Recent Submissions

  • Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model

    Grillini, S.; Ozkan, A.; Sharma, Abhijit; Al Janabi, M.A.M. (2019)
    This paper investigates time-varying characteristics of illiquidity and the pricing of its risk using a liquidity-adjusted capital asset pricing model (L-CAPM). Collecting data from a pool of Eurozone countries between 1990 and 2018, we employ Markov switching models to assess the degree of persistence of illiquidity shocks. Contrary to prior research, which largely makes use of autoregressive (AR) processes, we provide strong evidence that illiquidity is time-varying and the persistence of shocks determines two distinct regimes characterised by high and low illiquidity. We assess pricing of illiquidity risk by developing and empirically testing a conditional L-CAPM model, where different regimes constitute priced risk factors for the cross-section of stock returns. We extend previous unconditional versions of L-CAPM models and we show that the various channels through which illiquidity affects asset returns and price of risks are time-varying. We find strong support for our conditional L-CAPM and our results are robust to alternative specifications and estimation techniques. These findings have important implications for portfolio management practices and are relevant to portfolio and risk managers and regulatory institutions.
  • Is Radiative Forcing Cointegrated with Temperature? A Further Examination Using a Structural Time Series Approach

    Balcombe, K.; Fraser, I.M.; Sharma, Abhijit (2019)
    This paper re-examines the long-run relationship between radiative forcing (including emissions of carbon dioxide, sulphur oxides, methane, and solar radiation) and temperatures from a structural time series modeling perspective. We assess whether forcing measures are cointegrated with global temperatures using the structural time series approach.
  • Role of big data and social media analytics for business to business sustainability: A participatory web context

    Sivarajah, Uthayasankar; Irani, Zahir; Gupta, S.; Mahroof, Kamran (2019)
    The digital transformation is an accumulation of various digital advancements, such as the transformation of the web phenomenon. The participatory web that allows for active user engagement and gather intelligence has been widely recognised as a value add tool by organisations of all shapes and sizes to improve business productivity and efficiency. However, its ability to facilitate sustainable business-to-business (B2B) activities has lacked focus in the business and management literature to date. This qualitative research is exploratory in nature and fills this gap through findings arising from interviews of managers and by developing taxonomies that highlight the capability of participatory web over passive web to enable different firms to engage in business operations. For this purpose, two important interrelated functions of business i.e. operations and marketing have been mapped against three dimensions of sustainability. Consequently, this research demonstrates the ability of big data and social media analytics within a participatory web environment to enable B2B organisations to become profitable and remain sustainable through strategic operations and marketing related business activities. The research findings will be useful for both academics and managers who are interested in understanding and further developing the business use of participatory web tools to achieve business sustainability. Hence, this may be considered as a distinct way of attaining sustainability.
  • Achieving Agility in Evacuation Operations: An Evidence-Based Framework

    Rodríguez-Espíndola, O.; Despoudi, S.; Albores, P.; Sivarajah, Uthayasankar (2019)
    There is an agreement among European countries about the need to achieve efficient, effective and responsive evacuations as part of disaster management. Evacuations face uncertain and dynamic conditions, which often challenge the expectations at the planning stage. This research looks at the adoption of agility in evacuation operations. Managers involved in disaster operations in three countries were interviewed to identify current practices and needs during evacuations. This article looks at the potential of beneficiary engagement, staff and information, cooperation, and fitness for change to incorporate agile practices at each one of the stages of evacuation planning. The purpose is to provide an Agile Evacuation Operations (AEO) evidence-based framework to inform theory and practice. The analysis provided shows that along with current practices it is important to engage the beneficiaries more closely, empower and train the staff to react to unexpected conditions, and take advantage of local knowledge to enhance operations.
  • B2B brands on Twitter: Engaging users with a varying combination of social media content objectives, strategies, and tactics

    Juntunen, M.; Ismagilova, Elvira; Oikarinen, E.-L. (2019)
    The objective of this research is to increase understanding about B2B company-led user engagement on social media content. Building on hierarchy-of-effects (HoE) theory, we explore how the world’s leading B2B companies use content objectives (why), strategies (how), and tactics (what) on Twitter. We first integrate B2B advertising and social media research on companies’ content objectives, strategies, and tactics. Then, using qualitative analyses, we examine the existence of objectives, strategies, and tactics in the most engaging tweets (N=365) of the worlds’ ten leading B2B brands, covering five industries, in 2017. Finally, we quantitatively examine how the use of diverse objectives and strategies differs between the most engaging tweets (N=318) and least engaging tweets (N=229) of the companies in 2018. The companies use objectives, strategies and tactics that relate to creating awareness, knowledge and trust, interest, and liking in the majority of their most and least engaging tweets, and express preference, conviction and purchase aspects much less. Differences exist in general, industry-wise, and company-wise. The study is a rare attempt to integrate the extant B2B advertising and social media research, and compare the most and least engaging B2B social media content.
  • Balancing Digital-By-Default with Inclusion: A Study of the Factors Influencing E-Inclusion in the UK

    Al-Muwil, A.; Weerakkody, Vishanth J.P.; El-Haddadeh, R.; Dwivedi, Y. (2019)
    Digital inclusion research has been critically important in drawing an understanding of how policies, society, organisations, and information technologies can all come together within a national environment that aspires to be a digital nation. This research aims to examine the factors influencing e-Inclusion in the UK within a digital-by-default policy for government services. This study is pursued through combining the Decomposed Theory of Planned Behaviour (DTPB) with Use and Gratification Theory (U&G) and conducting a self-administered survey targeting 510 Internet users to study the level of citizens engagement with e-government services in the UK. By incorporating gratification, trust, risk and external factors (i.e. self-efficacy, accessibility, availability, affordability) within DTPB, the proposed model of e-Inclusion used in the paper demonstrates a considerable explanatory and predictive power and offers a frame of reference to study the acceptance and usage of e-government within a national context where nearly all government transactions are digital-by-default. The findings revealed six dimensions as key inhibitors for e-Inclusion, namely: demographic, economic, social, cultural, political, and infrastructural.
  • Live football and tourism expenditure: match attendance effects in the UK

    Sharma, Abhijit; Rudkin, S. (2019-04)
    The inbound tourist expenditure generating role of football (soccer), particularly the English Premier League 15 (EPL) is evaluated. An enhanced economic and management understanding of the role of regular sporting fixtures emerges, as well as quantification of their impact. Expenditure on football tickets is isolated to identify local economic spillovers outside the stadium walls. Using the UK International Passenger Survey, unconditional quantile regressions (UQR) is used to evaluate the distributional impact of football attendance on tourist expenditures. Both total expenditure and a new measure which adjusts expenditures for football ticket prices are considered. UQR is a novel technique which is as yet underexploited within sport economics and confers important methodological advantages over both OLS and quantile regressions. Significant cross quantile variation is found. High spending football fans spend more, even after ticket prices are excluded. Surprisingly, spending effects owing to attendance are strongest for those who overall spend the least, confirming the role of sport as a generator of tourist expenditure unlike most others. Though the attendance effect is smaller for higher aggregate spenders, there is nevertheless a significant impact across the distribution. Distributional expenditure impacts highlight clear differentials between attendance by high and low spenders. Similar analysis is applicable to other global brands such as the National Football League (NFL) in the United States (American football) and the Indian Premier (cricket) League. The EPL’s global popularity can be leveraged for achieving enhanced tourist expenditure.
  • Institutional voids, international learning effort and internationalization of emerging market new ventures

    Adomako, Samuel; Amankwah-Amoah, J.; Dankwah, G.O.; Danso, A.; Donbesuur, F. (2019)
    Much of the existing scholarly works portray institutional voids (IVs) in emerging economies as impeding forces against the development of new ventures. However, little attention has been paid to how such voids generate positive outcomes in emerging market new ventures. Drawing on the institutional theory, we propose IVs as crucial enablers of new venture internationalization. In addition, we investigate both how and when IVs enhance the degree to which new ventures internationalize by examining international learning effort (ILE) as a mediator and two domestic market environmental factors (i.e., environmental dynamism and competitive intensity) as important contingencies. We test our moderated mediation model using primary data gathered from 211 new ventures from Ghana. We found that ILE mediates the relationship between IVs and new venture internationalization and that both environmental dynamism and competitive intensity moderate the indirect relationship between home-country IVs and new venture internationalization. We discuss the theoretical and practical implications of this study.
  • Factors contributing to the strength of national patent protection and enforcement after TRIPS

    Papageorgiadis, Nikolaos; Wang, Chengang; Magkonis, Georgios (2019)
    In this paper we study the determinants of the strength of patent enforcement in 43 member countries of the World Trade Organization (WTO) between 1998 and 2011, a period after the signing of the Trade-Related Aspects of Intellectual Property Rights (TRIPS) agreement. We do so by building on and expanding the seminal work of Ginarte and Park (1997) on the pre-TRIPS determinants of patent rights in the years 1960-1990. We find that in the years after TRIPS was signed, the strength of patent enforcement of a country is positively determined by two variables that signify the usage of the patent and intellectual property system, and the number of patent and trademark applications. We also find that the level of research and development expenditure, the quality of human capital, and the level of development of a country have positive effects on the strength of the enforcement of patent law in practice. Intellectual property rights enforcement is one of the key investment-related policies included in the United Nations Conference on Trade and Development (UNCTAD) Investment Policy Framework for Sustainable Development. Identifying the determinants of strong patent systems will help policymakers at the national and supranational levels to design and implement effective policies that strengthen national patent systems, thereby enhancing economic benefits such as greater levels of commercialization of intangible assets and greater levels of international trade and investment.
  • Testing the predictive ability of corridor implied volatility under GARCH models

    Lu, Shan (2019)
    This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid options in the tails of the risk-neutral distribution. By adding CIV measures to the modified GARCH specifications, the out-of-sample predictive ability of CIV is measured by the forecast accuracy of conditional volatility. It finds that the narrowest CIV measure, covering about 10% of the RND, dominate the 1-day ahead conditional volatility forecasts regardless of the choice of GARCH models in high volatile period; as market moves to non volatile periods, the optimal width broadens. For multi-day ahead forecasts narrow and mid-range CIV measures are favoured in the full sample and high volatile period for all forecast horizons, depending on which loss functions are used; whereas in non turbulent markets, certain mid-range CIV measures are favoured, for rare instances, wide CIV measures dominate the performance. Regarding the comparisons between best performed CIV measures and two benchmark measures (market volatility index and at-the-money Black–Scholes implied volatility), it shows that under the EGARCH framework, none of the benchmark measures are found to outperform best performed CIV measures, whereas under the GARCH and NAGARCH models, best performed CIV measures are outperformed by benchmark measures for certain instances.
  • Forecasting the term structure of volatility of crude oil price changes

    Balaban, E.; Lu, Shan (2016-04)
    This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.
  • The effects of stakeholder integration on firm-level product innovativeness: insights from small and medium-sized enterprises in Ghana

    Adomako, Samuel; Amankwah-Amoah, J.; Danso, A. (2019)
    In spite of growing research on the influence of external stakeholders on firm outcomes, there is a paucity of research on how they influence innovation in emerging economies. In addition, the specific environmental factors that may influence the effect of stakeholder integration (SI) on firm innovation is less understood. Using data collected from 248 small and medium-sized enterprises (SMEs) in Ghana, this paper develops and tests a model that examines the relationship between SI and firm-level product innovativeness. The findings from the study indicate SI positively relates to product innovativeness. Moreover, under conditions of higher competitor pressure and greater customer expectations, the effect of SI on product innovativeness is amplified. Contributions for theory and practice are discussed.
  • Would two-stage scoring models alleviate bank exposure to bad debt?

    Abdou, H.A.; Mitra, S.; Fry, J.; Elamer, Ahmed A. (2019-08-15)
    The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic regression, multi-layer feed-forward neural network and probabilistic neural network are used in building credit scoring models for the Indian banking sector. Notably actual misclassification costs are analysed in preference to estimated misclassification costs. Our first-stage scoring models show that sophisticated credit scoring models, in particular probabilistic neural networks, can help to strengthen the decision-making processes by reducing default rates by over 14%. The second-stage of our analysis focuses upon the default cases and substantiates the significance of the timing of default. Moreover, our results reveal that State of residence, equated monthly instalment, net annual income, marital status and loan amount, are the most important predictive variables. The practical implications of this study are that our scoring models could help banks avoid high default rates, rising bad debts, shrinking cash flows and punitive cost-cutting measures.
  • Environmental sustainability orientation and performance of family and nonfamily firms

    Adomako, Samuel; Amankwah-Amoah, J.; Danso, A.; Konadu, R.; Owusu-Agyei, S. (2019)
    Despite the growing research evidence on the effect of environmental sustainability orientation (ESO) on firm outcomes, contingent factors that may influence the strength of this relationship have received little scholarly attention. In this study, we use insights from the literature on ESO and family business to introduce family status and firm age as moderators in the ESO-performance linkage. Using time-lagged data from 253 small and medium-sized enterprises (SMEs) in Ghana, we found the impact of ESO on firm performance is amplified for nonfamily firms but not significant for family firms. Our evidence suggests it is stronger among older firms than younger ones. Implications and directions for future research are discussed.
  • Making sense of rework and its unintended consequence in projects: the emergence of uncomfortable knowledge

    Love, P.E.D.; Smith, J.; Ackermann, F.; Irani, Zahir (2019-04)
    To make sense of the rework phenomena that plagues construction projects a longitudinal exploration and mixed-method approach was undertaken to understand its causal setting and why it remained an on-going issue for organizations contracted to deliver an asset. The research reveals that rework was an zemblanity (i.e., being an unpleasant un-surprise) that resulted in: (1) project managers ignoring established organisation-wide procedures and, at their discretion, amend them to suit their own goals while denouncing the importance of recording and learning from non-conformances; (2) a deficiency of organisational controls and routines to contain and reduce rework; and (3) an absence of an organisation-project dyad that supported and promoted an environment of psychological safety. A new theoretical conceptualization of error causation that is intricately linked to rework and safety incidents is presented. The research provides managers with ‘uncomfortable knowledge’, which is needed to provide insights into the determinants of rework that form part of their everyday practice.
  • The effect of ad smiles on consumer attitudes and intentions: influence of model gender and consumer gender

    Trivedi, Rohitkumar; Teichert, T. (2019-06)
    Firms widely use smiling models to create a positive background setting for advertisements. This study assesses the various effects of smiling in print advertisements across different stages of consumer decision-making, while also considering interaction effects between the genders of models and viewers. Empirical evidence comes from 175,647 consumer evaluations of 421 real advertisements across a broad spectrum of product categories (22). Beyond gender, a smiling model not only effects a positive attitude change but also influences a product's integration into a relevant set and a consumer's purchase intention. For female consumers, a smiling model of the same gender exerts a greater influence on positive brand attitude change and on purchase intention. Advertisers should avoid using non-smiling male models when targeting female consumers. In contrast, smiling models of both genders can positively influence male consumer reaction, while use of a female model should be avoided during the early stages.
  • Rescaling-contraction with a lower cost technology when revenue declines

    Adkins, Roger; Paxson, D. (2019)
    A mature oil field rescaled contraction describes a switch to a technological alternative more appropriate for the depleted state of an underlying resource. Off-shore oil rigs are an illustration, since the original technological scale designed for very large output flows becomes inappropriate as the operational efficiency declines later in life and facing a dwindling output flow, so a more appropriate extraction technology becomes economic. A real option representation is formulated on a stochastic oil price and deteriorating output volume. We consider investment/divestment decisions both separately, and jointly, which have different implications for government policies and also option values. The resulting model yields analytical (or semi-analytical) results indicating that immediate switching to the lower cost technology could sometimes be hastened as the price volatility increases, depending on the current revenue, if divestment and switching are considered jointly. However, greater volatility could also promote hysteresis.
  • The Influence of Institutional and Conductive Aspects on Entrepreneurial Innovation: Evidence from GEM Data

    Arabiyat, T; Mdanat, M; Haffar, Mohamed; Ghoneim, A; Arabiyat, O (2019)
    Purpose – The main purpose of this study is to improve the understanding of how different aspects of the national institutional environment may influence the level of innovative entrepreneurial activity across countries. Several institutional and conductive factors affecting a country’s capacity to support innovative entrepreneurship is explored. Design/methodology/approach – Institutional theory is used to examine the national regulatory, normative, cognitive, and conducive aspects that measure a country's ability to support innovative entrepreneurship. A cross-national institutional profile is constructed to validate an entrepreneurial innovation model. The impact of country-level national institutions on innovative entrepreneurial activity as measured by Global Entrepreneurship Monitor (GEM) data is assessed through structural equation modeling (SEM). Findings – Knowledge about the influence of specific institutional aspects on innovative entrepreneurship, and hence of institutional structures within and across countries, is enhanced. For new innovative enterprises, conductive and regulatory aspects seem to matter most. All conductive factors have a significant and positive impact on entrepreneurial activity rates. Research limitations/implications – Results could support policy makers and practitioners in evaluating government policies’ effect on innovative entrepreneurship. Interventions should target both individual attributes and context. Future research could include longitudinal designs to measure the direction of causality. Practical implications – Aspects such as regulatory institutions, and conductive factors such as ICT use and technology adoption, are important for innovation entrepreneurship development.

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