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T he In st i tute for Bu siness and Finance Res earch

VOLUME 7, NUMBER 1 2012

ISSN 193 1-0285 CD

ISSN 194 1-9589 ONLINE

Honolu lu , Hawaii , US Januar y 3 -6 , 2012

The IBFR .ORG

GLOBAL C ONFERENCE ON BU SI N E S S A N D F I NA NC E P RO C E E DI NG S

Welcome to Hawai i L e t t e r f r o m t h e E d i t o r

On behalf of the Staff and the IBFR, I welcome you to Honolulu, Hawaii and the 2012 Global Conference on Business and Finance. We hope you have a productive conference and enjoy your time in Hawaii. If we can be of any assistance to you during your time in Hawaii please do not hesitate to contact us.

We all know that college professors must balance their teaching, research, and service obligations. Finding the right forum to share and obtain feedback on our research, new teaching techniques, and innovative administrative processes can be challenging at times. The Institute for Business and Finance Research was created to facilitate your work by providing an environment conducive to knowledge and experience sharing. We encourage the academic community to come and share their work at our conferences and Journals. We welcome articles which are of interest to scholars and practitioners in all fields of business, economics and related fields.

The 2012 Hawaii GCBF represents a long term commitment to bring individuals from around the world together to share their ideas and promote research on business and finance. The response to the conference has been outstanding. We wish to thank you for selecting the GCBF as your research outlet. We also wish to thank the many people that have contributed to making the conference a success. We are delighted to report that the conference is truly a global conference. We have participants from all corners of the globe at this event. These individuals come from a variety of high quality institutions and will present work on a broad mix of academic issues.

We are proud to announce two upcoming conferences. Our 13th conference will be held in San Jose, Costa Rica, May 22-25, 2012 at the Ramada Plaza Herradura Hotel and Conference Center. Our 14th conference will be held in Las Vegas, Nevada, USA at the Flamingo, Las Vegas Hotel from January 2-5, 2013. We hope that you are able to join us at these events.

We hope you take the time to enjoy the hotel facilities as well as to take in Honolulu and the surrounding countryside. Hawaii is a wonderful destination with much to offer. We recognize that in addition to presenting research and participating in the conference activities, it is also important to relax and rejuvenate yourself. Have some fun! You deserve it! We hope that you will go home refreshed and with a sense of accomplishment.

Warmest Regards,

Mercedes Jalbert Conference Chair

Welcome

Bienvenidos

Bi enveni d os a Hawai i C a r t a d e l E d i t o r

El Instituto y su personal les da la bienvenidos a Honolulu, Hawaii y al 2012 Global Conference on Business and Finance. Esperamos que su participación sea productiva y que disfruten Hawaii.

Todo profesor de educación superior debe encontrar un balance entre su rol como educador, investigador y como servidor a su comunidad y su universidad. Encontrar un foro donde podamos compartir y obtener retroalimentación sobre nuestra investigación, nuevas técnicas de educación, procesos administrativos innovadores es retador. El Institute for Business and Finance Research (IBFR) fue creado para facilitar el trabajo del profesional en educación superior, profesional del sector públicos y profesional del sector privado al crear una plataforma global conducente al enriquecimiento de nuestro conocimiento a través de:

1. La exposición de trabajos investigativos en todas las áreas académicas de las

ciencias administrativas, ciencias económicas, financieras, etc.;

2. La exploración de nuevos avances tecnológicos, teóricos, pedagógicos;

3. El intercambio de conocimiento en una plataforma verdaderamente global.

Los Congresos GCBF representa un compromiso a larga plazo para unir a nuestros colegas de todos los continentes en nuestros congresos y compartir nuestras ideas, investigación y cultura en una plataforma bilingüe. Deseamos agradecer su participar, la cual hace realidad nuestro objetivos; el realizar un Congreso realmente Global con participación de educadores y profesionales de todos partes del mundo.

Con gran alegría anunciamos nuestros próximos Congresos . Nuestro congreso de inverno se realizara en San Jose, Costa Rica del 22 al 25 de mayo y en Las Vegas Nevada del 2 al 5 de enero de 2013. Será un placer el contar con su participación nuevamente.

Deseamos que disfruten su estancia en el Hotel y que tengan la oportunidad de explorar Las Islas de Hawaii. Sabemos que además de exponer sus trabajos, es también importante tomar tiempo para relajarse, rejuvenecerse y conocer sobre otras culturas, tradiciones, etc. Esperamos que al regresar a sus hogares e instituciones se sientan rejuvenecidos y satisfechos con sus alcances y aprendizaje durante el Congreso.

Estamos para asistirles durante el congreso y el futuro.

Saludos Cordiales, Mercedes Jalbert Conference Chair

Welcome

Bienvenidos

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TABLE OF CONTENTS

ENGLISH PROCEEDINGS ......................................................................................................................................... 1

RISK ANALYSIS VIA REGRESSION QUANTILES - EVIDENCE FROM INTERNATIONAL EQUITY MARKETS .................... 2

HONGTAO GUO, SALEM STATE UNIVERSITY MIRANDA S LAM, SALEM STATE UNIVERSITY GUOJUN WU, UNIVERSITY OF HOUSTON ZHIJIE XIAO, BOSTON COLLEGE

CONVENIENCE YIELDS IN BULK COMMODITIES: THE CASE OF THERMAL COAL .................................................... 12

JASON WEST, GRIFFITH UNIVERSITY

AN ANALYSIS OF FIRM CREDIT ACROSS THE WORLD ............................................................................................ 24

RUDOLF SIVAK, UNIVERSITY OF ECONOMICS IN BRATISLAVA ANETTA CAPLANOVA, UNIVERSITY OF ECONOMICS IN BRATISLAVA JOHN HUDSON, UNIVERSITY OF BATH CHRIS HUDSON, JRH ECONOMICS CONSULTING

COULD PEER-TO-PEER LOANS SUBSTITUTE FOR PAYDAY LOANS? ........................................................................ 39

LYNDA S. LIVINGSTON, UNIVERSITY OF PUGET SOUND

CONNECTING CAPITAL BUDGETING PRACTICE WITH THE MILES-SNOW STRATEGIC TYPE: A NOVEL MANEGERIAL ACCOUNTING APPROACH .................................................................................................................................... 45

NUBUMASA SHIMIZU, WASEDA UNIVERSITY AKIKO TAMURA, HOSEI UNIVERSITY

AN EXAMPLE OF EXCELLENCE: WHY BUSINESS SCHOOLS ARE BRINGING MILITARY HISTORY BACK TO THE CURRICULUM ....................................................................................................................................................... 57

MARY H. KELLY, TEXAS A&M UNIVERSITY-CENTRAL TEXAS MARGARET BRITT; UNIVERSITY; MOUNT VERNON THOMAS G. HARDENBERGH; THE UNIVERSITY OF MICHIGAN WILLIAM E. HARDENBERGH; UNIVERSITY OF MICHIGAN

BALANCED SCORECARD PRACTICES AND DETERMINANTS: AN EMPIRICAL STUDY OF LISTED COMPANIES IN THAILAND ............................................................................................................................................................ 58

WASATORN SHUTIBHINYO, CHULALONGKORN UNIVERSITY

VALUE OF RISK OF OPTION PORTFOLIOS USING MONTE CARLO SIMULATION UNDER A RISK-NEUTRAL STOCHASTIC IMPLIED VOLATILITY MODEL ........................................................................................................... 72

PENG HE

DOES TECHNOLOGICAL OVERSHOOTING EXIST IN THE JAPANESE MINIVAN MARKET? ........................................ 80

GO SHIONOYA, KOBE UNIVERSITY

THE IMPORTANCE AND BENEFITS OF CORPORATE SOCIAL RESPONSIBILITY DISCLOSURE IN THE LIBYAN CONTEXT: EVIDENCE FROM MANAGERS............................................................................................................................... 84

NAGIB SALEM BAYOUD, THE UNIVERSITY OF SOUTHERN QUEENSLAND, AUSTRALIA MARIE KAVANAGH, THE UNIVERSITY OF SOUTHERN QUEENSLAND, AUSTRALIA

THE PRICE OF STOCKS IN LATIN AMERICAN FINANCIAL MARKETS: AN EMPIRICAL APPLICATION OF THE OHLSON MODEL................................................................................................................................................................. 96

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PEDRO MARTÍNEZ, INSTITUTO TECNOLÓGICO Y ESTUDIOS SUPERIORES DE MONTERREY DIEGO PRIOR, UNIVERSIDAD AUTÓNOMA DE BARCELONA JOSEP RIALP, UNIVERSIDAD AUTÓNOMA DE BARCELONA

DO YOU KNOW WHERE YOUR DERIVATIVES ARE? ............................................................................................. 101

ANN GALLIGAN KELLEY, PROVIDENCE COLLEGE

CALIBRATION AND COMPARISON OF SPECTRAL RISK MEASURES FOR A PRACTICAL IMPLEMENTATION ........... 109

STEPHAN THOMAS, PHAST SOLUTIONS & UNIVERSITY OF PARIS SORBONNE

A COMPARATIVE STUDY OF CORPORATE ACCOUNTING MALFEASANCE AND RESTATEMENTS FOR 100 COMPANIES WITH FINANCIAL AND MARKET IMPACT AND ANALYSIS OF MONITORING CHARACTERISTICS ...... 110

LIZ WASHINGTON ARNOLD, THE CITADEL PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY

THE VALUATION OF THE SMALL LOCAL BUSINESS IN A DIVORCE: A CASE STUDY ............................................... 111

HANNA SAVOLAINEN, UNIVERSITY OF EASTERN FINLAND

THE DEFENSES OF LIFO AS AN ACCEPTABLE ACCOUNTING METHOD .................................................................. 121

PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY LIZ WASHINGTON ARNOLD, THE CITADEL

A CROSS-CULTURAL COMPARISON OF ONLINE CUSTOMER REVIEWS ................................................................ 122

PENG HE, UNIVERSITY OF MARYLAND, BALTIMORE COUNTY JIANWEI LAI, UNIVERSITY OF MARYLAND, BALTIMORE COUNTY HSIEN-MING CHOU, UNIVERSITY OF MARYLAND, BALTIMORE COUNTY LINA ZHOU, UNIVERSITY F MARYLAND, BALTIMORE COUNTY

CASE STUDY ON SUCCESSIVE PLANNING ............................................................................................................ 134

PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY KATHERINE KINKELA, NEW YORK INSTITUTE OF TECHNOLOGY STEVEN SHAPIRO, NEW YORK INSTITUTE OF TECHNOLOGY

ORGANIZATIONAL LEARNING AS COMPETITIVE ADVANTAGE ............................................................................ 135

DIEGO FERNANDO SANTISTEBAN ROJAS, UNIDADES TECNOLÓGICAS DE SANTANDER (UTS) JORGE DEL RIO CORTINA, UNIVERSIDAD TECNOLÓGICA DE BOLÍVAR (UTB)

OPTIMALIZATION OF LIQUIDITY STRATEGY: POLISH NONPROFIT ORGANIZATIONS CASE .................................. 136

GRZEGORZ MICHALSKI, WROCLAW UNIVERSITY OF ECONOMICS

THE UNCERTAIN FUTURE OF LIFO ...................................................................................................................... 142

PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY KATHERINE KINKELA, NEW YORK INSTITUTE OF TECHNOLOGY

FOREIGN DIRECT INVESTMENT IN AFRICA: SECURING CHINESE’S INVESTMENT FOR A LASTING DEVELOPMENT IN AFRICA ............................................................................................................................................................... 143

PAULIN HOUANYE, UNIVERSITY OF INTERNATIONAL BUSINESS AND ECONOMICS SIBAO SHEN, UNIVERSITY OF INTERNATIONAL BUSINESS AND ECONOMICS

INTEREST RATE RISK: SEVERAL STATISTICAL ANALYSES ...................................................................................... 157

PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY K. KALLIANOTIS, NEW YORK INSTITUTE OF TECHNOLOGY K. KASIBHATLA, NEW YORK INSTITUTE OF TECHNOLOGY

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SCOTT LIU, NEW YORK INSTITUTE OF TECHNOLOGY J. MALINDRETOS, NEW YORK INSTITUTE OF TECHNOLOGY STEVEN SHAPIRO, NEW YORK INSTITUTE OF TECHNOLOGY

CASE STUDY ON INVENTORY MANAGEMENT..................................................................................................... 158

LESLIE. BOBB, NEW YORK INSTITUTE OF TECHNOLOGY JAMES DUNNE, NEW YORK INSTITUTE OF TECHNOLOGY PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY

COMPARING FINANCIAL SYSTEMS IN A GLOBALIZED WORLD ............................................................................ 159

DENIS WENDT, UNIVERSITY OF GOETTINGEN, GERMANY

IS THE IRS A SORE LOSER? .................................................................................................................................. 160

LAURA LEE MANNINO, ST. JOHN’S UNIVERSITY

THE IMPACT OF IFRS FOR SMES ON THE ACCOUNTING PROFESSION, EVIDENCE FROM FIJI ............................... 166

FAZEENA FAZNEEN HUSSAIN, THE UNIVERSITY OF THE SOUTH PACIFIC PRIYASHNI VANDANA CHAND, THE UNIVERSITY OF THE SOUTH PACIFIC PRENA RANI, THE UNIVERSITY OF THE SOUTH PACIFIC

PREFERENCES FOR PERFORMANCE BASED EMPLOYEE REWARDS: EVIDENCE FROM SMALL BUSINESS ENVIRONMENTS ................................................................................................................................................ 168

SUSAN J. KOWALEWSKI, D’YOUVILLE COLLEGE SUZANNE L. PHILLIPS, D’YOUVILLE COLLEGE

THE EVOLUTION OF THE MARKETING CONCEPTS: THEORETICALLY DIFFERENT ROADS LEADING TO PRACTICALLY SAME DESTINATION! ......................................................................................................................................... 173

SOLOMON A. KEELSON, TAKORADI POLYTECHNIC

MANAGERIAL INCENTIVES FOR EARNINGS MANAGEMENT AMONG LISTED FIRMS IN EMERGING ECONOMIES, EVIDENCE FROM FIJI .......................................................................................................................................... 184

PRENA RANI, THE UNIVERSITY OF THE SOUTH PACIFIC FAZEENA FAZNEEN HUSSAIN, THE UNIVERSITY OF THE SOUTH PACIFIC PRIYASHNI VANDANA CHAND, THE UNIVERSITY OF THE SOUTH PACIFIC

WEB-BASED CORPORATE SOCIAL RESPONSIBILITY REPORTING IN EMERGING ECONOMIES: EVIDENCE FROM FIJI .......................................................................................................................................................................... 188

PRIYASHNI VANDANA CHAND, THE UNIVERSITY OF THE SOUTH PACIFIC FAZEENA FAZNEEN HUSSAIN, THE UNIVERSITY OF THE SOUTH PACIFIC

OPTIMAL DIVERSIFICATION - DOES IT EXIST? ..................................................................................................... 190

CHIEN-CHIH LIN, TAMKANG UNIVERSITY YUNG-SHUN TSAI, ASIA UNIVERSITY HSIAO-YIN CHEN, KAINAN UNIVERSITY

BALANCED SCORECARD FOR ENTREPRENEURIAL STRATEGIC MARKETING IN COLOMBIA .................................. 199

SANTIAGO GARCÍA CARVAJAL, UNIVERSIDAD MILITAR NUEVA GRANADA

DECODING THE REGULATORY SYSTEM FOR ADVERTISING IN CONTEMPORARY CHINA ..................................... 200

LUDING TONG, MARIETTA COLLEGE

TEACHING INTERNATIONAL BUSINESS BY USING FICTION: HOW AND WHY I WROTE AN INTERNATIONAL BUSINESS NOVEL ............................................................................................................................................... 213

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MARK BAGSHAW, MARIETTA COLLEGE

SCENARIOS AND UNINTENDED CONSEQUENCES................................................................................................ 224

KATHLEEN WILBURN, ST. EDWARD’S UNIVERSITY RALPH WILBURN, ST. EDWARD’S UNIVERSITY

RECOGNIZING COMMON SENSE LEADERSHIP WITHIN THE 21ST CENTURY ORGANIZATIONAL CONTEXT ............ 239

JON K.WEBBER, UNIVERSITY OF PHOENIX GREGORY W. GOUSSAK, ASHFORD UNIVERSITY ELLIOT M. SER, FLORIDA ATLANTIC UNIVERSITY

CULTURAL PLURALISM: A CRITICAL NEEDS PLAN FOR GENERAL MOTORS ......................................................... 249

GREGORY W. GOUSSAK, ASHFORD UNIVERSITY JON K.WEBBER, UNIVERSITY OF PHOENIX ELLIOT M. SER, FLORIDA ATLANTIC UNIVERSITY

THE EFFECT OF INVESTOR BIAS AND GENDER ON PORTFOLIO PERFORMANCE AND RISK .................................. 257

KEVIN LEE, CALIFORNIA STATE UNIVERSITY – FRESNO SCOTT MILLER, PEPPERDINE UNIVERSITY NICOLE VELASQUEZ, PEPPERDINE UNIVERSITY CHRISTI WANN, UNIVERSITY OF TENNESSEE CHATTANOOGA

RE-EXAMINING THE CONCEPT OF BOUNDARY OBJECTS WITHIN COMMUNITIES OF PRACTICE .......................... 258

W. DAVID HOLFORD, UNIVERSITY OF QUEBEC AT MONTREAL

MULTI-CRITERIA ANALYSIS AND OPTIMIZATION OF FINANCES IN WATER RESOURCES: LESSONS LEARNT FROM PRACTICE ........................................................................................................................................................... 271

BOJAN SRDJEVIC, UNIVERSITY OF NOVI SAD ZORICA SRDJEVIC, UNIVERSITY OF NOVI SAD RATKO BAJCETIC, PUBLIC WATER MANAGEMENT CO JOVANA DRAGINCIC, UNIVERSITY OF NOVI SAD BOSKO BLAGOJEVIC, UNIVERSITY OF NOVI SAD

THE ASSOCIATION BETWEEN TECHNOLOGICAL CAPABILITIES AND EXPORT SALES IN SMALL AND MEDIUM-SIZED ENTERPRISES OF METALWORKING INDUSTRY IN THE CENTRAL REGION OF THE STATE OF COAHUILA, MEXICO 272

ELVIRA VELARDE LÓPEZ, UNIVERSIDAD AUTÓNOMA DE COAHUILA ZÓCHITL ARAIZA GARZA, UNIVERSIDAD AUTÓNOMA DE COAHUILA EUNICE CORONADO ROJAS, UNIVERSIDAD AUTÓNOMA DE COAHUILA

GLOBALIZATION PROCESS AND THE IMPACT OF IT GROWTH IN ALBANIA ......................................................... 277

KOZETA SEVRANI, UNIVERSITY OF TIRANA KLODIANA GORICA, UNIVERSITY OF TIRANA

AN EXPLORATORY STUDY ON BRAND PERSONALITY IN MEXICO ....................................................................... 286

MARÍA DE LA PAZ TOLDOS ROMERO, TECNOLÓGICO DE MONTERREY CAMPUS GUADALAJARA

THE CRISIS OF TEACHER TURNOVER. A THREAT TO PUBLIC SERVICE STABILITY .................................................. 293

PM MAMPANE, TSHWANE UNIVERSITY OF TECHNOLOGY

THE IMPACT OF MECHANICAL GUIDANCE AND JUSTIFICATION REQUIREMENT ON JUDGMENT OF AUDITORS OF DIFFERENT RANKS IN MATERIALITY DETERMINATION ....................................................................................... 302

JUTHATHIP AUDSABUMRUNGRAT, CHULALONGKORN UNIVERSITY SOMPONG PORNUPATHAM, CHULALONGKORN UNIVERSITY

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TIMED CORE PERFORMANCE INDICATORS: THE ROAD TO THE COMPANY’S OPTIMALPERFORMANCE .............. 315

BERNARD MORARD, UNIVERSITY OF GENEVA (UNIGE) ALEXANDRU STANCU, UNIVERSITY OF GENEVA (UNIGE) JEANNETTE CHRISTOPHE, UNIVERSITY OF GENEVA (UNIGE)

EXPLORING THE IMPACT OF THE LABOR DISPLACEMENT ON THE HOUSING MARKETS ...................................... 333

MEIHUA LIAO, ASIA UNIVERSITY

A CO-OPETITIVE FRAMEWORK FOR ACCOUNTING HARMONIZATION: THE CASE OF THE FASB AND IASB CONVERGENCE AGREEMENT ............................................................................................................................. 334

ANNE-SOPHIE FERNANDEZ, UNIVERSITY OF MONTPELLIER FRANCE FRANCOISE PIERROT, UNIVERSITY OF MONTPELLIER FRANCE

ECONOMIC ASSESSMENT OF THE USE OF SOLAR ENERGY IN KUWAIT ............................................................... 343

MOHAMED A. HADI, TECH. DEPT., COUNCIL OF MINISTERS, KUWAIT. REFAAT H. ABDEL-RAZEK, ARABIAN GULF UNIVERSITY, BAHRAIN. WALID M. CHAKROUN, KUWAIT UNIVERSITY, KUWAIT.

IMPORTANT KNOWLEDGE FOR STRATEGIC INTELLECTUAL PROPERTY MANAGEMENT ...................................... 354

KOICHIRO KATO, KANAZAWA INSTITUTE OF TECHNOLOGY MEGUMI SAKO, KANAZAWA INSTITUTE OF TECHNOLOGY

HOUSING FINANCE BY THE COMMERCIAL BANKS IN INDIA : GROWTH, CHALLENGES AND PROSPECTS ............. 360

JAGPAL SINGH BENIPAL, MATA GANGA KHALSA COLLEGE FOR GIRLS,KOTTAN (LUDHIANA)

ASSESSING INDIVIDUAL PERFORMANCE ON INFORMATION TECHNOLOGY ADOPTION: A NEW COMPETING MODEL............................................................................................................................................................... 365

DIAH HARI SURYANINGRUM, UNIVERSITY OF BRAWIJAYA

A CLOSER LOOK AT CURBING FRAUD AMONG TAX RETURN PREPARERS ........................................................... 380

RICHARD LAI, ST. JOHN’S UNIVERSITY, JAMAICA, NEW YORK MARIA PIRRONE, ST. JOHN’S UNIVERSITY, JAMAICA, NEW YORK

BEAUTY IN THE AGE OF MARKETING ................................................................................................................. 383

BINGQING YIN, WASHBURN UNIVERSITY SUSIE PRYOR, WASHBURN UNIVERSITY

“INTRAPORTFOLIO CORRELATION”: AN APPLICATION FOR INVESTMENTS STUDENTS ...................................... 389

LYNDA S. LIVINGSTON, UNIVERSITY OF PUGET SOUND

CHALLENGES OF IMPLEMENTING AND ENFORCING OF ENVIRONMENTAL LAW IN MALAYSIA ........................... 395

MOHAMMADREZA AGHAEI, MANAGEMENT AND SCIENCE UNIVERSITY AMIN MOAZAMI, MANAGEMENT AND SCIENCE UNIVERSITY MEHRDAD SALEHI, MANAGEMENT AND SCIENCE UNIVERSITY AMIR HOSSEIN VAZIRIFAR, MANAGEMENT AND SCIENCE UNIVERSITY MARZIEH DJADIDI, MANAGEMENT AND SCIENCE UNIVERSITY MOJTABA SAEIDINIA, MANAGEMENT AND SCIENCE UNIVERSITY

BIVARIATE EXTREME DEPENDENCY BETWEEN STOCK MARKET AND OIL RETURNS ............................................ 404

GÖZDE ÜNAL, BOGAZICI UNIVERSITY DERYA KORMAN, BOGAZICI UNIVERSITY

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WHAT IS PROPELLING THE AMERICAN WORKER TO GO THE WAY OF THE HORSE? THE CHANGING ANATOMY OF U.S. EXPORT INDUSTRY ...................................................................................................................................... 414

TONY MUTSUNE, IOWA WESLEYAN COLLEGE

RISK FACTORS INFLUENCING THE SURVIVAL OF STRATEGIC ALLIANCES AMONG SMALL AND MEDIUM ENTERPRISES IN KENYA: EVIDENCE FROM KISUMU DISTRICT ............................................................................ 419

CHARLES M. RAMBO, UNIVERSITY OF NAIROBI, KENYA

FORGIVENESS AS A LEADERSHIP TOOL ............................................................................................................... 432

ILKKA VIROLAINEN KYMENLAAKSO, UNIVERSITY OF APPLIED SCIENCES, KOUVOLA, FINLAND

CROSS-BORDER EDUCATION: FACTORS INFLUENCING CANADIAN STUDENTS’ CHOICE OF INSTITUTIONS OF HIGHER EDUCATION IN THE UNITED STATES ...................................................................................................... 446

ERIN E. MCCARTHY, D’YOUVILLE COLLEGE, BUFFALO, NEW YORK ARUP K. SEN, D’YOUVILLE COLLEGE, BUFFALO, NEW YORK BONNIE FOX GARRITY, D’YOUVILLE COLLEGE, BUFFALO, NEW YORK

COMPETITIVITY OF RURAL TOURISTIC DESTINATIONS: PROPOSAL OF AN EVALUATION MODEL ....................... 458

ADALBERTO AVELAR GARCÍA-ROJAS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ARIEL MOCTEZUMA HERNÁNDEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

THE IMPACT OF MANAGEMENT CONTROL ON PERFORMANCE IN SMALL AND MEDIUM-SIZED ACCOMODATION ENTERPRISES: A LITERATURE REVIEW AND SUGGESTIONS FOR FUTURE RESEARCH ........................................... 467

GUACIMARA JIMÉNEZ-GARCÍA, UNIVERSITY OF LAS PALMAS DE GRAN CANARIA ROSA M. BATISTA-CANINO, UNIVERSITY OF LAS PALMAS DE GRAN CANARIA

DEMOGRAPHIC PROFILE OF ADVENTURE TOURISTS IN PRETORIA ..................................................................... 476

MELISSA J. LÖTTER, TSHWANE UNIVERSITY OF TECHNOLOGY (TUT) SUE GELDENHUYS, TSHWANE UNIVERSITY OF TECHNOLOGY (TUT) MARIUS POTGIETER, TSHWANE UNIVERSITY OF TECHNOLOGY (TUT)

DOES SEXUALITY IN ADS WORK FOR EVERYONE/ANYONE? AN EXPLORATORY RESEARCH OF MUSLIM CONSUMERS’ REACTIONS TO SEXUALITY IN ADS ............................................................................................... 490

AHMET BAYRAKTAR, RUTGERS UNIVERSITY

EMPLOYEE STOCK OWNERSHIP PROGRAM (ESOP) PHENOMENA ON PUBLIC COMPANIES IN INDONESIA ........ 499

I PUTU SUGIARTHA SANJAYA, ATMA JAYA UNIVERSITY YOGYAKARTA, INDONESIA

THE PERFORMANCES OF THE ORGANISATION IN THE CONTEXT OF THE ECONOMIC CRISES .............................. 512

IONICA ONCIOIU, TOMIS UNIVERSITY OF CONSTANTA FLORIN RAZVAN ONCIOIU, UNIVERSITY OF AGRONOMIC SCIENCES AND VETERINARY DAN BALAMACI, FREE INTERNATIONAL UNIVERSITY OF MOLDOVA

PROMOTION A MORE RAPID GRADUATION PROCESS FOR UNIVERSITY STUDENTS ........................................... 516

HARRI VIROLAINEN, TURKU UNIVERSITY, SCHOOL OF ECONOMICS, PORI UNIT

CONVERGENCES AND DIVERGENCES REFFERING TO THE CONCEPT OF FAIR VALUE ........................................... 526

IONICA ONCIOIU, TOMIS UNIVERSITY OF CONSTANTA FLORIN RAZVAN ONCIOIU, UNIVERSITY OF AGRONOMIC SCIENCES AND VETERINARY DANIELA SIMONA NENCIU, DIMITRIE CANTEMIR UNIVERSITY OF CONSTANTA

ARE THE DEMOGRAPHIC CHARACTERISTICS OF STUDENTS RELATED TO THEIR PREFERENCES FOR ONE UNDERGRADUATE COURSE DELIVERY MODE OVER ANOTHER? ......................................................................... 530

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ROBERT J. KOENIG, NEW YORK INSTITUTE OF TECHNOLOGY

THE FACTORS OF INNOVATIVE ORGANIZATION: SOME EVIDENCE IN THAILAND ............................................... 531

WANNAPA WICHITCHANYA, CHULALONGKORN UNIVERSITY SUPOL DURONGWATANA, CHULALONGKORN UNIVERSITY PAKPACHONG VADHANASINDHU, CHULALONGKORN UNIVERSITY

THE GLOBALIZATION AND EUROPEAN UNIQUE MARKET – A NEW CHALENGES FOR THE ROMANIAN ECONOMY .......................................................................................................................................................................... 537

IONICA ONCIOIU, TOMIS UNIVERSITY OF CONSTANTA FLORIN SORESCU, TOMIS UNIVERSITY OF CONSTANTA

THE INFORMATION CONTENT OF GOODWILL IMPAIRMENTS ARISING FROM THE ACQUISITION METHOD TREATMENT FOR BUSINESS COMBINATIONS ..................................................................................................... 541

NINA DORATA, ST. JOHN'S UNIVERSITY

MANAGING THE FUZZY FRONT END OF INNOVATION ........................................................................................ 543

LINDA L. NAIMI, PURDUE UNIVERSITY BRIAN S. GLASSMAN, PURDUE UNIVERSITY

TURNOVER AND JOB EMBEDEDDNESS IN TIJUANA, MEXICO ............................................................................ 544

BLANCA ROSA GARCÍA RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA IGNACIO ALEJANDRO MENDOZA MARTINEZ, UNIVERSIDAD LA SALLE SONIA ELIZABETH MALDONADO-RADILLO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MA. CONCEPCION RAMIREZ BARON, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

GREAT WAR LEADERS’ SUCCESSFUL MEDIA STRATEGIES FOR BUSINESS: HOW FRANKLIN DELANO ROOSEVELT AND JOHN CURTIN WON JOURNALISTS’ SUPPORT ............................................................................................ 555

CARYN COATNEY, CURTIN UNIVERSITY

THE FASB ACCOUNTING STANDARDS CODIFICATION AND ACCOUNTING QUALITY............................................ 567

CHIA-LING CHAO, NATIONAL CHUNG CHENG UNIVERSITY

DISCLOSURE LEVEL, STOCK MARKET LIQUIDITY, AND EARNINGS QUALITY: ....................................................... 568

EVIDENCE FROM TAIWAN .................................................................................................................................. 568

HORNG-CHING KUO, NATIONAL CHENGCHI UNIVERSITY, TAIWAN HSIU-CHIN LIN, DELOITTE, TAIWAN

CAPITALIZING WOMEN’S HUMAN RESOURCES THROUGH MICROENTERPRISE DEVELOPMENT IN RURAL AREAS: ROLE OF MICROFINANCE ................................................................................................................................... 569

POORNIMA GAYANGANI WASANA JAYAWARDANA, RITSUMEIKAN ASIA PACIFIC UNIVERSITY

ANTECEDENTS OF ORGANIZATIONAL DOWNSIZING IN THAILAND'S TOURISM AND HOSPITALTIY INDUSTRY: THE ROLE OF BUSINESS IDEOLOGY ............................................................................................................................ 574

POR-NGARM SAENGRATWATCHARA, SRINAKHARINWIROT UNIVERSITY THEERAPONG SUBSUPANWONG, SRINAKHARINWIROT UNIVERSITY

AN EXPLORATION OF THE CURE FOR DISSATISFACTION AMONG CUSTOMERS OF MEDICAL SERVICES .............. 579

JUNGKI LEE, KOREA UNIVERSITY AT SEJONG, JOCHIWON, SOUTH KOREA

THE CROSS-BORDER REGIONAL GOVERNANCE OF THE GLOBAL AUTOMOBILE PRODUCTION NETWORKS IN ASIA .......................................................................................................................................................................... 580

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KATSUHIRO SASUGA, TOKAI UNIVERSITY, UNIVERSITY OF WARWICK

GLOBAL LINKAGE OF FINANCIAL SECTOR STOCK PRICES DURING US FINANCIAL CRISIS: EVIDENCE FROM INDONESIA ........................................................................................................................................................ 581

ALDRIN HERWANY, UNIVERSITAS PADJADJARAN, INDONESIA ERIE FEBRIAN, UNIVERSITAS PADJADJARAN, INDONESIA

EXCHANGE RATE VOLATILITY AND CORPORATE PERFORMANCE IN NIGERIA: A PANEL REGRESSION APPROACH .......................................................................................................................................................................... 582

IKECHUKWU KELILUME, LAGOS BUSINESS SCHOOL DOYIN SALAMI, LAGOS BUSINESS SCHOOL

EXAMINATION OF ETHNIC AND POLICY ISSUES IN GROOMING PREFERENCES AND ETHNIC HAIRSTYLES OF AFRICAN AMERICAN WOMEN IN CORPORATE AMERICA ................................................................................... 593

ANGELA RENEE PAYNE, ARGOSY UNIVERSITY – CHICAGO, IL BHARAT S. THAKKAR,, ARGOSY UNIVERSITY – CHICAGO, IL

COST AND VALUE ADDED COMPETITIVENESS: CHINA VS. MEXICO .................................................................... 594

JUAN ESPAÑA, NATIONAL UNIVERSITY

SUPPLY CHAIN PROBLEMS CREATED BY A CHINESE MANUFACTURER IN AN E-COMMERCE MARKETING ENVIRONMENT .................................................................................................................................................. 595

RONALD E. MILLIMAN, WESTERN KENTUCKY UNIVERSITY

A PROPOSED ARCHITECTURE FOR DYNAMIC ELEARNING ENVIRONMENTS BASED ON STUDENT ACTIVITY AND LEARNING STYLES .............................................................................................................................................. 596

JOHN A. KALISKI, MINNESOTA STATE UNIVERSITY QUEEN E. BOOKER, MINNESOTA STATE UNIVERSITY PAUL SCHUMANN, MINNESOTA STATE UNIVERSITY

PROPOSALS FOR MARKETING STRATEGIES FOR OPTICAL CENTERS BASED ON THE CONSUMER ........................ 601

LUCILA ZÁRRAGA CANO, UNIVERSIDAD DEL CARIBE ENRIQUE CORONA SANDOVAL, UNIVERSIDAD DEL CARIBE MIGUEL ÁNGEL OLIVARES URBINA, UNIVERSIDAD DEL CARIBE

PRODUCTIVE CHAINS CONFORMATION OF OSTREICULTURE IN THE MUNICIPALITY OF ENSENADA BAJA CALIFORNIA ....................................................................................................................................................... 607

RAMÓN GALVÁN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ENSELMINA MARÍN VARGAS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

ORGANIZATIONAL LEARNING, MARKETING STRATEGIC CHANGE AND PERFORMANCE OF WHOLLY-OWNED AND INTERNATIONAL JOINT VENTURES IN THAILAND ............................................................................................... 618

OLIMPIA C. RACELA, MAHASARAKHAM UNIVERSITY, THAILAND AMONRAT THOUMRUNGROJE, ASSUMPTION UNIVERSITY, THAILAND

CUSTOMER PERCEPTIONS OF E-SERVICE QUALITY IN ONLINE APPAREL SHOPPING ........................................... 629

ZUI CHIH (RICK) LEE, SUSQUEHANNA UNIVERSITY PAUL, DION, SUSQUEHANNA UNIVERSITY

PERCEIVED SERVICE QUALITY IN RESTAURANT SERVICES ................................................................................... 630

PRABHA RAMSEOOK-MUNHURRUN, UNIVERSITY OF TECHNOLOGY, MAURITIUS

ix

AN EMPIRICAL ANALYSIS OF COMPANY SURVIVAL/RECOVERY AFTER CORPORATE ACCOUNTING MALFEASANCE .......................................................................................................................................................................... 644

LIZ WASHINGTON ARNOLD, THE CITADEL PETER HARRIS, NEW YORK INSTITUTE OF TECHNOLOGY

AN INVESTIGATION OF USERS’ CONTINUOUS USE INTENTION OF E-LEARNING SYSTEMS .................................. 645

HUICHIH WANG, NATIONAL CHIAO TUNG UNIVERSITY HERSEN DOONG, NATIONAL CHAIYI UNIVERSITY

RESIDUAL INCOME VS. DISCOUNTED CASH FLOW VALUATION MODELS: AN EMPIRICAL STUDY ....................... 646

ALI ATILLA PEREK, MARMARA UNIVERSITY, TURKEY SEDA PEREK, ISTANBUL BILGI UNIVERSITY, TURKEY

UNDERSTANDING FACTORS THAT INFLUENCE SOUTH AFRICAN CONSUMERS TO USE ONLINE SHOPPING......... 654

JOB DUBIHLELA, VAAL UNIVERSITY OF TECHNOLOGY-SOUTH AFRICA NOBUKHOSI DLODLO, VAAL UNIVERSITY OF TECHNOLOGY SOUTH AFRICA

A STUDY ON THE INFLUENCES OF KOREAN EARLY ADOPTERS' PROPENSITY AND LIFESTYLE FOR IT PRODUCTS' PURCHASE DECISION ......................................................................................................................................... 655

YEO HWAN LEEP, KYUNGPOOK NATIONAL UNIVERSITY HAN JANG HYUP, KYUNGPOOK NATIONAL UNIVERSITY KIM PANSOO, KYUNGPOOK NATIONAL UNIVERSITY

CREATING JOINT VENTURE PROJECTS BETWEEN SME’S AND UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA IN TIJUANA, MEXICO .............................................................................................................................................. 662

EDUARDO AHUMADA-TELLO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA JUAN MANUEL ALBERTO PERUSQUÍA VELASCO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA OLGA LIDIA GUTIÉRREZ GUTIÉRREZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

THE VIRTUOUS CIRCLE OF COOPERATION .......................................................................................................... 663

ZÓCHITL ARAIZA GARZA, UNIVERSIDAD AUTÓNOMA DE COAHUILA ELVIRA VELARDE LÓPEZ, UNIVERSIDAD AUTÓNOMA DE COAHUILA DARIELA SÁNCHEZ CAMPOS, UNIVERSIDAD AUTÓNOMA DE COAHUILA

TRANSPARENCY REPORT AS RED FLAG FOR QUALITY CONTROL OF THE AUDIT FIRMS – THE REPUBLIC OF MACEDONIA EXPERIENCES ................................................................................................................................ 668

ZORICA BOZINOVSKA LAZAREVSKA, FACULTY OF ECONOMICS, UNIVERSITY SS CYRIL AND METHODIUS MAJA STOLEVSKA, AUDIT AUTHORITY FOR AUDITING THE INSTRUMENT FOR PRE-ACCESSION ASSISTANCE (IPA)

CRITICAL ANALYSIS OF THE EFFECT OF MERGERS AND ACQUISITIONS ON CORPORATE GROWTH AND PROFITABILITY ................................................................................................................................................... 684

SYLVESTER FEYI AKINBULI, UNIVERSITY OF LAGOS AKOKA-LAGOS, NIGERIA

EVALUATION OF FINANCIAL ACCOUNTABILITY IN THE PUBLIC SECTOR: A NECESSARY CONCEPT FOR GOOD GOVERNANCE .................................................................................................................................................... 698

SYLVESTER FEYI AKINBULI,UNIVERSITY OF LAGOS, AKOKA LAGOS-NIGERIA

MODELING FOR LEARNING ORGANIZATIONS: MOLECULAR INTERACTION FRAMEWORK APPROACH ............... 711

MATEJ JANEŽIČ, UNIVERSITY OF LJUBLJANA-SLOVENIA VLADO DIMOVSKI, UNIVERSITY OF LJUBLJANA-SLOVENIA MILAN HODOSCEK, NATIONAL INSTITUTE OF CHEMISTRY, LJUBLJANA, SLOVENIA

MARKET RESPONSE TO THE COMPOSITION CHANGE OF ISLAMIC INDEX: THE CASE OF INDONESIA ................. 712

x

ERIE FEBRIAN, UNIVERSITAS PADJADJARAN, INDONESIA ALDRIN HERWANY, UNIVERSITAS PADJADJARAN, INDONESIA ADI PRIMADHI, UNIVERSITAS PADJADJARAN, INDONESIA

ZAKAH PERSPECTIVES AS A SYMBOL OF INDIVIDUAL AND SOCIAL PIETY: DEVELOPING A REVIEW FROM THE MEADIAN SYMBOLIC INTERACTIONISM ............................................................................................................. 713

FIDIANA, UNIVERSITY OF BRAWIJAYA – INDONESIA IWAN TRIYUWONO, BRAWIJAYA UNIVERSITY AKHMAD RIDUWAN, SCHOOL OF ECONOMIC INDONESIA SURABAYA (STIESIA)

CHINESE CONSUMERS ACCEPTANCE OF LABELED SEAFOOD .............................................................................. 714

PEI XU, CALIFORNIA STATE UNIVERSITY, FRESNO YC ZENG, RENMIN UNIVERSITY OF CHINA Q FONG, UNIVERSITY OF ALASKA FAIRBANKS Y LIU, RENMIN UNIVERSITY OF CHINA

THE IMPACT OF BRAND PLACEMENT AND BRAND RECALL (IN MOVIES) ON BRAND PREFERENCE, LOYALTY AND INTENTIONS TO PURCHASE AMONG YOUNGER CONSUMERS: EMPIRICAL EVIDENCE FROM MALAYSIA ............ 716

BAMINI KPD BALAKRISHNAN, UNIVERSITI MALAYSIA SABAH P. YUKTHAMARANI PERMARUPAN, INTI INTERNATIONAL UNIVERSITY AZLINDA SHAZNEEM MD. SHUAIB, UNIVERSITI MALAYSIA SABAH OSCAR DOUSIN, UNIVERSITI MALAYSIA SABAH

TYPOLOGY OF EMPLOYEE IMPROVEMENT-ORIENTED VOICE: EXPLORING WHAT EMPLOYEES SUGGEST TO UNDERSTAND HOW MANAGERS PASS ON EMPLOYEE VOICE ............................................................................ 717

NANCY L. LAM, SAINT MARY’S COLLEGE OF CALIFORNIA

AN INVESTIGATION OF ANTECEDENTS AND CONSEQUENCES OF CONSUMERS ATTITUDES TOWARD AN APPAREL WEBSITE ............................................................................................................................................................ 718

ZUI CHIH (RICK) LEE, SUSQUEHANNA UNIVERSITY NANCY HODGES, UNIVERSITY OF NORTH CAROLINA, GREENSBORO

FINANCE AND ECONOMIC GROWTH IN AFRICA: A META-ANALYSIS................................................................... 735

SENIA NHAMO, UNIVERSITY OF SOUTH AFRICA

RUSSIAN STATE FINANCIAL CONTROL: DISTINCTIONS AND DEVELOPMENT ....................................................... 736

TATYANA ANTIPOVA, THE INSTITUTE OF CERTIFIED SPECIALISTS

BALANCED SCORECARD ATTRIBUTES: KEY DETERMINANT AND THE PERCEIVED BENEFITS ................................ 748

WASATORN SHUTIBHINYO, CHULALONGKORN UNIVERSITY

CONTINOUS AUDIT CONTINOUS MONITORING – ANALYTICS ON MANUAL JOURNAL VOUCHER ....................... 755

RAKESH NAREDI, HEWLETT PACKARD SARIKA MUKUNDA KURUP, HEWLETT PACKARD SATYANARAYANA T, HEWLETT PACKARD

THE RELEVANCE OR IRRELEVANCE OF CORPORATE SOCIAL RESPONSIBILITY (CSR) TO ENHANCE GOVERNMENT- BUSINESS RELATIONS IN SOUTH AFRICA: A THEORETICAL EXPOSITION. ............................................................ 759

ABEL J. DIALE, TSHWANE UNIVERSITY OF TECHNOLOGY

AMERICAN HIGHER EDUCATION AT A CROSSROAD ........................................................................................... 765

MASKOOKI, KOOROS, WESTERN NEW MEXICO UNIVERSITY KEVIN MASKOOKI, UNIVERSITY OF MINNESOTA – TWIN CITIES

xi

STRATEGIES FOR IMPROVING YOUR RESEARCH QUALITY .................................................................................. 766

TERRANCE JALBERT, UNIVERSITY OF HAWAII-HILO

SPANISH PROCEEDINGS ..................................................................................................................................... 775

CARACTERIZACIÓN Y MODELADO DE REDES: ÍNDICES FINANCIEROS MUNDIALES ............................................. 776

LINDA MARGARITA MEDINA HERRERA, TECNOLÓGICO DE MONTERREY CCM. ERNESTO PACHECO VELÁZQUEZ, TECNOLÓGICO DE MONTERREY CCM.

DESARROLLO DE UN MODELO PARA LA MEJORA TANTO DE LA OFERTA DE PRODUCTOS COMO DEL SERVICIO AL CLIENTE A TRAVES DE UN CALL CENTER BANCARIO PROPIO COMO UN CANAL NO TRADICIONAL DE SERVICIO Y VENTA DE PRODUCTOS FINANCIEROS ............................................................................................................... 782

RUTH CAVAZOS ARROYO, UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICO CUAUHTÉMOC PUENTE MUÑOZ, UNIVERSIDAD PANAMERICANA

IMPACTO PUBLICITARIO DEL MARKETING MÓVIL EN UN ENTORNO TRADICIONAL: CASO CIBERNAUTAS DE LA REGIÓN COSTA SUR DE JALISCO, MÉXICO .................................................................................................. 787

ROBERTO GONZÁLEZ MONROY, UNIVERSIDAD DE GUADALAJARA CÉSAR AMADOR DÍAZ PELAYO, UNIVERSIDAD DE GUADALAJARA

LA EMPRESA MEXICANA EN EL EXTERIOR. UN PRIMER ACERCAMIENTO............................................................ 796

JORGE LUIS ALCARAZ VARGAS, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO RUBÉN MOLINA MARTÍNEZ, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO OSCAR HUGO PEDRAZA RENDÓN, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO

PROPUESTA DE REFORMA FISCAL INTEGRAL EN MÉXICO ................................................................................... 802

FIDEL ANTONIO MENDOZA SHAW, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA ROSA ISELA LOPEZ CUEVAS, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA JOSE EZEQUIEL ROBLES ENCINAS, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA

ANALISIS DEL IMPACTO DE CRECIMIENTO EN LAS PYMES QUE SE DESARROLLARON BAJO UN ESQUEMA DE INCUBACION. CASO ENCUBADORA EMPRESER – SONORA ................................................................................. 805

EMMA VANESSA CASAS MEDINA, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA ERIKA OLIVAS VALDEZ, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA LUIS ENRIQUE IBARRA MORALES, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA

ANÁLISIS DEL IMPACTO DE LA APLICACIÓN DEL PROGRAMA GUÍAS ESCOLARES EN LA UNIVERSIDAD: CASO CESUES HERMOSILLO. ........................................................................................................................................ 812

EMMA VANESSA CASAS MEDINA, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. NORMA LORENA ARENAS MOZQUEDA, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. SUSANA AYDE SENDER ÁVILES, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. LUIS ENRIQUE IBARRA MORALES, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA.

PLANES NACIONALES DE DESARROLLO Y LOS SECTORES PRODUCTIVOS DE MÉXICO ......................................... 818

OMAR ERNESTO TERÁN VARELA, CENTRO UNIVERSITARIO UAEM AMECAMECA ENRIQUE ESPINOSA AYALA, CENTRO UNIVERSITARIO UAEM AMECAMECA RANULFO PÉREZ GARCÉS, CENTRO UNIVERSITARIO UAEM AMECAMECA MARÍA DE LOURDES HERNÁNDEZ ARAGÓN, CENTRO UNIVERSITARIO UAEM AMECAMECA

ENTORNOS VIRTUALES APLICADOS A LA EDUCACIÓN SUPERIOR BASADOS EN LA METACOGNICIÓN ................ 825

OMAR ERNESTO TERÁN VARELA, CENTRO UNIVERSITARIO UAEM AMECAMECA MONSERRAT ALONSO GALICIA, CENTRO UNIVERSITARIO UAEM AMECAMECA MARTHA ELBA RUÍZ RIVA PALACIO , CENTRO UNIVERSITARIO UAEM AMECAMECA

xii

RANULFO PÉREZ GARCÉS, CENTRO UNIVERSITARIO UAEM AMECAMECA

PROYECCIÓN DEL PERFIL DE VALORES DEL LIC. EN NEGOCIOS INTERNACIONALES ............................................. 830

OLGA LIDIA GUTIÉRREZ GUTIÉRREZ, UABC MARÍA BELÉN MURILLO PEDRAZA, UABC ANA CECILIA BUSTAMANTE VALENZUELA, UABC SANDRA JULIETA SALDÍVAR GONZÁLEZ, UABC IGNACIO ALEJANDRO MENDOZA MARTÍNEZ, LA SALLE

LOS VALORES EN LOS ESTUDIANTES UNIVERSITARIOS, UN COMPROMISO DE LAS INSTITUCIONES DE EDUCACIÓN SUPERIOR EN MÉXICO .CASO: ALUMNOS DE LA CARRERA DE LICENCIADO EN INFORMÁTICA, FACULTAD DE CIENCIAS ADMINISTRATIVAS ............................................................................................................................. 831

SANDRA JULIETA SALDÍVAR GONZÁLEZ,UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA MARÍA BELÉN MURILLO PEDRAZA, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA ANA CECILIA BUSTAMANTE VALENZUELA, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA OLGA LIDIA GUTIÉRREZ GUTIÉRREZ, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA IGNACIO ALEJANDRO MENDOZA MARTÍNEZ, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA PATRICIA GUADALUPE GARCÍA CABRALES, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA

SEGUIMIENTO A LOS EGRESADOS, FUNCIÓN SUSTANTIVA DE LAS DEMANDAS DE UN MERCADO LABORAL ..... 836

HILARIO DE LA TORRE PÉREZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RAQUEL OLIVIA ROA RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SANDRA JULIETA SALDIVAR GONZÁLEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA GLORIA MUÑOZ DEL REAL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA REYNA ISABEL ROA RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA PATRICIA GUADALUPE GARCÍA CABRALES, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

EVALUACIÓN DEL MEJORAMIENTO DE LOS INDICADORES FINANCIEROS EN LAS EMPRESAS DEL SECTOR CARBÓN Y SUS DERIVADOS EN COLOMBIA ...................................................................................................................... 842

TOMÁS FONTALVO HERRERA, UNIVERSIDAD DE CARTAGENA JOSÉ MORELOS GÓMEZ, UNIVERSIDAD DE CARTAGENA JUAN CARLOS VERGARA SCHMALBACH, UNIVERSIDAD DE CARTAGENA

PROYECTO DE MERCADOTECNIA TURÍSTICA PARA LA CREACIÓN DE UN AERÓDROMO DEPORTIVO EN LA REGIÓN VITIVINÍCOLA EN BAJA CALIFORNIA, MÉXICO .................................................................................................... 847

FRANCISCO ADRIÁN GARFIAS GARCÍA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA JOSÉ GABRIEL RUIZ ANDRADE, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA OMAIRA CECILIA MARTÍNEZ MORENO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

PLAN DE MERCADOTECNIA PARA DIVERSIFICACIÓN DE MERCADOS EN SERVICIOS LEGALES AMBIENTALES ..... 850

PATRICIA BLANCO VARGAS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA JOSÉ GABRIEL RUIZ ANDRADE, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RICARDO VERJÁN QUIÑONES, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

ESTUDIO DE FACTIBILIDAD PARA LA COMERCIALIZACIÓN DE ZARZAMORA EN MERCADOS INTERNACIONALES 854

LUIS ENRIQUE IBARRA MORALES, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. NATALIA GUADALUPE ROMERO VIVAR, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. ROSALINA JAIME MEULY, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. BEATRIZ ALEJANDRA HURTADO BRINGAS, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA.

CONFIANZA, COMPROMISO E INTENCION PARA COMPARTIR: ¿VARIABLES INFLUYENTES PARA TRANSFERIR CONOCIMIENTO DENTRO DE LAS ORGANIZACIONES? ....................................................................................... 867

AURORA I. MÁYNEZ GUADERRAMA, UNIVERSIDAD AUTÓNOMA DE CIUDAD JUÁREZ

xiii

JUDITH CAVAZOS ARROYO, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA SANTIAGO IBARRECHE SUÁREZ, UNIVERSIDAD DE TEXAS EN EL PASO JOSÉ PABLO NUÑO DE LA PARRA, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA

PLATAFORMA MOODLE: INNOVACION EDUCATIVA EN ESTUDIOS DE POSGRADO....................................... 873

EDELMIRA SÁNCHEZ DELGADO, UNIVERSIDAD AUTÓNOMA DE CIUDAD JUÁREZ SALVADOR ANIBAL OCHOA RAMÍREZ, UNIVERSIDAD AUTÓNOMA DE CIUDAD JUÁREZ

ESTRATEGIAS Y RENDIMIENTO DE LAS MICRO, PEQUEÑAS Y MEDIANAS EMPRESAS FAMILIARES (AGUASCALIENTES MÉXICO) .............................................................................................................................. 877

LUIS AGUILERA ENRÍQUEZ, UNIVERSIDAD AUTÓNOMA DE AGUASCALIENTES MARTHA GONZÁLEZ ADAME,UNIVERSIDAD AUTÓNOMA DE AGUASCALIENTES

MEDICIÓN DEL POTENCIAL DE ASOCIATIVIDAD ENTRE EMPRESAS EMPLEANDO EL MÉTODO MACTOR ............ 884

JUAN CARLOS VERGARA SCHMALBACH, UNIVERSIDAD DE CARTAGENA JOSÉ MORELOS GÓMEZ, UNIVERSIDAD DE CARTAGENA TOMÁS JOSÉ FONTALVO HERRERA, UNIVERSIDAD DE CARTAGENA

EL GRADO DE COMPETENCIAS DEL EGRESADO DE LA LICENCIATURA EN TURISMO VERSUS LAS CAPACIDADES GENÉRICAS EXIGIDAS POR EL MERCADO LABORAL ............................................................................................ 894

CLAUDIA LETICIA PRECIADO ORTIZ, UNIVERSIDAD DE GUADALAJARA, CENTRO UNIVERSITARIO DE LA COSTA SUR CRISTINA ZEPEDA IBARRA, UNIVERSIDAD DE GUADALAJARA, CENTRO UNIVERSITARIO DE LA COSTA SUR ALFREDO CASTAÑEDA PALOMERA, UNIVERSIDAD DE GUADALAJARA, CENTRO UNIVERSITARIO DE LA COSTA SUR ALFREDO TOMÁS ORTEGA OJEDA, UNIVERSIDAD DE GUADALAJARA, CENTRO UNIVERSITARIO DE LA COSTA SUR

VICIOS Y VIRTUDES DEL MODELO DE ACREDITACIÓN EN EL SISTEMA DE EDUCACIÓN SUPERIOR CHILENO ........ 906

JUAN CAMEL TALA JAPAZ, UNIVERSIDAD DE SANTIAGO DE CHILE PAULINA HIDALGO PÉREZ, UNIVERSIDAD DE SANTIAGO DE CHILE

ESTRATEGIAS DE COMERCIO EXTERIOR PARA LA INTRODUCCIÓN DE UNA PYME DE EXPORTACIÓN DE TAMALES, EN CIUDAD JUÁREZ CHIHUAHUA ....................................................................................................................... 920

JULIO CESAR BRIONES BENAVENTE, UNIVERSIDAD TECNOLÓGICA DE CIUDAD JUÁREZ PERLA IVETTE GÓMEZ ZEPEDA, UNIVERSIDAD TECNOLÓGICA DE CIUDAD JUÁREZ NIDIA GISELA NAFARRATE ROBLES, UNIVERSIDAD TECNOLÓGICA DE CIUDAD JUÁREZ FELIPE CHONTAL RAMOS, UNIVERSIDAD TECNOLÓGICA DE CIUDAD JUÁREZ RENE MELÉNDEZ SEPÚLVEDA, UNIVERSIDAD TECNOLÓGICA DE CIUDAD JUÁREZ

PANORAMA DE LA PARTICIPACIÓN DE LAS MICRO, PEQUEÑAS Y MEDIANAS EMPRESAS BAJACALIFORNIANAS EN PROCESOS DE GESTIÓN DE LA CALIDA ............................................................................................................... 931

PATRICIA VALDÉS FLORES, CETYS UNIVERSIDAD

VIOLENCIA Y DESERCIÓN DE ESTUDIANTES DE EDUCACIÓN SUPERIOR .............................................................. 932

MARÍA GUADALUPE DURAZO BRINGAS, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. BERTHA GUADALUPE OJEDA GARCÍA, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA.

¿POR QUÉ HIZO CRISIS EL SISTEMA EDUCATIVO CHILENO?: EVIDENCIA Y ESPECULACIÓN ................................. 938

PAULINA HIDALGO PÉREZ, UNIVERSIDAD DE SANTIAGO DE CHILE

INSEGURIDAD Y CONSUMO: CASO AUTLÁN DE NAVARRO, JALISCO. MÉXICO ................................................... 952

CESAR AMADOR DÍAZ PELAYO, UNIVERSIDAD DE GUADALAJARA CLAUDIA LETICIA PRECIADO ORTÍZ, UNIVERSIDAD DE GUADALAJARA ELSY CLAUDIA CHAN GAMBOA, UNIVERSIDAD DE GUADALAJARA CARLOS MANUEL OROZCO SANTILLÁN, UNIVERSIDAD DE GUADALAJARA

xiv

WEB EDUCATIVA PARA EL REFORZAMIENTO DE LAS CIENCIAS MATEMÁTICAS, EN LA FACULTAD DE CIENCIAS ADMINISTRATIVAS, UABC MEXICALI .................................................................................................................. 963

OSCAR MANUEL MADRIGAL LIZÁRRAGA, UNIVERSIDAD AUTONOMA DE BAJA CALIFORNIA

EFICIENCIA EN LAS INSTITUCIONES EDUCATIVAS PÚBLICAS DE LA CIUDAD DE SANTA MARTA CON “DATA ENVELOPMENT ANALYSIS” ................................................................................................................................ 964

DELIMIRO VISBAL CADAVID, UNIVERSIDAD DEL MAGDALENA ROLANDO ESCORCIA CABALLERO, UNIVERSIDAD DEL MAGDALENA JOSÉ MARIO AGUDELO TOLOZA, UNIVERSIDAD DEL MAGDALENA

IMPLEMENTACIÓN DEL SIMULADOR FISCAL DESDE LA PERSPECTIVA DEL ALUMNADO EN EL PROCESO DE ENSEÑANZA APRENDIZAJE EN LA FACULTAD DE CIENCIAS ADMINISTRATIVAS DE LA UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ......................................................................................................................................... 965

GLORIA ALICIA NIEVES BERNAL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA BELÉN MURILLO PEDRAZA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA CLAUDIA VIVIANA ÁLVAREZ VEGA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ERNESTO ALONSO PÉREZ MALDONADO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

DETECCIÓN DE LOS FACTORES DE RESILIENCIA COMO SITUACIONES MOTIVACIONALES PARA EL ÉXITO EN LOS ALUMNOS DEL INSTITUTO TECNOLÓGICO DE MEXICALI .................................................................................... 970

GLORIA ALICIA NIEVES BERNAL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RAFAEL CRUZ CASANOVA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MANUEL MUÑOZ AGUILERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA LEONEL ROSILES LÓPEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

EL IMPUESTO AL VALOR AGREGADO EN MÉXICO, SUS EXENCIONES Y LAS DIFERENTES TASAS: FACTORES QUE AFECTAN LA RECAUDACIÓN ............................................................................................................................... 980

MARTHA SHEILA GÓMEZ GONZÁLEZ, UNIVERSIDAD DE GUADALAJARA MÓNICA ARACELI REYES RODRÍGUEZ, UNIVERSIDAD DE GUADALAJARA

FUENTES DE FINANCIAMIENTO EN LAS PYMES EXPORTADORAS DEL ESTADO DE COLIMA MÉXICO ................... 992

JESÚS OTONIEL SOSA RODRÍGUEZ, UNIVERSIDAD DE COLIMA. AURELIO DENIZ GUIZAR, UNIVERSIDAD DE COLIMA. ÓSCAR BERNARDO REYES REAL, UNIVERSIDAD DE COLIMA.

RECICLAJE DE RESIDUOS SÓLIDOS MUNICIPALES EN TIJUANA; UNA APROXIMACIÓN A LOS ASPECTOS AMBIENTALES, SOCIOECONÓMICOS, INSTITUCIONALES Y JURÍDICOS ................................................................ 999

CELSA GUADALUPE SÁNCHEZ VÉLEZ, CETYS UNIVERSIDAD, CAMPUS TIJUANA

EL PROCESO DE SUCESIÓN EN LAS EMPRESAS FAMILIARES: GARANTÍA DE CONTINUIDAD, LEGADO Y COMPETITIVIDAD ............................................................................................................................................ 1000

MA. DE LOS ANGELES MONTERDE VALENZUELA, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA

EVOLUCIÓN DEL CENTRO DESARROLLO EMPRESARIAL-UABC EN EL VALLE DE MEXICALI ................................. 1010

MARCELA REYES PAZOS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA, CAMPUS MEXICALI

EL COMPORTAMIENTO EMPRENDEDOR DE FRANQUICIADOS A TRAVÉS DE LA INFLUENCIA DE RASGOS PSICOLÓGICOS ................................................................................................................................................. 1018

HÉCTOR PRIEGO HUERTAS, UNIVERSIDAD DE COLIMA, MÉXICO ROBERTO ESPÍRITU OLMOS, UNIVERSIDAD DE COLIMA, MÉXICO HUGO MARTÍN MORENO ZACARÍAS, UNIVERSIDAD DE COLIMA, MÉXICO

xv

INSTRUMENTOS DE GESTIÓN PARTICIPATIVA EN LA ADMINISTRACIÓN PÚBLICA: PROPUESTA DE UN SISTEMA DE INDICADORES PARA LA PLANEACIÓN ESTATAL EN BAJA CALIFORNIA .............................................................. 1030

SHEILA DELHUMEAU RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ANDREA SPEARS KIRKAND, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MÓNICA LACAVEX BERUMEN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

INDICADORES DE DESEMPEÑO Y PERCEPCIÓN CIUDADANA. REFLEXIONES SOBRE EL CASO DE SEGURIDAD PÚBLICA EN ENSENADA, BAJA CALIFORNIA ..................................................................................................... 1036

ISABEL ADRIANA ESCOBEDO FUENTES, PRONATURA SHEILA DELHUMEAU RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ANDREA SPEARS KIRKAND, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

RELACIONES INTERGUBERNAMENTALES TRANSFRONTERIZAS. UN INSTRUMENTO DE ANÁLISIS PARA LAS INTERACCIONES ENTRE CALIFORNIA Y BAJA CALIFORNIA ................................................................................ 1042

SHEILA DELHUMEAU RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

EL INVENTARIO DE BAR-ON EN EL DEPARTAMENTO DE ASIENTOS DE DESARROLLO TÉCNICO DE VOLKSWAGEN DE MÉXICO ........................................................................................................................................................... 1048

RAFAELA MARTÍNEZ MÉNDEZ, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA JOSUÉ ALDO MACHORRO VÁZQUEZ, BENEMÉRITA. UNIVERSIDAD AUTÓNOMA DE PUEBLA MARIANA NOCEDAL DE LA GARZA, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA SANDRA OLIVERA POMPOSO, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA

MÉTODOS MIXTOS PARA EL ESTUDIO DE LAS DECISIONES ESTRATÉGICAS EN LAS PYMES ............................... 1060

FABIOLA BALTAR, UNIVERSIDAD NACIONAL DE MAR DEL PLATA NATACHA GENTILE, UNIVERSIDAD NACIONAL DE MAR DEL PLATA

LA RESPONSABILIDAD SOCIAL CORPORATIVA .................................................................................................. 1072

JUAN MANUEL ALBERTO PERUSQUÍA VELASCO ,UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA OLGA LIDIA GUTIÉRREZ GUTIÉRREZ , UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

ANÁLISIS DE LA PRESCRIPCIÓN FISCAL EN MÉXICO .......................................................................................... 1076

LEONEL ROSILES LÓPEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA NELSON ISAAC PADILLA CASTRO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA CRUZ ELDA MACÍAS TERÁN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SANTIAGO PÉREZ ALCALÁ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

ESTUDIO DEL COMPROMISO ORGANIZACIONAL EN UN COLEGIO PARTICULAR, EN ENSENADA, B.C. ............... 1081

ROCIO GUTIERREZ ALANIS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA CONCEPCION RAMIREZ BARON, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA BLANCA ROSA GARCÍA RIVERA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

ESTRATEGIAS DE COMERCIALIZACIÓN INTERNACIONAL DEL QUESO COTIJA REGIÓN DE ORIGEN .................... 1092

OSCAR HUGO PEDRAZA RENDÓN, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO RUBÉN MOLINA MARTÍNEZ, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO MARÍA SOLEDAD RAMÍREZ FLORES, UNIVERSIDAD MICHOACANA DE SAN NICOLÁS DE HIDALGO

FACTORES QUE INTERVIENEN EN EL DESARROLLO Y CONTINUIDAD DE LAS EMPRESAS FAMILIARES DE TEHUACÁN ........................................................................................................................................................................ 1097

HILARIO DÍAZ GUZMÁN, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA GABRIELA SÁNCHEZ BAZÁN, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA

xvi

HABILIDADES SOCIALES, FACTOR DETERMINANTE EN LA TOMA DE DECISIONES EN EL SECTOR SERVICIOS: RESTAURANTES TURÍSTICOS, EN ENSENADA, B. C. ........................................................................................... 1098

KARLA RAMÍREZ-BARÓN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA OMAIRA CECILIA MARTÍNEZ MORENO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA CONCEPCIÓN RAMÍREZ BARÓN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

LA IMPORTANCIA DE UN SISTEMA DE EDUCACIÓN VIRTUAL EN EL CENTRO UNIVERSITARIO DE LA COSTA SUR DE LA UNIVERSIDAD DE GUADALAJARA (CUCSUR) ................................................................................................ 1109

OSCAR GUZMÁN VARGAS, UNIVERSIDAD DE GUADALAJARA MARTHA SHEILA GÓMEZ GONZÁLEZ, UNIVERSIDAD DE GUADALAJARA

MOVILIDAD HACIA LOS MEDIOS MASIVOS DE INFORMACIÓN ......................................................................... 1117

HELBERT ELI GAZCA SANTOS, INSTITUTO TECNOLÓGICO DE MÉRIDA ANDRÉS MIGUEL PEREYRA CHAN, INSTITUTO TECNOLÓGICO DE MÉRIDA KARINA CONCEPCIÓN GONZÁLEZ HERRERA, UNIVERSIDAD TECNOLÓGICA METROPOLITANA

IMPACTO DEL BURNOUT Y LA SATISFACCIÓN LABORAL EN LOS GERENTES DE LAS MAQUILADORAS EN TECATE, B.C. MÉXICO .................................................................................................................................................... 1129

SILVIA HERNÁNDEZ SOLIS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA OMAIRA CECILIA MARTÍNEZ MORENO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA LOURDES EVELYN APODACA DEL ANGEL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

DE LA MOVILIDAD A LA MIGRACIÓN: FACTORES ASOCIADOS .......................................................................... 1130

KARINA CONCEPCIÓN GONZÁLEZ HERRERA, UNIVERSIDAD TECNOLÓGICA METROPOLITANA ADRIAN GONZÁLEZ ROMO, EL COLEGIO DE TLAXCALA A.C

ESTRATEGIAS DE COMERCIALIZACION DE LA MICRO Y PEQUEÑA EMPRESA AGROINDUSTRIAL EN LA CIUDAD DE ENSENADA BAJA CALIFORNIA .......................................................................................................................... 1134

SANTIAGO GONZÁLEZ VELÁSQUEZ, UNIVERSIDAD TECNOLÓGICA DE TIJUANA MARÍA DE LOS ÁNGELES REYES NEVARES, UNIVERSIDAD TECNOLÓGICA DE TIJUANA IMELDA YÁÑEZ RUIZ,UNIVERSIDAD TECNOLÓGICA DE TIJUANA

LA INTELIGENCIA COMPETITIVA EN LAS EMPRESAS DE LA CIUDAD DE TIJUANA B.C. ....................................... 1142

NORMA LETICIA VIZCARRA VIZCARRA, UNIVERSIDAD TECNOLÓGICA DE TIJUANA VIRGINIA GUADALUPE LÓPEZ TORRES, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA DORA ROCÍO GUERRERO MUÑOZ, UNIVERSIDAD TECNOLÓGICA DE TIJUANA

ESTRATEGIAS DE MERCADOTECNIA EN EMPRESAS MANUFACTURERAS DE LA ZONA METROPOLITANA DE LA CIUDAD DE PUEBLA 2010 ................................................................................................................................. 1150

MARIA DEL CARMEN DOMÍNGUEZ RÍOS, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA MARICELA RESENDIZ ORTEGA, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA MICHELE ALEXANDRA CORONA DOMÍNGUEZ, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA

CONDICIONES DE LOS FACTORES QUE INFLUYEN EN LA COMPETITIVIDAD DE UN MUNICIPIO FRONTERIZO ... 1159

OSCAR OMAR OVALLE OSUNA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SILVIA HERNÁNDEZ SOLÍS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SERGIO VALE SÁNCHEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

LAS PYMES FAMILIARES VS. LAS NO FAMILIARES EN EL CONTEXTO DE UNA ECONOMÍA EN CRECIMIENTO: UN ESTUDIO DE CASOS SOBRE LA CONTRIBUCIÓN DE LA INNOVACIÓN AL DESEMPEÑO ....................................... 1160

LUIS ANTONIO MORENO SEGURA, TECNOLÓGICO DE MONTERREY CAMPUS LAGUNA

xvii

LA PROFESIONALIZACIÓN COMO FACTOR DE COMPETITIVIDAD: UN ANALISIS DE LAS EMPRESAS FAMILIARES DEL SECTOR INDUSTRIAL, EN TIJUANA, B.C., MEXICO ............................................................................................. 1167

ALFONSO VEGA LÓPEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA VIRGINIA FLORES ORTIZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA MARCELA SOLÍS QUINTEROS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA EDGAR ARMANDO CHÁVEZ MORENO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

OPCIÓN LEGAL PARA EVITAR LA EVASIÓN DEL PAGO DE IMPUESTO SOBRE LA RENTA EN LA INDUSTRIA DE LA CONSTRUCCIÓN EN MÉXICO ............................................................................................................................ 1177

CRUZ ELDA MACÍAS TERÁN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA LEONEL ROSILES LÓPEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SANTIAGO PÉREZ ALCALÁ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA CAROLINA ADAME MÁRQUEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA GLORIA ALICIA NIEVES BERNAL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

EL EFECTO ECONÓMICO DE LA MIGRACIÓN INTERNACIONAL EN EL CRECIMIENTO ECONÓMICO DE MÉXICO . 1183

MARTINA RODRÍGUEZ DOMÍNGUEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA EMILIO HERNÁNDEZ GÓMEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

COOPERATIVA SANZEKAN TINEMI: PROMOTORA DE ALTERNATIVAS DE TRABAJO EN BASE AL DESARROLLO ORGANIZACIONAL GUERRERENSE, MEXICO ..................................................................................................... 1189

ADRIANA PATRICIA SOTO AGUILAR, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA ELÍAS SOSA SÁNCHEZ, BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA

ANÁLISIS ECONÓMICO DEL COMERCIO AL POR MENOR EN LA CIUDAD DE MÉRIDA ........................................ 1193

ROQUE HUMBERTO MARTÍN GAMBOA LEÓN, UNIVERSIDAD TECNOLÓGICA METROPOLITANA LUCIA TRINIDAD PÉREZ CERVERA, UNIVERSIDAD TECNOLÓGICA METROPOLITANA KARINA CONCEPCIÓN GONZÁLEZ HERRERA, UNIVERSIDAD TECNOLÓGICA METROPOLITANA

LA COMPETITIVIDAD COMO FACTOR DE DESARROLLO SUSTENTABLE INDICADORES PARA LA EVALUACION DE LA INDUSTRIA MAQUILADORA ............................................................................................................................. 1199

MARÍA ESTHER IBARRA ESTRADA, INSTITUTO TECNOLÓGICO DE TIJUANA, MÉXICO MARIO JIMÉNEZ SUÁREZ, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA, MÉXICO SOFÍA ELBA VÁZQUEZ HERRERA, UNIVERSIDAD POPULAR AUTÓNOMA DEL ESTADO DE PUEBLA, MÉXICO

EL IMPACTO QUE TIENE LA BIBLIOTECA DEL CICESE, EN RELACIÓN CON LA PRODUCTIVIDAD DE LOS INVESTIGADORES DEL DEPARTAMENTO DE ACUICULTURA (DA) ...................................................................... 1210

ELIZABETH AVILÉS BECERRIL, UABC/CICESE MARÍA CONCEPCIÓN RAMÍREZ BARÓN, AUTÓNOMA DE BAJA CALIFORNIA SONIA ROCHA MALDONADO, AUTÓNOMA DE BAJA CALIFORNIA

LIDERAZGO POLÍTICO: CARACTERÍSTICAS Y PARTICULARIDADES. UN ESTUDIO DE CASO ................................. 1217

JORGE ACOSTA TILLERÍAS, UNIVERSIDAD DE SANTIAGO DE CHILE

INTENCIÓN DE EMPRENDIMIENTO EN ESTUDIANTES: EL CASO DE UNA UNIVERSIDAD PÚBLICA EN CIUDAD JUÁREZ, MÉXICO .............................................................................................................................................. 1231

OSCAR JAVIER MONTIEL MÉNDEZ, UNIVERSIDAD AUTÓNOMA DE CD. JUÁREZ (UACJ) BLANCA LIDIA MÁRQUEZ MIRAMONTES, UNIVERSIDAD AUTÓNOMA DE CD. JUÁREZ (UACJ) ZOILA ARÁMBULA MONREAL, CENTRO DE BACHILLERATO TECNOLÓGICO INDUSTRIAL Y DE SERVICIOS 114 (C.B.T.I.S. NO. 114) LARISA ORDOÑEZ MOLINAR, UNIVERSIDAD AUTÓNOMA DE CD. JUÁREZ (UACJ)

INNOVACIONES TECNOLÓGICAS APLICADAS EN LA ENSEÑANZA DE LAS CIENCIAS ADMINISTRATIVAS ............ 1244

xviii

CLAUDIA VIVIANA ÁLVAREZ VEGA, UABC MARÍA BELÉN MURILLO PEDRAZA, UABC GLORIA ALICIA NIEVES BERNAL, UABC

FACTORES DETERMINANTES DE LA CALIDAD DEL SERVICIO DE UNA CAFETERÍA EN EL CAMPUS DE UNA UNIVERSIDAD PÚBLICA .................................................................................................................................... 1250

SONIA ELIZABETH MALDONADO-RADILLO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ANA MA. GUILLÉN JIMÉNEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RAFAEL ERNESTO CARRANZA PRIETO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

EVALUACIÓN DEL NIVEL TECNOLÓGICO DE LAS PEQUEÑAS Y MEDIANAS EMPRESAS (PYMES) DEL SECTOR SERVICIO EN MEXICALI, BAJA CALIFORNIA ....................................................................................................... 1256

ADELAIDA FIGUEROA VILLANUEVA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SÓSIMA CARRILLO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MANUEL ALEJANDRO IBARRA CISNEROS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RICARDO CHING WESMAN, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

LA EDUCACIÓN CONTINÚA COMO MEDIO PARA APOYAR LA COMPETITIVIDAD DE LAS PYMES Y LA VINCULACIÓN EMPRESARIAL CON LAS INSTITUCIONES DE EDUCACIÓN SUPERIOR ................................................................. 1257

JULIO CÉSAR LEÓN PRIENTO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SÓSIMA CARRILLO, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ANA CECILIA BUSTAMANTE VALENZUELA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ADELAIDA FIGUEROA VILLANUEVA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

REALIDADES Y OPORTUNIDADES DE EMPLEO EN MÉXICO ............................................................................... 1262

RAÚL GONZÁLEZ NÚÑEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ALMA DELIA INDA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ELSA LOURDES SALAZAR RUÍZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA ADELAIDA FIGUEROA VILLANUEVA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

CENTRO ECO-TURÍSTICO EXCAMÉ .................................................................................................................... 1266

ANA KAREN FRAIRE, UNIVERSIDAD DE GUADALAJARA MARÍA DE LA LUZ MORA SALAS, UNIVERSIDAD DE GUADALAJARA KAREN YURIDIA ESTUPIÑAN PÉREZ, INSTITUTO TECNOLÓGICO SUPERIOR NORTE

COACHING PARA EL DESARROLLO DEL ALTO DESEMPEÑO PARA EMPRESAS PUBLICITARIAS: CASO ISA CORPORATIVO S.A. DE C.V. .............................................................................................................................. 1267

OMAR ERNESTO TERÁN VARELA, CENTRO UNIVERSITARIO UAEM AMECAMECA GILBERTO CERVANTES MORENO, EGRESADO DE LA ESCA UNIDAD TEPEPAN IPN ENRIQUE ESPINOSA AYALA, CENTRO UNIVERSITARIO UAEM AMECAMECA NAYELI JUÁREZ MONTOYA, CENTRO UNIVERSITARIO UAEM AMECAMECA

LA CRISIS FINANCIERA, EL RACIONAMIENTO DE CRÉDITO Y LA RELACIÓN BANCARIA DE LAS PYME EN ESPAÑA ........................................................................................................................................................................ 1268

ALAITZ MENDIZABAL ZUBELDIA, UNIVERSIDAD DEL PAÍS VASCO AITZIBER LERTXUNDI, INSTITUTO DE ECONOMÍA APLICADA A LA EMPRESA JESÚS GARMENDIA IBÁÑEZ, UNIVERSIDAD DEL PAÍS VASCO

PERCEPCIÓN DE LA CALIDAD DEL SERVICIO DE LA EDUCACIÓN UNIVERSITARIA DE ALUMNOS Y PROFESORES 1274

OSCAR REYES SÁNCHEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARCELA REYES PAZOS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

xix

LA PERSPECTIVA CUALITATIVA DE LA MATERIALIDAD EN AUDITORÍA: EVIDENCIA EMPÍRICA EN MÉXICO Y COLOMBIA ....................................................................................................................................................... 1275

SERGIO IVÁN RAMÍREZ CACHO, UNIVERSIDAD DE COLIMA, MÉXICO MARIO DE JESÚS NARANJO GONZÁLEZ, UNIVERSIDAD DE COLIMA, MÉXICO

EL EMPLEO Y SALARIO QUE SE PAGA EN BAJA CALIFORNIA, ¿CONTRIBUYEN AL BIENESTAR SOCIAL DEL SER HUMANO? ....................................................................................................................................................... 1285

ALMA DELIA INDA, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA GLORIA MUÑOZ DEL REAL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA RAÚL GONZÁLEZ NÚÑEZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

COMPRADORES MIGRANTES Y NO MIGRANTES DEL SUPERMERCADO A LA TIENDA DE BARRIO EN CARTAGENA DE INDIAS – COLOMBIA ................................................................................................................................... 1298

EMPERATRIZ LONDOÑO ALDANA, UNIVERSIDAD DE CARTAGENA MARÍA EUGENIA NAVAS RÍOS, UNIVERSIDAD DE CARTAGENA JAIRO OROZCO TRIANA, UNIVERSIDAD DE CARTAGENA CLAUDIA ESTHER TORRES HERRERA , UNIVERSIDAD DE CARTAGENA

SISTEMA DE GESTIÓN INTEGRAL DE PROVEDORES DE LA CORPORACIÓN DE CIENCIA Y TECNOLOGÍA PARA EL DESARROLLO DE LA INDUSTRIA NAVAL, MARÍTIMA Y FUVIAL EN COLOMBIA .................................................. 1309

JOSÉ MORELOS GÓMEZ, UNIVERSIDAD DE CARTAGENA TOMÁS JOSÉ FONTALVO HERRERA, UNIVERSIDAD DE CARTAGENA JUAN CARLOS VERGARA SCHMALBACH, UNIVERSIDAD DE CARTAGENA

ASPECTOS ÉTICOS EN LA FORMA DE EJERCER LOS INGRESOS PÚBLICOS EN MÉXICO ....................................... 1315

ERIKA OLIVAS VALDEZ, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. ROSSANA PALOMINO CANO, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA. FRANCISCO JAVIER PESTAÑO URUCHURTU, CENTRO DE ESTUDIOS SUPERIORES DEL ESTADO DE SONORA.

LOS RETOS DE LA INDUSTRIA DEL SECTOR METALMECÁNICO EN EL DESARROLLO ECONÓMICO DE BAJA CALIFORNIA ..................................................................................................................................................... 1321

LOURDES EVELYN APODACA DEL ANGEL, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA MARÍA DEL CARMEN ALCALÁ ÁLVAREZ, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA SILVIA HERNÁNDEZ SOLÍS, UNIVERSIDAD AUTÓNOMA DE BAJA CALIFORNIA

LAS PRÁCTICAS DE ALTO RENDIMIENTO INFLUENCIA DE LA AUTORIDAD NO FORMAL EN LA ADMINISTRACION DEL TALENTO HUMANO Y SU IMPACTO EN LOS RESULTADOS EMPRESARIALES .............................................. 1322

JUAN NICOLÁS MONTOYA MONSALVE , UNIVERSIDAD NACIONAL DE COLOMBIA SANTIAGO GUTIÉRREZ BRONCANO, UNIVERSIDAD REY JUAN CARLOS ALVARO MONCADA NIÑO , CONSULTOR ORGANIZACIONAL

INDEX OF AUTHORS ...................................................................................................................................... 1335

UNIVERSITIES AND INSTITUTIONS REPRESENTED .................................................................................... 1339

COUNTRIES REPRESENTED ............................................................................................................................... 1342

ENGLISH PROCEEDINGS

Global Conference on Business and Finance Proceedings ♦ Volume 7 ♦ Number 1 2012

GCBF ♦ Vol. 7 ♦ No. 1♦ 2012♦ ISSN 1941-9589 ONLINE & ISSN 1931-0285 CD 2

RISK ANALYSIS VIA REGRESSION QUANTILES - EVIDENCE FROM INTERNATIONAL EQUITY

MARKETS Hongtao Guo, Salem State University

Miranda S Lam, Salem State University Guojun Wu, University of Houston

Zhijie Xiao, Boston College

ABSTRACT

In this paper we study risk management based on a robust method via quantile regression. Unlike the traditional VaR estimation methods, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions with heavy tails. The empirical application to five international equity indexes confirms this. JEL: G110; G150; C18 KEYWORDS: Value at risk, international equities, risk analysis INTRODUCTION The Value-at-Risk (VaR) is the loss in market value over a given time horizon that is exceeded with probability p, where p is often set at 0.01 or 0.05. In recent years, VaR has become a popular tool in the measurement and management of financial risk. This popularity is spurred both by the need of various institutions for managing risk and by government regulations [see Dowd (1998), Saunders (1999)]. Although VaR is a relatively simple concept, its measurement is in fact a challenging task. In particular, there is little research on how good these VaR estimates are. Currently there are two broad classes of methods in estimating VaR [see Beder (1995) and Duffie and Pan (1997) for surveys on this topic]. The first approach is based on the assumption of a conditionally normal stock return distribution. The estimation of VaR is equivalent to estimating conditional volatility of returns. Since there is a large and growing literature on volatility modeling itself, this class is indeed a large and expanding world. There has been accumulated evidence that portfolio returns are usually not normally distributed. In particular, it is frequently found that market returns display negative skewness and excess kurtosis in the distribution of the time series. These findings suggest that VaR estimation by a more robust method is needed. The second class of VaR estimators is based on computing the empirical quantile nonparametrically; for example, using rolling historical quantiles. Other approaches in estimating VaR include the hybrid method by Boudoukh, Richardson and Vhitelaw (1998), and the method based on the extreme value theory [see, for example, Boos (1984), McNeil (1998), and Neftci (2000)]. We believe that the quantile regression method is well suited for estimating VaRs. Quantile regression was introduced by Koenker and Bassett (1978) and has now become a popular robust approach for statistical analysis. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models for conditional mean functions, quantile regression methods offer a mechanism for estimating models for the conditional median function and the full range of other

Global Conference on Business and Finance Proceedings ♦ Volume 7 ♦ Number 1 2012

GCBF ♦ Vol. 7 ♦ No. 1♦ 2012♦ ISSN 1941-9589 ONLINE & ISSN 1931-0285 CD 3

conditional quantile functions. In recent years, quantile regression has been extended to time series models. In particular, Koul and Saleh (1992) studied quantile regression methods for autoregressive processes and Koul and Mukherjee (1994) studied quantile regression in long-memory models. Koenker and Zhao (1996) extended quantile regression to ARCH models. Engle and Manganelli (1999) propose a CaVaR model based on the regression quantiles. In this paper, we estimate VaR via quantile regression ARCH models. This model has the advantage that its statistical property and computation methods are well developed and are very efficient. The estimation procedure can be easily implemented on a regular personal computer. The estimation programs are available in standard statistical packages such as S-Plus, and can also be easily written in other programming languages. In addition, since GARCH models can be asymptotically represented by ARCH processes, an ARCH model with an appropriate chosen number of lags can practically provide a good approximation. The SEC requires that for each category for which VaR disclosures are required, an institution must provide not only information about the level of estimated VaRs, but also the distribution of the value at risk amounts [see Blankley, Lamb and Schroeder (2000) for more detailed description of the SEC disclosure requirements]. Current VaR estimation methods generally do not provide a systematic way to measure how good the VaR estimates are. Mostly they assume that the estimated parameters have asymptotically normal distribution and symmetric confidence bands are constructed around the VaR point estimate. Pioneering work in this area includes Kupiec (1995), Hendricks (1996), Lopez (1998) and Dowd (2000). In a limited sample, however, this method may not be appropriate. Beder (1995), for example, applied different VaR estimation methods to three hypothetical portfolios and found huge variations in estimated VaR for the same portfolios. Accurate estimation of the conditional probability distribution of portfolio returns is very important in risk management. Obviously, a robust method for estimating VaR and the associated confidence bands are necessary if these estimates are to be useful for risk management purposes. The remainder of the article is organized as follows. Section 2 motivates and describes the quantile regression approach to VaR, estimation. Section 3 provides data descriptions and conducts the estimation. Empirical results regarding estimated VaR and model performance are reported and discussed. Finally, Section 4 contains the concluding remarks. ESTIMATING VAR BY REGRESSION QUANTILES In this paper, we consider a return process {rt} generated by the following regression model with conditional heteroscedasticity 𝑟𝑡 = ⍺𝛼′𝑥𝑡 + 𝑢𝑡 (1) where the error term satisfies 𝑢𝑡 = ( 𝛾0 + 𝛾1 |𝑢𝑡−1| + . . . +𝛾𝑞 �𝑢𝑡−𝑞�) ℇ𝑡, (2)

. with 𝛾0 > 0, (𝛾1, . . . , 𝛾𝑞) ′ ∊ ℜ+

𝑞 then this is a time series with ARCH effect. Here we assume that the innovations {ℇ𝑡 } have a general distribution F. In model (1), 𝑥𝑡 is the vector of regressors which may include lag values of the dependent variable 𝑟𝑡

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. By definition, the conditional value at risk (VaR) at p-percent level is -Va𝑅𝑡(𝑝) = 𝛼⍺′𝑥𝑡 + ( 𝛾0 + 𝛾1 |𝑢𝑡−1| + . . . +𝛾𝑞 �𝑢𝑡−𝑞�)𝐹−1(𝑝) = ⍺α′𝑥𝑡 + 𝛾(𝑝)′ 𝑍𝑡, (3) Where 𝑍𝑡= (1, |𝑢𝑡−1| , . . . , �𝑢𝑡−𝑞� )′ and 𝛾(𝑝)′ =( 𝛾0,𝛾1, . . . ,𝛾𝑞)𝐹−1( 𝑝).

Quantile regression provides a direct approach of estimating the γ(p) and other parameters, thus delivering an estimator of VaRt(p). In particular, the ARCH parameters, γ(p) can be estimated by the following problem

𝛾� (𝑝)= arg 𝑚𝑖𝑛 𝛾 ∊ ℜ𝑘

[ ∑

𝑡 ∊ {𝑡:𝑢𝑡 ≥ 𝑧𝑡′𝛾} 𝑝|𝑢𝑡− 𝑧𝑡 ′ 𝛾| +

∑ 𝑡 ∊ {𝑡:𝑢𝑡 < 𝑧𝑡′𝛾}

(1 – p)|𝑢𝑡 − 𝑧𝑡′ 𝛾|] (4)

In practice, we can replace 𝑢𝑡 and 𝑍𝑡 by their (say, OLS) estimators and, under mild regularity conditions, the resulting 𝛾�(p) is still a root-n consistent estimator of 𝛾 (p). Given the models (1) and (2), if the lags are correctly selected we should have Pr { 𝑟𝑡

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then the corresponding statistic 𝑇𝑛 in (5) can be used in testing the significance of coefficients 𝛾𝑘+1 ,. . . ,𝛾𝑞. In practice, we generally select a priori a big enough number𝑞𝑚𝑎𝑥 , then we choose the lag length from possible values {1, . . . , 𝑞𝑚𝑎𝑥}. The procedure starts with the most general model which has 𝑞𝑚𝑎𝑥 lags and tests whether the last lag coefficient is significant. If it is, then 𝑞𝑚𝑎𝑥 is chosen. Otherwise, we estimate the model with 𝑞𝑚𝑎𝑥- 1 lags. This is a sequential procedure which is repeated until a rejection occurs. EMPIRICAL ESTIMATION AND RESULTS Data and Estimation Procedure The data used in the following empirical analysis are the weekly return series, from September 1976 to August 1999, of five major world equity market indexes: the U.S. S&P 500 Composite Index, the Japanese Nikkei 225 Index, the U.K. FTSE 100 Index, the Hong Kong Hang Seng Index, and the Singapore Strait Times Index. The FTSE 100 Index data are from January 1983 to September 1999. Table 1 reports some summary statistics of the data. Table 1: Summary Statistics of the Data

S&P 500 Nikkei 225 FTSE 100 Hang Seng SingaporeST

Mean 0.0016 0.0011 0.0023 0.0029 0.0015

Std. Dev 0.0211 0.0242 0.0218 0.0393 0.0326

Max 0.0818 0.1214 0.0982 0.1542 0.1096

Min -0.1666 -0.1089 -0.1782 -0.3497 -0.4747

Skewness -0.5343 -0.2873 -1.0405 -1.1830 -2.6771

Excess Kurtosis 3.3987 3.1968 8.4345 7.0583 37.9887

AC(1) 0.0045 -0.0366 0.0534 0.1162 0.0685

AC(2) 0.0005 0.0971 0.0523 0.0922 0.0072

AC(3) 0.0084 0.0247 -0.0181 -0.0016 0.0324

AC(4) -0.0082 -0.0417 -0.0190 -0.0677 0.0101

AC(5) -0.0215 -0.0057 -0.0084 -0.0470 0.0448

AC (10) -0.0256 -0.0167 0.0125 -0.0241 -0.0213

This table shows the summary statistics for the weekly returns of five major equity indexes of the world. AC(k) denotes autocorrelation of order k. The sample period is from September 1976 to August 1999, except for FTSE 100 which starts in January 1983. The source of the data is the online data service Datastream. The mean weekly returns of the five indexes are all over 0.1% per week, with the Hang Seng Index producing an average return of 0.29% per week, an astonishing 32-fold increase in the index level over

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the 24-year sample period. In comparison, the Nikkei 225 index only increased by 3-fold. The Hang Seng's phenomenal rise does not come without risk. The weekly sample standard deviation of the index is 3.93%, the highest of the five indexes. In addition, over the sample period the Hang Seng suffered four larger than 15% drop in weekly index level, with maximum loss reaching 35%, and there were 23 weekly returns below -10%! As has been documented extensively in the literature, all five indexes display negative skewness and excess kurtosis. The excess kurtosis of Singapore Strait Times Index reached 37.99, to a large extent driven by the huge one week loss of 47.47% during the 1987 market crash. The autocorrelation coefficients for all five indexes are fairly small. The Hang Seng Index seems to display the strongest autocorrelation with the AR(1) coefficient equal to 0.116 and AR (2) coefficient equal to 0.092. For each time series, we first conduct model specification analysis and choose the appropriate lags for the mean equation and the ARCH component. Based on the selected model, we use Equation (1) to obtain a time series of residuals. The residuals are then used in the ARCH VaR estimation described in (4). The estimated VaRs are plotted and analyzed. Model Specification Analysis We conduct sequential tests for the significance of the coefficients on lags. The inference procedures we use here are asymptotic inferences. For estimation of the covariance matrix, we use the robust HAC (Heteroskedastic and Autocorrelation Consistent) covariance matrix estimator of Andrews (1991) with the data-dependent automatic bandwidth parameter estimator recommended in that paper. First of all, we choose the lag length in the autoregression, 𝑟𝑡 = 𝛼0 + 𝛼1𝑟𝑡−1+. . .+ + 𝛼𝑠𝑟𝑡−𝑠+𝑢𝑡, (7) using a sequential test of significance on lag coefficients. The maximum lag length that we start with is s = 9, and the procedure is repeated until a rejection occurs. The t-statistic of the coefficient with the maximum number of lags does not become significant until s =1, the 9th round. The preferred model is an AR(1) model. Our next task is to select the lag length in the ARCH effect 𝑢𝑡 = (𝛶0+ 𝛶1 |𝑢𝑡−1|+. . .+ 𝛶𝑞�𝑢𝑡−𝑞�)𝜖ɛ𝑡. (8) Again, a sequential test is conducted using the results of (5). To calculate the t-statistic, we need to estimate 𝜔2=p (1-p)/f(𝐹−1(p))2. There are many studies on estimating f(𝐹−1(p)), including Siddiqui (1960), Bolinger (1975), Sheather and Maritz (1983). Notice that 𝑑𝐹

−1(𝑡) 𝑑𝑡

= 1 𝑓(𝐹−1(𝑡))

, (9)

following Siddiqui (1960), we may estimate (9) by a simple difference quotient of the empirical quantile function. As a result, f (𝐹−1� (t))= 2ℎ𝑛

𝐹�−1 (𝑡+ ℎ𝑛)− 𝐹�−1 (𝑡− ℎ𝑛) , (10)

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where 𝐹�−1(t) is an estimate of F-1(t) and ℎ𝑛 is a bandwidth which goes to zero as n→∞. A bandwidth choice has been suggested by Hall and Sheather (1988) based on Edgeworth expansion for studentized quantiles. This bandwidth is of order 𝑛−1 3⁄ and has the following representation ℎ𝐻𝑆 = 𝑧𝛼

2 3⁄ [1.5s(t)/𝑠"(t)]1 3⁄ 𝑛−1 3⁄ , (11) where 𝑧𝛼⍺ 𝑠atisfies Φ(𝑧𝛼⍺) = 1-α / 2 for the construction of 1 - α confidence intervals. In the absence of additional information, s(t) is just the normal density. Starting with 𝑞𝑚𝑎𝑥 =10, a sequential test was conducted. We see that in the fourth round, the t-statistic on lag 7 becomes significant. The sequential test stops here, and it suggests that ARCH(7) is appropriate. Based on the model selection tests, we decide to use the AR(1)-ARCH(7) regression quantile model to estimate 5% VaR for the S&P 500 index. We also conduct similar tests on the 5% VaR models for other four indexes and on the 1% VaR models for all five indexes. To conserve space we do not report the entire testing process in the paper. The results are available from the author. The mean equations generally have one or two lags, except the Hang Seng Index, which has a lag of 4 and displays more persistent autoreggressive effect. For the ARCH equations, at least 6 lags are needed for the indexes. The longest lag, at 10, is for the 10% ARCH VaR model for the S&P 500 index. The 1% VaR models require at least as many lags in the ARCH equation as the 5% VaR model. For the Nikkei 225 and FTSE 100 indexes, the lengths of the ARCH lags are the same for the 1% and 5% VaR models. Since the estimation program for the regression quantile VaR model is very efficient, lags up to 10 in the ARCH equation are very easy to handle. Estimated VaRs The estimated parameters for the constant term for the five indexes is between 0.1% for the Nikkei to 0.26% for the Hang Seng. The Hang Seng seems to display the strongest autocorrelation and this is reflected in the 4 lags chosen by the sequential test. The coefficients on the lagged absolute residuals are mostly positive. The negative coefficients are all statistically insignificant, with the exception of one. U.S. — S&P 500 INDEX Based on our model, for the 5% VaR, the estimated VaRs generally range between 2.5% and 5%, but during very volatile periods they could jump over 10%, as happened in October 1987. The 1% VaRs lie above the 5% VaRs. The two series overlap each other most of the time, but they are very much separate from each other from 1992 to 1994 when overall market volatility is relatively low. During high volatility periods, there is high variation in estimated VaRs and 5% and 1% VaRs overlap each other more often. Certainly on a particular date, the 1% VaR lies above the 5% VaR. JAPAN-NIKKEI 225 INDEX The estimated weekly 5% and 1% VaRs for the Nikkei 225 Index are quite stable and remain at the 4% and the 7% level from 1976 till 1982. Then the Nikkei 225 Index took off and appreciated about 450% over the next eight years, reaching its highest level at the end of 1989. This quick rise in stock value is accompanied by high risk, manifested here by the more volatile VaR series. In particular, the VaRs fluctuated dramatically, ranging from a low of 3% to a high of 15%. This volatility in VaR may reflect both optimistic market outlook at times as well as worry about high valuation and the possibility of a market crash. That crash did come in 1990, and ten years later, the Nikkei 225 Index still hovers around at a level which is about half off the record high in 1989. The 1990s is far from a rewarding decade for investors in the Japanese equity market. The mean annual return from the Nikkei

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225 Index is negative and risk is at a high level. Average weekly 5% VaR is about 5%, and about 7% for the 1% VaR. The variation in both series is also very high, bouncing between 13.5% and -1%. U.K. — FTSE 100 INDEX The estimated 5% and 1% VaRs for the U.K. Financial Times 100 Index appreciated 7-fold over the 16-year sample. The 5% VaR is very stable and averages about 3%. They stay very much within the 2% - 4% band, except on a few occasions, such as the 1987 global market crash. The 1% VaR is also more stable than that of the Nikkei 225 Index, mostly ranging between 4% and 8%. Compared with the SP 500 Index and the Nikkei 225 Index, the overlap between the 5% VaR and the 1% VaR is minimal. HONG KONG — HANG SENG INDEX The Hang Seng Index produces an average return of 0.29% per week, an astonishing 32-fold increase in the index level over the 24-year sample period. The Hang Seng's phenomenal rise does not come without risk. We mentioned above that the weekly sample standard deviation of the index is 3.93%, the highest of the five indexes. In addition, the Hong Kong stock market has had more than its fair share of the market crashes. If we define a market crash as having the main index drop at least 15% in a week, then Hong Kong experienced four market crashes in 24-year sample period. The average 5% VaR over the sample is about 7%, and the average 1% VaR is about 12%, both the highest among the five indexes. The variation in the estimated VaR is huge, in particular the 1% VaRs. It ranges from 0% to 34%, the largest of the five indexes. SINGAPORE — STRAIT TIMES INDEX Interestingly, the estimated VaRs display a pattern very similar to that of the U.K. FTSE 100 Index, although the former is generally larger than the latter. The higher risk in the Singapore market did not result in higher return over the sample period. Among the five indexes, the Singapore market suffered the largest loss during the 1987 crash, a 47.5% drop in a week. The market has since recovered much of the loss. Among the five indexes, the Singapore market only outperformed the Nikkei 225 Index over the entire 24-year sample period. Performance of the ARCH Quantile Regression Model In this section we conduct empirical analysis to help us understand the difference in dynamics between VaRs estimated by regression quantiles and those by volatility models with the conditional normality assumption. There are extensive empirical evidences supporting the use of the GARCH models in conditional volatility estimation. Bollerslev. Chou, and Kroner (1992) provide a nice overview of the issue. Furthermore, Engle and Ng (1993), Glosten. Jagannathan, and D. E. Runkle (1993), Bekaert and Wu (2000), and others have demonstrated that asymmetric GARCH models outperform those that do not allow the asymmetry, i.e., negative return shocks increase conditional volatility more than the positive return shocks. Therefore we estimate asymmetric GARCH(1,1) models and then produce VaR estimates by assuming conditional normality of the return(We also estimated several other ARCH models, with and without the asymmetric volatility specification. The regular GARCH(1,1) and asymmetric GARCH(1,1) produce similar performances in terms of the VaR test described below. Other models tend to underperform.) We estimated the 5% VaRs of the S&P 500 Index estimated by the ARCH regression quantiles. and the Asymmetric GARCH(1,1) model with the conditional normality assumptions. We see that these two series actually track each other pretty well, although the VaR series estimated by regression quantile seem to be higher than the GARCH VaR during low volatility periods. However, during very volatile markets, as during the 1987 market crash, the GARCH plus normality approach produces much higher VaR estimates. This could be due to the fact that large return shocks produce large volatility estimates in the

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GARCH setting. Value at risk after a market crash could be too high based on this approach. The quantile regression approach seems to generate an increased VaR at a more reasonable level. To measure the relative performance more accurately, we compute the percentage of realized returns that are below the negative estimated VaRs. For the 1% VaR, the regression quantile method produces the percentage that is closer to the 1% mark for all five series. The GARCH approach seems to underestimate the VaRs consistently. For the 5% VaR, the regression quantile method produces the percentage that is closer to the 5% mark for all series, except for the FTSE 100. But now the GARCH approach seems to overestimate the VaRs consistently. To look at this more closely we extend the analysis for the S&P 500 Index. We estimate VaRs using the two methods at 2%, 4%, 6%, 10%, 15%. Now we have a total of 7 percentage levels. The regression quantile method produces the closest percentage at all percentage levels, and the percentages scatter around the true value. However, the GARCH method seems to underestimate VaRs for the smaller percentages (1% and 2%), and overestimate VaRs for the larger percentages (larger than or equal to 4%). The five indexes we analyzed are quite different in their risk characteristics as discussed above. The ARCH quantile regression approach seems to be robust and can consistently produce very good estimates of the VaRs at different percentage (probability) levels. The asymmetric GARCH model, being a very good volatility model, is not able to produce good VaR estimates with the normality assumption. The ARCH quantile regression model does not assume normality and is well suited to hand negative skewness and heavy tails. CONCLUSIONS In this paper we estimate value at risk using the quantile regression approach pioneered by Koenker and Bassett (1978). This method does not assume a particular conditional distribution for the returns. We apply the model to five major equity indexes and found the method to be robust. These results regarding VaR estimation may have important implications for risk management practices.

REFERENCES Andrews, D.W.K., (1991) "Heteroskedasticity and autocorrelation consistent covariance matrix estimation," Econometrica, 59, p. 817-858. Beder, T. S., (1995) "VAR: seductive but dangerous," Financial Analysts Journal, September-October 1995, p. 12-24. Bekaert, G., and G. Wu, (2000) "Asymmetric volatility and risk in equity markets," Review of Financial Studies 13, p. 1-42. Blankley, A., R. Lamb, and R. Schroeder, (2000) "Compliance with SEC disclosure requirements about market risk," Journal of Derivatives 7, Spring 2000, p. 39-50. Bollerslev, T., R. Y. Chou, and K. F. Kroner, (1992) "ARCH modeling in finance.” Journal of Econometrics 52, p. 5-59.

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Boos, D., (1984) "Using Extreme Value Theory to Estimate Large Percentiles," Techno-metrics 26, p. 33- 39. Boudoukh, J., M. Richardson, and R. F. Whitelaw, (1997) "Investigation of a class of volatility estimators," Journal of Derivatives, Spring 1997, p. 63-71. Boudoukh, J., M. Richardson, and R. F. Whitelaw, (1998) "The best of both worlds." Risk 11, p. 64-67. Buchinsky, M., (1994) "Changes in the U.S. wage structure 1963-1987: application of quantile regression", Econometrica 62, p. 405-458. Cowles, A., and H. Jones, (1937) "Some a posteriori probabilities in stock market action", Econometrica, 5, p. 280-294. Duffie, D., and J. Pan, (1997) "An overview of value at risk”, Journal of Derivatives. 4, 7-49. Dowd, K., 1998, Beyond Value at Risk: The New Science of Risk Management. John Wiley Sons, England. Dowd, K., (2000) "Assessing VaR accuracy," Derivatives Quarterly. Spring 2000, p. 61-63. Engle, R. F., and V. K. Ng, (1993) "Measuring and testing the impact of news on volatility,” Journal of Finance 48, p. 1749-1778. Engle, R. F., and S. Manganelli, (1999) "CAViaR: Conditional autoregressive value at risk by regression quantiles," working paper, University of California, San Diego. Glosten, L. R., R. Jagannathan, and D. E. Runkle, (1993) "On the relation between the expected value and the volatility of the nominal excess return on Stocks," Journal of Finance 48, p. 1779-1801. Gutenbrunner, C. and J. Jureckova, (1992), "Regression quantile arid regression rank score process in the linear model and derived statistics." Annal of Statistics. 20, p. 305-330. Hall, P., and S. J. Sheather, (1988) "On the distribution of a studentized quantile." Journal of Royal Statistical Society B. 50, 381-391. Hendricks, D., (1996) "Evaluation of value at risk models using historical data." FederalReserve Bank of New York Economic Policy Review 2, p. 39-69. Hong, Y., (1996) "Consistent testing for serial correlation of unknown form," Econometrica 64, p. 837- 864. Hong, Y., (1999) "Hypothesis testing in time series via the empirical characteristic function: a generalized spectral density approach," Journal of American Statistical Association 94, p. 1201-1220. Koenker, R.., and G. Bassett, (1978) "Regression quantiles," Econometrica 84, p. 33-50.

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Koenker, R., and Q. Zhao, (1996) "Conditional quantile estimation and inference for ARCH models," Econometric Theory 12, p. 793-813. Koul, H., and Mukherjee, (1994), "Regression quantiles and related processes under long range dependence," Journal of Multivariate Statistics, 51, p. 318-337. Kupiec, P., (1995) "Techniques for verifying the accuracy of risk measurement models," Journal of Derivatives 2, Winter 1995, p. 73-84. Ljung, G, and G. Box, (1978) "On a measure of lack of fit in time series models." Biometrica, 66, p. 265- 270. Lopez, J., (1998) "Methods for evaluating value-at-risk estimates," Federal Reserve Bank: of New York Economic Policy Review, 4. McNeil, A., (1998) "Calculating (quantile risk measures for financial time series using extreme value theory." working paper, University of Zurich. Neftci, S., (2000) "Value at risk calculations, extreme events, and tail estimation,” Journal of Derivatives 7, Spring 2000, p. 23-37. Parzen, M. I., L. J. Wei. and Z. Ying. (1994) "A resampling method based on pivotal estimating functions," Biometrika 81, p. 341-350. Portnoy, S. L., and R., Koenker (1997) "The gaussian hare and the Laplacian tortoise: computability of squared-error vs. absolute-error estimator," Statistical Science 12, p. 279-300. Powell (1986), "Censored regression quantiles"„Journal of Econometrics 32, p. 143-155. Saunders, A., (1999) Financial Institutions Management: A Modern Perspective, Irwin Series in Finance. Sheather, S.,J., and J. S. Maritz, (1983) "An estimate of the asymptotic standard error of the sample median," Australian Journal of Statistics 25, p. 109-122. Siddiqui, M., (1960) "Distribution of quantiles in samples from a bivariate population," J. Res. Nat. Bur. Standards 64B, p. 145-150.

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CONVENIENCE YIELDS IN BULK COMMODITIES: THE CASE OF THERMAL COAL

Jason West, Griffith University

ABSTRACT

This study advances the research on the convenience yield of bulk commodities with particular emphasis on thermal coal. We extend the option model of Milonas and Thomadakis (1997) to estimate thermal coal convenience yields using forward prices. We examine the business cycle of thermal coal in the presence of both demand and supply shocks and find that the convenience yield for thermal coal exhibits seasonal behavior. Convenience yields are negatively related to the inventory level of thermal coal despite the inventory not being co-located at the point of consumption while convenience yields are positively related to interest rates due to the business cycle. Our estimates of convenience yields for a bulk commodity such as thermal coal is consistent with results for other commodities such as base metals and oil where spot prices are more volatile than forward prices at low inventory levels. The result implies that the costs of storage are generally less than the operating costs associated with changes to production capacity so thermal coal producers prefer to stockpile the commodity rather than adjust production in response to changes in demand. JEL: C53, G14, Q41 KEY WORDS: Commodities, convenience yield, forward markets, thermal coal, storage, options, contango. INTRODUCTION The ability to trade financially settled contracts for seaborne thermal coal has undoubtedly increased the efficiency of the global coal market. Annually more than 560 million tonnes of coal are traded on the seaborne market and the growth in the volume of forward contracts for this commodity since 2002 has enabled producers and consumers of thermal coal to smooth out fluctuations in price exposure. This capability is critical for the highly seasonal European power market and the liquid trading of forward electricity contracts. Over 180 million tonnes of thermal coal is imported to Europe annually from the producing regions of South Africa, Colombia, Indonesia and Russia and consumers are able to hedge their exposure through coal swap contracts whose prices are subsequently tracked via a number of key price indexes. Thermal coal is a strategic resource which is primarily used for power production, although it is also consumed in cement manufacturing and other industries. The security of supply of thermal coal is critical for the efficient operation of Europe’s electricity market. The purpose of this study is to analyze the spot and forward market for thermal coal and provide estimates of convenience yield and volatility through time, while correcting for major sources of seasonality. We find that the observed convenience yield is a surrogate for the volatility level in the thermal coal spot market and changing dynamics in the supply of, and demand for, the commodity. The concept of convenience yield originates from Kaldor (1939) and was further developed under the theory of storage in Brennan (1958). The theory claims that goods in stock not sold forward have an

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unobservable value from the flexibility of use, since a market participant owning these goods has the ‘convenience’ to make use of them. For this reason the observable cost of carry of a stored commodity (foregone interest and the cost of physical storage) must be reduced by a so-called availability premium. Since buying on the spot market and selling forward is a riskless trade (cash and carry), the (net) cost of carry must equal to the difference between the forward price and the spot price. When we differentiate the existing body of convenience yield literature by commodity type we discover that bulk commodities such as thermal coal have so far received little attention. This is important to note since comparable studies for other commodities are of limited value for the bulk commodity market. This is because thermal coal is a resource with particular features and even the comparison to other energy commodities such as oil or natural gas, are of limited value. Transportation costs for seaborne thermal coal are generally higher and require significant infrastructure through the value chain. This can lead to persistent demand-supply imbalances when the capacity limit of the transport system is reached resulting in regional price differentials. Besides this, storage of thermal coal is not necessarily co-located with the thermal coal consumer and may therefore incompatible with the notion of convenience. Convenience yield studies in other commodity markets are thus not directly transferable to the coal market due to these unique characteristics. This study uses detailed data on the capacity of the transport network, local production volumes and operating costs for the storage, loading and transport nodes at mine and port facilities. Unlike other empirical studies of supply curves and the production smoothing of inventories we employ actual costs as reported by asset operators which avoids a broad analysis of inventory management where the cost structure is simply assumed. Most studies that estimate convenience yields use a cost-of-carry model where the convenience yield is treated as an exogenous variable. Brennan (1986) showed that convenience yields follow a mean- reverting process while Gibson and Schwartz (1990) used a cost-of-carry model with stochastic mean- reverting convenience yields, assuming the presence of an exogenously defined measure of convenience. Generally, models for convenience yields assume that storage costs are zero (Fama and French, 1988) or are simply assumed (Milonas and Henker, 2001). In particular Fama and French (1988) used the interest- adjusted basis as a proxy which avoids the need to estimate storage costs, to develop the relationship between convenience yield and inventory levels. Taking an alternative approach Milonas and Thomadakis (1997) extended the option approach of Heinkel et al. (1990) using a formulation of the Black–Scholes model to estimate convenience yields. Although they model convenience yields as call options they ignore storage costs which can result in theoretically unjustified negative convenience yields. Extending the option model of Milonas and Thomadakis (1997) to value convenience yields, we find that convenience yields are negatively related to the inventory level of the underlying thermal coal and are positively related to interest rates due to the business cycle. A positive convenience yield can be best represented as a long position in an embedded call option on the commodity. Our convenience yields estimates are consistent with Fama and French (1988) which illustrates that the spot price of thermal coal is more volatile than the forward price at low inventory levels which verifies the Samuelson (1965) hypothesis for bulk commodities. COMMODITY MARKETS AND THERMAL COAL Because a commodity can be consumed, its price is a combination of future asset and current consumption values. However, unlike financial assets, storage of energy products is costly and sometimes constrained by infrastructure design. Physical ownership of the commodity carries an associated flow of

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services and the agent has the option of flexibility with regards to consumption as well as reduced risk of commodity shortages. On the other hand the decision to postpone consumption implies a storage expense. Thermal coal producers operate in an environment where production cannot be altered easily and storage of the commodity is not necessarily co-located at the point of consumption. Furthermore the supply response to changes in demand is notoriously ‘sticky’ implying that production generally continues at a similar rate for some time despite medium-term changes in demand. In equilibrium, backwardation implies that immediate ownership of the physical commodity entails some benefit or convenience which deferred ownership (via a long forward position) does not. This benefit, expressed as a rate, is termed the ‘convenience yield’. A convenience yield is natural for goods, like art or land, that offer exogenous rental or service flows over time. However, substantial convenience yields are also observed in bulk commodities, such as coal which are consumed at a single point in time. Intuitively, the convenience yield corresponds to the dividend yield for stocks. The theory of storage (Brennan, 1958) explains convenience yields in terms of an embedded timing option. In particular, the holder of a storable commodity can decide when to consume it. If it is optimal to store a commodity for future consumption, then it is priced like an asset, but if it is optimal to consume it immediately, then the commodity is priced as a consumption good. Thus, a commodity’s spot price is the maximum of its current consumption and asset values (Routledge, Seppi and Spatt, 2000). Inventory decisions are important for commodities because, by influencing the relative current and future scarcity of the good, they link its current (consumption) and expected future (asset) values. This is unlike equities and bonds where outstanding quantities are generally fixed. We adapt a version of the Milonas and Thomadakis (1997) option pricing model to examine the behavior of convenience yields with supply and demand shocks for thermal coal using free on board (FOB) prices from Richard’s Bay, South Africa. Figure 1 illustrates the weekly average spot price of the price index for thermal coal from Richard’s Bay, known as API4, from 2003 to 2010. A plot of Newcastle FOB prices from Australia is also provided to illustrate the global nature of the seaborne thermal coal market and the relationship between coal prices from different exporting regions. Figure 1: Mean of API4 (Richards Bay, South Africa) and Newcastle (Australia) thermal coal FOB 2003-11 US$/Mt.

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Thermal coal prices tend to peak in July in preparation for the demand growth for imports to Europe in winter as well as the easing of the monsoon in India where the major ports begin to re-open. The lowest prices for thermal coal generally occur in the northern winter. As with the crude oil and natural gas markets, the behavior of thermal coal is affected by both seasonality and business cycles. We employ an extension of the Milonas and Thomadakis (1997) option pricing approach because the behavior of thermal coal prices are affected by seasonal business cycles and so modeling price behavior using mean reversion and assuming convenience yields are an exogenous mean-reverting variable (Gibson and Schwartz, 1990) may not necessarily be appropriate. To estimate convenience yields we consider the presence of unexpected demand-supply shocks and the business cycle. We define the business cycle as the sequence of supply and demand equilibrium traced to a point of relative disequilibrium at the height of demand through to the restoration of equilibrium. The thermal coal business cycle is thus from around March to October. DATA AND OBSERVATIONS The main indexes used for the trading, clearing and settlement of thermal coal, jointly calculated and published by Argus and IHS McCloskey, are the API2 and API4 indexes. The API2 index is the international price benchmark for coal imported to north-western Europe while the API4 index is the international price benchmark for coal exported from the Richards Bay terminal in South Africa. The API4 forward curve is constructed as an average of the Argus FOB Richards Bay assessment and McCloskey’s FOB Richards Bay marker for coal with certain minimum quality specifications. The API4 index is the most appropriate proxy for Atlantic coal prices to the European market because it is more representative of the true cost of coal as a consumption good, it is immune to changes in the forward freight market and it is also immune to supply alternatives from producers that enjoy a freight cost advantage into Europe. The implied inclusion of freight costs in the API2 index are difficult to extract in a meaningful way and therefore a true FOB forward curve is a better representation for this analysis. Figure 2: API4 thermal coal 12-month forward price differential to spot price in US$ 2003-10. Source: McCloskey.

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Figure 2 shows the contango(+)/backwardation(-) relationship against spot prices from 2003-2011. The 12m rate is used here as a proxy for the longer end of the curve (12-month and 24-month forward prices are highly correlated: > 0.89 over 2003-2011) and the 24-month tenor contracts were relatively illiquid prior to 2005. If the convenience yield is high enough, the observed forward price will be less than the spot price. This occurs quite frequently in oil and gas markets where the premium for immediacy is very real. If however, this relationship does not hold and the forward price is much higher than spot when taking into account high working capital costs (funding and storage), the convenience yield converges to zero. In addition to the cost-of-carry theory, Brennan (1958) established an equilibrium model for commodity inventories which assumes that the marginal convenience value of a good is a decreasing function of its aggregate inventory in the economy. Brennan therefore suggests a negative relationship between convenience yield and stock levels, which has been verified empirically for some commodities (Fama and French, 1988; Gibson and Schwartz, 1990; Modjtahedi and Movassagh, 2005) and will be tested for the bulk commodity markets in the following analysis. THE MODEL Let 𝐹(𝑡,𝑇) be the forward price at time t for delivery of the commodity at time T and let 𝑆(𝑡) be the spot price. According to the theory of storage under an arbitrage-free framework the return from purchasing the commodity at t and selling it for delivery at T, 𝐹(𝑡,𝑇) − 𝑆(𝑡), will equal the net cost of holding the commodity computed as the interest forgone during storage 𝑆(𝑡)𝑅(𝑡,𝑇) plus the marginal storage cost 𝑊(𝑡,𝑇) minus the marginal convenience yield 𝐶(𝑡,𝑇): 𝐹(𝑡,𝑇) − 𝑆(𝑡) = 𝑆(𝑡)𝑅(𝑡,𝑇) +𝑊(𝑡,𝑇) − 𝐶(𝑡,𝑇). (1) This notation follows Fama and French (1987). In a normal market forward prices should exceed spot prices by an amount that is equivalent to interest costs and storage costs and any deviation from this is explained via the so-called convenience yield. This quantity is a marginal spread component which can be modeled as an option on a positive spread between spot and forward prices. The forward price at date t is determined by current storage levels and the expected demand and production levels at T. When the market experiences higher demand or reduced supply, storage falls to zero. If production at T is known with certainty then we expect a direct but negative relationship between the forward price and storage levels which sets an upper bound for the forward price. When supply and demand is in perfect equilibrium we expect the convenience yield to equal zero however when equation (1) holds we obtain 𝐶(𝑡,𝑇) > 0. A temporary shock in demand or supply conditions during the business cycle will cause a change in storage levels which in turn affects the spot price. This will give rise to a risk premium for possession of the commodity resulting in a positive convenience yield. Fama and French (1988) consider the behavior of the convenience yield on an interest-adjusted basis which avoids the need to directly estimate the convenience yield. But this approach fails to provide a complete picture of the true convenience yield. For thermal coal, the storage cost implied in (1) is not difficult to estimate and so observing the true convenience yield is feasible. Using the alternative approach of Milonas and Thomadakis (1997) who treat the convenience yield as an option, we set the spot price as the underlying variable and the price of a 3-month forward contract as the exercise price. Under a

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cost-of-carry framework with zero storage cost, the convenience yield is the difference between the net cost of carrying a nearby and a distant futures contract observed at time 0, 𝐶𝑌(0,𝑇) = Max(𝐹(0, 𝑡) − 𝐹(𝑡,𝑇), 0). (2) The convenience yield from t to T observed at 0 at the commencement of the business cycle ignores the cost of storage. Therefore including the storage cost 𝑊(𝑡,𝑇) permits equation (2) to be defined as 𝐶𝑌(0,𝑇) = Max(𝐹⋆(0, 𝑡) − 𝐹(𝑡,𝑇), 0). (3) where 𝐹⋆(0, 𝑡) = 𝐹(0, 𝑡) + 𝑊(0,𝑇) assuming 𝑡 = 0. Since both the spot price and the forward price (exercise price) are stochastic we assume they both follow standard diffusion processes which can be expressed as 𝑑𝐹(0, 𝑡) = 𝜇1𝑚𝐹(0, 𝑡)𝑑𝑡 + 𝜎1𝑚𝐹(0, 𝑡)𝑑𝑧1𝑚, 𝑑𝐹(𝑡,𝑇) = 𝜇3𝑚𝐹(𝑡,𝑇)𝑑𝑡 + 𝜎3𝑚𝐹(𝑡,𝑇)𝑑𝑧3𝑚, where the subscripts 1m and 3m represent the 1- and 3-month tenor for each forward contract respectively. We make the important assumption that the diffusion terms 𝑑𝑧𝑡 are uncorrelated. The associated boundary condition is defined as 𝐹(0, 𝑡)Max(𝐹𝑇 − 1,0), (4) where 𝐹𝑇 = 𝐹⋆(0, 𝑡) 𝐹(𝑡,𝑇)⁄ . Applying Ito’s lemma yields the following closed form solution 𝐶𝑌(0,𝑇) = 𝐹⋆(0, 𝑡)𝑁(𝑑1) − 𝐹(𝑡,𝑇)𝑁(𝑑2), (5) where 𝑑1 =

ln(𝐹𝑇)+σc2τ 2⁄ 𝜎𝑐√𝜏

,

𝑑2 = 𝑑1 − 𝜎𝑐√𝜏 = ln(𝐹𝑇)−σc2τ 2⁄

𝜎𝑐√𝜏 ,

and 𝜎𝑐2 = 𝜎𝐹⋆(0,𝑡)

2 + 2𝜎𝐹⋆(0,𝑡)𝜎𝐹(𝑡,𝑇)𝜌𝐹⋆(0,𝑡)𝐹(𝑡,𝑇) + 𝜎𝐹(𝑡,𝑇) 2 , (6)

where 𝜎𝑖 is the volatility of each forward contract i, 𝜌𝑖𝑗 is the correlation coefficient of both forward contracts and 𝜏 is the period between the 1-month and the 3-month contracts. This derivation relies on the price of a traded asset as the strike price which resolves the unknown variable problem of the option approach (Lin and Duan, 2007).

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RESULTS We use the 1-month API4 price to represent the spot price of thermal coal since it is the nearest contract for delivery. The 3-month forward API4 price is used to represent the forward price as it is the forward contract with the highest liquidity. For the risk-free rate we use 3-month US Treasury bill yields. We obtained actual storage costs at Richard’s Bay Coal Terminal (RBCT) for the storage cost component of the model. We also make a quality adjustment to the coal at a depletion rate of 120kcal/kg per 3-month period, which acts as a linear price discount for a parcel of coal. No other quality adjustments were made. A non-zero storage cost does not greatly alter the observed behavior in the implied convenience yield curve over time, since storage fees are a small portion of the total cost of thermal coal (US$2-3/t annually). Convenience yields are calculated on a daily basis throughout the observation month and then averaged over each month. We calculate the monthly convenience yields from January to December and use July, when spot prices peak, as the shock month to estimate convenience yields. We apply a simple regression analysis to examine the relationship between convenience yields and inventory levels, covariance and interest rates and the convenience yield computed using the option formulation of equation (5) and the convenience yield computed using the traditional cost of carry formulation of equation (1). The regression equations are 𝐶𝑌𝑡,𝑇

𝑂𝑝𝑡𝑖𝑜𝑛 = 𝛽0 + 𝛽1𝐼𝑡−1 + 𝜀𝑡, (7) 𝐶𝑌𝑡,𝑇𝐶𝑜𝐶 = 𝛽0 + 𝛽1𝐼𝑡−1 + 𝛽2𝜎𝑐,𝑡2 + 𝛽3𝑟𝑓𝑡 + 𝜀𝑡, (8) where 𝐼𝑡−1 is the one-month lagged inventory level, 𝜎𝑐2 is the covariance of the spot and forward contract prices as per equation (6) and 𝑟𝑓𝑡 is the risk-free rate at time t. The theory of storage suggests that holding inventory becomes more costly during periods of high interest rates and therefore, convenience yields should be positively related to the risk-free rate as well as the covariance of the spot and forward prices. Table 1 presents the convenience yields calculated based on the call option 𝐶𝑌𝑡,𝑇

𝑂𝑝𝑡𝑖𝑜𝑛 and cost-of-carry 𝐶𝑌𝑡,𝑇𝐶𝑜𝐶 models. The results show that the values of the convenience yields estimated from the options model are higher than those from the cost-of-carry model, implying the strategic and management flexibility valued using the options approach. These results give support to the hypothesis of Brennan (1958) and suggest that the convenience yield is highest when inventories are low. That is to say, the benefit of holding inventories is greatest during periods of relative scarcity or heightened demand. In efficient pure contango markets the convenience yield should be close to zero. If inventory levels are small relative to the amount consumed of the commodity, the risk of a supply shock raises the convenience yield. If such risks are high enough, it is expected that the forward market will revert to a backwardated market, often suddenly. Under such conditions, it is also possible that arbitrage conditions may weaken or may even break down. It is incorrect to assume, out of context, that rising inventories means an overhang of supply that translates into lower prices until the market clears. Note that forward markets are priced on the principle of equivalence. In a perfectly balanced market, a consumer is indifferent between buying a physical commodity now and storing it for later consumption, and buying it for future delivery and letting the producer pay for the storage costs.

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Table 1: Linear regression of convenience yields for thermal coal (API4) computed using the options estimate and the cost of carry estimate on inventory, volatility and the risk-free rate by month 2004-10. t- statistics in parentheses, * denotes significance at the 1 percent level.

Month Model 𝜷𝟎 𝜷𝟏 𝜷𝟐 𝜷𝟑 Adj 𝑹𝟐 F Jan 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.054 -0.017 0.300 46.780

(0.554) (-0.017) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.148* -0.009* 2.245* -0.006* 0.315 17.409

(10.866) (-2.116) (6.088) (-3.453) Feb 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.042* -0.010* 0.099 12.818

(5.633) (-3.580) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.123* -0.009* 1.150* -0.003* 0.304 16.579

(17.281) (-3.274) (4.283) (-2.679) Mar 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.012* -0.013* 0.079 10.233

(3.930) (-3.199) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.125* -0.003* 2.326* 0.004* 0.653 67.985

(18.829) (-10.194) (9.220) (6.782) Apr 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.017* -0.015* 0.252 34.060

(6.919) (-5.836) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.099* -0.009* 2.211* 0.011* 0.773 91.932

(12.972) (-10.730) (3.333) (15.299) May 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.001 0.000 0.004 1.158

(0.888) (-1.319) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.167* -0.026* 7.107* 0.014* 0.589 51.681

(7.934) (-6.043) (7.861) (11.406) Jun 𝐶𝑌1𝑚,3𝑚 𝑂𝑝𝑡𝑖𝑜𝑛 0.027* -0.046* 0.112 9.406

(2.773) (-3.127) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.114* -0.006* 4.331* 0.004* 0.947 63.253

(34.902) (-3.820) (29.445) (6.094) Jul 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.074* -0.021* 0.170 23.360

(5.264) (-4.833) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.056* 0.010 1.089* 0.006* 0.148 7.330

(2.021) (1.062) (4.593) (2.872) Aug 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.026* -0.046* 0.127 17.038

(4.867) (-4.128) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.073* -0.015* 4.852* 0.029* 0.431 28.718

(8.328) (-8.172) (7.004) (8.964) Sep 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.011* -0.061* 0.091 7.062

(2.264) (-3.248) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 -0.111* 0.017* -1.623* 0.007* 0.853 75.776

(-5.924) (9.480) (-10.525) (4.250) Oct 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.022* -0.035* 0.106 11.585

(3.797) (-3.404) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 -0.105* 0.018* 6.881* -0.015* 0.488 29.225

(-4.883) (6.965) (7.342) (-8.345) Nov 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 0.059* -0.059* 0.186 25.149

(5.806) (-5.015) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 0.269* -0.009* -1.481* 0.004 0.356 20.540

(3.958) (-2.548) (-6.897) (0.845) Dec 𝐶𝑌1𝑚,3𝑚 𝑂𝑝𝑡𝑖𝑜𝑛 0.015* -0.014* 0.156 20.611

(5.227) (-4.540) 𝐶𝑌1𝑚,3𝑚

𝐶𝑜𝐶 -0.048* 0.015* 1.553* 0.017* 0.737 99.975

(-4.466) (6.778) (6.442) (11.853)

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This situation, also known as full carry, seldom applies in practice. The world's thermal coal consumers, mainly power producers, cannot afford to run out of inventory and they therefore pay for the ‘convenience’ of having excess supplies available. This yield can be viewed as the commodity buyer's insurance payment for supplies. It also represents the producer's cost of hedging by selling forward contracts for the commodity. For bulk commodities such as coal where the cheapest place of storage is generally with the producer, the convenience yield measure could be quite high. Table 2 illustrates the convenience yields from the shock month of July to the final month of the cycle in November. The negative correlation between the convenience yield and the inventory level suggests that it is closely linked to business cycle, as the convenience yield is unrelated to the thermal coal stocks in Europe. Table 2: Estimated convenience yields of holding period from the shock month of July to October (final month of the cycle) for 2004-10. t-statistics in parentheses, ** and * denotes significance at the 1 percent and 5 percent levels respectively. Jul-Oct 𝑪𝒀𝟏𝒎,𝟑𝒎

𝑶𝒑𝒕𝒊𝒐𝒏 𝑪𝒀𝟏𝒎,𝟑𝒎𝑪𝒐𝑪 2004 0.07785 0.07101 2005 0.08735 0.08554 2006 0.11981 0.10407 2007 0.07554 0.07829 2008 0.02080 0.02515 2009 0.00729 0.02891 2010 0.06914 0.05949 Total 0.0654* 0.0646* (4.4478) (5.8763) Correlation 𝜌 -0.422** -0.123* p-value <0.001 0.043

The theory of storage also predicts that, at a low inventory level, forward prices vary less than spot prices while at a high inventory level, spot prices and forward prices exhibit similar variability. Fama and French (1988) supported Samuelson’s hypothesis by examining the interest-adjusted basis of base metals. The convenience yield declines at higher inventory levels and rises at low inventory levels. To test the Samuelson (1965) hypothesis, we adopt the same approach as Fama and French (1988) and perform a regression of forward prices against spot prices. Next we conducted a regression of forward prices against spot prices using 𝑙𝑛�𝐹𝑡,𝑇 𝐹𝑡−1,𝑇−1⁄ � = 𝛼0 + 𝛼1𝑙𝑛(𝑆𝑡 𝑆𝑡−1⁄ ) + 𝜀𝑡, (9) categorized by high and low convenience yields for both the full sample and also for the shock month (July) data. The data was split by periods of high convenience yield and low convenience yield and the regression analysis then applied to estimate the 𝛼1 coefficients. Table 3 shows the results.

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Table 3: Regression of forward prices against spot prices using ln�Ft,T Ft−1,T−1⁄ � = α0 + α1ln(St St−1⁄ ) + εt split by high and low convenience yields for 2004-10 for the full sample and for the July data. t-statistics in parentheses, * denotes significance at the 1 percent level. Sample 𝐶𝑌1𝑚,3𝑚

𝑂𝑝𝑡𝑖𝑜𝑛 level 𝐶𝑌����1𝑚,3𝑚 𝑂𝑝𝑡𝑖𝑜𝑛 𝛼1

Full High 0.0572* 0.818* (5.4199) (2.7031) Low 0.0086* 0.9149* (3.4971) (42.557) July as shock High 0.0600* 0.765* (4.3043) (34.677) Low 0.0063* 0.9855* (5.5945) (89.026)

We find that high convenience yields have smaller average values for the coefficients while low convenience yields have average coefficient values close to one. This implies that at a low inventory level the spot price of thermal coal varies more than the forward price with a high convenience yield derived using the option model approach, while at high inventory levels the spot and forward price of thermal coal have similar variability with smaller convenience yields. These results are consistent with the hypothesis of Samuelson (1965) and the results of Fama and French (1988). When contracts are far away from maturity they are thinly traded and exhibit low volatility. As the maturity nears, both trading volume and volatility increase. Specifically, spot contracts of thermal coal are usually used for balancing week-to-week needs and consequently exhibit high volatility. This result therefore suggests that the term structure of thermal coal forward volatility is monotonically decreasing. CONCLUSION We have shown that the convenience yield for thermal coal using an extended version of the Milonas and Thomadakis (1997) call option model (Lin and Duan, 2007) exhibits seasonality in the presence of the business cycle. The results show that the negative correlation between the convenience yields for API4 thermal coal and the inventory level at Richard’s Bay becomes more significantly negative when examined during periods of high spot prices during the business cycle. This demonstrates that the timing of the business cycle is critical to the calculation of the thermal coal convenience yield. These results also indicate that while interest rates are affected by economic activity they in turn affect convenience yields of thermal coal. We find evidence that supports the Samuelson (1965) hypothesis that spot and forward price variations of thermal coal are similar when a supply shock occurs during higher inventory levels and that spot prices will be more variable than the forward prices at lower inventory levels. Deferred forward contracts are less volatile than near maturity contracts because as a contract draws nearer to maturity, producers and consumers are forced to react more quickly to information shocks and thus the term structure of thermal coal forward volatility is monotonically decreasing. Estimated convenience yields using the options approach are shown to be higher at low inventory levels than at higher inventory levels. Thermal coal producers clearly prefer to stockpile the commodity rather than adjust production in response to changes in demand which implies that the costs of storage are less than the operating costs associated with changes to production capacity.

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REFERENCES Brennan, M.J. (1958) “The supply of storage,” American Economic Review, 48, 50-72. Carlson, M., Khokher, Z. and Titman, S. (2007) “Equilibrium exhaustible resource price dynamics,” Journal of Finance 62: 1663-1703. Fama, E. and French, K. (1987) “Commodity futures prices: some evidence on forecast power, premiums and the theory of storage,” Journal of Business 60: 55-74. Fama, E. and French, K. (1988) “Business cycles and the behavior of metals prices,” Journal of Finance 43: 1075-1793. Gibson, R. and Schwartz, E.S. (1990) “Stochastic convenience yield and the pricing of oil contingent claims,” Journal of Finance 45: 959-976. Heinkel, R., Howe, M. And Hughes, J.S. (1990) “Commodity convenience yields as an option profit,” Journal of Futures Markets 10: 519-533. Kaldor, N. (1939) “Speculation and economic stability,” Review of Economic Studies 7: 1-27. Lin, W.T. and Duan, C.W. (2007) “Oil convenience yields estimated under demand/supply shock,” Review of Quantitative Finance and Accounting 28: 203-225. Milonas, N.T. and Thomadakis, S.B. (1997) “Convenience yields as call options: an empirical analysis,” Journal of Futures Markets 17: 1-15. Milonas, N.T. and Henker, T., (2001) “Price spread and convenience yield behavior in the international oil market,” Applied Financial Economics, 11, 23-36. Miltersen, K. (2003) “Commodity price modeling that matches current observables: A new approach,” Quantitative Finance 3(1), 51-58. Modjtahedi, M. and Movassagh, N. (2005) “Natural gas futures: bias, predictive performance and the theory of storage,” Energy Economics 27: 617-637. Moison, D.L. and Sperry, D.R. (1992) “Influence of production costs and inventories on mineral prices,” Natural Resources Forum 16: 271-276. Routledge, B.R., Seppi, D.J. and Spatt, C.S. (2000) “Equilibrium forward curves for commodities,” Journal of Finance 55(3): 1297-1338. Samuelson, P.A. (1965) “Proof that properly anticipated prices fluctuate randomly,” Industrial Management Review 6: 41-50. Schwartz, E.S. (1997) “The stochastic behavior of commodity prices: implications for valuation and hedging,” Journal of Finance 52(3): 923-973.

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Working, H. (1949) “The theory of the price of storage,” American Economic Review 39: 1254-1262. BIOGRAPHY Jason West is a Senior Lecturer at the Department of Accounting, Finance and Economics at Griffith University. He also serves as a consultant to the global resources and energy sector. His research appears in journals such as Annals of Actuarial Science, Asia Pacific Financial Markets and the Electricity Journal. He can be reached at Griffith Business School, 170 Kessels Road, Nathan, QLD 4111 Australia, j.west@griffith.edu.au.

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AN ANALYSIS OF FIRM CREDIT ACROSS THE WORLD Rudolf Sivak, University of Economics in Bratislava

Anetta Caplanova, University of Economics in Bratislava John Hudson, University of Bath

Chris Hudson, JRH Economics Consulting

ABSTRACT We use the World Values data set to analyze firm´s access to both trade and bank credit. There are substantial differences between and within countries, which remain significant even when we allow for firm and industry characteristics such as size, ownership, industrial sector, location, the firm’s domestic orientation and managerial experience. Hence it would appear that some countries and some regions within countries have less developed credit systems. Regional variations are linked to variations in the courts and the transport and Internet infrastructure. We also present evidence that the market substitutes trade credit for bank credit. JEL: G21, M2 KEYWORDS: trade credit, bank credit regional infrastructure, courts. INTRODUCTION The paper focuses on credit. We analyse both bank and trade credit, but particularly the former. It is based on more than 51,000 firms from 115 different ‘countries’ (The list is given in appendix. In reality there are less than 115 countries as some countries have been surveyed twice). Most of these will be developing countries, but the data also includes transition countries in Central and East Europe as well as some of the richer developing countries. This, as far as we are aware, is the first time such a large and diverse data base, covering so many countries has been used to analyse credit. Credit access is a critical factor for the development of the market economy. Constrained access to credit, which may be particularly important for small firms, can present a serious problem for their development (Carpenter and Petersen, 2002, Hutchinson and Xavier, 2006). There are several kinds of credit, both formal from financial institutions, and less formal trade credit from supplier firms and customers. In this paper we will be examining the determinants of trade credit and also overdrafts and lines of credit from the banks. A line of credit is defined as an available amount of credit that the establishment can draw upon from an account up to a pre-approved limit. Lines of credit usually carry monthly interest rates, and tend to be repaid quickly. They may or may not have a defined date of expiration, but tend to be short- term. A line of credit may take several forms such as cash credit, demand loan, export packing credit, term loan, discounting or purchase of commercial bills etc. To a large extent an overdraft is simply a specific form of a line of credit, but one which tends to carry a high rate of interest. The paper will proceed as follows. In the next section we will review the literature and then specify a functional form which will form the basis of the estimation. This empirical analysis will be based on a recent sample of firms from the World Bank’s Enterprise Surveys. In section 4 we describe this data and then in section 5 present the empirical results. Finally we conclude the paper.

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LITERATURE REVIEW The literature has concentrated on identifying differences between firms in their access to credit and also on differences between geographical regions and countries. Not all firms need or want credit. Rodriguez- Rodriguez (2006) concludes that firms in the hospitality sector make less use of trade credit and those in industry and construction use it most and these results are probably linked to ‘need’. Nadiri (1969), Ferris (1981) and Emery (1987) argue that transaction costs for the debtor are reduced considerably with immediate payment on delivery. But this is not possible for all firms in all industries, i.e. some firms need credit. A key factor in obtaining it is the ability to reduce the degree of informational asymmetry between potential creditor and debtor. Because of this the creditor needs to evaluate in some way, the credit worthiness of the potential debtor who in turn needs to signal credit worthiness. Thus, access to credit may be denied because of high fixed costs in evaluating creditworthiness, particularly for small firms (Zecchini and Ventura, 2009). Two factors serve to facilitate credit in the presence of asymmetric information, one is equity or collateral (Hubbard and Kashyap, 1992), the second is reputation (Diamond, 1989). Collateral can lessen credit rationing and borrowing costs. Berger and Udell (1995) focus on collateral in the context of commitment loans, i.e. overdrafts. Cressy and Toivanen (2001) emphasise that collateral can be particularly important with respect to unlisted firms. But if the small firm, particularly a small new firm, has no collateral or the legal system is inadequate to protect creditors’ rights, problems may remain. Small firms often do not have audited accounts and thus formal debt covenants linked to financial ratios are costly to write and enforce (Ortiz-Molina and Penas, 2008). Similarly, Hutchinson and Xavier (2006) found that new firms and firms with long term debt and SMEs were most constrained and faced large difficulties in accessing external sources of financing. To an extent the relationship between creditor and debtor is based on a degree of trust and the greater is this, the lower are potential evaluation costs. Trust can be built up over time and in part may be based on the information the creditor gains about the debtor (Lapavitsas, 2007). Ortiz-Molina and Penas (2008) also conclude that the evidence is that stronger relationships increase credit availability and reduce collateral requirements. To the extent that these relationships are linked to distance, we would expect these to be weakest in rural areas. Carling and Lundberg (2005) refer to this as the ‘church tower principle’, reflective of the bank as the church tower, which can observe firms in its proximity. In the context of bank lending, information relevant for screening and monitoring firms may be more difficult to come by for the more distant firms. As a consequence banks should reflect this in more strenuous standards in assessing the creditworthiness of distant firms. However, their empirical results gave no support for the existence of geographical credit rationing on behalf of the bank. There is support in the literature for the substitutability of trade credit and institutional credit. Atanasova (2007), e.g., confirmed the hypothesis that trade credit is taken up by firms as a substitute for institutional finance at the margin when they are credit constrained. Love, Preve and Sarria-Allende (2007), Valverde and del Paso (2009) and Mateut, Bougheas and Mizen (2006) all report results which support this possibility. Rodriguez-Rodriguez (2006) also argued that difficulties in accessing institutional finance may be compensated for by the greater use of trade credit, although it tends to be more expensive than other forms of institutional credit due to the high risk of non-payment. Smith (1987), Petersen and Rajan(1997) and Burkart and Ellingsen (2004), amongst others, argue that there is a link between trade credit and informational asymmetry. That is, a firm’s suppliers may have an informational advantage over banks when assessing credit risk and also in clearing merchandise in the event of non-payment of debt.

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In her empirical analysis of trade credit, Rodriguez-Rodriguez (2006) used profit (the more profitable the firm, the less likely it is to resort to trade credit), size, bank credit and industry sectors as explanatory factors in determining access to trade credit. The relevance of sectors is based in part on the advantage of firms over financial institutions in claiming back supplied intermediate goods in case of customer default. This possibility will vary across sectors depending upon the type of goods being supplied and their transformation by the customer (Petersen and Rajan, 1997). The age of the firm was also included in the analysis with the expectation that younger firms would experience the most difficulty in accessing bank funding. Most analyses find age to be significant in part because informational asymmetry tends to decline with age. Niskanen and Niskanen (2006) in their study of Finish firms found creditworthiness and access to capital markets to be important determinants of trade credit extended by sellers to small firms in a bank-dominated environment. Larger and older firms, and firms with strong internal financing are less likely to use trade credit, whereas firms with a high ratio of current assets to total assets, and firms subject to loan restructurings are more prone to using trade credit. There has been some analysis of regional differences in access to bank credit, but much less on trade credit. Roberts and Fishkind (1979) put forward several reasons for regional segmentation of bank credit markets. Firstly, the transaction costs of acquiring information about credit markets outside a region which would impact on isolated regions in particular. Secondly, non-homogeneity of regional assets making evaluation difficult. Finally, regional differences in liquidity preferences and risk aversion. Moore and Hill (1982) also pointed to differences in regional resources as a determinant of supply side credit availability. Rodriguez-Fuentes (1998) in an analysis of Spain concluded that banks may influence regional development by providing a regional pattern of credit availability that is likely to be spatially unbalanced. SPECIFYING A FUNCTIONAL FORM A firm will access a particular type of credit if the benefits outweigh the costs: Bij(Cij*) > Rij(Cij*) + TCij(Cij*) (1) Where Cij* represents the optimal amount of credit for the i’th firm to obtain from the j’th creditor. The benefits (B) relate to the increase in profits the credit can generate. These will vary from industry to industry and in particular relate to the production lead time, i.e. the time between starting production and receiving payment. For example, in the case of restaurants, the production lead time is relatively small and the gap between buying food and receiving payment from the customer is generally less than a week. Firms in other industries face more substantial problems. The lag, e.g. for the construction industry can be substantial, particular with respect to house building. The costs in equation (1) fall into two kinds. Firstly the repayment costs (R), which is basically the interest rate together with the amount of credit (C*), and secondly the transaction costs (TC) of acquiring a loan. The ‘interest rate’ may be implicit as in trade credit, or more explicit as with a bank loan. The transaction costs are in part incurred during the process of providing the information to the potential creditor that they are credit worthy. These costs need to be incurred whether or not credit is given and the possibility that credit may not be granted may make firms reluctant to apply for credit in the first place. The transaction costs relating to a specific credit type will be a function of the firm’s characteristics, i.e. age, size and assets, the sector it operates in and the amount the creditor could recover in the event of loan