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    ABSTRACT: This paper develops an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability. Specifically, using the “spillover index” approach of Diebold and Yilmaz (2012), we modify and extend the financial stress indices proposed by Oet et al., 2011 to track both total and directional stress spillovers across the U.S. equity, debt, banking, and foreign exchange markets. Unlike other previous studies, the important linkages among these four major financial sectors in an interconnected world are directly taken into account by considering the average and time-varying connectedness of each individual market. The evidence suggests that there are important stress episodes and fluctuations across markets; the total cross-market stress spillovers were rather limited until the onsets of financial crises. As the crises intensified, so too did the financial stress spillovers; with significant stress carrying over from debt and equity markets to the others. In addition, our results indicate that FSSI has a significant predictive power for the economic activity and provides useful information for dating financial crisis.
    International Review of Financial Analysis 01/2014;
  • Journal of Health Services Research & Policy 06/2011; 16(4):245-6.
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    ABSTRACT: We construct a zero net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the naive investors with scores that are symmetric around the median. The score function thus constructed is invariant and robust to risk factor models. We find that the average scores of the momentum strategies are close to zero (the score of the median) and statistically insignificant over the sample period between 1926 and 2005, various sub-sample periods including the periods examined in (Jegadeesh and Titman, 1993) and (Jegadeesh and Titman, 2001). The findings are robust with respect to sampling or period-specific effects, tightened score intervals, and the imposition of maximum-weight restrictions on the naive strategies to mitigate market friction considerations.
    Journal of Banking & Finance. 03/2011; 35(11):3077-3089.
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    ABSTRACT: The purpose of the paper is to investigate whether people consider someone a charismatic speaker because they are deploying the generic features commonly identified as being associated with charismatic oratory in the literature, or whether the attribution of charisma is informed by factors which vary across different settings. Video-taped extracts from speeches given by seven people widely regarded as influential thought leaders – Kenneth Blanchard, Stephen Covey, Daniel Goleman, Gary Hamel, Rosabeth Moss Kanter, Tom Peters and Peter Senge – were shown to different audiences. After viewing each extract they rated the extent to which they found the speaker charismatic or non-charismatic and why. In addition, the whole speeches and focal messages were content analysed for the presence a number of factors – delivery, rhetorical techniques, abstraction and inclusion – identified in the previous literature as underpinning charismatic oratory. When the speeches are taken as a whole the speakers rated as charismatic differed significantly from their non-charismatic counterparts only in terms of delivery. For focal sentences delivery remains significant but in addition the speakers rated as charismatic use a higher proportion of rhetorical techniques. This has important implications for theory and practice that are elaborated.
    The Leadership Quarterly 01/2011; 22(1):22-32.
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    ABSTRACT: The Delphi technique was largely developed to avoid the problems of freely interacting groups such as dominant individuals and pressure to conform to the majority view. Our review of the social psychological literature reveals some obstacles to Delphi achieving its full potential relative to other cheaper and easier methods of aggregating judgment. We identify residual normative and informational pressures towards consensus that potentially reduce process gain that might otherwise be achieved. For instance, panelist confidence may act as a signal of status rather than be a valid cue to expertise, whereas consensus appears to have a strong influence on the final outcome that can reduce its accuracy when there are valid minority opinions. We argue that process gain in Delphi must occur through those further from the "truth" changing their opinion more than those closer to the truth, with the general direction of opinion change being towards the truth. For such virtuous opinion change to occur we suggest the need to both facilitate opinion change and provide good cues as to where the truth lies. Research on Judge Advisor Systems shows that people usually do not change their opinion as much as they should, giving too much weight to their own opinion and too little to the views of others—this bias can be reduced by increasing involvement and motivation. In addition, we propose that the best way to provide good cues as to the direction of the truth is to elicit rich reasoning from panelists about the judgment or choice in question, then use this as feedback. We suggest practical ways of focusing and deepening panelists’ consideration and evaluation of such reasoning—such that all proffered opinions are well-evaluated. Additionally, we propose a model of opinion change in Delphi for use as a paradigm for future process-orientated research.
    Technological Forecasting and Social Change - TECHNOL FORECAST SOC CHANGE. 01/2011; 78(9):1500-1513.
  • The Journal of Value Inquiry 01/2011; 45(2):175-186.
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    ABSTRACT: The UK appears to be a leading country in curbing greenhouse gas (GHG) emissions. Unlike many other developed countries, it has already met its Kyoto obligations and defined ambitious, legally binding targets for the future. Recently this achievement has been called into question as it ignores rapidly changing patterns of production and international trade. We use structural decomposition analysis (SDA) to investigate the drivers behind annual changes in CO(2) emission from consumption in the UK between 1992 and 2004. In contrast with previous SDA-based studies, we apply the decomposition to a global, multiregional input-output model (MRIO), which accounts for UK imports from all regions and uses region-specific production structures and CO(2) intensities. We find that improvements from "domestic" changes in efficiency and production structure led to a 148 Mt reduction in CO(2) emissions, which only partially offsets emission increases of 217 Mt from changes in the global supply chain and from growing consumer demand. Recent emission reductions achieved in the UK are not merely a reflection of a greening of the domestic supply chain, but also of a change in the international division of labor in the global production of goods and services.
    Environmental Science and Technology 02/2010; 44(4):1177-84.
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    ABSTRACT: Entrepreneurial (i.e. business ownership) experience may enable some entrepreneurs to temper their comparative optimism in subsequent ventures. The nature of entrepreneurial experience can shape how entrepreneurs adapt. Using data from a representative survey of 576 entrepreneurs in Great Britain, we find that experience with business failure was associated with entrepreneurs who are less likely to report comparative optimism. Portfolio entrepreneurs are less likely to report comparative optimism following failure; however, sequential (also known as serial) entrepreneurs who have experienced failure do not appear to adjust their comparative optimism. Conclusions and implications for entrepreneurs and stakeholders are discussed.
    Journal of Business Venturing. 01/2010;
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    ABSTRACT: In this paper we review methods that aim to aid the anticipation of rare, high-impact, events. We evaluate these methods according to their ability to yield well-calibrated probabilities or point forecasts for such events. We first identify six factors that can lead to poor calibration and then examine how successful the methods are in mitigating these factors. We demonstrate that all the extant forecasting methods — including the use of expert judgment, statistical forecasting, Delphi and prediction markets — contain fundamental weaknesses. We contrast these methods with a non-forecasting method that is intended to aid planning for the future — scenario planning. We conclude that all the methods are problematic for aiding the anticipation of rare events and that the only remedies are to either (i) to provide protection for the organization against the occurrence of negatively-valenced events whilst allowing the organization to benefit from the occurrence of positively-valenced events, or (ii) to provide conditions to challenge one's own thinking — and hence improve anticipation. We outline how components of devil's advocacy and dialectical inquiry can be combined with Delphi and scenario planning to enhance anticipation of rare events.
    Technological Forecasting and Social Change. 01/2010;
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    ABSTRACT: This study presents a single-case analysis of an unsuccessful scenario planning intervention within an organization. Our analysis utilises corporate documents produced prior to a scenario-based intervention, pre-scenario-development interviews with members of the top management team, and knowledge of post-intervention events. We conclude that, even in the face of strong, orchestrated pressure for a re-think of a fragile strategy, the aspirations of the CEO were dominant. Our case analysis illustrates that inertia in strategic decision making can be extreme—more extreme than the extant literature has recognised. Critical voices can go unheard. We end with consideration of issues to do with facilitating the early recognition that a strategizing intervention can stall.
    Futures. 01/2010;
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