Forecasting the volatility of asset returns: The informational gains from option prices

A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to approximate option prices, resulting in a set of cross-equation restrictions on the model’s parameters. The full model is characterized by a nonlinear system of three equations containing asset returns, the realized variance, and the VIX, with estimation of the parameters based on maximum likelihood methods. The forecasting properties of the new class of forecasting models, as well as a number of special cases, are investigated and applied to forecasting the daily S&P500 index realized variance using intra-day and daily data from September 2001 to November 2017. The forecasting results provide strong support for including the realized variance and the VIX to improve variance forecasts, with linear conditional variance models performing well for short-term one-day-ahead forecasts, whereas log-linear conditional variance models tend to perform better for intermediate five-day-ahead forecasts.     

Joint tests of contagion with applications

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not necessarily detected by traditional tests based on correlations. The empirical results have important implications for pricing risk and constructing well diversified portfolios.     

Rental prices in Germany: A comparison between migrants and natives

This paper deals with the question of whether migrants pay a rent premium for apartments of comparable quality and neighborhood characteristics. We use a two-step selection-correction model augmented by a control function to account for nonrandom neighborhood choice. The estimation sample is a uniquely assembled panel comprising the Socio-Economic Panel (SOEP), information on household and apartment characteristics, as well as georeferenced data describing neighborhood quality. Our estimates reveal that people with migration backgrounds are not penalized in the German local rental market in terms of higher rental payments.     

Multiple equilibria and hysteresis in simple exchange models

This paper presents a simple two-good general equilibrium model of exchange in which demands are linear functions of relative prices. The solution of the model is represented by a cubic equation which can have either a single root which corresponds to a unique equilibrium price or three roots corresponding to multiple equilibria. The major properties of the model are that the relative price can make large discrete jumps in response to small parameter changes, and can display hysteresis. The paper shows how recent developments in non-linear methods can be used to examine the equilibrium properties of the model and establish conditions under which multiple equilibria can arise. The model is compared with that used by Shapley and Shubik.     

Gender-Based Vicarious Sensitivity to Disempowering Behavior in Organizations: Exploring an Expanded Concept of Hostile Working Environment

The purpose of this study was to explore evidence of gender-based vicarious sensitivity to disempowering behavior in organizations, expanding the concept of hostile working environment beyond the context of sexual harassment. Male and female graduate and undergraduate students viewed 10 video segments of Anita Hill's interview by U.S. senators during the October 1991 confirmation hearings of Supreme Court Justice Nominee, Clarence Thomas. Although no significant relationship was found between the personal attributes of age and ethnicity to perceptions of disempowering behavior, female participants reported seeing significantly more offensive behavior in the video segments than did male participants. The results are discussed in terms of greater female sensitivity to common forms of disempowering behavior in organizations, and having a disparate negative impact and systematically placing women at a disadvantage in today's workforce.     

The Extent of Divergence in Human Resource Practice Across Three Chinese National Cultures: Hong Kong,Taiwan and Singapore

This study examines the extent of divergence versus convergence impact on the design of performance appraisal schemes across three Chinese culture-based newly industrialised countries: Hong Kong, Taiwan and Singapore. This survey research, which assessed respondents’ perceptions of their country's predominant behavioural characteristics of management practice pertinent to performance appraisals, demonstrated significant differences among the countries under study. the results suggest that, contrary to past cross-cultural cluster research, homogeneity should not automatically be assumed in guiding important management practices such as performance appraisal.     

The Challenge of Human Capital Leadership

Those who seek to develop other leaders encounter leadership challenges themselves. The current paper is an interview with an expert who has guided hundreds of leaders in their effort to develop measurable leadership development and human capital interventions. Dr. David Vance has been working with human capital leaders for over 15 years and has become increasingly frustrated with the lack of movement in the field. Through this interview, we begin to feel his frustration but can also gain insight from his recommendations. Although the field has moved very slowly in “thinking like a business,” Vance remains hopeful.