Theodore Bos

Career Research Productivity Patterns of Marketing Academicians

Abstract Scholarly productivity is an important issue for all academic disciplines. Empirical examinations of career research productivity have not been conducted in the marketing discipline, however. This study reports the analysis and classification of total and career research publication activity for a cohort of 374 marketing academicians over a 20-year period. The analysis revealed seven different career patterns as well as substantial differences in overall levels of career research productivity. Patterns of productivity included those where academicians reached a peak productivity early or midway in their careers as well as those who produced at an increasing level over the course of their careers. Productivity levels were identified based on four groupings that included nonproducers, low producers (one to four articles), medium producers (five to nine articles), and high producers (10 or more articles). Approximately one-third of the cohort were nonproducers, one-third were low producers, and one-third were medium to high producers.

The international co-movements of Finish stocks

This paper provides new empirical evidence on the international co-movements of Finnish stocks. The vector autoregression (VAR) approach indicates that US and especially Swedish stock markets lead Finnish stock market returns by approximately one or two months. The results based on international market models indicate that the returns of individual Finnish stocks are significantly positively related to those of Sweden, while the relation between Finnish and US returns is significantly lower. The relation seems to vary clearly between industries, some industries being related to US markets as well. Significant time-series instability is reported in the results, however.

Searching for periods of volatility: A study of the behavior of volatility in Thai stocks

Abstract This paper improves the precision of the useful new procedure of Inclan and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans ( Brown et al., 1975 ) critical CUSUM of squares boundaries [used by Inclan and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston, 1992 , Bos and Fetherston, 1995 , uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses the Inclan and Tiao procedure with the nonlinear Tanizaki CUSUM of squares boundaries to research volatility in Thai stock returns. The papers empirical results show that, on any trading day, there is a 1.16% chance that a Thai stock will experience a shift in volatility. The results also show that this incidence is not random, and, hence, it is possible to predict the incidence of shifts. Though the results here cannot answer the question of how to do this, we suspect that movements in average return have a role to play. We propose that the culprit may be changes in the average return, and therefore that the estimated volatility shift points may be spurious.

The Equity Premium Puzzle and the Federal Reserve’s Stock Valuation Model

We test a model to estimate the equity risk premium based on a stock valuation model suggested by former Federal Reserve Chairman, Alan Greenspan. The model suggests that the stock market is fairly priced when the price of the market portfolio is equal to the ratio between market earnings and the yield on the 10-year Treasury bond. From this stock valuation model and extensions to it, we derive an equation for the expected market risk premium. Ex post we find that a model which accounts for corporate bond yields and the inherent differences between common stocks and Treasury bonds (most notably risk) provides a good estimate of the equity risk premium.