Risk-adjusted option-implied moments

This paper provides a new way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main theoretical result is a new analytical representation of the expected payoffs of put and call options under the physical measure in terms of current option prices and a representative investor’s preferences. This representation is then used to derive analytical expressions for a variety of ex-ante physical return moments, showing explicitly how moment premiums depend on current option prices and preferences. As an empirical application of our theoretical results, we provide option-implied estimates of the representative stock market investor’s disappointment aversion using S&P 500 index option prices. We find that disappointment aversion has a procyclical pattern. It is high in times of high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and disappointment aversion leave the stock market during times of turbulence and reenter it after a period of high returns.     

Work‐Related Training and the Probability of Transitioning from Non‐Permanent to Permanent Employment

It is widely believed that work‐related training increases a worker's probability of moving up the job‐quality ladder. This is usually couched in terms of effects on wages, but it has also been argued that training increases the probability of moving from non‐permanent forms of employment to more permanent employment. This hypothesis is tested using nationally representative panel data for Australia, a country where the incidence of non‐permanent employment, and especially casual employment, is high by international standards. While a positive association between participation in work‐related training and the subsequent probability of moving from either casual or fixed‐term contract employment to permanent employment is observed among men, this is shown to be driven not by a causal impact of training on transitions but by differences between those who do and do not receive training, that is selection bias.     

Societal risks as seen by Chinese students living in Macao

The present study reports on mean risk magnitude judgements expressed by Chinese students living in Macao on 87 hazardous activities, substances and technologies. These judgements were compared with findings on African, American and European samples. Despite high similarity in mean results, standard deviations, and linear correlation with the other countries, Macao appears to be the country in which the level of risk perception was clearly the highest, and this seems largely due to five items connected with violence and crime. These results are explained by the exceptionally high level of crime in Macao and its crude display by the local media.     

Bayesian Graphical Models for STructural Vector Autoregressive Processes

This paper proposes a Bayesian, graph‐based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous and temporal causal structures of the structural VAR model are represented by two different graphs. We also provide an efficient Markov chain Monte Carlo algorithm to estimate jointly the two causal structures and the parameters of the reduced‐form VAR model. The BGVAR approach is shown to be quite effective in dealing with model identification and selection in multivariate time series of moderate dimension, as those considered in the economic literature. In the macroeconomic application the BGVAR identifies the relevant structural relationships among 20 US economic variables, thus providing a useful tool for policy analysis. The financial application contributes to the recent econometric literature on financial interconnectedness. The BGVAR approach provides evidence of a strong unidirectional linkage from financial to non‐financial super‐sectors during the 2007–2009 financial crisis and a strong bidirectional linkage between the two sectors during the 2010–2013 European sovereign debt crisis. Copyright © 2015 John Wiley & Sons, Ltd.     

Zur Problematik des „Volkseinkommens“ und seiner statistischen Berechnung

Ohne Zusammenfassung     

Understanding culinary tourist motivation,experience, satisfaction,and loyalty using a structural approach

Research on culinary tourism lacks an empirical examination of the relationship between motivation, experience, satisfaction, and loyalty. Drawing on the extant literature, this paper examines the relationships between antecedents and outcomes of culinary tourist participation in cooking classes using a structural equation modelling approach. Based on a convenience sample of 300 international tourists at cooking schools in Chiang Mai, Thailand, the structural model confirmed direct and indirect interrelationships among four main constructs of the study. It was found that culinary tourists’ motivation positively influences both the culinary experience and satisfaction; and that the culinary tourist experience is positively associated with both culinary tourist satisfaction and loyalty, suggesting that the more tourists are motivated to participate in cooking classes, the more experiential value and satisfaction are perceived. Moreover, the more experiences encountered at the cooking class, the more satisfied and loyal the tourists become. Understanding the key motivators and elements of satisfaction in cooking classes can contribute to the achieving of sustainable destination loyalty. The findings are relevant to Destination Management Organisations (DMOs) as part of developing sustainable strategies that are in line with specific culinary needs and experiences of cooking class participants.     

Alan Greenspan and Adrian Wooldridge: Capitalism in America: A history

Financial Markets and Portfolio Management -     

Regulation, Deregulation, and Free Market: The Food Manufacturing Industry in Zimbabwe

This article investigates the relationship among environment, strategy, and organizational characteristics and performance in an industry at various stages of deregulation in a developing economy. The focus of the study is organizational adaptation under different market conditions. The article seeks to establish the contingency perspective of adaptation. The research findings suggest that once an organization has chosen its strategy, organizational characteristics must be consistent with that strategy irrespective of the environment in which the organization operates. The results, with respect to organizational variables, indicate that the environment is neither a quasi-moderator nor a homologizer. However, with respect to organizational performance, the environment influences the form of the strategy–performance relationship hence it is a quasi-moderator. The article then discusses the implications of these findings for managers and policy makers within the context of a developing economy and for academic research in general.     

Regulating collateral-requirements when markets are incomplete

In this paper we examine the effects of default and collateral on risk sharing. We assume that there is a large set of assets which all promise a risk less payoff but which distinguish themselves by their collateral requirements. In equilibrium agents default, the assets have different payoffs, and there are as many linearly independent assets available for trade as there are states of the world. We derive necessary and sufficient conditions for equilibria to be Pareto-efficient in the presence of uncertainty. We explore some examples for which the collateral equilibrium allocation is identical to the Arrow–Debreu allocation, either when agents have a high preference for the durable good, or when the endowment distribution of the durable good is relatively homogeneous. We examine a series of examples to understand which collateral-levels prevail in equilibrium and under which conditions there is scope for regulating margin-requirements, that is, restricting the sets of tradable assets through government intervention. In these examples equilibrium is always sub-optimal but regulation never leads to a Pareto-improvement. While the competitive equilibria are constrained efficient, there do exist regulations which make large groups of agents in the economy better off. These regulations typically restrict all trades to take place in the low-collateral loans and benefit the poor and the rich agents in the economy through their effects on the equilibrium interest rate and the equilibrium prices of the durable goods.