A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

The determinants of the vertical boundaries of the construction firm

In the last few years, transaction cost economics has become a popular theory within the construction research community. This approach has been singularly applied as a means to explain and predict phenomena concerning the construction firm, including its vertical boundaries. However, this is at a time when the chief proponents of transaction costs are urging researchers to take a pluralistic stance in relation to the theory of the firm. The aim of this paper is to develop a pluralistic approach to the vertical boundaries of the construction firm. In order to achieve this, an integrative framework is described, based on the development of the efficient boundaries problem and the capabilities approach to vertical integration. Specifically, this framework draws on the complementary strengths of transaction cost economics and the resource-based view. It is concluded that the potential relative merits of theoretical pluralism, in terms of the vertical boundaries of the construction firm, are sufficient grounds to motivate empirical testing of the predictions associated with the integrative framework of vertical integration presented

IS/IT outsourcing practices of small- and medium-sized manufacturers

Firms began outsourcing information system functions soon after the inception of electronic computing. Extant research has concentrated on large organizations and large-valued outsourcing contracts from a variety of different industries. Smaller-sized firms are inherently different from their large counterparts. These differences between small and large firms could lead to different information technology/information system (IT/IS) items being outsourced and different outsourcing agreements governing these arrangements. This research explores and examines the outsourcing practices of very small through to medium-sized manufacturing organizations. The in-depth case studies not only explored the extent to which different firms engaged in outsourcing but also the nuances of their outsourcing arrangements. The results reveal that all six firms tended to outsource the same sorts of functions. Some definite differences existed, however, in the strategies adopted in relation to the functions they outsourced. These differences arose for a variety of reasons, including size, locality, and holding company influences. The very small and small manufacturing firms tended to make outsourcing purchases on an ad hoc basis with little reliance on legal advice. In contrast, the medium-sized firms often used a more planned initiative and sought legal advice more often. Interestingly, not one of the six firms outsourced any of their transaction processing. These findings now give very small, small-, and medium-sized manufacturing firms the opportunity to compare their practices against other firms of similar size.

Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.

Positioning terrorism in management and marketing: Research propositions

Terrorism poses both direct and indirect threats to the operations of the firm. It represents a market imperfection that increases transaction costs and creates barriers to the free flow of goods, affecting potential gains that would occur in the presence of unhindered exchange. Terrorism reflects the risk or actual encounter of violent acts, whose goal is to engender fear, coercion, or intimidation. We investigate terrorism and its association with marketing strategy and operations. Key concepts on terrorism are reviewed and a collection of propositions is offered. We highlight the pivotal roles of sourcing, production, distribution, pricing, communications, and general business strategy as functions influenced by, or capable of influencing, terrorism. Lastly, we offer managerial implications, as well as directions and guidelines for future research.

Understanding service experience in non-profit performing arts: Implications for operations and service management

Recent research in the non-profit performing arts has shown that marketing efforts designed to increase revenue from ticket sales are not achieving the results required to sustain the performing arts. This paper applies operations management analytical techniques to the non-profit performing arts to increase understanding of operational issues and inform service management strategy. The paper takes a two-study idiographic approach. Implementing a modified version of service transaction analysis (STA), Study One describes a performing arts service from provider and customer perspectives, identifies service gaps and develops an elaborated service description incorporating both perspectives. In Study Two, building on the elaborated service description and extant research, in-depth interviews are conducted to gather thick descriptions of predictors of satisfaction, value and service quality as they relate to repurchase intention (RI). Technical, functional and critical factors required to improve organizational performance are identified. Implications for operational strategy, service design and service management theory for this context are discussed. (c) 2005 Published by Elsevier B.V.

Water rights for variable supplies

The relative merits of different systems of property rights to allocate water among different extractive uses are evaluated for the case where variability of supply is important. Three systems of property rights are considered. In the first, variable supply is dealt with through the use of water entitlements defined as shares of the total quantity available. In the second, there are two types of water entitlements, one for water with a high security of supply and the other a lower security right for the residual supply. The third is a system of entitlements specified as state-contingent claims. With zero transaction costs, all systems are efficient. In the realistic situation where transaction costs matter, the system based on state-contingent claims is globally optimal, and the system with high-security and lower security entitlements is preferable to the system with share entitlements.

Development of a web-service-agents-based family wealth management system

The roiling financial markets, constantly changing tax law and increasing complexity of planning transaction increase the demand of aggregated family wealth management (FWM) services. However, current trend of developing such advisory systems is mainly focusing on financial or investment side. In addition, these existing systems lack of flexibility and are hard to be integrated with other organizational information systems, such as CRM systems. In this paper, a novel architecture of Web-service-agents-based FWM systems has been proposed. Multiple intelligent agents are wrapped as Web services and can communicate with each other via Web service protocols. On the one hand, these agents can collaborate with each other and provide comprehensive FWM advices. On the other hand, each service can work independently to achieve its own tasks. A prototype system for supporting financial advice is also presented to demonstrate the advances of the proposed Webservice- agents-based FWM system architecture.

National culture, trust and internet privacy concerns

A major inhibitor to e-commerce stems from the reluctance consumers have to complete transactions because of concern over the use of private information divulged in online transaction processing. Because e-commerce occurs in a global environment, cultural factors are likely to have a significant impact on this concern. Building on work done in the area of culture and privacy, and also trust and privacy, we explore the three way relationship between culture, privacy and trust. Better, more appropriate, and contemporary measures of culture have recently been espoused, and a better understanding and articulation of internet users information privacy concern has been developed. We present the results of an exploratory study that builds on the work of Milberg, Gefen, and Bellman to better understand and test the effect that national culture has on trust and internet privacy.

A web recommendation technique based on probabilistic latent semantic analysis

Web transaction data between Web visitors and Web functionalities usually convey user task-oriented behavior pattern. Mining such type of click-stream data will lead to capture usage pattern information. Nowadays Web usage mining technique has become one of most widely used methods for Web recommendation, which customizes Web content to user-preferred style. Traditional techniques of Web usage mining, such as Web user session or Web page clustering, association rule and frequent navigational path mining can only discover usage pattern explicitly. They, however, cannot reveal the underlying navigational activities and identify the latent relationships that are associated with the patterns among Web users as well as Web pages. In this work, we propose a Web recommendation framework incorporating Web usage mining technique based on Probabilistic Latent Semantic Analysis (PLSA) model. The main advantages of this method are, not only to discover usage-based access pattern, but also to reveal the underlying latent factor as well. With the discovered user access pattern, we then present user more interested content via collaborative recommendation. To validate the effectiveness of proposed approach, we conduct experiments on real world datasets and make comparisons with some existing traditional techniques. The preliminary experimental results demonstrate the usability of the proposed approach.

Towards user profiling for web recommendation

Collaborative recommendation is one of widely used recommendation systems, which recommend items to visitor on a basis of referring other's preference that is similar to current user. User profiling technique upon Web transaction data is able to capture such informative knowledge of user task or interest. With the discovered usage pattern information, it is likely to recommend Web users more preferred content or customize the Web presentation to visitors via collaborative recommendation. In addition, it is helpful to identify the underlying relationships among Web users, items as well as latent tasks during Web mining period. In this paper, we propose a Web recommendation framework based on user profiling technique. In this approach, we employ Probabilistic Latent Semantic Analysis (PLSA) to model the co-occurrence activities and develop a modified k-means clustering algorithm to build user profiles as the representatives of usage patterns. Moreover, the hidden task model is derived by characterizing the meaningful latent factor space. With the discovered user profiles, we then choose the most matched profile, which possesses the closely similar preference to current user and make collaborative recommendation based on the corresponding page weights appeared in the selected user profile. The preliminary experimental results performed on real world data sets show that the proposed approach is capable of making recommendation accurately and efficiently.

Reweaving the Silk Road through outsourcing and offshoring: The need for an externalisation theory

The reweaving and repaving of the modern Silk Road passes through outsourcing and offshoring activities that have a profound impact on both global business psyche and landscape. Firms, in particular, and their global value chain are being shaped and reshaped through a complex concoction of vertical integration and disintegration. The boundary of the firm and the firm/market interface has been of interest to students of organisation and economics for some time. It has provided the context for Internalisation Theory. Within the new economy, the twin trends of globalisation and advancing technologies are giving rise to a hitherto unknown “worldwide market for market transactions? and increased opportunities for international expansion by firms via market-based modes of organisation. We describe these trends and offer an early modeling approach for explaining why some firm’s externalise the marginal transaction in the so-called new economy. The paper further draws attention on the need to articulate an “Externalisation Theory? that adequately accounts for the firm’s offshoring and outsourcing activities, and that parallels as well as complement “Internalisation Theory? for a full explanation of today’s firms behaviour.