Income hedging and portfolio decisions

We examine whether the decision to participate in the stock market and other related portfolio decisions are influenced by income hedging motives. Economic theory predicts that the market participation propensity should increase as the correlation between income growth and stock market returns decreases. Surprisingly, empirical studies find limited support for the income hedging motive. Using a rich, unique Dutch data set and the National Longitudinal Survey of the Youth (NLSY) from the United States, we show that when the income-return correlation is low, individuals exhibit a greater propensity to participate in the market and allocate a larger proportion of their wealth to risky assets. Even when the income risk is high, individuals exhibit a higher propensity to participate in the market when the hedging potential is high. These findings suggest that income hedging is an important determinant of stock market participation and asset allocation decisions.     

Indian equity options: Smile,risk premiums,and efficiency

We study the pricing of equity options in India which is one of the world's largest options markets. Our findings are supportive of market efficiency: A parsimonious smile-adjusted Black model fits option prices well, and the implied volatility (IV) has incremental predictive power for future volatility. However, the risk premium embedded in IV for Single Stock Options appears to be higher than in other markets. The study suggests that even a very liquid market with substantial participation of global institutional investors can have structural features that lead to systematic departures from the behavior of a fully rational market while being “microefficient.”     

A story to sell: The influence of storytelling on consumers' purchasing behavior

Storytelling can arouse consumers' emotions and affect purchasing behavior through desires and attitudes. While the marketing literature discusses storytelling, there is a lack of consensus because of the diverse conceptual and operational definitions used. To untangle the complexities and consolidate the fragmented knowledge about storytelling in marketing, this research examines how the marketing literature has addressed the influence of storytelling on consumers' purchasing behavior. The findings aid in understanding how the topic has been discussed from a marketing perspective in consumer behavior studies. Through a systematic literature review using a bibliometric analysis, we demonstrate that the marketing literature features four strands about the uses of storytelling to influence consumers' purchasing behavior. First, storytelling stimulates the consumer's identification with the brand. Second, storytelling allows consumers to experience emotional value. Third, storytelling supports engagement behaviors. Finally, storytelling has a downside in that it also propagates harmful speech. This study concludes with a roadmap for future research about how storytelling impacts consumers' purchasing behavior.     

Can alert models for fraud protect the elderly clients of a financial institution?

ABSTRACT

Using account-level transaction data at a major financial institution, we predict the incidence of suspicious activity that can be related to the external financial fraud of its elderly clients. The data consists of over 5 million accounts of clients aged 70 years and older, and over 250 million transactions extending from January 2015 to August 2016. Our main focus is to improve the detection of alerts within a proprietorial transaction monitoring system. Using logistic regression, random forest and support vector machine learning techniques, together with corrections for imbalanced alert samples, we provide a new alert model for the protection of elderly clients at a financial institution, with out-of-sample predictive accuracy. Our findings show the relative influence of client traits and account activity in our select external fraud alert models.     

How Do Strengths and Weaknesses in Corporate Social Performance Across Different Stakeholder Domains Affect Company Performance?

The existing research on corporate social responsibility (CSR) has largely focused on the positive aspect of corporate social performance (CSP) and company performance (CP) and ignored the relationship between actions that would qualify as negative CSP (or weakness in CSP) towards a stakeholder group and company performance. Using data from the KLD collected over a three‐year period, this study examines the relationship between both CSP weaknesses and strengths and CP across individual stakeholder domains. Results of the study suggest that strengths in CSP related to primary stakeholder domains are associated with superior company performance. However, this relationship is tenuous, at best, in the case of the secondary stakeholder domain. As for weaknesses in CSP, the results suggest that if a firm performs poorly in meeting the expectations of one or more stakeholders it is penalized in the form of poor performance. This finding generally holds true for both primary and secondary stakeholders. Implications of these findings for public policy and businesses planning to address social issues are discussed. Copyright © 2014 John Wiley & Sons, Ltd and ERP Environment     

Off-farm labor supply and labor markets in rapidly changing circumstances: Bulgaria during transition

This study examines off-farm labor supply in the rapidly changing conditions of Bulgaria during the 1990s. In doing so, we make use of three different waves of the Bulgarian Integrated Household Survey, each reflecting remarkably different environmental conditions. The results suggest that standard theories of off-farm labor supply provide little guidance in situations characterized by chronic excess supply in the off-farm labor market and/or rapidly changing circumstances. In particular, the results show (1) that off-farm employment throughout the transition was predominantly determined by demand rather than by supply, and (2) that the magnitude and statistical significance of the various determinants are very sensitive to changing environmental conditions. As such, the results can be extremely relevant for both theory and policy for the many countries which may still need to go through privatization and painful restructuring as a result of financial crises and globalization.     

Measuring environmental efficiency of industry: a case study of thermal power generation in India

Technical and environmental efficiency of some coal-fired thermal power plants in India is estimated using a methodology that accounts for firm’s efforts to increase the production of good output and reduce pollution with the given resources and technology. The methodology used is directional output distance function. Estimates of firm-specific shadow prices of pollutants (bad outputs), and elasticity of substitution between good and bad outputs are also obtained. The technical and environmental inefficiency of a representative firm is estimated as 0.06 implying that the thermal power generating industry in Andhra Pradesh state of India could increase production of electricity by 6/ while decreasing generation of pollution by 6%. This result shows that there are incentives or win–win opportunities for the firms to voluntarily comply with the environmental regulation. It is found that there is a significant variation in marginal cost of pollution abatement or shadow prices of bad outputs across the firms and an increasing marginal cost of pollution abatement with respect to pollution reduction by the firms. This result calls for the use of economic instruments like pollution taxes instead of command and control regulation used currently in India to reduce air pollution.

Estimating money demand functions for South Asian countries

In this paper, we estimate a money demand function for a panel of five South Asian countries. We find that the money demand and its determinants, namely real income, real exchange rate and short-term domestic and foreign interest rates are cointegrated both for individual countries as well as for the panel, and panel long-run elasticities provide robust evidence of statistically significant relationships between money demand and its determinants. Our test for panel Granger causality suggests short-run causality running from all variables, except foreign interest rate, to money demand, and we find evidence that except for Nepal money demand functions are stable.      

Herding by Foreign Institutional Investors: An Evidential Exploration for Persistence and Predictability

The primary objective of the study is to explore the predictability of herding patterns of foreign institutional investors in the Indian market using high frequency data over a period from January 2003 to June 2014. Herding of an individual stock was measured estimating a simple volume based ratio and persistence of trends was detected using the runs test (Wald and Wolfowitz [1940 Wald, A., and J. Wolfowitz. “On a Test Whether Two Samples are from the Same Population.” The Annals of Mathematical Statistics, 11, (1940), pp. 147–162.[Crossref] , [Google Scholar]]) on that ratio. Predictability of herding behavior has been successfully modeled by applying 7 data mining models using various measures of performance. Market regulators may consider our findings to regulate the foreign institutional investors trading to make the financial system more transparent and robust.