopfloor: The Perception of Formal Rules in High‐Risk Work Situations
Authors: Bax Erik H. , Steijn Bram J. , De Witte Marco C.
Published: March 2003

Bureaucratic control by formal rules and procedures has its limitations as a tool of risk management. Therefore, the central thought developed in this paper is that the content of a company's risk management, as a set of formal procedures, should be congruent with the tacit knowledge and informal rules present in that company. Next to the type of rules, the ways in which rules are handled – the regulation regime – is of importance. In this paper, data collected is presented that enables a comparative analysis of those who work in high‐risk situations and those who do not. From a multivariate regression‐analysis it is concluded that high‐risk workers’ satisfaction with formal rules is strongly dependent on the ways in which these rules are handled. Such a regulation regime is characterized by workers' participation in the formulation of formal rules; by consultation with workers by managers as to the former’s experiences with the rules involved; and by the degree of direct control. The analysis shows that top‐down risk management, itself, creates risks by its hierarchical character. It also shows that an approach which takes into account the perceptions of workers is more promising.
Auditory processing in children with dyslexia
Authors: Heiervang Einar , Stevenson Jim , Hugdahl Kenneth
Published: March 2003

Background: It has been claimed that children with dyslexia show a general impairment in the processing of rapid auditory stimuli. However, most previous studies in this field have focused on children with language impairment or children who do not meet accepted criteria for dyslexia. Methods: In the present study, the processing of rapid non‐verbal auditory stimuli (complex tones) was examined in a population‐based sample of 24 children with dyslexia, 10 to 12 years of age, and a matched control group. Results: The dyslexia group showed reduced tone processing relative to the control group, with significant main effects of tone duration, inter‐stimulus interval and task complexity. The deficit was not specific for temporal order errors, and could not be explained by differences in short‐term memory or verbal IQ. However, correlations between tone processing and reading ability were generally low or absent. Conclusion: Although a general processing deficit for rapid auditory stimuli in dyslexia was confirmed, its relevance for reading problems and hence for treatment programmes for dyslexia is questioned. Abbreviations: ISI: inter‐stimulus interval; TOJ: temporal order judgement; C‐V: consonant‐vowel; V‐V: vowel‐vowel.
Politicised linguistic consciousness: the case of Ulster‐Scots
Authors: Craith M. Nic
Published: March 2003

This essay examines the evolution of the Ullans phenomenon in the past decade and sets its emergence in a broad political context. Of particular interest to the writer are the claims made about Ullans and the attempts to constitute these as a viable basis for its justification as a distinct language. While factors motivating the supporters of an Ulster‐Scots cultural tradition are examined, reasons for hostility towards Ullans are also reviewed. As the debate regarding the linguistic status of Ullans rages on, the author analyses the importance of state recognition for the enhancement of a dialect or language. In this essay the case of Ulster‐Scots is set in a strongly comparative context.
Guest editor's introduction: Nationalism and archaeology
Authors: Díaz‐Andreu Margarita
Published: March 2003

In this introductory article an evaluation of the emergence and transformations of parallel discourses regarding the past in relation to the political nationalist context in which they were articulated will be offered. A chronological framework will be adopted, thereby acknowledging the importance of the changes nationalism underwent for understanding shifts in discourses on the past.
Britain in Europe/the British in Spain: exploring Britain's changing relationship to the other through the attitudes of its emigrants
Authors: O'Reilly Karen
Published: March 2003

This article explores Britain's changing relationship towards the outside in the context of contemporary British migration to the Costa del Sol. Historically, the British abroad have (apparently) retained a myth of the glorious homeland, to which they will eventually return, but the critique of colonialism both challenged the ethno‐centrism of the colonisers and questioned the validity of the descriptions of colonial life. More recently, Britain has been forced to shed some of its ‘great nation’/uncontaminated island mentality and to attempt to embrace both Europe and the rest of the developed world. At the same time the ‘race relations’ approach has been exchanged for a multiculturalist one at home. But the relationship with the outside remains ambivalent: Europe is embraced one day and spurned the next; racism remains a problem in Britain; and the British abroad seem to retain a ‘little England’ mentality. The British who have migrated to Spain in the last few decades are especially interesting. Their compatriots back home denigrate their behaviour and impute to them a longing for home which they do not have. They, themselves, fail to integrate into Spanish society yet talk of Spain as their home and construct new identities based on symbols of Spanishness. Dangling between two countries and two cultures, the British in Spain are, in many ways, symbolic of Britain's ambivalence to the outside and to its self.
Lead Firms and Competition in ‘Bi‐polar’ Commodity Chains: Grinders and Branders in the Global Cocoa‐chocolate Industry
Authors: Fold Niels
Published: March 2003

Like most global agro‐industrial commodity chains today, the global cocoa ‐ chocolate industry is buyer‐driven. However, the chain is characterized by the lead role of a few transnational companies in two different segments: the grinders (processors of cocoa)and the branders (manufacturers of chocolate), a structural pattern identified in other so‐called turn‐key industries consisting of contract manufacturers and brand‐name firms. The paper examines two important spatial sub‐systems of the chain: the national cocoa bean supply system in Ghana and the regional cocoa trading‐storing‐grinding complex in the Zaanstreek, Amsterdam. The structural patterns and relationships in these sub‐systems suggest that the dynamics of ‘bi‐polar’ buyer‐driven chains is best comprehended in terms of various types of containment strategies of the leadfirms, i.e. efforts to defend and improve their positions on the global market by creating competition among their suppliers and expanding their customers.
Piety in the Sky? Gender Policy and Land Reform in South Africa
Authors: Walker Cherryl
Published: March 2003

This article examines the disjuncture between high–level commitments to gender equity and practice in South Africa's land reform programme. Weaknesses in implementing the gender policy of the Department of Land Affairs stem largely from limitations within the broader programme, compounded by the inadequate conceptualization and management of the task and an absence of political accountability around women's land rights by the Department and Ministry. The low political priority accorded gender policy is itself a reflection of weak levels of organization among rural women. However, rural women show an interest in strengthening their rights in land and the small number of women whose households have secured land through the programme regard this as a positive achievement.
Responsibility Attribution for Violence Against Women: A Study of Chinese Public Service Professionals
Authors: Tang Catherine So-kum , Pun Shuk Han , Cheung Fanny Mui-ching
Published: March 2003

This study examined how Chinese public service professionals attributed responsibility to victims and perpetrators of violence against women (VAW). A total of 2,308 Chinese public service professionals in Hong Kong completed questionnaires on attitudes toward women, VAW-related perceptions, and assignment of responsibility to actors in written VAW vignettes. Compared to agency professionals consisting of medical doctors, lawyers, and police officers, communal professionals consisting of psychologists, social workers, and nurses attributed a higher level of responsibility to VAW victims and perpetrators. For both professional groups, attitudes toward women and educational attainment were the most salient predictors of responsibility attribution to VAW victims and perpetrators. Perceived VAW effects on victims were also a robust predictor of responsibility attribution to perpetrators. With regard to group differences, gender was predictive of responsibility attribution for communal but not for agency professionals. Except for perpetrator responsibility attribution for agency professionals, age was also predictive of how professionals assigned responsibility to VAW victims and perpetrators.
Complainant Sexual History Evidence: Its Impact on Mock Jurors' Decisions
Authors: Schuller Regina A. , Hastings Patricia A.
Published: March 2003

The current study examined the impact of complainant sexual history evidence on mock jurors' judgements in a sexual assault trial. One hundred and sixty-nine undergraduates listened to an audiotape of a sexual assault trial in which the sexual history between the complainant and defendant was systematically varied to include either sexual intercourse, kissing and petting, or no history information. The effectiveness of judicial limiting instructions that accompany the introduction of sexual history evidence at trial was also examined. Compared to the control condition, those who heard evidence involving prior sexual intercourse between the complainant and defendant were less likely to find the complainant credible, more likely to find her blameworthy, and more likely to believe she consented. The information failed, however, to influence participants' judgements about the defendant's belief in consent. As well, the presence of limiting instructions did little to curb the prejudicial influence of this information.
Managing for High Performance? People Management Practices in Flight Centre
Authors: Dunford Richard , Palmer Ian
Published: March 2003

The travel industry is characterised by fierce rivalry, high threat of entry by would-be competitors, high supplier and consumer power and a developing threat of substitutes (especially online). However, despite this, Flight Centre, an Australian travel agency, has managed to achieve an exceptional performance record in terms of profitability and share price. In this paper we focus on the people management practices in Flight Centre in the context of the argument that there is a direct relationship between a company’s financial performance and its utilisation of specific practices. The results of the research show that Flight Centre is representative of most of the advocated practices, but its parallel strategies in marketing and operations/logistics raise questions about the appropriateness of people management practices being given priority over other areas of management practice in the determination of performance outcomes.
Cost Sharing Warranty Policies for Second‐hand Products
Authors: Chattopadhyay G. , Murthy D.N.P.
Published: March 2003

Warranties for second‐hand products are becoming more important as consumers have started demanding protection against poor quality second‐hand products and the high cost of product failures occurring shortly after purchase. In response to this consumer demand for protection, public policy makers have begun enacting laws requiring dealers to offer warranties and effectively service warranty claims. This is now apparent throughout the market place for cars, consumer durables and electrical and electronic goods. As a result, dealers of second‐hand products need to do a proper cost analysis of alternative warranty policies before deciding on a warranty policy to be offered with the sale of a particular item. This paper deals with three new cost sharing warranty policies for second‐hand products. Stochastic models have been developed and analysed for the cost of these warranty policies when offered with the sale of second‐hand products.
An Active Decision Support System for Optimality in Open Air Reservoir Release Strategies
Authors: Van Vuuren J.H. , Grundlingh W.R.
Published: March 2003

Decisions regarding good release strategies for large open air reservoirs may be surprisingly complex, even for experienced reservoir managers. This is due to the dual requirement that water levels should neither be kept too high (resulting in excessive evaporation) nor too low (resulting in an inability to supply water during particularly dry periods). Decisions do not only affect the reservoir's efficiency in the short term, but may also do so in the long run, and this significantly complicates matters. A new decision support system called ORMADSS (for Optimal Reservoir Management Active Decision Support System) is discussed here. This system is designed to aid medium‐scale reservoir managers in their complicated decision‐making processes. The visually attractive and informative computer‐implemented system is based on determining an optimal release strategy for years of average climate and then attempting to steer release strategies for non‐average years in such a manner that the reservoir content approaches the optimal level for average years, while still satisfying legal and environmental constraints, as well as demand set by reservoir users. The success of ORMADSS is discussed in a special case study regarding its implementation at Keerom Dam, the second‐largest privately‐owned open air reservoir in South Africa.
Multi–objective Evolutionary Algorithms for the Risk–return Trade–off in Bank Loan Management
Authors: Mukerjee Amitabha , Biswas Rita , Deb Kalyanmoy , Mathur Amrit P.
Published: March 2003

Multi–criteria decision–making is an increasingly accepted tool for decision–making in management. In this work, we highlight the application of a novel multi–objective evolutionary algorithm, NSGA–II, to the risk–return trade–off for a bank–loan portfolio manager. The manager of a bank operating in a competitive environment faces the standard goal of maximizing shareholder wealth. Specifically, this attempts to maximize the net worth of the bank, which in turn involves maximizing the net interest margin of the bank (among other factors, such as non–interest income). At the same time, there are significant regulatory constraints placed on the bank, such as the maintenance of adequate capital, interest–rate risk exposure, etc. The genetic algorithm–based technique used here obtains an approximation to the set of Pareto–optimal solutions which increases the decision flexibility available to the bank manager, and provides a visualization tool for one of the trade–offs involved. The algorithm is also computationally efficient and is contrasted with a traditional multi–objective function — the epsilon–constraint method.
Symposium: With the “Process ”Dead: What are the Prospects for Peace?
Authors: Lang W. Patrick , Telhami Shibley , Ross Christopher
Published: March 2003

The following is an edited transcript of the twenty‐fourth in a series of Capitol Hill conferences convened by the Middle East Policy Council. The meeting was held on March 8, 2001, in the Dirksen Senate Office Building with Chas. W. Freeman, Jr., moderating.
Islam in Europe: Quest for a Paradigm
Authors: Malik Mustafa
Published: March 2003

Mr. Malik, a journalism fellow with the German Marshall Fund of the United States (GMFUS), has returned from fieldwork in six West European countries to write a book on the outlook for Islam in the West. The GMFUS is an independent U.S. foundation created to deepen understanding, promote collaboration and stimulate exchanges of practical experience between Americans and Europeans.
Welfare Reform and the Well‐Being of Single Female‐Headed Families: A Semi‐Parametric Analysis
Authors: Mills Bradford F. , Alwang Jefferey R. , Hazarika Gautam
Published: March 2003

Single female‐headed families with children (SFHFwC) have historically been the primary recipients of federal public cash assistance payments in the United States. Recent welfare reform initiatives established work requirements and cumulative time limits on public cash assistance payments. Three findings in this paper have significant implications for the long‐term efficacy of welfare reform initiatives. First, SFHFwC made significant and broad‐based gains in their economic well‐being from 1993 to 1999. Second, increased propensities of single mothers to leave welfare and enter the workforce from 1993 to 1999, behavior consistent with incentives created by welfare reform measures, do not account for a major portion of these observed gains. Third, improved area economic conditions and increased educational levels of single mothers account for a major share of gains in well‐being.
Fast Development With a Stable Income Distribution: Taiwan, 1979–94
Authors: Bourguignon F. , Fournier M. , Gurgand M.
Published: March 2003

This paper studies the mechanisms underlying the apparent stability of the income distribution in Taiwan. An original decomposition method based on micro‐simulation techniques is proposed. Applied to the distribution of income in Taiwan since 1979, it permits isolating the respective impact of changes in: (a) the earning structure; (b) labor‐force participation behavior; and (c) the socio‐demographic structure of the population. The stability of the distribution in Taiwan appears as the result of various structural forces which happened to offset each other. The small drop observed in the inequality of individual earnings resulted from the combination of unequalizing changes in the wage structure and the effects of changes in female labor‐force participation as well as in the educational structure of the population. However, the same offsetting forces, together with changes in the composition of households, resulted in a small increase in the inequality of the distribution of equivalized household income.
History after the end: post‐socialist difference in a (post)modern world
Authors: HöRschelmann Kathrin
Published: March 2003

This paper makes an intervention in the debates on postmodernism as dominant social and cultural order of the present from the perspective of post‐socialist transformation. Grounded in an analysis of theoretical discourses and of qualitative interviews, it highlights the hierarchical time/space constructions and universalizing tendencies inherent in many proclamations of the postmodern epoch and contests the uncritical acceptance of the ‘end of history’ metanarrative. Post‐socialist transformation is shown to be a complex process that fits uneasily into pre‐given categories and disrupts an ordering logic that divides between a western, postmodern ‘us’ and ‘the rest’ of the world. My argument is formulated on the basis of research on the transformative processes in former east Germany.
The automatic production of space
Authors: Thrift Nigel , French Shaun
Published: March 2003

This paper is concerned with the changing nature of space. More and more of the spaces of everyday life come loaded up with software, lines of code that are installing a new kind of automatically reproduced background and whose nature is only now starting to become clear. This paper is an attempt to map out this background. The paper begins by considering the nature of software. Subsequently, a simple audit is undertaken of where software is chiefly to be found in the spaces of everyday life. The next part of the paper notes the way in which more and more of this software is written to mimic corporeal intelligence, so as to produce a better and more unobtrusive fit with habitation. The paper then sets out three different geographies of software and the way in which they are implicated in the reproduction of everyday life before concluding with a consideration of the degree to which we might consider the rise of software as an epochal event or something much more modest.
An Investigation of the Effect of the 1990 Reserve Requirement Change on Financial Asset Prices
Authors: Stewart Jonathan D. , Hein Scott E.
Published: March 2003

In 1990, the Federal Reserve reduced reserve requirements on large, nonpersonal time deposits and net Eurocurrency liabilities. In this article we provide evidence on who gained from the reduction in this tax. No evidence is found to suggest that large depositors gained by way of higher yields. Rather, evidence indicates a decline in Eurodollar interest rates relative to other money market rates. Evidence further shows that bank shareholders were recipients of abnormal share price appreciation following the announcement. There is little evidence to indicate that shareholders outside of the banking industry experienced similar abnormal gains.
Are the Best Small Companies the Best Investments?
Authors: Bauman W. Scott , Conover C. Mitchell , Cox Don R.
Published: March 2003

Previous research finds that large companies previously judged to be excellent growth companies have subsequently been poor investments. We examine small companies selected by Business Week on the basis of multiple criteria used in annual articles featuring highly rated growth companies. We study the investment performance over the three years before eleven annual Business Week publications and the three years after publication. We find positive excess returns in the pre‐publication period, but negative excess returns in the post‐publication period. This reversal in investment performance appears to be due to a mean‐reversion tendency in operating performance, in which the earnings and the past rates of return on capital of such companies subsequently decrease significantly.
News Releases, Market Integration, and Market Leadership
Authors: Christie‐David Rohan , Chaudhry Mukesh , Khan Walayet
Published: March 2003

Using intraday data we examine the response of futures on the British Long Gilt (Gilt), the German Government Bond (Bund), the U.S. Treasury Bond (Bond), the Japanese Government Bond (JGB), and the Italian Government Bond (IGB) to the release of U.S. macroeconomic news. Bond, Gilt, and Bund futures respond strongly to the news releases. The response of JGB futures is less pronounced, and IGB futures display weak responses at best. The instruments take time to adjust to news in the announcements. Following the announcements, Bond futures exert a high degree of market leadership. Evidence of increasing market integration is also noted.
Caregiver burnout among intimate partners of patients with a severe illness: An equity perspective
Authors: Ybema Jan F. , Kuijer Roeline G. , Hagedoorn Mariët , Buunk Bram P.
Published: March 2003

In the present study, caregiver burnout among the intimate partners of 106 cancer patients and 88 patients with multiple sclerosis was assessed. This study examined how burnout is related to marital quality and perceptions of inequity in the relationship. LISREL analyses showed that higher perceptions of inequity are strongly associated with higher emotional exhaustion and depersonalization, and lower feelings of personal accomplishment. Intimate partners of both cancer patients and patients with multiple sclerosis are relatively likely to experience burnout when they feel that they do not invest or benefit enough in the exchange with their ill partner. The relationship between inequity and burnout held when general marital quality, gender, the duration of the illness, the physical and psychological condition of the ill partner, and support from other persons were controlled for. This study shows that perceptions of equity or balance in the relationship between patients and their intimate partners are important for preventing caregiver burnout and for enhancing positive caregiver experiences.
A contextual analysis of the association between demand/withdraw and marital satisfaction
Authors: Caughlin John P. , Huston Ted L.
Published: March 2003

In spite of research connecting the demand/withdraw pattern of marital interaction to marital dissatisfaction, questions remain about its association with marital satisfaction when it is considered in the context of other interpersonal behaviors. We explore the possibility that the correlation between demand/withdraw and dissatisfaction merely reflects the ubiquitous finding that expressions of negative affect are associated with dissatisfaction. We also examine whether the association between demand/withdraw and satisfaction is less strong when spouses have a highly affectionate marriage. Based on the current investigation, the demand/withdraw pattern of communication appears to be empirically distinguishable from the extent to which partners express negativity in their everyday lives, and it seems to account for variation in marital satisfaction over and above partners’ affectionate behaviors and negativity. Moreover, the inverse association between demand/withdraw and marital satisfaction may be less strong when one partner frequently expresses affection in daily life. Together, these results imply potential advantages to further exploring the interdependence among behaviors within marital interaction systems.
Respect in close relationships: Prototype definition, self‐report assessment, and initial correlates
Authors: Frei Jennifer R. , Shaver Phillip R.
Published: March 2003

Researchers who study romantic relationships have mentioned respect as a factor contributing to relationship success, but little effort has been made to define respect, measure it, or discover how it relates to other relationship constructs. In Study 1 a prototype methodology was used to identify consensual features of respect. Participants in Study 2 rated the centrality of the features of respect and completed a new prototype‐based respect‐for‐partner scale that was highly reliable and correlated in predictable ways with avoidant attachment and evaluative aspects of partner descriptions. In Study 3, the new respect scale predicted relationship satisfaction better than scales measuring liking, loving, attachment‐related anxiety and avoidance, and positive and negative partner qualities. Suggestions are offered for future research on respect.
A Regression‐Based Approach for Estimating Primary and Secondary Particulate Matter Intake Fractions
Authors: Levy Jonathan I. , Wolff Scott K. , Evans John S.
Published: March 2003

One of the common challenges for life cycle impact assessment and risk assessment is the need to estimate the population exposures associated with emissions. The concept of intake fraction (a unitless term representing the fraction of material or its precursor released from a source that is eventually inhaled or ingested) can be used when limited site data are available or the number of sources to model is large. Although studies have estimated intake fractions for some pollutant‐source combinations, there is a need to quickly and accurately estimate intake fractions for sources and settings not previously evaluated. It would be expected that limited source or site information could be used to yield intake fraction estimates with reasonable accuracy. To test this theory, we developed regression models to predict intake fractions previously estimated for primary fine particles (PM2.5) and secondary sulfate and nitrate particles from power plants and mobile sources in the United States. Our regression models were able to predict pollutant‐specific intake fractions with R2 between 0.53 and 0.86 and equations that reflected expected relationships (e.g., intake fraction increased with population density, stack height influenced the intake fraction of primary but not secondary particles). Further analysis would be needed to generalize beyond this case study and construct models applicable across source categories and settings, but our analysis demonstrates that inclusion of a limited number of parameters can significantly reduce the uncertainty in population‐average exposure estimates.a
Nonlinearity and Low Deterministic Chaotic Behavior in Insurance Portfolio Stock Returns
Authors: Urrutia Jorge L. , Vu Joseph , Gronewoller Paul , Hoque Monzurul
Published: March 2003

This article presents new empirical evidence indicating a deterministic component in the portfolio return dynamics of life‐health and property‐liability insurance company stocks. Our research is motivated by the fact that nonlinearities are a fact of economic life for many financial applications the source of which is logically apparent, yet empirical evidence of their existence is at best weak. The primary reason attributed to the weak findings of nonlinearities reported in previous research is the use of aggregate data that can hide nonlinearities at the micro level. Insurance sector stock returns are analyzed because unique institutional characteristics indicate the possibility of identifying nonlinear dynamics. Tests based on the correlation dimension partially confirm the presence of nonlinearity. However, the more powerful Brock, Dechert, and Scheinkman (BDS) statistic strongly suggests the presence of nonlinearities in the insurance stock portfolio data. The BDS statistic applied to the standardized residuals of exponential generalized auto regressive conditional heteroskedasticity (EGARCH) models strongly rejects the null of independent and identically distributed, indicating that conditional heteroskedasticity is not responsible for the presence of the nonlinear structures in the data. In addition, tests for chaos based on locally weighted regressions indicate that insurance stock portfolio returns indicate low‐complexity chaotic behavior. This is an important result since most previous research has failed to report evidence of chaotic behavior in the time series of stock returns. Important contributions of this article are the application of tests of nonlinearities and chaos to more desegregated data sets and the findings of statistically significant evidence indicating nonlinearities and low‐deterministic chaotic behavior in insurance stock portfolio returns.
Information About Multiple Risks: The Case of Building and Content Insurance
Authors: Bonato Dario , Zweifel Peter
Published: March 2003

Insurers traditionally use risk‐specific characteristics of insureds to classify them according to risk. In this article, the practical relevance of information about multiple risks is demonstrated for the case of content insurance of a Swiss company. Two types of such information prove important: information about “spillover moral hazard” caused by mandated prevention affecting preventive effort in an unregulated line, and information about “common impulses” reflected in the loss experience of related lines. Both contribute to an improved prediction of loss probability.
Incomplete Markets and Hyperbolic Discounting
Authors: Hunter Greg
Published: March 2003

A growing number of empirical researchers are finding evidence of hyperbolic discounting in their investigations on the nature of preferences for distributing consumption over time. This article contributes to the literature by exposing a large class of models in which hyperbolic and exponential discounting are observationally equivalent. The results of the modeling approach simultaneously resolve serious concerns raised by other models in the literature that have been used to explain the empirical findings and answer other questions raised by the phenomenon that are unexplained by earlier contributions. By analyzing an intertemporal general equilibrium model with incomplete insurance markets, this article demonstrates that for sufficiently short time horizons, values implied by a hyperbolic discount function fall within incomplete market valuation bounds.
Are Students Failing School or Are Schools Failing Students? Class Cutting in High School
Authors: Fallis R. Kirk , Opotow Susan
Published: March 2003

In many urban public high schools today, students navigate their day by selectively cutting class leading to course failure and dropping out. Collaborative, qualitative research conducted with urban high school students indicates that cutting results from disengagement and alienation that students label “boredom.” Focus group data (N= 160 in 8 groups) indicate that class cutting has not only an individual component that schools address, but also a systemic, conflictual component that schools do not address. These unaddressed, intransigent conflicts can foster moral exclusion and structural violence. These data suggest that rather than relying on standard punitive approaches, schools can respond to class cutting more effectively by taking students' concerns seriously, working collaboratively with students, and engaging in institutional self‐scrutiny.
Engaging Students with Learning Disabilities in Instructional Discourse: A Commentary on the REACH Papers
Authors: Stone C. Addison
Published: March 2003

The four articles on instructional discourse contributed by the members of the REACH project offer rich examples of the learning opportunities for students with learning disabilities (LD) in upper‐elementary and middle‐school content classrooms. In this commentary, I highlight possible reasons for variations in instructional engagement within and across the studies, discuss the challenges to engaging students with LD in discipline‐based instruction, and stress the value for the LD field of greater attention to instructional discourse.
Is There a “Singles Tax”? The Relative Income Tax Treatment of Single Households
Authors: Alm James , Whittington Leslie A. , Fletcher Jason
Published: March 2003

The existence of a “marriage tax,” in which many married couples pay more taxes when married than their combined taxes as single individuals, is well known. However, largely lost in the attention devoted to married taxpayers is the treatment of single taxpayers. This article examines the relative tax treatment of single and married taxpayers. Various types of representative taxpayers are constructed, and the difference in income taxes paid by single taxpayers and married taxpayers is calculated. These calculations show that there is a “singles tax”; that is, a single individual typically pays a greater income tax liability than a married couple with identical income, especially when the main transfer programs are considered.
Barriers to Matching New Technologies and Market Opportunities in Established Firms
Authors: Bond Edward U. , Houston Mark B.
Published: March 2003

In industries that produce high‐technology products or are reliant on technology for administrative or manufacturing processes, it is essential appropriately to link technologies to markets in order to increase shareholder value and to build future cash flows. Research and development (R&D) allocations in such industries are greatly dependent on forecasts of the R&D project's estimated potential contribution to future cash flows, which is related to the project's ability to satisfy current or future customer needs. The resource allocation decisions are difficult, however, since both markets and technology are likely to be highly uncertain.

Although the innovation literature ably has addressed specific relationships between certain factors and new product development outcomes, less attention has been given to obstacles faced in linking technology to markets. Grounded in a literature‐based discussion of technology and market opportunity, the authors develop a conceptual framework for identifying and understanding the barriers facing managers in the process of matching technologies to market opportunities. Technology and market barriers include technology‐market linkage, technology availability, technology and market capabilities of competitors, and business model feasibility. Strategy and structure barriers include competition for limited resources, technology capabilities, technology portfolio goals, current market strategies, and competition for control of market charters. Social and cultural barriers include interpretive and communication barriers between functional units and language and cultural barriers within the technology workforce.

The article concludes with implications for researchers and managers. The conceptual framework presented here can encourage the development of a stream of research in the area of technology strategy and planning processes, allowing researchers to improve our understanding of the process of technology innovation. Managers can use the framework as a guide for addressing a wide range of issues related to the process of matching technologies to market opportunities. For example, rather than relying strictly on cash flow projections for estimating the value of a new technology, managers also should consider how the technology could create new market opportunities or could reshape existing ones.