Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

DO FIRMS SEEK A TARGET BOARD STRUCTURE? EVIDENCE FROM THE POST‐SOX PERIOD

We investigate whether firms restructure board composition to align with changes in their contracting environment. Board size and independence increase with firm complexity, consistent with theoretical predictions. However, the hypothesized negative relation between board independence and information costs is evident only for firms completing acquisitions. Furthermore, board independence increases to offset increases in CEO power in a sample of firms making acquisitions, but decreases when CEO power increases in a large cross‐section of firms. We conclude that after the Sarbanes–Oxley Act of 2002, firms face constraints adjusting to target board structure, but these constraints can be mitigated by a shock to the contracting environment via acquisition.     

Exploring the interaction between incubators and industrial clusters: the case of the itri incubator in Taiwan

This article aims to explore the interaction between incubators and industrial clusters, which is an important linkage for local development but has not been analyzed in the literature. A model is proposed to describe this interaction. The Industrial Technology Research Institute (ITRI) Incubator within the Hsinchu industrial cluster, the core of Taiwan's technology industries, is considered to be an empirical case. This case is investigated with the proposed model and methods including data analysis, in–depth interviews, manager surveys and stakeholder analysis. It was found that the clustering effect in the Hsinchu industrial cluster is main factor in the ITRI Incubator's development. The ITRI Incubator in turn reinforces the cluster in some aspects as feedback. This result confirms the existence and importance of this interaction in local development. It is recommended that government officials and incubator managers take account of this interaction in operating an incubator program and utilize the proposed model to analyze the incubator's contributions to its industrial cluster.     

用于高频的新颖开关电容积分器

本文研究了用于开关电容(SC)滤波器的离散积分器,所推荐的积分器是由无耗离散积分器(LDI)和双线性离散积分器的最佳线性结合而成,因此,称之为组合离散积分器(CDI)。由于这个积分器使正常转折频率增加一倍,并使高频离散积分器误差减少到最低限度,所以它对高频应用是理想的。文中给出了组合离散积分器的几种SC实现,并且还给出了以组合离散积分器为基础,模拟一般一阶和二阶的模拟滤波器单元的SC电路。     

A theoretical framework to evaluate different margin‐setting methodologies

The margin system is the first line of defense against the default risk of a clearinghouse. From the perspectives of a clearinghouse, the utmost concern is to have a prudential system to control the default exposure. Once the level of prudentiality is set, the next concern will be the opportunity cost of the investors, because high opportunity cost discourages people from hedging futures, and thus defeats the function of a futures market. In this article, we first develop different measures of prudentiality and opportunity cost. We then formulate a statistical framework to evaluate different margin‐setting methodologies, all of which strike a balance between prudentiality and opportunity cost. Three margin‐setting methodologies, namely, (1) using simple moving averages; (2) using exponentially weighted moving averages; (3) using a GARCH approach, are applied to the Hang Seng Index futures. Keeping the same prudentiality level, it is shown that the one using a GARCH approach by and large gives the lowest average overcharge. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:117–145, 2004     

The index futures markets: Is screen trading more efficient?

This article uses a nonparametric test based on the arc‐sine law (see, e.g., Feller, 1965 ), which involves comparing the theoretical distribution implied by an intraday random walk with the empirical frequency distribution of the daily high/low times, in order to address the question of whether the abandonment of pit trading has been associated with greater market efficiency. If market inefficiencies result from flaws in the market microstructure of pit trading, they ought to have been eliminated by the introduction of screen trading. If, on the other hand, the inefficiencies are a reflection of investor psychology, they are likely to have survived, unaffected by the changeover. We focus here on four cases. Both the FTSE‐100 and CAC‐40 index futures contracts were originally traded by open outcry and have moved over to electronic trading in recent years, so that we are able to compare pricing behavior before and after the changeover. The equivalent contracts in Germany and Korea, on the other hand, have been traded electronically ever since their inception. Our results overwhelmingly reject the random‐walk hypothesis both for open‐outcry and electronic‐trading data sets, suggesting there has been no increase in efficiency as a result of the introduction of screen trading. One possible explanation consistent with our results would be that the index futures market is characterized by intraday overreaction. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:337–357, 2004     

Earnings management by firms announcing earnings after SEC filing

This study examines motivation and stock market reactions of firms announcing earnings in the Wall Street Journal (WSJ) after filing with the Security Exchange Commission (SEC). Most firms announce earnings in the WSJ before SEC filing. Firms that reverse this sequence are voluntarily delaying public earnings announcements. The authors find that these firms are not only poor financial performers but also engage in earnings managements. They are delaying their WSJ announcements to postpone announcing bad news. The authors find significant stock price reactions to both the SEC filing and the WSJ announcement. The price reaction to earnings is incomplete at the SEC filings. The market continues reacting to firms' subsequent WSJ announcements as if the SEC filing fails to communicate earnings information to some investors.     

On exact D-optimal designs with 2 two-level factors and n autocorrelated observations

In this paper we consider the exact D-optimal designs for estimation of the unknown parameters in the two factors, each at only two-level, main effects model with autocorrelated errors. The vector of the n random errors in the observed responses is assumed to follow a first-order autoregressive model (AR(1)). The exact D-optimal designs seek the optimal combinations of the design levels as well as the optimal run orders, so that the determinant of the information matrix of BLUEs for the unknown parameters is maximized. Bora-Senta and Moyssiadis (1999) gave some conjectures about the exact D-optimal designs based on their experience of several exhaustive searches. In this paper their conjectures are partially proved to be true.Received: January 2003 / Accepted: October 2003Partially supported by the National Science Council of Taiwan, R.O.C. under grant NSC 91-2115-M-008-013.Supported in part by the National Science Council of Taiwan, R.O.C. under grant NSC 89-2118-M-110-003.     

外商投资与中国经济发展──产业和区域分析证据

本文将有关外商直接投资影响的分析 ,与中国经济的特定发展模式联系起来 ,从中得出两项分析结果。一是在产业发展层面 ,外商投资确实有助于改进资源配置效率 ,然而这种贡献却是以妨碍生产效率改进为代价的 ;二是在区域发展层面 ,以进口替代加资本深化为特征的“上海模式” ,在促进地区和全国经济发展方面 ,确实优于以出口导向加劳动密集为特征的“广东模式” ,只是前一模式本身存在着严重的可持续性问题     

Inoculating consumers against deception: The influence of framing and executional style

This study examines conditions affecting consumer susceptibility to advertising deception and educational efforts designed to inoculate consumers against it. Results show that consumers are best able to detect deception when their frame of reference (cognitive or affective) is incongruent with the advertisement's executional style (attribute or emotional). Attempts to inoculate consumers against deception by providing factual brand comparisons have their strongest effect among consumers with an affective frame of reference and for emotionally charged ads.

---

Die Immunisierung von Konsumenten gegen werbliche Irreführung: Der Einflu der persönlichen Informationsausrichtung und des werblichen Argumentationsstils

Zusammenfassung Die Studie befa\t sich mit den Bedingungen werblicher Irreführung von Konsumenten und mit den Bemühungen der Verbrauchererziehung, Konsumenten durch vergleichende Warentestergebnisse gegen solche Irreführung zu immunisieren. Ihre Ergebnisse zeigen, da\ Konsumenten werbliche Irreführung am ehesten dann durchschauen, wenn ihre persönliche Informationsausrichtung (kognitiv oder affektiv) nicht mit dem werblichen Argumentationsstil (informativ oder emotional) übereinstimmt. Versuche, Konsumenten mit Hilfe vergleichender Warentest-Informationen gegen werbliche TÄuschung zu immunisieren, sind am wirkungsvollsten bei Konsumenten mit affektiver Informationsausrichtung und bei emotionshaltiger Werbung.

---

---

The authors wish to thank Joel Cohen and the Editors and reviewersof Journal of Consumer Policy for their valued suggestions, and Jill Joyce for assistance in data collection and analysis.