{"title":"In Search of Concepts: The Effects of Speculative Demand on Returns and Volume","authors":"Owain ap Gwilym, I. Hasan, Qingwei Wang, Ru Xie","doi":"10.2139/ssrn.2291837","DOIUrl":"https://doi.org/10.2139/ssrn.2291837","url":null,"abstract":"Using a novel proxy of investors' speculative demand constructed from online search interest in \"concept stocks\", we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous speculative demand. In addition, the high speculative demand causes lower near future returns, while recent high past returns cause the high speculative demand. Moreover, the speculative demand explains more variation in returns and trading volume of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the attention theory of Barber and Odean (2008). Keywords: Investor Attention, Speculative Demand, Concept Stock, Market Returns, Trading Volume JEL: G02, G12, G14","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123938890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Business Models and Social Entrepreneurship","authors":"M. Pirson","doi":"10.1002/9781118524015.CH4","DOIUrl":"https://doi.org/10.1002/9781118524015.CH4","url":null,"abstract":"The financial crisis of 2007/08 has caused many to question the basic premises of the current business system and the financial service industry in particular. In a recent article, Michael Porter and Mark Kramer suggest that corporations should aim to regain legitimacy by pursuing shared value rather than mere financial value. Specifically, they suggest that managers look at the field of social entrepreneurship to learn how such shared value can be created. In this article I present the concept of social entrepreneurship and introduce two areas in which social entrepreneurs have created novel business models: micro-finance and social impact investing. I analyze what lessons can be learned for shared value creation for the financial industry as a whole and those interested in socially responsible finance. I conclude with the presentation of caveats.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126089074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Social Entrepreneurs as the Paragons of Shared Value Creation? A Critical Perspective","authors":"M. Pirson","doi":"10.2139/ssrn.1753908","DOIUrl":"https://doi.org/10.2139/ssrn.1753908","url":null,"abstract":"– The financial crisis of 2007/2008 has caused many to question the basic premises of the current business system. Porter and Kramer suggest that the purpose of the corporation needs to be redefined. They posit that the corporation, rather than merely pursuing financial value creation set out to pursue shared value creation. They further declare social entrepreneurs the paragons of said shared‐value creation. The purpose of this paper is to explore that claim., – This paper critically analyzes the pathway of shared‐value creation in three leading social enterprises employing a genealogical perspective., – It is found that very innovative shared‐value creating ventures opted out of balance‐oriented, shared‐value creation strategies and embraced either financial or social‐value primacy strategies over time. The findings thus question the power of the shared‐value creation notion when viewed as balance orientation., – The paper presents a new concept, a new methodology, and interesting case studies.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129756989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Paanwallahs – The Indigenous and Dynamic Retailers of India","authors":"Abhijit Sarkar","doi":"10.2139/SSRN.1914611","DOIUrl":"https://doi.org/10.2139/SSRN.1914611","url":null,"abstract":"India is taking giant steps towards becoming a developed economy from an under developed economy and to achieve this objective one of the most important and focus area is the retail industry of India. The government of India has been opening up its retail industry for foreign players in a phased manner.The retail industry can be divided into two categories organized and unorganized sector. Though as Indians we are now used to malls, super markets, hyper markets but it’s really surprising to know that out of the total retail industry in India, roughly organized retail is only a mere 4%, and rest 96% is unorganized. This shows the potential that this industry carries with self, in properly channelized then can do wonders for India’s growth.This report is mainly focused on one of the forms of unorganized retail, i.e. the ‘paanwallah shops’; sellers of betel leaves. This is a form of traditional retail and in spite of strong cultural background; this unique stores are changing with time mainly because of various changes in the environment in which they operate. But this form of retailing is still one of the most common in India. On an average in India one can find at least 2-3 paan shop in a small locality.This study tries to find out about these Paanwallahs, and tried to answer few questions as to how this business is carried out, how these retailers are still sustaining, etc. For this study an interview guide has been prepared and a survey was conducted among different Paanwallahs of Kolkata (India), and accordingly conclusions were drawn.This study is going to help in getting an insight of this traditional retail format and to understand where they actually stand in this highly competitive environment.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125377960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Humanistic Management Education – Concluding Observations and Suggestions","authors":"M. Pirson, W. Amann","doi":"10.2139/ssrn.1730383","DOIUrl":"https://doi.org/10.2139/ssrn.1730383","url":null,"abstract":"For some time now, managers have been criticized for short-term oriented decision making and putting profits before principles. The financial crisis of 2007/08 has completely undermined faith in managerial decision making. Since many current managers were educated in business schools it is warranted to scrutinize these schools more closely. This book has done so by summarizing the current criticisms of business schools. This scrutiny, however, only represents the first step. The much more relevant and path-breaking step is to actually propose a workable alternative conception of management education. We argue that this book presents a holistic perspective in a rather piecemeal debate. In the following, we wish to therefore briefly summarize the books' main lessons and put them in a wider perspective on the future of management education. To do so, we outline a new paradigm for business and management in which the alternative management education needs to be placed. We further make very concise suggestions in terms of an alternative curriculum and setup of Humanistic Business Schools (HUBS). Finally, we wish to invite you to join us on the quest for a better, more sustainable, more human management education.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130480452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"What is Business Organizing for? – The Role of Business in Society Over Time","authors":"M. Pirson","doi":"10.2139/ssrn.1601644","DOIUrl":"https://doi.org/10.2139/ssrn.1601644","url":null,"abstract":"The purpose of business is a much contested issue. In this paper, I offer a review of the historical development of the role of business in society and examine the general arguments for different perspectives. From an Aristotelian to a Smithian view of the role of business to the more recent discourse on shareholder value maximization and stakeholder value generation. Going beyond that discussion, I am presenting alternative conceptualizations that might help redirect the discussion of what business should be organizing for.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133955585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Pricing the US Residential Asset Through the Rent Flow: A Cross-Sectional Study","authors":"G. Goswami, Sinan Tan","doi":"10.2139/ssrn.1488963","DOIUrl":"https://doi.org/10.2139/ssrn.1488963","url":null,"abstract":"The paper explores how the standard consumption-CAPM fares in pricing housing returns and regional rental income streams in a cross-section of regions. In particular, we estimate the Euler equations associated with the gross housing returns inclusive of price appreciations and rents jointly for several metropolitan areas of the US. The representative agent has a Constant Relative Risk Aversion (CRRA) utility. The rent growth is allowed to depend on the business cycle. When biannual data from 1978 to 2007 is used, the parameter estimates are reasonable, and the model is not rejected. Large standard errors indicate uninformative estimates. The implied price rent ratio time series averages are similar to the data; however the model misses the boom-bust pattern in the prices. The model significantly understates the average and the variance of the price appreciations. Results are robust to allowing housing consumption directly in the utility function or using the Epstein–Zin–Weil utility.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127569653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Do Redemption Fees Hurt Long-Term U.S. Mutual Fund Investors?","authors":"A. Lynch, Sinan Tan","doi":"10.2139/ssrn.1135837","DOIUrl":"https://doi.org/10.2139/ssrn.1135837","url":null,"abstract":"Redemption fees have been proposed as a way to curb trading on stale prices by short-horizon investors to make profits at the expense of long-horizon investors who only trade to rebalance back to their optimal allocations. For redemption fees to be a viable device to curb stale price trading, they must have a negligible impact on the utility of these long-horizon agents. To assess this impact, we examine how the imposition of redemption fees affects the utility of long-horizon agents, allowing for the possibility that the long-horizon investors are rebalancing to take advantage of return predictability. Restricting the imposition of the fee to sales of shares purchased within 6 months, the utility cost of the redemption fee is never more than 0.12% of wealth when returns are i.i.d. and never more than 0.54% of wealth when returns are predictable. These utility costs are very small. For redemption fees to be a viable device to curb stale price trading, they must also be large enough to deter short-horizon investors from taking advantage of the stale prices. We find that they are, based on the documented profitability of such strategies, at least for the typical domestic fund and for the typical large capitalization domestic fund.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130969103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Does Geography Matter to Bondholders?","authors":"Bill Francis, Maya Waisman, I. Hasan","doi":"10.2139/ssrn.962888","DOIUrl":"https://doi.org/10.2139/ssrn.962888","url":null,"abstract":"We find that the location of corporate headquarters significantly affects the firm's bondholders. Similar to Loughran and Schultz (2006) and others, who show that investors are better able to obtain information on nearby companies, we look at firms located in large metropolitan cities, small cities, and rural areas and find that firms located in remote rural areas exhibit significantly higher costs of debt capital (of up to 65 basis points) in comparison to their urban counterparts. Unlike other studies that focus on the role of information asymmetries in the local bias of investors and decision makers, we are able to show that firms in remote areas experience greater costs of debt capital primarily because of a greater difficulty of monitoring their activities. We find that the adverse impact of bad corporate governance on bondholders is magnified in geographically remote firms, primarily because geographic distance reduces the effectiveness of external monitoring. Consistent with that, we show that in the private placement market, where firms are closely monitored by institutional investors, location plays no role in explaining the cross-sectional variation in the cost of debt capital across companies. We also find that the passage of the 2002 Sarbanes-Oxley Act, which brought about regulatory improvements in monitoring and governance, significantly reduced the agency costs of debt in rural firms. Taken together, our results indicate that the firm's information environment interacts with the impact of corporate governance, particularly affecting the effectiveness of external monitoring in alleviating agency problems between insiders and debt holders.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"266 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117105102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR","authors":"Turan G. Bali, Henry Mo, Yi Tang","doi":"10.2139/ssrn.928290","DOIUrl":"https://doi.org/10.2139/ssrn.928290","url":null,"abstract":"This paper investigates the role of high-order moments in the estimation of conditional value at risk (VaR). We use the skewed generalized t distribution (SGT) with time-varying parameters to provide an accurate characterization of the tails of the standardized return distribution. We allow the high-order moments of the SGT density to depend on the past information set, and hence relax the conventional assumption in conditional VaR calculation that the distribution of standardized returns is iid. The maximum likelihood estimates show that the time-varying conditional volatility, skewness, tail-thickness, and peakedness parameters of the SGT density are statistically significant. The in-sample and out-of-sample performance results indicate that the conditional SGT-GARCH approach with autoregressive conditional skewness and kurtosis provides very accurate and robust estimates of the actual VaR thresholds.","PeriodicalId":113288,"journal":{"name":"Gabelli School of Business","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123725954","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}