Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data

Abstract:  We examine how the introduction of single-stock futures impacts short sale costs and short interest levels in the underlying spot market. We find that short selling in the underling securities declines, after futures are introduced, the cost of borrowing stock for short sales declines and the available unborrowed supply of lendable shares increases. These results are consistent with futures exchanges providing a low-cost substitute market for establishing short positions. Microstructure evidence also suggests that the lower cost and greater ease of short selling via futures markets draws informed traders from the spot market.     

Handling Missing Data by Re-approaching Non-respondents

When handling missing data, a researcher should be aware of the mechanism underlying the missingness. In the presence of non-randomly missing data, a model of the missing data mechanism should be included in the analyses to prevent the analyses based on the data from becoming biased. Modeling the missing data mechanism, however, is a difficult task. One way in which knowledge about the missing data mechanism may be obtained is by collecting additional data from non-respondents. In this paper the method of re-approaching respondents who did not answer all questions of a questionnaire is described. New answers were obtained from a sample of these non-respondents and the reason(s) for skipping questions was (were) probed for. The additional data resulted in a larger sample and was used to investigate the differences between respondents and non-respondents, whereas probing for the causes of missingness resulted in more knowledge about the nature of the missing data patterns.     

Non‐Parametric Modelling of CO2 Emission Quota

Dutch glasshouse firms are facing the introduction of a system of tradable CO₂ emission quotas. This paper employs a non‐parametric method for modelling tradable CO₂ emissions of Dutch glasshouse firms. The method is capable of generating shifts in CO₂ emissions across the sample of firms. Moreover, changes in volumes of outputs produced and inputs used are computed. Results show that firms using a conventional heating technology will be net purchasers of CO₂ emissions, whereas firms using more advanced heating technologies will sell part of their emission quota.     

Auditor Fees, Market Microstructure, and Firm Transparency

Abstract:  Auditors, as corporate insiders, have access to private information regarding the firm's financial and business opacity that is unavailable to outside investors. We test whether auditors price their knowledge of firm opacity in their audit fees by examining two competing hypotheses. The first states that higher audit fees may reflect the greater risk that the auditor faces in auditing an opaque firm. Under this hypothesis, market based measures of opacity will be positively correlated with higher fees. The second hypothesis states that firms buy reputational capital from their auditor by paying high fees in an attempt to improve the market's perception of the firm's transparency. In this case, higher audit fees are negatively correlated with market based measures of opacity. Our results are consistent with the first hypothesis, that auditors price opacity risk into their fees.     

Strategic conversation quality and engagement: assessment of a new measure

When considering organization strategy‐making and execution from a learning perspective, the role of conversation and engagement is of critical importance, yet little research has been conducted in this area. Recent publications have suggested an increasing role for conversation and dialogue in strategic planning processes. The present study provides initial validity and reliability scores of an instrument for measuring individual conversation quality and engagement skills in a strategic planning context. Participants were managers (n = 204) from four organizations. Results indicate an instrument with highly accurate and consistent measurement scores. Implications for practice and future research are briefly discussed.