Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers [e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)] argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets. First, the portfolio selection with skewness is determined using the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously. Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction. Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets.

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis.

Forecasting foreign exchange rates is a perennial dilemma for exporters, importers, foreign exchange rate traders, and the business community as a whole. Foreign exchange rate models using popular linear and non-linear specifications do not produce particularly accurate forecasts. In point of fact, these models have not improved much upon the random walk model, especially in out-of-sample forecasting. Given these results, this dissertation constructs and evaluates new forecasting models to generate as accurate as possible out-of-sample forecasts of foreign exchange rates. The information content of futures contracts on foreign exchange rates is investigated and used to forecast future exchange rates using alternative techniques, both structural (econometric) and non-structural (fuzzy) models. The results of two specifications of a structural model are compared against the well-known random walk model. The first specification assumes future exchange rates are determined by futures prices and a lagged structure of spot rates. The second specification assumes that future spot rates are a function of only a lagged structure of the futures prices. The forecasting accuracy of the models is tested for both in-sample and out-of-sample periods; out-of-sample tests range from the short term to the long term (30- to 180-day forecasts). The results indicate that the random walk model remains a competitive alternative. In out-of-sample predictions, however, we can improve upon it in certain cases. The results also show that the predictive accuracy of the models is better in the short term (30 to 60 days) than in the longer term (180 days).

The purpose of this study was to empirically investigate the adoption of retail electronic commerce (REC). REC is a business transaction which takes place over the Internet between a casual consumer and a firm. The consumer has no long-term relationship with the firm, orders a good or service, and pays with a credit card. To date, most REC applications have not been profitable. To build profitable REC applications a better understanding of the system's users is required. The research model hypothesizes that the level of REC buying is dependent upon the Buying Characteristics of Internet Use and Search Experience plus the Channel Characteristics of Beliefs About Internet Vendors and Beliefs About Internet Security. The effect of these factors is modified by Time. Additional research questions ask about the different types of REC buyers, the differences between these groups, and how these groups evolved over time. To answer these research questions I analyzed publically available data collected over a three-year period by the Georgia Institute of Technology Graphics and Visualization Unit over the Internet. Findings indicate the model best predicts Number of Purchases in a future period, and that Buyer Characteristics are most important to this determination. Further, this model is evolving over Time making Buyer Characteristics predict Number of Purchases better in more recent survey administrations. Buyers clustered into five groups based on level of buying and move through various levels and buy increasing Number of Purchases over time. This is the first large scale research project to investigate the evolution of REC. This implications are significant. Practitioners with casual consumer customers need to deploy a finely tuned REC strategy, understand their buyers, capitalize on the company reputation on the Internet, install an Internet-compatible infrastructure, and web-enable order-entry/inventory/fulfillment/ shipping applications. Researchers might wish to expand on the Buyer Characteristics of the model and/or explore alternative dependent variables. Further, alternative theories such as Population Ecology or Transaction Cost Economics might further illuminate this new I.S. research domain.

Research on the consumer behavior of the Hispanic population has recently attracted the attention of marketing practitioners as well as researchers. This study's purpose was to develop a model and scales to examine the acculturation process of Hispanic consumers with income levels of $35,000 and above, and its effects on their consumer behavior. The proposed model defined acculturation as a bilinear and multidimensional change process, measuring consumers' selective change process in four dimensions: language preference, Hispanic identification, American identification, and familism. A national sample of 653 consumers was analyzed. The scales developed for testing the model showed good to high internal consistency and adequate concurrent validity. According to the results, consumers' contact with Hispanic and Anglo acculturation agents generates change or reinforces consumers' language preferences. Language preference fully mediates the effects of the agents on consumers' American identification and familism; however, the effects of the acculturation agents on Hispanic identification are only partially mediated by individuals' language preference change. It was proposed that the acculturation process would have an effect on consumers' brand loyalty, attitudes towards high quality and prestigious brands, purchase frequency, and savings allocation for their children. Given the lack of significant differences between Hispanic and Anglo consumers and among Hispanic generations, only savings allocation for children's future was studied intensively. According to these results, Hispanic consumers' savings for their children is affected by consumers' language preference through their ethnic identification and familism. No moderating effects were found for consumers' gender, age, and country of origin, suggesting that individual differences do not affect consumers' acculturation process. Additionally, the effects of familism were tested among ethnic groups. The results suggest not only that familism discriminates among Hispanic and Anglo consumers, but also is a significant predictor of consumers' brand loyalty, brand quality attitudes, and savings allocation. Three acculturation segments were obtained through cluster analysis: bicultural, high acculturation, and low acculturation groups, supporting the biculturalism proposition.

Abstract Not Available.

This study compares the growth rates of Canadian high-tech firms that take part in collaborative arrangements with the growth rates of those firms that choose an internal strategy for the realization of firm objectives. Patterns of firm stage of growth and arrangement use are also considered. Finally, arrangement purpose, whether primarily for marketing or technology objectives, is studied. The analysis is based on a sample size of 50 firms taken from a survey of electronics firms listed in the Business Opportunities and Sourcing System (BOSS) Directory produced by Industry, Science and Technology Canada. The firms chosen for study were of small to medium size, that is with 1992 sales no greater than $50 Million. Results indicate that medium sized high-tech firms ($1 Million '92 sales \$50 Million) which use collaborative arrangements tend to be smaller and less established, and show a higher rate of growth than those firms that do not use collaborative arrangements. Small firms ('92 sales = $1 Million) show little difference in growth rate between those firms using arrangements and those not using arrangements. Early stage firms were found to make greater use of arrangements than late stage firms. Arrangements were made primarily for marketing purposes, and only secondarily for technological purposes. The limitations of the research are largely related to the small size of the survey sample and the fact that the experimental design does not allow for the showing of a cause and effect relationship between external strategies and firm performance.

Abstract Not Available.

The present study explored the relationship between excellence in job performance and excellence in quality of life. Twelve interviews were conducted to explore perceptions of quality of life and the relationship to job performance. Seven men and five women participated in the study. Participants ranged in band levels from level 3 to members of the executive group (vice-presidents). Inductive analysis of transcripts revealed that all participants used the term 'balance' in their definition of quality of life. When asked to define 'balance', the following domains were included in the comments of all participant (1) family; (2) work; (3) physical fitness. Factors contributing to quality of life were listed as (1) family/relationships; (2) physical activity and leisure; (3) making valuable contributions at work. Interestingly, all participants listed a variety of factors that were important to their achievement of quality of life. Prerequisites for achieving quality of life and job performance excellence included: (1) having a commitment to a balanced lifestyle; (2) having supportive relationships; (3) participating in physical activity; (4) being highly effective in their work roles. Individuals differences were identified in this research. Recommendations were made by participants to improve the quality of life of employees. The major theme dealt with the need for training of managers such that they value the importance of quality of life. It was stated by participants that they felt that increasing the quality of life of employees would increase the productivity and performance levels. Results from this study can have practical application in the workplace by providing recommendations to the lifestyle balance department of the organization. This research can be further explored in subsequent studies focussed on understanding this relationship.

Contexte de l'étude . Cet exercice a pour principal objectif de traduire dans la pratique les acquis de la formation du MBA. Cette démarche s'est entièrement déroulée sur le terrain, dans un pays en développement, ce qui explique que l'approche théorique ne représente qu'une faible partie de la thèse, essentiellement orientée vers la pratique. II s'agit d'analyser l'application des principes de gestion dans un contexte de pays en développement afin d'opérer un transfert de technologies managériales. Objectifs . Général --Démontrer l'appropriation des acquis de la formation universitaire du MBA dans un contexte d'apprentissage pratique. Spécifiques --Démontrer la capacité de considérer les éléments de base nécessaires à l'élaboration d'une stratégie dans un contexte de développement international. Représenter concrètement ces principaux éléments dans le cadre d'une démarche terrain-pratique--Identifier et proposer des potentiels d'interventions pertinents et porteurs dans le cadre d'une stratégie visant la mise en oeuvre d'un programme de développement. Il est à noter que ces objectifs sont relatifs à la lutte contre le VIHISIDA au Cameroun, dans une perspective de programme de coopération initié par une agence publique canadienne, l'ACDI. (Abstract shortened by UMI.)