On the Multivariate Two-Sample Problem Using Strong Approximations of Empirical Copula Processes

In this article, we establish optimal rates for the strong approximation of empirical copula processes in ?² by sequences of Gaussian processes. These results are applied to investigate Cramér–von Mises-type statistics.     

Strong approximation of empirical copula processes by Gaussian processes

In this paper, we provide the strong approximation of normalized empirical copula processes by a Gaussian process. In addition, we establish a strong approximation of the smoothed empirical copula processes and a law of iterated logarithm.     

Scrutinizing impacts of conspiracy theories on readers' political views: a rational choice perspective on anti‐semitic rhetoric in Turkey

Although conspiracy theories have been politically significant throughout history, only a few empirical studies have been about their influence on readers' views. Combining a rational choice approach with a content analysis of an anti‐Semitic best‐selling conspiracy theory book series in Turkey – the Efendi series – and semi‐structured interviews with its readers, this paper reveals the effects of the conspiracy theories on readers' political perspectives. The findings suggest that whereas the rightists are reactive to the Jewish origins of the Dönmes, the leftists oppose the Dönmes as dominant bourgeois figures. This paper concludes that left‐ and right‐wing adherents use the conspiratorial accounts in line with their political views and ontological insecurities. It expands the existing academic literature, which conceptualizes conspiracy theories either as paranoid delusions or as neutral, rational narratives, by showing that they can be both.     

Corporate governance and the market reaction to stock repurchase announcement

This paper investigates the effect of corporate governance on market reaction around of a stock repurchase announcement. We argue that corporate governance affects the ability of a stock repurchase to alleviate agency costs related to free cash flows, and the credibility of the undervaluation signal sent by the announcement of buyback programs. We find a higher 3-day cumulative abnormal return to programs announced by firms with better corporate governance practices than those with bad governance (1.6% and 0.85% respectively), and the market reaction is significantly higher following the successive scandals in year 2001 (Enron, Arthur Anderson, WorldCom??) and the resulting Sarbanes?COxley Act of 2002. Further investigations indicate that firms with a lower Free Cash Flow to Asset ratio have a higher market reaction, which is consistent with the information signaling hypothesis, and this is more significant in firms with good governance practices, and following post Sarbanes?COxley Act.     

Additive regression model for stationary and ergodic continuous time processes

The main purpose of the present work is to introduce and investigate a simple kernel procedure based on marginal integration that estimates the regression function for stationary and ergodic continuous time processes in the setting of the additive model introduced by Stone (1985 Stone, C.J. (1985). Additive regression and other nonparametric models. Ann. Stat. 13(2):689–705.[Crossref], [Web of Science ®] , [Google Scholar]). We obtain the uniform almost sure consistency with exact rate and the asymptotic normality of the kernel-type estimators of the components of the additive model. Asymptotic properties of these estimators are obtained, under mild conditions, by means of martingale approaches. Finally, a general notion of the bootstrapped additive components, constructed by exchangeably weighting sample, is presented.     

An Insurance Model for Risk Management of Process Facilities

Most existing risk management models for process industries do not consider the effect of insurance coverage, which results in an overestimation of overall risk. A model is presented in this article to study the effect of insurance coverage of health, safety, environmental, and business risks. The effect of insurance recovery is modeled through the application of adjustment factors by considering the stochastic factors affecting insurance recovery. The insurance contract's conditions, deductibles, and policy limits are considered in developing the insurance recovery adjustment factors. Copula functions and Monte Carlo simulations are used to develop the distribution of the aggregate loss by considering the dependence among loss classes. A case study is used to demonstrate both the practical application of the proposed insurance model to improve management decisions, and the mitigating effect of insurance to minimize the residual risk.     

Corporate governance and market performance of parent firms following equity carve-out announcements

Using the Gompers, Ishii, and Metrick corporate governance index on a sample of 158 parent firms, this study demonstrates that firms with a superior governance rating have a higher short-term market reaction to carve-out announcements relative to firms with an inferior governance rating. Although the data supports previous evidence regarding negative long-term market reaction that parent firms typically experience following equity carve-outs, the results show that well-governed firms marginally outperform others. The findings also confirm that the dynamic effects related to improvements in corporate governance positively affect the long-term market outcome of parent firms; this relation is more significant in well-governed parent firms. Finally, the study shows evidence that corporate governance helps mitigate the agency problems related to the financing hypothesis, which results in better short and long-term market reactions following carve-out announcements.     

Is corporate governance different for the Lebanese banking system?

This paper investigates the effect of board size and its composition on bank’s performance in an emerging context. This study includes 749 firm years of data on the banking industry in Lebanon from 1992 to 2006. The data contains all nationwide banks in operation in any year over the studied period. Since some banks entered and/or exited over the sample period, there is an unbalanced panel data, where an Ordinary Least Squares regression may create problems of interpretation. Within this framework, we use a fixed-effect model which produces unbiased and consistent estimates of the coefficients. This paper reports that bank performance is positively related to board size. It also identifies a quadratic relationship between bank performance and board independence. Both return-on-assets and return-on-equity first decrease and then increase in direct proportion to the increased percentage of outside directors on the board. This paper sheds some light on the differential impact of corporate governance on firm performance across industries and countries. It concentrates on banks in developing countries that are generally known to suffer from high asymmetric information and where concerns about safety and soundness remain. Hence, it contributes to the existing debate on appropriate regulations for an effective and stable financial system in the Arab world. Also, it complements the Basel Committee standards for bank supervision and capital adequacy reinforcement, and offers regulators some evidence on the relationship between board size and bank performance in a developing country such as Lebanon.     

Winners and losers in Vietnam equitisation programs

This article develops a computable general equilibrium model of Vietnam to assess the long-run likely effects of the country's equitisation programs on its national economic outcomes and industries. Equitisation is found to be pro-growth as reflected in its contribution to increasing real GDP growth rate in the long run. In terms of industrial output growth rates, the winners include electrical, steel and other manufacturing, while the losers include rice and paddy, and oil, gas and petroleum. To achieve better economic outcomes, the coverage of equitisation should be extended to include medium to large state-owned enterprises across all industries.