Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods

In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.

Spatial linkages among Australian construction markets

The linkages among different construction markets have recently attracted much attention from construction economists. The interactions among regional construction markets have been discussed in a few studies, most of which have been carried out by using input-output methods, and none of them investigated spatial effects on the regional construction markets. This study employed spatial econometric techniques, including spatial autocorrelation and convergence tests, to analyse interactions and linkages among construction price indices in Australian six states and two territories. The empirical results indicate the presence of significant positive spatial correlation among the construction prices in Australian eight construction markets and the degree of dependence decreasing sufficiently quickly as the space between regions increases. The results of convergence test further provide evidence of existence of a ripple effect in construction prices among the Australian regional markets and the changes in construction prices in a state would first positively influence neighbouring states, and then spread out into other non-neighbouring states or territories.

Housing markets with foreign buyers

There are cities in the world which have experienced substantial numbers of foreign buyers in the local housing markets, thereby pushing up the real estate prices to the levels beyond the affordability of local residents. To suppress foreign influences in the forming of housing bubbles, governments have resorted to short-term measures of stamp duty or raising the duty rate for non-local buyers, increasing down payments and restricting or even forbidding non-local purchases. These new measures may help contain the demand for housing, but short of being the first-best optimal housing policy for an open economy with significant non-local and foreign buyers. We argue that the first-best policy is to tax non-local and foreign buyers and then use the tax revenue generated to subsidize domestic low- and middle-income buyers. The optimal tax rate under this compensated scheme is smaller than the tax rate under the lump-sum transfer of tax revenue to all residents. © 2014 Springer Science+Business Media New York.

Investigation of hybrid ion-exchange membranes reinforced with non-woven metal meshes for electro-dialysis applications

Salt and solvent permeations across ion-exchange membranes used in electro-dialysis are directly related to the membrane material structure and chemistry. Although primarily used for aqueous effluents desalination, electro-dialysis was recently shown to be a promising technology for industrial wastewater and co-solvent mixtures purification. The harsh working conditions imposed by these liquid effluents, including high suspended solids, require the development of more chemically and mechanically resistant membranes. In this study, commercial porous stainless steel media filters (240 μm thick) were used as a backbone to prepare hybrid ion-exchange membranes by casting ion-exchange materials within the porous metal structure. The surface of the metal reinforcements was modified by plasma treatment prior to sol-gel silane grafting to improve the interface between the metal and the ion-exchange resins. The morphology of novel hybrid materials and the interface between the metal fibers and the ion-exchange material have been characterized using techniques such as scanning electron microscopy and FTIR mapping. The thickness of the silane coating was found to lie between 1 and 2 μm while water contact angle tests performed on membrane surfaces and corrosion test behaviors revealed the formation of a thin passivating oxide layer on the material surfaces providing anchoring for the silane grafting and adequate surface energy for the proper incorporation of the ion-exchange material. The hybrid membranes desalination performance were then tested in a bench top electro-dialysis cell over a range of flow rate, current densities and salt concentration conditions to evaluate the ability of the novel hybrid materials to desalinate model streams. The performance of the hybrid membranes were benchmarked and critically compared against commercially available membranes (Selemion™). Although the salt transfer kinetics across the hybrid ion-exchange composite membranes were shown to be comparable to that of the commercial membranes, the low porosity of the stainless steel reinforcements, around 60%, was shown to impede absolute salt permeations. The hybrid ion-exchange membranes were however found to be competitive at low current density and low flow velocity desalination conditions.

Investigation of hybrid ion-exchange membranes reinforced with non-woven metal meshes for electro-dialysis applications

Salt and solvent permeations across ion-exchange membranes used in electro-dialysis are directly related to the membrane material structure and chemistry. Although primarily used for aqueous effluents desalination, electro-dialysis was recently shown to be a promising technology for industrial wastewater and co-solvent mixtures purification. The harsh working conditions imposed by these liquid effluents, including high suspended solids, require the development of more chemically and mechanically resistant membranes. In this study, commercial porous stainless steel media filters (240. μm thick) were used as a backbone to prepare hybrid ion-exchange membranes by casting ion-exchange materials within the porous metal structure. The surface of the metal reinforcements was modified by plasma treatment prior to sol-gel silane grafting to improve the interface between the metal and the ion-exchange resins. The morphology of novel hybrid materials and the interface between the metal fibers and the ion-exchange material have been characterized using techniques such as scanning electron microscopy and FTIR mapping. The thickness of the silane coating was found to lie between 1 and 2. μm while water contact angle tests performed on membrane surfaces and corrosion test behaviors revealed the formation of a thin passivating oxide layer on the material surfaces providing anchoring for the silane grafting and adequate surface energy for the proper incorporation of the ion-exchange material. The hybrid membranes desalination performance were then tested in a bench top electro-dialysis cell over a range of flow rate, current densities and salt concentration conditions to evaluate the ability of the novel hybrid materials to desalinate model streams. The performance of the hybrid membranes were benchmarked and critically compared against commercially available membranes (Selemion™). Although the salt transfer kinetics across the hybrid ion-exchange composite membranes were shown to be comparable to that of the commercial membranes, the low porosity of the stainless steel reinforcements, around 60%, was shown to impede absolute salt permeations. The hybrid ion-exchange membranes were however found to be competitive at low current density and low flow velocity desalination conditions.

Boomerang effects of gambling warnings exposed to non-problem gamblers

Gambling is the most popular form of entertainment in most markets where it is legal. The
industry has embraced technology and is a growing category online and through mobile
platforms. Governments throughout the world worry about the product when gambling is
more widely available and more private to play. Warnings for problem gambling have long
been used in land-based gambling venues but online gambling often does not have this
remedy. In addition, non-problem gamblers make up about 99% of gamblers but little
research has tested their reaction to warnings. An online casino was developed to test
warnings and found that a significant proportion of non-problem gamblers gambled more
frequently after exposure to the warnings. Because increased frequency of gambling is one symptom of problem gambling, the implications of these findings are discussed in terms of future remedies for consumers that have problems with gambling products.

Controlling shareholder, expropriations and firm’s leverage decision: Evidence from Chinese Non-tradable share reform

This paper examines the effect of excess control rights on the leverage decisions made by Chinese non-SOEs before and after the Non-tradable share reform (NTS reform). We find that firms with excess control rights have more excess leverage and their controlling shareholders use the resources for tunneling rather than investing in positive NPV projects. We also find that excess leverage in firms with excess control rights decreases and the market reaction to announcements of related party transactions are more positive after NTS reform. This confirms that tunneling by the controlling shareholders actually reduced. We argue that in emerging markets where legal protection for creditors and shareholders is weak, controlling shareholders borrow excess debt to tunnel through inter-corporate loans and related party transactions. Furthermore the privatization of these economies can reduce the controlling shareholders' tunneling activities and associated excess leverage which destroys firm value.

Equity market price interactions between China and the other markets within the Chinese states equity markets

This study examines the cointegrating and long-term causal relationships of equity market prices in equity markets of Chinese states namely, Shanghai, Shenzhen, Hong Kong, Taiwan and Singapore. I cover the period between October 5, 1992 and March 20, 2006, taking into account both the Asian financial crisis and the opening-up of China’s equity markets in recent years. First, I analysis the cointegration by utilizing Johansen’s (1988) cointegration tests. I find that a long-term equilibrium relationship measured by cointegration has been established among Shanghai, Shenzhen, Hong Kong and Taiwanese markets and, to a lesser degree, between these markets and the Singapore market since 1998. Secondly, this study examines causality by exploring the bootstrapped Toda-Yamamoto non-causality tests. I find that there is strong evidence of a bi-directional causality between Shanghai and Shenzhen markets after 1998. Furthermore, I also find that there are more causal linkages between the Chinese states equity markets: two mainland Chinese markets, Hong Kong, Taiwan, and Singapore became more dependent on each other. The robustness of the above findings is confirmed by the use of a bootstrap test employed to test the validity of my results.

Are Chinese stock markets increasing integration with other markets in the greater China region and other major markets?

This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) and Johansen’s (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between
the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which covers the period since Chinese A-share market was opened to the Qualified Foreign Institutional Investors (QFII) in 2002. I also found that the Shanghai A-share market uni-directionally Granger-causes the other regional markets after the Asian financial crisis, while the A-share market and Hong Kong H-share market have had a significant feedback relationship since then. However, I found no evidence there has been cointegrating relationship between Shanghai B-share market and any other market ever since the B-share market was opened to the local retail investors in 2001.

Consumer reactions to corporate social responsibility (CSR) in Thailand: the moderating effect of competitive positioning

Purpose – The purpose of this paper is to understand the business case for corporate social responsibility (CSR) in Thailand by focusing on the consumer-organisational relationship and test the conceptual framework of Du et al. (2007). Design/methodology/approach – A quantitative study was conducted using a mall intercept survey of 184 Thai mobile phone service provider consumers in Bangkok, Thailand. Findings – A CSR emphasised brand is more likely than non-CSR emphasised brands to accrue consumer CSR awareness, positive attitude to company motivations and beliefs in the CSR of that company. Although beliefs are associated with consumers’ greater identification and advocacy behaviours towards the CSR emphasised brand than the non-CSR emphasised brands, they are not associated with loyalty. Practical implications – The paper provides potential guidance for companies to more effectively position and communicate their CSR activities to create differential advantages. Originality/value – Findings of the study demonstrate some support for a business case for CSR in Thailand.

Establishing insurance markets in settler economies. a comparison of Australian and South Africa insurance markets, 1820-1910

How did insurance markets in the settler economies of Australia and South Africa develop? This paper investigates the establishment of the local insurance industries in two settler economies in the wake of the absence of comparative studies in the emergence of insurance markets in the periphery. The paper compares conditions in these settler economies and notes the innovative role of local entrepreneurs. British insurance companies extended operations into the British colonies, but local interests emerged to challenge their dominance. Innovations in organisational form, product offerings and distribution channels afforded local entrepreneurs a competitive advantage in the life market. Collusion in the fire market restricted innovative practices and retained foreign control. This article explains the agency of local entrepreneurs in the emergence of insurance markets in two settler societies at the end of the nineteenth century. This historical development path has notable implications for the current development of insurance markets in Africa.

Inflation tax in the lab: a theoretical and experimental study of competitive search equilibrium with inflation

In this paper we measure the effect of the inflation tax on economic activity and welfare within a controlled setting.To do so,we develop a model of price posting and monetary exchange with inflation and finite populations.The model,which provides a game–theoreticfoundation to Rocheteau and Wright(2005)'s competitive search monetary equilibrium, is used to derive theoretical propositions regarding the effects of inflation in thisenvironment, which we test with a laboratory experiment that closely implements the theoretical framework.We find that the inflation tax is harmful – with cash holdings, production and welfare all falling as inflation rises – and that its effect is relatively larger at low inflation rates than at higher rates.For instance,for inflation rates between 0%and5%, welfare in the two markets we consider (2[seller] 2[buyer] and 3 2) falls by roughly 1 percent for each percentage–point rise in inflation, compared with 0.4 percent over the range from 5% to 30%.Our findings lead us to conclude that the impact of the inflation tax should not be underestimated, even under low inflation.

Bone density and neuromuscular function in older competitive athletes depend on running distance

UNLABELLED: Individuals who are involved in explosive sport types, such as 100-m sprints and long jump, have greater bone density, leg muscle size, jumping height and grip strength than individuals involved in long-distance running. INTRODUCTION: The purpose of this study is to examine the relationship between different types of physical activity with bone, lean mass and neuromuscular performance in older individuals. METHODS: We examined short- (n = 50), middle- (n = 19) and long-distance (n = 109) athletes at the 15th European Masters Championships in Poznań, Poland. Dual X-ray absorptiometry was used to measure areal bone mineral density (aBMD) and lean tissue mass. Maximal countermovement jump, multiple one-leg hopping and maximal grip force tests were performed. RESULTS: Short-distance athletes showed significantly higher aBMD at the legs, hip, lumbar spine and trunk compared to long-distance athletes (p ≤ 0.0012). Countermovement jump performance, hop force, grip force, leg lean mass and arm lean mass were greater in short-distance athletes (p ≤ 0.027). A similar pattern was seen in middle-distance athletes who typically showed higher aBMD and better neuromuscular performance than long-distance athletes, but lower in magnitude than short-distance athletes. In all athletes, aBMD was the same or higher than the expected age-adjusted population mean at the lumbar spine, hip and whole body. This effect was greater in the short- and middle-distance athletes. CONCLUSIONS: The stepwise relation between short-, middle- and long-distance athletes on bone suggests that the higher-impact loading protocols in short-distance disciplines are more effective in promoting aBMD. The regional effect on bone, with the differences between the groups being most marked at load-bearing regions (legs, hip, spine and trunk) rather than non-load-bearing regions, is further evidence in support of the idea that bone adaptation to exercise is dependent upon the local loading environment, rather than as part of a systemic effect.

Perspectives on social impact measurement and non-profit organisations

Purpose– Acknowledgement of the social impact created by organisations has become an increasingly frequent discussion among practitioners. The importance of such value creation cannot be understated, yet in an increasingly competitive funding environment, the need to articulate “true” value is paramount. The purpose of this paper is to examine how Australian and US managers of non-profit organisations (NPOs) and foundations view the measurement of the social impact of NPOs.Design/methodology/approach– The paper includes 19 in-depth interviews of non-profit professionals in the USA and Australia. Respondents included non-profit managers, foundation managers and consultants in both countries.Findings– The in-depth interviews found that in both countries respondents generally agreed that objective measures of impact are desirable, but recognised the difficulties in developing objective assessment frameworks enabling comparisons across the non-profit sector. These difficulties, as well as the implications for developing assessments of social value for NPOs, are discussed. This paper demonstrates that there is an opportunity to reposition reporting expectations. The NPO sector can pool together and build on each other’s strengths and market their outcomes as a collective entity. A sector-wide approach provides potential for much needed within-sector mentoring and will showcase the rich and varied outcomes generated by NPOs.Originality/value– This research compares viewpoints in two Western countries, thus offering at least an exploratory examination of social impact assessment from an international perspective. Additionally, this research shows commonalities in terms of what is valued and what is most difficult for non-profits when determining social impact.