This study introduces a causality-based framework of antecedents and consequences in order to examine the positive reciprocity between senior IT executives (sITes) and IT capable firms. More specifically we propose that: 1. There is a positive association between accrued sources of managerial...

Contrary to prior studies that have tried to examine the role of IT capabilities on firm performance in isolation from the role of senior IT executives, we propose that there is a positive relationship between the power of senior IT executives and the likelihood that the firm will develop...

In this paper we revisit the notion that a single factor of duration running on single time scale is adequate to capture the dynamics of the duration process of financial transaction data. The documented poor fit of the left tail of the marginal distribution of the observed durations in some...

We propose a "1/N favorability index" to measure how favorable a market is to holding a 1/N portfolio. This index reflects the extent of difficulty for an optimized portfolio to outperform the 1/N portfolio in a specific market. A single-factor model predicts that bull markets are accompanied by...

Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply...

Approaching IT innovation (ITI) from a strategic management standpoint, this paper sheds light on the issue of the capability of a firm to innovate with IT over time. In this study we argue that ITI is a cumulative and path-dependent capability that is not easily replicated. Companies that have...

The hypothesis of market efficiency is typically rejected by standard variance-bounds tests which assume stationary asset prices. A number of researchers, however, argue that tests used in previous studies are inappropriate since asset prices appear to be generated by nonstationary processes. In...

This paper investigates whether systematic liquidity risk is priced by implementing an empirical test on the recently proposed float-adjusted return model. For testing purposes, we obtain an appropriate (and arguably unique) empirical measure of so-called liquidity beta based on Chinese...

We show that even when a covariance matrix is poorly estimated, it is still possible to obtain a robust maximum Sharpe ratio portfolio by exploiting the uneven distribution of estimation errors across principal components. This is accomplished by approximating an investor's view on future asset...

We identify a few sample eigenvalues adjustment patterns that lead to an improvement in the out-of-sample portfolio Sharpe ratio when the population covariance matrix admits a high-dimensional factor model. These patterns unveil the key to portfolio performance improvement and shed light on the...