MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS

An emerging literature relies on an index of limits of arbitrage in fixed‐income markets. We analyze the benefits of an index that is model‐free, robust, and intuitive. This new index strengthens the evidence that limits of arbitrage proxy for risks priced in the cross‐section of returns. Trading simulations show that the new index improves identification of limits of arbitrage because it bypasses a noisy estimation step. Relative value indices in the United States, United Kingdom, Japan, Germany, Italy, France, Switzerland, and Canada exhibit strong commonality and high correlations with local volatility and funding conditions. The indices are updated regularly and available publicly.     

Why and when organizational culture fosters affective commitment among knowledge workers: the mediating role of perceived psychological contract fulfilment and moderating role of organizational tenure

Drawing on Denison and Mishra (1995)’s framework of organizational culture, this study examines why and when organizational culture is related to knowledge workers’ affective commitment. Data were collected from 640 employees working in three high-technology companies in China. The findings indicate that the relationship between organizational culture and affective commitment is mediated by perceived psychological contract fulfilment. In addition, organizational tenure moderates the relationship between two external dimensions (i.e. adaptability and mission) of organizational culture and perceived psychological contract fulfilment. This study extends the current theoretical framework of organizational culture by demonstrating the underlying mechanism and the boundary condition of the relationship between organizational culture and affective commitment. The findings also provide practical implications for international managers to design appropriate human resource management policies and practices in China.     

Perceived risk and insurance decision taking for small losses

Abstract

Little systematic research has investigated differences in expressed attitude as a function of the manner in which probability information is communicated to a decision maker. The purpose of this paper is to investigate differences in expressed attitude when insurance coverage is introduced in a known-risk situation (the probability of loss is known), an uncertain situation (there is no prior information on the probability of loss) or an ambiguous (the information provided is vague). The experiments reported in this paper have been developed and tested in the classroom with undergraduate students. Unlike the vast majority of previous work dealing with lotteries and laboratory gambles, this study examine the behavior of people when facing a purchase decision on a well-known consumer good, i.e. a bottle of wine. The comparative results provide some evidence on the risk-taking behavior of consumers for small losses. Within an insurance context, people prefer the more familiar option of a known-risk situation and contrary to expectations, the results do not provide support to ambiguity aversion but to ambiguity seeking.     

The intellectual structure of the journal Business Strategy and the Environment: A 25‐year author cocitation analysis

This article presents the intellectual structure and 25‐year author cocitation analysis of the journal Business Strategy and the Environment. The findings show that Business Strategy and the Environment is an emerging, well‐established journal in its field. The journal needs a core set of authors who are actively engaged in the production and certification of knowledge; further, it consists of a number of loosely linked research team contributors, each with its own areas of interest. The existence of these research teams is a sign of strength that characterizes the journal as it strives to foster a community of unified scholars whose published works advance our understanding of business strategic decisions and behavior with regard to the natural environment. This study is useful for contributors, readers, and editorial board members who form the journal's community of knowledge creation and certification.     

Tourism, the world and the Caribbean

Tourism contributes significantly to the Caribbean economy and a strategy to exploit the industry's potential must be tailored to world trends at macro and micro levels. The composition of the market is changing and bookings are becoming dominated by fewer, larger companies able to exclude smaller carriers and tour operators not participating in the computer reservations systems. Worldwide recession has retarded the growth of the tourism industry and aggressive marketing by the USA and others provides fierce competition for the Caribbean. The Caribbean Tourism Organization (CTO) seeks to enhance the local prospects.     

The European Union’s Constitutional Crisis—Causes and Consequences

The rejection of the treaty establishing a European constitution by French and Dutch voters has thrown the EU into a deep crisis. What developments in the EU contributed to these referenda results? What consequences are to be drawn for the continuation of integration and the integration goal, the governance of the EU-25 and the further planned enlargements? What flaws are there in the present draft constitution and how can these be dealt with?     

Critical Situations for Decision Making: A Support Based on a Modelling Tool

This paper proposes to give a toll to help decision makers in critical situations. The principle of our research is based on a modelling approach for Cooperative Knowledge Based Systems. This approach is based on a Task/Method paradigm that we describe. We then propose to take into account collateral effects of tasks in order to support decision makers in a critical context. The proposed tool can then generate a degraded solution for which, collateral effects of previous tasks have been taken as new goals to reach. This study is possible thanks to the definition of several kinds of models: a Good Functioning Model and a Degraded Tasks Library.     

(Un)stable vertical collusive agreements

In this paper, we extend the concept of stability to vertical collusive agreements involving downstream and upstream firms, using a setup of successive Cournot oligopolies. We show that a stable vertical agreement, the unanimous vertical agreement involving all downstream and upstream firms, always exists. Thus, stable vertical collusive agreements exist even for market structures in which horizontal cartels would be unstable. We also show that there are economies for which the unanimous agreement is not the only stable one. Furthermore, the Stigler statement according to which the only ones who benefit from a collusive agreement are the outsiders need not be valid in vertical agreements.