International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Empirical study of exchange rates in Brazil, Canada and the Caribbean

This dissertation examines the monetary models of exchange rate determination for Brazil, Canada, and two countries in the Caribbean, namely, the Dominican Republic and Jamaica. With the exception of Canada, the others adopted the floating regime during the past ten years.^ The empirical validity of four seminal models in exchange rate economics were determined. Three of these models were entirely classical (Bilson and Frenkel) or Keynesian (Dornbusch) in nature. The fourth model (Real Interest Differential Model) was a mixture of the two schools of economic theory.^ There is no clear empirical evidence of the validity of the monetary models. However, the signs of the coefficients of the nominal interest differential variable were as predicted by the Keynesian hypothesis in the case of Canada and as predicted by the Chicago theorists in the remaining countries. Moreover, in case of Brazil, due to hyperinflation, the exchange rate is heavily influenced by domestic money supply.^ I also tested the purchasing power parity (PPP) for this same set of countries. For both the monetary as well as the PPP hypothesis, I tested for co-integration and applied ordinary least squares estimation procedure. The error correction model was also used for the PPP model, to determine convergence to equilibrium.^ The validity of PPP is also questionable for my set of countries. Endogeinity among the regressors as well as the lack of proper price indices are the contributing factors. More importantly, Central Bank intervention negate rapid adjustment of price and exchange rates to their equilibrium value. However, its forecasting capability for the period 1993-1994 is superior compared to the monetary models in two of the four cases.^ I conclude that in spite of the questionable validity of these models, the monetary models give better results in the case of the "smaller" economies like the Dominican Republic and Jamaica where monetary influences swamp the other determinants of exchange rate. ^

A Historical Perspective of Employee Engagement: An Emerging Definition

This paper explores the development of employee engagement through a historical perspective lens. Using a structured literature review, seminal works are identified and reviewed. A working definition is proposed.

The Chef In Society: Origins And Development

In his discourse - The Chef In Society: Origins And Development - Marcel R. Escoffier, Graduate Student, School of Hospitality Management at Florida International University, initially offers: “The role of the modern professional chef has its origins in ancient Greece. The author traces that history and looks at the evolution of the executive chef as a manager and administrator.” “Chefs, as tradespersons, can trace their origins to ancient Greece,” the author offers with citation. “Most were slaves…” he also informs you. Even at that low estate in life, the chef was master of the slaves and servants who were at close hand in the environment in which they worked. “In Athens, a cook was the master of all the household slaves…” says Escoffier. As Athenian influence wanes and Roman civilization picks-up the torch, chefs maintain and increase their status as important tradesmen in society. “Here the first professional societies of cooks were formed, almost a hierarchy,” Escoffier again cites the information. “It was in Rome that cooks established their first academy: Colleqium Coquorum,” he further reports. Chefs, again, increase their significance during the following Italian Renaissance as the scope of their influence widens. “…it is an historical fact that the marriage of Henry IV and Catherine de Medici introduced France to the culinary wonders of the Italian Renaissance,” Escoffier enlightens you. “Certainly the professional chef in France became more sophisticated and more highly regarded by society after the introduction of the Italian cooking concepts.” The author wants you to know that by this time cookbooks are already making important inroads and contributing to the history of cooking above and beyond their obvious informational status. Outside of the apparent European influences in cooking, Escoffier also ephemerally mentions the development of Chinese and Indian chefs. “It is interesting to note that the Chinese, held by at least one theory as the progenitors of most of the culinary heritage, never developed a high esteem for the position of chef,” Escoffier maintains the historical tack. “It was not until the middle 18th Century that the first professional chef went public. Until that time, only the great houses of the nobility could afford to maintain a chef,” Escoffier notes. This private-to-public transition, in conjunction with culinary writing are benchmarks for the profession. Chefs now establish authority and eminence. The remainder of the article devotes itself to the development of the professional chef; especially the melding of two seminal figures in the culinary arts, Cesar Ritz and August Escoffier. The works of Frederick Taylor are also highlighted.

Airline Deregulation, Computerized Reservation Systems, and Travel Agents

With the beginning of airline deregulations in 1978, U.S. domestic operations were in for a period of turmoil, adjustment, vibrancy, entrepreneurship, and change. A great deal has been written about the effects of deregulation on airlines and their personnel, and on the public at large. Less attention has been paid to the effects on travel agents and on the seminal role of computerized reservations systems (CRSs) in the flowering of travel agencies. This article examines both of these phenomena.