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.     

Trust Erosion During Industry-Wide Crises: The Central Role of Consumer Legitimacy Judgement

Journal of Business Ethics - Widespread unethical corporate misconduct in an industry triggers industry-wide crises. This research investigates how industry misconduct affects consumers’...     

On the Scope of Conflict in International Merger Control

In this paper, we analyze the scope for conflict between national merger control agencies which simultaneously assert jurisdictions. We consider a positive model of merger control in which market definition and the analysis of dominance are both explicitly specified. Our main finding is that conflict in international merger control is less likely to occur when economic integration is high. Hence, economic integration should alleviate rather than exacerbate conflict. In addition, we observe that conflict is more likely to arise between countries of similar market size and for moderate competition policy rules.     

Valuation of ecosystem services provided by irrigated rice agriculture in Thailand: a choice experiment considering attribute nonattendance

This research investigates how the public of a middle‐income country, Thailand, values ecosystem services associated with irrigated rice agriculture using a choice experiment. The results show a significant willingness to pay for services such as drought mitigation, water quality and the environment and maintenance of rural lifestyles and rice landscapes. The iterative procedure developed to fully analyze the incidence of attribute nonattendance (ANA) improved the model fit when compared with a multinomial logit model or an ANA model with potentially only one attribute ignored at a time (ANA‐1). Moreover, the inferred probability of the class of respondents having attended all attributes was 45%, compared to 9% with ANA‐1 model. However, it also suggests that 55% of the respondents made their choices by considering only two of the five attributes. Finally, this research also suggests that failing to consider ANA does not change the public ranking of scenarios contrasted by the services they would provide but would overestimate the WTP for these scenarios.     

The entrepreneurial imagination and the impact of context on the development of a new venture

This paper sets out to explore the impact of a new venture's context on its development. The study consists of a single case study based on a new venture attempting to exploit an opportunity in the life sciences and charts the impact that the context, in particular actors that the venture are trying to gain resources from, have upon the plans, activities and resources developed by this nascent firm. Spanning the time period of 1999-2006, this case outlines four periods of development of the venture. This accounts for the initial plans of the venture, their struggle to gain venture financing, the development of the venture's technological resources and the attempts to create commercial relationships. The study shows the impact that institutions used in a context have on this venture leading to, among other things, the discovery of IP, finding a CEO and developing a product line.     

On the recent extension of price and production statistics to health and education

The paper examines the recent extension of price and production statistics to health, social assistance services and education. In the first part of the paper it is emphasised that using net prices instead of gross prices, as for the European harmonised consumer price index, is inaccurate. The index is thus partly hybrid and inconsistent. The second part of the paper explains why, even if quality is a significant issue, production measures should not rely on the user's changes of condition. It should rather be based on supplied quality. The paper then describes and discusses two complementary ways to estimate quality changes.     

Risk Management,Corporate Governance,and the Search for Long-Term Investors

This discussion explores a number of ways that more effective risk management, corporate governance, and communication with investors can help companies increase their effciency and long-run value. According to one of the panelists, recent surveys of corporate directors suggest that companies should devote more time and attention to three issues—strategy, risk management, and succession planning—and that strategy and risk are the “flipsides of the same coin.” As the panelist argues, “You can't talk about strategy without talking about what risks you're going to take—and what risks you decide to take has to depend on the core competencies that drive the corporate strategy.” In addition to making risk management a critical part of corporate strategy, another notable recommendation is to communicate a company's strategy and business plan as clearly as possible to investors, with the aim of attracting more sophisticated, long-term shareholders. Contrary to popular belief, such a group may well include some hedge funds and other activist shareholders. According to a newly released report on shareholder activism (produced and cited by another panelist), corporate boards should work harder to identify and engage the “largest 10 shareholders in the organization,” with the ultimate goal of cultivating a shareholder base that buys into the company's strategy.     

Using life cycle approaches to enhance the value of corporate environmental disclosures

As the focus of environmental policy and management shifts from cleaner production at the process level towards greener products as a whole, stakeholders ask for transparency throughout the entire value chain. This article assesses the comprehensiveness and the value of currently reported quantitative environmental disclosures of 97 listed companies from the automotive, banking, pharmaceutical and electronic hardware sectors. Findings indicate that quantitative environmental disclosures have many limitations, including incompleteness and inconsistency regarding corporate activities and sites, and limited internal data coherence. For many sectors, corporate disclosures only cover a very small share of the total environmental burden of products. A stepwise procedure is proposed to verify and improve the quality and completeness of reporting using life cycle approaches. We present simple data quality tests, and we introduce the concept of the environmental influence matrix, which provides a solid basis for the identification and prioritization of key performance indicators and areas of action. Copyright © 2009 John Wiley & Sons, Ltd and ERP Environment.     

Effect of Stress on Later-Life Health: Evidence from the Vietnam War Draft

This article contributes to the literature examining how stress during the early stages of life impacts later-life health using a novel proxy for stress: risk of military induction during the Vietnam War. The article estimates that an increase in induction risk in young adulthood is associated with higher rates of obesity, endocrine disease, and hypertension later in life. These findings do not appear to be cohort effects; these associations exist only for men who did not serve in the war, not for same-aged women. These results suggest stress experienced during early adulthood can have adverse health consequences later in life.