A narrative networks approach to understanding coordination practices in emergency response

This paper examines coordination practices in emergency response by adopting a narrative networks approach (Pentland & Feldman, 2007). We apply this approach in the analysis of qualitative data collected in an empirical longitudinal study (2003–2006) of emergency response across a geographical region of Greece. We provide an in-depth narrative analysis of two different emergency incidents and the efforts to coordinate those. The paper concludes with the implications of using a narrative networks approach for understanding the temporal and situated nature of coordination, while placing emphasis on the performativity of coordination practices.     

Admissible uncertainty in the intertemporal asset pricing model

We embed the Sharpe-Lintner, two-parameter asset pricing theory in an intertemporal general equilibrium model. The investment opportunity set changes stochastically over time; in general the short-term and long-term interest rates and the distribution of the rate of return of the market portfolio are non-stationary. This non-stationarity, which is admissible in the Sharpe-Lintner model, has two implications: First, it may bias econometric methods which fail to explicitly take into account the non-stationarity. Second, the sequential application of the Sharpe-Lintner model in the discounting of stochastic cash flows becomes computationally complex and of little practical use.     

Warrant exercise and bond conversion in competitive markets

We develop a theory of warrants held by competitive warrantholders not constrained to exercise their warrants as one block; the theory also applies to convertible bonds held by competitive bondholders not constrained to convert their bonds as one block. We prove that the warrant (bond) price in each of the competitive equilibria is less than or equal to the price in an economy with the block constraint; and for at least one competitive equilibrium the warrant (bond) price equals the warrant (bond) price in the block-constrained economy. We illustrate the paths of competitive warrant exercise and bond conversion and conclude that under realistic assumptions they can be long.     

Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns

The tax law confers upon the investor a timing option - to realize capital losses and defer capital gains. With the tax rate on long term gains and losses being about half the short term rate, the law provides a second timing option - to realize losses short term and gains long term, if at all. Our theory and simulation over the 1962–1977 period establish that taxable investors should realize long term gains in high variance stocks and repurchase stock in order to realize potential future losses short term. Tax trading does not explain the small-firm anomaly but predicts a seasonal pattern in trading volume which maps into a seasonal pattern in stock prices, the January anomaly, only if investors are irrational or ignorant of the price seasonality.     

Optimal population growth and the social welfare function

The social welfare function criterion offers an approach to the theory of optimal economic growth that is intermediate between the 2 most frequently used utilitarian models--those that maximize per capita utility and those that maximize total utility. According to the welfare criterion, societal welfare depends not only on the level of per capita consumption, but also on the population density in the area in which an individual resides. The model postualtes that, for a given level of per capita consumption, total utility increases with increasing density, reaches a maximum, and then declines with further population increases due to the deleterious effect of overcrowding on the quality of life (e.g., the quality of education, recreational facilities, and environmental factors such as clean air and pure water). The overall objective of the model is to identify the optimal per capita consumption and population size that maximize the discounted social welfare. Optimal population growth occurs when the increase in the discounted social welfare resulting from the introduction of a new member equals the reduction in welfare created by that addition (modified Meade Rule), while per capita accumulation equals the sum of the population growth rate and the social rate of time preference (modified Golden Rule). This model could be extended to consider technological change more explicitly and its effect on optimal outcomes.     

Optimal investment with stock repurchase and financing as signals

When management has private information it has an incentiveto finance investment by issuing a security that is overpricedin the market. The market's valuation of the issued securitymay lead management either to forego profitable investmentsor to invest suboptimally. With investment fixed, there existfully revealing signaling equilibria in which the covenantsof the issued claim serve as signals. A straight bond issuecannot provide the signals but a convertible bond issue can.With investment endogenous, fully revealing equilibria existin which the par value of a straight bond issue and the announcedlevel of investment jointly serve as signals and investmentis optimal. The article also investigates the role of a stockrepurchase in these equilibria.     

Mispriced index option portfolios

In model-free out-of-sample tests, we find that the optimal portfolio of a utility maximizing investor trading in the S&P500 Index, cash, and index options bought at ask and written at bid prices stochastically dominates the optimal portfolio without options and yields returns with higher mean and lower volatility in most months from 1990 to 2013. Unlike earlier claims of overpriced puts, our portfolios include mostly short calls and are particularly profitable when maturity is short and volatility is high. Similar results are obtained with the CAC and DAX indices. Neither priced factors nor a nonmonotonic stochastic discount factor explains the excess returns.