Search results
1 – 10 of over 47000This paper seeks to explore the effect of performance duration (rather than intensity) on the subsequent initiation of strategic change by firms. Specifically, the effect of…
Abstract
Purpose
This paper seeks to explore the effect of performance duration (rather than intensity) on the subsequent initiation of strategic change by firms. Specifically, the effect of outperformance and underperformance duration on strategic change, as well as the moderating effect of environmental dynamism, is studied.
Design/methodology/approach
Using a fixed-effects model, analyzing a sample of 34,907 firm-year observations from 1980 to 2018 across 112 industries mostly supported proposed hypotheses.
Findings
Results revealed a U-shaped relationship between outperformance duration and strategic change and an inverted U-shaped relationship between underperformance duration and strategic change. The moderation role of environmental dynamism was only partially supported.
Originality/value
This study examines a new dimension of performance feedback, namely duration, rather than the widely used intensity of performance feedback, to enhance our understanding of the behavioral theory of the firm.
Details
Keywords
The last two decades were characterised by uncertainty in financial markets due to volatile interest rates. Consequently bond and money managers were interested in minimising…
Abstract
The last two decades were characterised by uncertainty in financial markets due to volatile interest rates. Consequently bond and money managers were interested in minimising interest rate risk. This was accomplished by developing immunisation strategies derived from the concept of duration. Consequently, almost all the relevant literature is limited to bond portfolio management. In this paper duration and immunisation concepts are discussed in the context of financial management: working capital management and capital budgeting techniques. In Section I, a brief review of bond duration measure is made. Section II describes the application of duration measures in bond immunisation strategies. In Section III, a duration measure is developed for working capital management technique. Section IV contains some secondary capital budgeting technique based on duration measure.
Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment…
Abstract
Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS). In particular, we examine the effect of partial pass-through where there is a call limit expressed as a percentage of initial tranche balance. Due to the absence of empirical research on the CMO duration, neither the actual CMO duration nor the determinants of the CMO duration have been reported. Our study reports the actual CMO duration and the determinants of the CMO duration. By showing that the CMO duration is much shorter than the nominal time-to-maturity we point to the need to search for longer duration MBS structures. We find that in both the deterministic and stochastic interest rate environments duration is reduced as prepayment speed rises and duration rises as call limit decreases.
We make contribution to the literature by shedding light on the effect of prepayment and call limit on the duration of multi-tranche MBS. In particular, this research characterizes the impact of the partial pass-through structuring approach on the CMO duration as well as CMO pricing. Finally, it assists CMO investors in better assessing and managing reinvestment risks of pass-through products.
Details
Keywords
Lois M Verbrugge and Li-shou Yang
We study disability duration and two aspects of disability timing (simultaneous vs. gradual onset; childhood vs. adulthood onset) for U.S. community-dwelling adults. The data set…
Abstract
We study disability duration and two aspects of disability timing (simultaneous vs. gradual onset; childhood vs. adulthood onset) for U.S. community-dwelling adults. The data set is the National Health Interview Survey Disability Supplement. Disabilities in personal care, household management, and physical tasks are analyzed. Results show that most adults with disability are older and have recent onsets. But up to a third of those whose disability started in childhood have entered middle and older ages. For most people, disabilities in a domain usually all start at the same time; gradual accumulation is less common. The mixing of simultaneous and gradual onsets, and of childhood-onset and adulthood-onset, produces great heterogeneity in the population of disabled adults. Our results give demographic support to the contemporary movement in local and state jurisdictions to combine aging services and disability services.
Joseph Deutsch, Yves Flückiger and Jacques Silber
This paper discusses first various ways of measuring unemployment and, borrowing ideas from the poverty measurement literature, proposes four more general unemployment indices…
Abstract
This paper discusses first various ways of measuring unemployment and, borrowing ideas from the poverty measurement literature, proposes four more general unemployment indices which are parallel to Sen poverty index, to its generalization by Shorrocks, to the FGT, and to the Watts poverty indices.
It then presents an empirical illustration based on Swiss data at the level of the “canton.” More precisely, using the so-called Shapley decomposition, it computes the contribution to the difference between the value of each of these four unemployment indices in a given “canton” and in Switzerland as a whole, of three components measuring, respectively, the impact of differences in the traditional unemployment rate, in the average unemployment duration, and in the inequality in the unemployment durations. The paper ends by discussing the impact on the results obtained of assumptions made concerning the maximum unemployment duration.
Yan Alice Xie, Jot Yau and Hei Wai Lee
The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign…
Abstract
The study examines the joint effect of sovereign and call risks on the duration of callable sovereign bonds over the period 1996–2011. The results indicate that the sovereign risk-adjusted duration is significantly shorter than its Macaulay counterpart for U.S. dollar-denominated investment-grade callable sovereign bonds. Further, the “shortening” effect of sovereign and call risks on duration is generally stronger among bonds of lower ratings. Similar results are obtained when CDS prices are used as a proxy for changes in sovereign risk. Results from this study emphasize the importance of considering the joint effect of sovereign and call risks in managing the interest rate risk exposure in fixed income investments.
Details
Keywords
The expanded sovereign bond portfolios from the sizeable public interventions in the financial sector during the current crisis need close monitoring and analysis of emerging…
Abstract
The expanded sovereign bond portfolios from the sizeable public interventions in the financial sector during the current crisis need close monitoring and analysis of emerging vulnerabilities. This chapter presents some conventional and new measures of market, credit, and liquidity risks for government bond portfolios, considered from the perspective of a sovereign debt manager. In particular, it examines duration, convexity, and VaR statistics as measures of market exposure; the contingent-claims approach as the most promising measure of credit risk exposure; and a VaR statistic as a measure of liquidity risk.