Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options

Using a stochastic volatility option pricing model, we showthat the implied volatilities of at-the-money options are notnecessarily unbiased and that the fixed interval time-seriescan produce misleading results. Our results do not support theexpectations hypothesis: long-term volatilities rise relativeto short-term volatilities, but the increases are not matchedas predicted by the expectations hypothesis. In addition, anincrease in the current long-term volatility relative to thecurrent short-term volatility is followed by a subsequent decline.The results are similar for both foreign currency and the S&P500 stock index options.     

National advertising,brands, and channel control: An historical perspective with contemporary options

It is the basic thesis of this paper that the continuing battle between manufacturers, wholesalers, and retailers for market control will significantly change both the quantity and quality of national advertising. Furthermore, these changes are due, in large part, to one particular aspect of this battle—the ascendancy of the store-controlled brand. The contemporary manufacturer is facing a situation which is similar to that of an earlier time in American marketing. The national advertiser's contemporary options for capturing market control can be seen more clearly through this historical perspective and through the authors' conceptual model of channel behavior. The authors would like to express appreciation to Progessor Kim B. Rotzoll, University of Illinois, for his assistance in the preparation of this article.     

Bioregional planning in central Georgia, USA

Human influences in the five-county region around Fort Benning, Georgia, USA, have been long and intense. Only 4% of the native longleaf pine (Pinus palustris) forest remains intact. Besides the loss of species, habitats, and ecosystem services associated with longleaf pine forests, the environmental concerns of the region include air, water, and noise pollution. The mix of federal and private ownership in this region leads to complicated land-management issues that will likely become even more difficult as the city of Columbus continues its projected growth along the northern border of Fort Benning. To understand how anthropogenic developments affect the environment, we are developing a Regional Simulator (RSim) to project future developments and their impacts on environmental conditions. Using RSim, we can identify the potential effects of growth on noise and air pollution, water-borne nutrients, and habitats for focal species. Noise impacts are already large in the areas of current and projected urban growth for the region. This knowledge of potential futures allows options for environmental protection to be considered. A key lesson from this analysis is that regional simulation models are a cost-effective way to assess the long-term environmental implications of anthropogenic growth and development.     

Long-run performance of global versus domestic initial public offerings

This paper investigates the long-run performance of global IPOs as compared to purely domestic ones made by US industrial companies. We find that global IPOs not only underperform the market but also underperform their domestic counterparts in the three years after issuance. Moreover, global issues with a larger global tranche are more prone to long-run underperformance. The results are consistent with the window of opportunity hypothesis that investors are overly optimistic about the future prospects of firms engaging in global offerings, and underperformance occurs as unduly high expectations are corrected over time.     

Settling the debate on multinational capital structure using the CEPR measure

Portfolio theory suggests that because of diversification benefits, multinational corporations (MNCs) should have lower risk and therefore could have more debt. Empirical studies, however, have repeatedly shown that MNCs from the US face higher risks and have lower debt levels. Burgman (1996) suggests that agency costs as well as political and exchange rate risks are the explanation. Kwok and Reeb (2000) explain this puzzle, presenting an upstream-downstream hypothesis suggesting that MNCs from emerging markets reduce their risk by going international (they go to safer markets), while firms from developed countries increase their risk by going abroad (they go to riskier markets). By introducing a new measure of Country Export Partner Risk (CEPR), we show that the weighted average risk level of a country's export trading partners is negatively related to the leverage of its multinationals, thus confirming the upstream-downstream hypothesis. Furthermore, once controlling for CEPR, we find that the multinationality of the firm is positively related to leverage, thus lending support to the traditional diversification argument. Our findings, therefore, help settle the debate between these two opposing streams of multinational capital structure literature.     

The Making of a Digital Leader

Leaders are struggling with complexity and the sheer speed of today's economy. As the failure rate among CEOs rises, is it time to reinvent leadership to meet the emerging challenges of the 21st century?     

Observational data collection methods for services marketing: An overview

Applications of observational data collection methods to services marketing research are explored. Three key dimensions that distinguish the various forms of observational methods are presented. General applications of observational research to services marketing phenomena are posited. Specific applications of observational research to services quality are suggested. Issues concerning the implementation of direct human observation are considered.     

Queue control using a historically developed stochastic model

This paper applies a stochastic model to determine the optimal or ideal average planned queue level. The ideal average planned queue level is defined to be the minimum average queue level necessary to ensure that in the long run the probability of work center idle time over a specified planning horizon is no greater than some value α chosen by management. Also discussed is the usefulness of the ideal planned queue level, not only for controlling work-in-process inventories, but also for obtaining better work center lead time estimates.     

National Culture and Profit Reinvestment: Evidence from Small and Medium‐Sized Enterprises

We examine the role of national culture—an important informal institution—in the profit reinvestment decisions of small firms in emerging markets. Prior economic development literature focuses on formal institutions as determinants of growth. However, in emerging markets where formal institutions are less developed, informal institutions should have more of a direct versus indirect impact through formal institutions. We find that Schwartz's cultural dimensions of Embeddedness and Hierarchy negatively affect profit reinvestment, and that access to external financing (strength of property rights) is more important for reinvestment decisions in countries with low (high) Embeddedness and Hierarchy.