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on Business Economics |
| By: | Chang, C-L.; Hsu, H-K.; McAleer, M.J. |
| Abstract: | This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data from 30 November 2001 to 27 February 2013 are used, which covers the period of Cross-Straits tension between China and Taiwan. The full sample period is divided into two subsamples, namely prior to and after the policy reform that encouraged Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period. Furthermore, the risk premium reveals insignificant estimates in both time periods, while asymmetric effects are found to exist only for large firms after the policy reform. The empirical findings should be useful for financial managers and policy analysts as it provides insight into the magnitude of the volatility size effects for firm performance, how it can vary with firm size, the impacts arising from the industry policy reform, and how firm size is related to financial risk management strategy. |
| Keywords: | asymmetry, conditional volatility models, firm size, stock returns, tourism, tourism policy reforms, volatility size effects |
| JEL: | C22 G18 G22 G32 L83 |
| Date: | 2013–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:ems:eureir:41465&r=bec |
| By: | Emmanuel De Veirman; Andrew Levin |
| Abstract: | We estimate changes in firm-specific volatility in sales and earnings growth of US firms. We do so using an approach which better captures firm-specific volatility than commonly used dispersion measures do. Our results do not lend strong support to the common view that firm-specific volatility is counter-cyclical. The role of firmspecific volatility in explaining aggregate fluctuations is empirically very limited. This is evidence against the implication of irreversibility and financial accelerator theories that increases in firm-specific volatility cause macroeconomic downturns. Our measure also provides evidence on trends in firm volatility. Earlier findings of a trend increase in the volatility of publicly traded firms are completely overturned when we control for changes in sample composition. At the firm level, the 2007-2009 recession did not end the Great Moderation. |
| Keywords: | Firm-Level Volatility; firm-specific shocks; business cycles |
| JEL: | C32 C33 D22 E32 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:408&r=bec |
| By: | Thomas O'Connor (Department of Economics Finance and Accounting, National University of Ireland, Maynooth); Julie Byrne (Department of Economics Finance and Entrepreneurship, Business School,Dublin City University) |
| Abstract: | Purpose – The purpose of this research is to examine whether corporate governance changes along the corporate life-cycle. Design/methodology/approach – In a sample of 205 firms from 21 emerging market countries and using a life-cycle proxy from the dividends literature, we use a governance-prediction model which examines whether corporate governance differs along the corporate life-cycle. Findings – Mature firms tend to practice better overall corporate governance. Discipline and independence improve as firms mature. Firms tend to be most transparent and accountable when they are young. These findings suggest that the resource/strategy and monitoring/control governance functions are relevant but at different life-cycle stages. Research limitations/implications – In the absence of longitudinal governance data with sufficient coverage to track within-firm changes in corporate governance along the corporate life-cycle, we analyze differences in corporate governance between-firms at different life-cycle stages. Originality/value – We use an alternative, yet new measure from the dividends literature to account for the firm’s position along the corporate life-cycle. With this new measure, our findings are in line with the predictions of Filatotchev et al. (2006). |
| Keywords: | Corporate governance, corporate life-cycle, emerging markets. |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:may:mayecw:n248-13.pdf&r=bec |
| By: | Peter Neary; Monika Mrazova |
| Abstract: | We introduce two new tools for relating preferences and demand to firm behavior and economic performance.� The "Demand Manifold" links the elasticity and convexity of an arbitrary demand function; the "Utility Manifold" links the elasticity and concavity of an arbitrary utility function.� Along the way we present some new families of demand functions; show how the structure of demand and preferences determine the responses of monopoly firms and monopolistically competitive industries to exogenous shocks; characterize the efficiency of a�monopolistically competitive equilibrium; and present a quantitative framework for predicting the welfare effects of exogenous shocks. |
| Keywords: | Heterogeneous Firms, Quantifying Gains from Trade, Super- and Sub-Convexity, Supermodularity |
| JEL: | F23 F15 F12 |
| Date: | 2013–12–31 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:691&r=bec |
| By: | Marshall, Maria I.; Peake, Whitney O. |
| Abstract: | Prior research indicates not only that family businesses have fewer management controls in place and are more likely to have non-economic goals for their firm but also that female-controlled businesses tend to underperform compared to male-controlled businesses. In this article, we analyze the performance effects of management controls and goals for the business across both male and female-controlled farm and rural family businesses. The results suggest that female-controlled farm and rural family businesses do not underperform their male counterparts in terms of objective or subjective assessments of performance. This is an important finding, given the mixed results across the family business literature regarding the impacts of gender on performance. Our results do indicate, however, that management controls and strategies and goals for the firm influence objective and subjective performance differently across male and female-controlled farm and rural family businesses. |
| Keywords: | Agribusiness, Farm Management, |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaeass:161658&r=bec |
| By: | Crespo Cuaresma, Jesus (Vienna University for Economics and Business); Oberhofer, Harald (University of Salzburg); Vincelette, Gallina A. (The World Bank) |
| Abstract: | Using information from the Amadeus dataset and the Business Environment and Enterprise Performance Survey, we provide an empirical investigation of the industry and firm-specific determinants of the intensive margin (i.e., within existing firms) job creation process in eleven Central and Eastern European economies during the period 2002-2009. Our results indicate that during the years prior to the global financial crisis, traditional industries were crucial for the net intensive margin creation of jobs in the region but, by contrast, services firms were less vulnerable to the economic downturn. At the firm level, small and young already existing firms and subsidiaries of multinational corporate groups tended to register the highest employment growth rates. The empirical results also indicate that more productive surviving firms tended to be less vulnerable to the economic downturns in terms of employment change. The perceived quality of the business climate by enterprises of the region is robustly correlated with intensive margin employment growth both before and during the recent global financial crisis. Interestingly, the best performing surviving firms are estimated to be most negatively affected by a poor business environment. Institutional barriers thus appear as an important factor hampering firm growth in Central and Eastern Europe. These findings hold for the group of high-growth surviving firms (gazelles) that disproportionately accounted for the creation of new jobs in these economies. |
| Keywords: | firm growth; institutional barriers; Central and Eastern Europe |
| JEL: | L16 L21 L25 L51 L53 |
| Date: | 2014–01–03 |
| URL: | http://d.repec.org/n?u=RePEc:ris:sbgwpe:2014_001&r=bec |
| By: | Igor Mouraviev (Center for Mathematical Economics, Bielefeld University) |
| Abstract: | The article seeks to fill the gap between tacit and explicit collusion in a setting where firms observe only their own output levels and a common price, which includes a stochastic component. Without communication, firms fail to discriminate between random shocks and marginal deviations, which constrains the scope for collusion. By eliminating uncertainty about what has happened, communication facilitates detection of deviations but reduces collusive profi?ts due to the risk of exposure to legal sanctions. With the optimal collusive strategy, firms communicate only if the market price falls somewhat below the trigger price. Moreover, they tend to communicate more often as they become less patient, a cartel grows in size, or demand uncertainty rises. |
| Keywords: | Collusion, Communication, Imperfect Monitoring, Frequency of Meetings |
| JEL: | D82 L41 |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:bie:wpaper:494&r=bec |
| By: | Richard Fabling (Motu Economic and Public Policy Research); Arthur Grimes (Motu Economic and Public Policy Research and University of Auckland) |
| Abstract: | What determines exporters’ exchange rate hedging decisions and do exporters attempt to “time the market”? We use a unique unit record longitudinal administrative dataset on firm exports to find the determinants of exporters’ currency hedging choices. Determinants include financial fragility, prior hedging experience, and natural hedge opportunities. In addition, firms alter their hedging ratios when the currency has recently trended in one direction. We test whether such behaviour reflects firm characteristics (such as pricing power). We find that these responses are ubiquitous for all but large firms and for all times other than when the exchange rate is near its extreme high or low historical values. These results are consistent with most firms practicing selective hedging (market timing) behaviour that reflects a belief in exchange rate momentum effects. However, this behaviour appears sub-optimal since momentum effects are statistically absent from the underlying exchange rate data. |
| Keywords: | Currency hedging; optimal hedging; selective hedging; momentum trading |
| JEL: | D21 F31 G15 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:mtu:wpaper:14_01&r=bec |
| By: | Sebastien Lechevalier (Ecole des Hautes Etudes en Sciences Sociales, Paris); Cyrille Dossougoin (University of Orleans); Christophe Hurlin (University of Orleans); Satoko Takaoka (Kobe University) |
| Abstract: | Beyond the general issue of institutional change at the aggregate level, some studies have shown that the diversity of Japanese firms has increased since the late 1990s, both in terms of performance and organization. This paper contributes to this literature by investigating the evolving employment practices at the firm level. In mobilizing a database of listed manufacturing firms, we focus on the evolution of the speed of downsizing between the 1990s and the 2000s. A specificity of our paper is that we do not limit our analysis to the introduction of individual effects but we rather resort to a Bayesian estimation procedure, which yields to (firm-specific) individual forecasts of the parameters of the adjustment process modelled with random coefficients. The first major result we get is a decreasing average speed of downsizing, contrary to what is found in a simple estimation with individual effects. Second, we confirm the increasing heterogeneity of Japanese firms between the 1990s and the 2000s, through a rising dispersion of the speed of downsizing. Third, we are able, from a descriptive viewpoint to identify some characteristics of firms with different speed of downsizing. |
| Keywords: | Corporate Heterogeneity. Japanese Employment System. Speed pf Employment Adjustment. Downsizing. Panel. Random coefficient model. Bayesian estimation |
| JEL: | C23 G30 J23 L20 L63 L68 |
| Date: | 2014–01 |
| URL: | http://d.repec.org/n?u=RePEc:kyo:wpaper:883&r=bec |
| By: | Mirella Damiani; Fabrizio Pompei; Andrea Ricci |
| Abstract: | This paper analyses the role of Performance Related Pay (PRP) agreements on labour productivity and wages. Its main contribution is thus to investigate the effects of PRP on both dimensions, i.e. productivity and distribution, whereas most of the studies of related literature are restricted to one of those aspects. All estimates are performed for a large sample of manufacturing and service Italian firms with more than five employees and a restricted sample including only unionised firms. It allows us to focus on a relevant feature of industrial relations represented by worker representation and its role in local wage setting in the Italian economy. The expected positive link between PRP and firm performance has been confirmed in all estimates, also controlling for a rich set of covariates. Furthermore, the comparison of productivity estimates with those for wages allows us to ascertain that payments by results might be not only rent-sharing devices, but schemes that substantially lead to efficiency enhancements. These findings have been validated by a number of robustness checks, also taking into account endogen eity by using instrumental variables and the treatments of 3SLS. The paper argues that well designed policies, that circumvent the limited implementation of PRP practices, would guarantee productivity improvement. The real effectiveness of these measures would not be weakened under union governance. |
| Keywords: | Efficiency, Wages, Performance–related pay, unions. |
| JEL: | D24 J31 J33 J51 |
| Date: | 2013–11–18 |
| URL: | http://d.repec.org/n?u=RePEc:pia:wpaper:124/2013&r=bec |
| By: | Isabel Feito-Ruiz (Department of Business Administration, University of Leon); Clara Cardone-Riportella (Department of Financial Economics and Accounting, Pablo de Olavide University); Susanas Menendez-Requejo (Business Administration Department, University of Oviedo) |
| Abstract: | The aim of this study is to analyze the determinants of delisting decisions on the Alternative Investment Market (AIM) in London (United Kingdom) for Small Medium Enterprises (SMEs), examining the differences between family and non-family firms in addition to the impact of the financial crisis. We examine the SMEs listed on the AIM during the period 1999-2012. We propose a probit model and a survival analysis (Cox’s proportional hazard model) to estimate the probability that a firm makes a delisting decision. The advantage of the Cox proportional hazard model over other techniques is that it models the expected time to failure. In this study, failure is the delisting decision. Our findings show that the higher the percentage of ownership held by family holders, the lower the probability of delisting on the AIM. The influence of family holders works in accordance with their higher managerial monitoring and long-term aims and is contrary to the hypothesis that they exploit private information in a delisting decision to expropriate minority shareholders. Additionally, larger firms with higher levels of ROA are more likely to delist. The family holders’ influence on the delisting decision is maintained during the crisis period, working in tandem with strong corporate governance in family business and higher financial restrictions (higher cost of equity and debt issues and bank debt). |
| Keywords: | Alternative Investment Markets (AIM); Small Medium Enterprises (SMEs); family firms; crisis period; delisting; reverse takeovers |
| Date: | 2014–02 |
| URL: | http://d.repec.org/n?u=RePEc:pab:fiecac:14.02&r=bec |
| By: | Francisco Alvarez (Department of Fundamentos del Análisis Económico II, Universidad Complutense de Madrid, Spain); Francisco J. André (Department of Fundamentos del Análisis Económico II, Universidad Complutense de Madrid, Spain) |
| Abstract: | We compare auctioning and grandfathering as allocation mechanisms of emission permits when there is a secondary market with market power and the firms have private information. Based on real-life cases such as the EU ETS, we consider a multi-unit, multi-bid uniform auction, modelled as a Bayesian game of incomplete information. At the auction each firm anticipates his role in the secondary market, which affects the firms’ valuation of the permits (that are not common across firms) as well as their bidding strategies and it precludes the auction from generating a cost-effective allocation of permits, as it would occur in simpler auction models. Auctioning tends to be more cost-effective than grandfathering when the firms’ costs are asymmetric enough, especially if the follower has lower abatement costs than the leader and uncertainty about the marginal costs is large enough. If market power spills over the auction, the latter is always less cost-effective than grandfathering. One central policy implication is that the specific design of the auction turns out to be crucial for cost-effectiveness. The chances of the auction to outperform grandfathering require that the former is capable of diluting the market power that is present in the secondary market. |
| Keywords: | Cap-and-Trade Systems, Auctions, Grandfathering, Market Power, Bayesian Games of Incomplete Information |
| JEL: | D44 Q58 L13 |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2013.98&r=bec |