Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

When Targets Strike Back: How Negative Workplace Gossip Triggers Political Acts by Employees

Journal of Business Ethics - This study examines why and when negative workplace gossip promotes self-serving behaviors by the employees being targeted. Using conservation of resources (COR)...     

Twenty-Five Years after the Fall of the Berlin Wall: An Empirical Revisit of West German Consumers' Attitudes Toward Products and Brands from Former East Germany

More than 25 years after the German reunification, data show that products/brands from the eastern regions of Germany (“Neue Länder”) still do not have significant shares in the country's western part (“Alte Länder”). To analyze potential reasons for this phenomenon, our current study replicates a previous study that investigated selected attitudes of Alte Länder consumers toward products/brands from the Neue Länder. It is shown that factors such as consumer ethnocentrism, product judgment, willingness to buy, and economic animosity continue to influence consumer behavior and as such our study offers potential explanation for the failure of Neue Länder products/brands in the western regions of Germany.     

What have we learnt about board gender diversity as a business strategy? The appointment of board subcommittees

This paper explores whether a board's gender diversity influences the voluntary formation of its board subcommittees. Female board directorship may become a business strategy for firms if it affects the appointment of board subcommittees. We hypothesize that the voluntary creation of board subcommittees is affected by the presence of female directors on boards; the presence of independent, executive, and institutional female directors; and the proportion of shares held by female directors on boards. Board gender diversity has been measured as a proportion and with Blau's index. The results show that independent female directors are positively associated with the likelihood of voluntarily setting up all or some of the committees and a supervision and control committee. The presence of executive female directors negatively influences the probability of forming all or some of the committees, an executive committee and a supervision and control committee. The percentage of shares held by female directors has a positive effect on the voluntary creation of an executive committee. The findings also report that women directors and institutional female directors do not contribute to the voluntary creation of board subcommittees. Our evidence shows that female board directorship impacts the demand of internal control mechanisms such as board subcommittees, suggesting that firms should take it into account as a business strategy. The main implications derived from this research are relevant for Spanish policymakers and researchers because board gender diversity may play a significant role in the decision‐making processes of firms and may influence firms' outcomes.     

Banks' environmental policy and business outcomes: The role of competition

By integrating the two areas of competition–performance and environment–performance, this research explores if competition matters in the relationship between environmental practices and interest margins in the market. A panel of 458 banks from 74 countries for the period of 2006–2016 is used, and the sample is further divided into developed and developing countries. This paper uses the system Generalized Method of Moments estimator to tackle potential omitted variable bias, endogeneity, and simultaneity issues. Without competition, environmental practices only affect banks in developing countries; however, the results show a significant impact for the full sample, including developed countries, when the competition is taken into consideration, suggesting that competition might play a role in the relationship of environmental practices and interest margins. In the full sample, competition impacts the relationship negatively after a moderate level of competition is reached in the market. The environmental practices in developing countries are prone to competition in the market. In developed countries, the competition is found to be lightly positively moderating the impact of environmental practices on interest margins. Based on these findings, it is recommended that developing countries should have a low or moderate level of competition to encourage environmental practices. For developed countries, however, high competition should be preferred to encourage banks to consider environmental practices as one of their core business strategies. These findings are found robust to different statistical estimators.     

Easing the assessment of emerging technologies in technology observatories. Findings about patterns of dissemination of emerging technologies on the internet

This paper considers the Web as a big data container that can be used by Technology Observatories and administrations to track emerging issues and more specifically emerging technologies. It considers information that is available on the Internet for free from different sources, and proposes a framework that can be useful to characterise them and to detect patterns of dissemination. This framework is made up of 30 metrics obtained from different kinds of sources (general web, patents, scholars?…). Some of them are obtained directly as the number of hits retrieved by queries on a search engine, and other ones calculated by means of ratios. This paper contains the development of a complete case that utilises this framework to characterise emerging technologies included in the well-known Hype Cycle for Emerging Technologies, in this case the 2015 release¹ and to analyze patterns of dissemination of these technologies on the Internet.     

Is an Auditor's Propensity to Issue Going Concern Opinions a Valid Measure of Audit Quality?

A number of previous studies use auditor propensity to issue a going concern opinion (GCO) as a proxy of audit quality when examining a sample of financially distressed firms. This study examines whether audit quality (measured by discretionary accruals) influences the probability of financially distressed firms receiving GCOs using a non‐specific sample of 2937 firm‐year observations from Australia over the period 2011–2015. The study first investigates the association between financially distressed firms and the issuance of GCOs. This association is then re‐tested after separating the total sample into low and high audit quality subsamples. The results indicate that financially distressed firms are more likely to receive GCOs, confirming the application of ASA 570 Going Concern. However, financially distressed firms that receive GCOs from their auditors are limited to firms that have higher‐quality audits.     

Quality of life and its predictors among Pakistani head of household in district Abbottabad,Pakistan

Quality & Quantity - This study aimed to measure the quality of life (QOL) and its predictors among male and female heads of household in Pakistan. A population-based cross-sectional study in...     

Economic burden associated with inadequate antidepressant medication management among patients with depression and known cardiovascular diseases: insights from a United States–based retrospective claims database analysis

Abstract

Aims: The current study examined the association between insufficient major depressive disorder (MDD) care and healthcare resource use (HCRU) and costs among patients with prior myocardial infarction (MI) or stroke.

Methods: This was a retrospective study conducted using the MarketScan Claims Database (2010–2015). The date of the first MI/stroke diagnosis was defined as the cardiovascular disease (CVD) index date and the first date of a subsequent MDD diagnosis was the index MDD date. Adequacy of MDD care was assessed during the 90 days following the index MDD date (profiling period) using 2 measures: dosage adequacy (average fluoxetine equivalent dose of ≥20?mg/day for nonelderly and ≥10?mg/day for elderly patients) and duration adequacy (measured as the proportion of days covered of 80% or higher for all MDD drugs). Study outcomes included all-cause and CVD-related HCRU and costs which were determined from the end of the profiling period until the end of study follow-up. Propensity-score adjusted generalized linear models (GLMs) were used to compare patients receiving adequate versus inadequate MDD care in terms of study outcomes.

Results: Of 1,568 CVD patients who were treated for MDD, 937 (59.8%) were categorized as receiving inadequate MDD care. Results from the GLMs suggested that patients receiving inadequate MDD care had 14% more all-cause hospitalizations, 4% more all-cause outpatient visits, 17% more CVD-related outpatient visits, 13% more CVD-related emergency room (ER) visits, higher per patient per year CVD-related hospitalization costs ($21,485 vs. $17,756), higher all-cause outpatient costs ($2,820 vs. $2,055), and higher CVD-related outpatient costs ($520 vs. $434) compared to patients receiving adequate MDD care.

Limitations: Clinical information such as depression severity and frailty, which are potential predictors of adverse CVD outcomes, could not be ascertained using administrative claims data.

Conclusions: Among post-MI and post-stroke patients, inadequate MDD care was associated with a significantly higher economic burden.