Does gender diversity on corporate boards increase risk‐taking?

We study the impact of board gender diversity on firm risk‐taking in a developing market. Our study is drawn from a sample of 30 Tunisian‐listed firms between 1997 and 2010. First, we found that women have a risk perception that leads to risk avoidance behaviour: the presence of women directors, even when there is one woman director, is positively associated with cash ratio. Second, we showed no significant relationship between board gender diversity and the propensity to take strategic or financial risk‐taking. Third, the presence of state officer/bureaucrats and/or politically connected women have a positive effect on cash holding and investment opportunities. Finally, we found that foreign investors do not invest in firms with gender‐diverse boards. We conclude with a discussion of contributions to scholarship and practice, and present avenues for future research. Copyright © 2015 ASAC. Published by John Wiley & Sons, Ltd.     

Price discovery in dual‐class shares across multiple markets

This paper proposes a new measure of price discovery that uses the spectral decomposition. The methodology is especially important in the context of large price systems, such as interest rate parities with spot and futures contracts or dual‐class shares in multiple markets. We employ high frequency data to study price discovery in dual‐class Brazilian stocks and their ADRs. We find that the foreign market is at least as informative as the home market and that shocks in the dual‐class premium entail a permanent effect in normal times, but transitory in periods of financial distress     

How gender and financial self‐efficacy influence investment risk taking

Evidence shows alarming numbers of US workers nearing retirement insufficiently save for this next life stage. Moreover, many women invest too conservatively. This finding is of particular concern as women typically live longer than men do, and thus, rely on accumulated savings for longer periods of time. This study extends work in the psychology of investing by examining the relationship between gender and investment risk and the role financial self‐efficacy (FSE) plays. Data collected from 182 US student subjects tested the hypotheses that women make less risky investments than men do and that FSE is positively related to the level of risk taken within investment portfolios. The results not only supported the hypotheses but also the analysis shows that FSE might account for the frequently observed gender difference associated with greater financial risk taking.     

Do market prices correspond with consumer demands? Combining market valuation and consumer utility for extra virgin olive oil quality attributes in a traditional producing country

The objective of this research is to examine whether there is a relationship between the value of attributes based on the market price and on consumer utilities. To address this objective, the results from a hedonic price (HP) approach are combined with the actual consumer utilities from a real choice experiment (RCE) for extra virgin olive oil (EVOO) attributes. The results indicate that the origin of production attribute positively influences consumer utility and it is also positively related to market EVOO prices. Conversely, the PDO quality certification positively influences consumer utility and willingness to pay, although it is not related to EVOO prices in the real market.     

Trade and Financial Integration in East Asia: Effects on Co‐movements

In this paper we explore three important areas where deeper trade and financial integration in East Asia can influence: (1) business cycle co‐movements in the region, (2) the extent of risk sharing across countries and (3) price co‐movements across countries. We find evidence that trade integration enhances co‐movements of output but not of consumption across countries. Especially the fact that trade integration does not raise co‐movements of consumption as much as that of output is interpreted as trade integration does not improve the extent of risk sharing. Co‐movements of price arise most significantly as trade integration deepens, lowering the border effects and allowing better opportunities for resource reallocation across countries. In contrast, financial integration demonstrates much weaker evidence of enhancing co‐movements across countries. Deeper financial integration improves price co‐movements weakly but does not enhance output or consumption co‐movements at all. However, since the current level of financial integration in East Asia is quite low, our evidence is too early to firmly determine the role of financial integration.     

产业政策扶持对企业金融资产配置——基于“五年规划”变更的自然实验

以产业政策“五年规划”的变更构建双重差分与中介效应检验，分析了政策扶持对企业“主观投资意愿”和“客观投资机会”的双重影响，以及在两种影响的共振作用下，如何进一步影响企业金融资产配置决策的微观逻辑。研究发现：产业政策扶持对企业金融资产配置具有显著促进作用。一方面，产业政策扶持不仅会通过融资约束缓解效应提升企业投资意愿，还会通过庇护效应提高企业风险容忍度、强化风险承担，从而进一步提升“主观投资意愿”。另一方面，政策扶持引发投资潮涌会恶化市场竞争、政策前瞻性及其社会价值性，又对企业短期经济价值产生抑制，从而导致企业“客观投资机会”下滑。最终，企业在客观投资不确定性加剧而主观投资意愿上升的共振作用下选择转向具有替代性的金融资产投资。异质性方面，主业投资机会、主业经营收益率和主业经营风险越高的企业增加金融资产投资的意愿更弱，说明企业进行金融资产配置更像是锦上添花，而非根本上的“脱实向虚”。     

MARKETS FOR INFLATION‐INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY

We consider a continuous‐time framework featuring a central bank, private agents, and a financial market. The central bank's objective is to maximize a functional, which measures the classical trade‐off between output and inflation over time plus income from the sales of inflation‐indexed bonds minus payments for the liabilities that the inflation‐indexed bonds produce at maturity. Private agents are assumed to have adaptive expectations. The financial market is modeled in continuous‐time Black–Scholes–Merton style and financial agents are averse against inflation risk, attaching an inflation risk premium to nominal bonds. Following this route, we explain demand for inflation‐indexed securities on the financial market from a no‐arbitrage assumption and derive pricing formulas for inflation‐linked bonds and calls, which lead to a supply‐demand equilibrium. Furthermore, we study the consequences that the sales of inflation‐indexed securities have on the observed inflation rate and price level. Similar to the study of Walsh, we find that the inflationary bias is significantly reduced, and hence that markets for inflation‐indexed bonds provide a mechanism to reduce inflationary bias and increase central bank's credibility.     

TUG‐OF‐WAR,MARKET MANIPULATION,AND OPTION PRICING

We develop an option pricing model based on a tug‐of‐war game. This two‐player zero‐sum stochastic differential game is formulated in the context of a multidimensional financial market. The issuer and the holder try to manipulate asset price processes in order to minimize and maximize the expected discounted reward. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a parabolic partial differential equation involving the nonlinear and completely degenerate infinity Laplace operator.     

Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis

This study reexamines gold and government bonds as potential safe‐haven assets (SHAs) during market turmoil from daily data in 16 international markets over the past 20 years. We apply the extremal quantile regression model by Chernozhukov and Chernozhukov and Fernandez‐Val for empirical investigation. The outcomes indicate that a government bond is more likely to be qualified an active SHA, which can increase in value during market turmoil. Gold can be generally evaluated as a passive SHA, which is uncorrelated with market slumps. However, at the extremal 0.001 quantile level, neither asset can be qualified as a SHA. Since both assets exhibit a similar number of cases of being qualified as SHAs, we cannot significantly differentiate the “flight‐to‐liquidity” and “flight‐to‐quality” hypotheses. In terms of market selection, United States and Singapore are the top two choices while France and Hungary are the least commended markets to invest their local gold market as SHA.     

Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis

The existence of speculative bubbles in financial markets has been a longstanding issue under debate. Many financial economists believe that, given the assumption of rational expectations and rational behavior of economic agents, an asset should be priced according to its “market fundamentals.” Others argue that self‐fulfilling rumors of market participants can influence asset prices as well. These self‐fulfilling rumors are initiated by events extraneous to markets and are often called bubbles. The rationality of both expectations and behavior often does not imply that the price of an asset be equal to its fundamental value. In other words, there can be rational deviations of the price from this value—rational bubbles. A rational bubble can arise when the actual market price depends positively on its own expected rate of change, as normally occurs in asset markets. Since agents forming rational expectations do not make systematic prediction errors, the positive relationship between price and its expected rate of change implies a similar relationship between price and its actual rate of change. Under such conditions, the arbitrary, self‐fulfilling expectation of price changes may drive actual price changes independently of market fundamentals; we refer to such a situation as a rational price bubble.¹ © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:79–108, 2001     

Semi‐efficient valuations and put‐call parity

We propose an approach to the valuation of payoffs in general semimartingale models of financial markets where prices are nonnegative. Each asset price can hit 0; we only exclude that this ever happens simultaneously for all assets. We start from two simple, economically motivated axioms, namely, absence of arbitrage (in the sense of NUPBR) and absence of relative arbitrage among all buy‐and‐hold strategies (called static efficiency). A valuation process for a payoff is then called semi‐efficient consistent if the financial market enlarged by that process still satisfies this combination of properties. It turns out that this approach lies in the middle between the extremes of valuing by risk‐neutral expectation and valuing by absence of arbitrage alone. We show that this always yields put‐call parity, although put and call values themselves can be nonunique, even for complete markets. We provide general formulas for put and call values in complete markets and show that these are symmetric and that both contain three terms in general. We also show that our approach recovers all the put‐call parity respecting valuation formulas in the classic theory as special cases, and we explain when and how the different terms in the put and call valuation formulas disappear or simplify. Along the way, we also define and characterize completeness for general semimartingale financial markets and connect this to the classic theory.     

Transitory real‐time property rights and exchange intellectual property

American exchanges own the price quotations they generate. Access to real‐time price information is highly valued by most market participants. This enables exchanges to exact royalties from the sale of such market information. In this sense, an exchange's ownership of its price quotations is akin to owning a property right in a perishable commodity (i.e., fresh market price quotations) that is most valuable for only a transitory or limited period of time. The implications of exchange ownership of price data extend beyond financial markets. Recently, Woodard (2000) has noted that some internet auction operators have asserted ownership over the prices they generate. This study reviews the legal origin and nature of the property right to price quotations generated on U.S. futures exchanges and assesses whether exchange ownership should be transitory. The legal basis for transitory real‐time (real and personal) property rights is discussed and the economic implications are considered. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:891–913, 2003     

Private labels ain’t bona fide! Perceived authenticity and willingness to pay a price premium for national brands over private labels

Abstract

As private labels are consolidating their gains in national markets, a conventional recommendation to national brand manufacturers would most likely be to invest more in marketing in order to increase the perceived quality gap between national brands and private labels. It is assumed that the quality gap would boost consumer willingness to pay a price premium for national brands over private labels. Differing from this conventional approach, the current study focuses on the perceived authenticity gap between national brands and private labels, to explore whether and how this factor influences the effect of marketing and manufacturing variables on willingness to pay. This relationship is relevant in milieus where consumers might take brand authenticity rather than quality perceptions to guide their brand evaluations. The current study finds that the perceived authenticity gap mediates the effect of only some particular conventional marketing tools on willingness to pay. The study suggests that national brand managers should take the presence of private labels in the national markets as an opportunity to exploit the dynamics of authenticity evaluations, rather than as a threat.     

Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets

On July 29, 2002, the trading mechanism in the Taiwan Futures Exchange (TAIFEX) was switched from an exclusive call market to a continuous auction market. Based upon several proxies of market quality, in the present study, we set out to empirically examine whether this switch has resulted in any significant improvement in market quality within the TAIFEX. We find that while the quoted spreads, effective spreads, and price volatility are all smaller in the continuous auction market, the call auction market exhibits greater market depth and smaller pricing errors; the latter is also found to be more effective in resolving the problem of information asymmetry. Overall, the results of the present study suggest that the choice between call and continuous auction trading mechanisms essentially involves trade‐offs between the bid‐ask spread, market depth, price volatility, information asymmetry costs, and price efficiency.     

Budget over health unless overweight: A Solomon four‐group study

Budget and health motivations for food purchase (e.g., discounts and health consciousness, respectively) affect consumer choice while shopping and well‐being afterward. However, not all findings from research have suggested that discounts/taxations on healthy/unhealthy food encourage health‐conscious food choice. On the other hand, the consumer behaviour line of research on the influence of front‐of‐package health messages has mostly echoed similar results that such communication leads to overconsumption; thus, obesity. We examined the influence of market practices targeting consumers’ budget and health‐related motivations for food purchase in a 2 (price: recommended retail price, discount price) × 2 (product: regular potato chips, potato chips with ‘75% less saturated fat’) experiment using six Solomon four‐group designs. Our results indicate that overweight consumers are not prone to discounts, unlike their normal‐weight counterparts. A price cut nullifies the influence of health messages on purchase intentions among normal‐weight buyers when the regular and healthier packaged foods are both on discount.     

Cross‐border expansion and competitive interactions of indigenous mobile network operators in sub‐Saharan Africa

Emerging‐market multinational enterprises (EMNEs) have become major players in the global economy, with an increasing share of global foreign direct investment (FDI). Indigenous mobile network operators (MNOs) in sub‐Saharan Africa (SSA) are not left out in this pursuit, as they seek growth and competitiveness beyond their domestic markets. We investigate the FDI location choices and competitive interactions of the five indigenous SSA MNOs that had internationalized as of 2014 and find that, contrary to the literature, these EMNEs, operating in a key and rapidly developing industry, did not tend to commence their cross‐border expansion in geographically close markets. In addition, the MNOs are more likely to invest in countries with stronger control over corruption and do not appear to engage in heavy head‐to‐head competition with their rivals. These findings contribute to the internationalization literature in the context of the investment and competitive behaviors of the currently underexplored indigenous SSA multinationals.     

Effects of a Tax‐Time Savings Intervention on Use of Alternative Financial Services among Lower‐Income Households

Alternative financial services (AFS) such as check cashing and payday loans may help unbanked households meet transaction and credit needs, yet often at a very high price. Saving tax refunds can help low‐ and moderate‐income (LMI) households build emergency savings as a way to reduce dependence on AFS and cope effectively with irregular cash flows and financial shocks. This study examined the impact on AFS use of message‐based interventions encouraging LMI households to save their refunds when they electronically filed their federal income tax returns. We found that 3 out of 18 interventions resulted in statistically significant reductions in credit‐related AFS use with small effect sizes. None of the interventions resulted in reduced transaction‐related AFS use. Other factors—especially prior AFS use and financial shocks—were strong predictors of AFS. Financially vulnerable households may need additional opportunities and protections to reduce dependence on AFS.     

Professional financial advice,self‐control and saving behavior

This study investigates whether professional financial advice (“PFA”) can assist households in making better‐informed financial decisions and whether PFA may help households achieve better self‐control in implementing financial plans. In particular, we examine the effects of PFA and self‐control ability on saving behavior, as well as the interaction of PFA and self‐control on saving behavior. We extend the dual‐self model of impulse control and derive three hypotheses: (a) people with higher levels of self‐control save more than those with lower levels of self‐control; (b) PFA has a positive effect on saving behavior; and (c) people with lower levels of self‐control benefit more from obtaining PFA than those with higher levels of self‐control. We use a German household panel dataset SAVE, which was collected annually from 2005 to 2009. Respondents are asked whether they have discussed financial matters with financial advisors in banks, insurance companies or financial service providers. Using a number of behavioral proxies of self‐control, we create an aggregate measure of self‐control through factor analysis. We estimate a fixed‐effects model to identify the effects of PFA and self‐control on financial assets. Empirical results show that both PFA and self‐control have a significant positive relationship with financial assets. The interaction term of PFA and self‐control is a significant predictor of financial assets. We discuss conclusions for the financial advising industry and public policy aimed at consumer financial literacy.     

ON AGENT’S AGREEMENT AND PARTIAL‐EQUILIBRIUM PRICING IN INCOMPLETE MARKETS

We consider two risk‐averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with nontraded random endowments, we provide necessary and sufficient conditions for negotiation to be successful, i.e., for the trade to occur. We also study the asymptotic case where the size of the claim is small compared to the random endowments and we give a full characterization in this case. Finally, we study a partial‐equilibrium problem for a bundle of divisible claims and establish existence and uniqueness. A number of technical results on conditional indifference prices is provided.