Operationalizing opportunities in entrepreneurship research: use of data envelopment analysis

Despite the impressive development of substantive theories in entrepreneurship, without the development of measurement theories, further advancement of the field is problematic. In particular, the notion of opportunities, central to entrepreneurship research, requires adequate macro-level operationalization. We demonstrate how to employ data envelopment analysis (DEA) to operationalize not only innovative opportunities, but also technological arbitrage opportunities. We provide an illustrative example based on a sample of 66 countries during the period of 1993–2002. We include estimates of innovative and arbitrage opportunities for possible use by other scholars, discuss the promise and limitations of such estimates, demonstrate how both innovative and arbitrage opportunities correlate with the rates of entrepreneurial activity, and suggest several possible directions for future research.     

Optimal arbitrage strategies on stock index futures under position limits

Assuming the absence of market frictions, deterministic interest rates, and certainty in dividend payouts from the stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index futures by adopting a short (long) futures strategy. In addition, the arbitrageur may improve the arbitrage profit by adopting the so‐called early unwinding strategy of liquidating the position before maturity, or more aggressively from the long position directly to the short position or vice versa. In this study, we examine the optimal arbitrage strategies in stock index futures with position limits and transaction costs. In our analysis, the index arbitrage basis is assumed to follow the Brownian Bridge process. The model formulation of the option value functions leads to a coupled system of variational inequalities. We determine the values of the arbitrage opportunities and the optimal threshold values of the arbitrage basis at which the arbitrageur should optimally close an existing position or open a new index arbitrage position. In particular, we examine the impact of transaction costs on the index arbitrage strategies. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:394–406, 2011     

DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

This paper derives domain restrictions on interest rates implied by no‐arbitrage. These restrictions are important for the study of arbitrage opportunities on bond markets, for regulation of these markets, and for econometric modelling.     

African Americans’ pursuit of self-employment

We examine causes of black/white gaps in self-employment entry rates in the United States by recognizing that industry context heavily shapes impacts of owner resource endowments on the likelihood of successful entry. Barriers to entry, briefly stated, are high in some lines of business and low in others. We therefore proceed by explaining self-employment entry into separate subgroups of high- and low-barrier industries. Higher entry rates typifying whites, relative to African Americans, are traditionally interpreted as reflections of the former group’s greater personal wealth and human-capital resources. This consensus view, however, is simplistic: personal wealth holdings have no positive explanatory power for predicting entry into low-barrier lines of business. Our findings demonstrate, furthermore, that high educational attainment is a strong, positive predictor of entry into high-barrier fields, but not into low-barrier industries. Because industry context indeed shapes entry patterns, “one-size-fits-all” econometric models commonly used to predict entry into self-employment fall short.     

An intraday test of pricing and arbitrage opportunities in the New Zealand bank bill futures market

This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significant; (b) ex post synthetic bill opportunities are more numerous than ex post quasi‐arbitrage opportunities but the yield enhancements are minor; (c) ex post quasi‐arbitrage opportunities are substantially less frequent and less profitable than reported by prior studies using closing data; and (d) arbitrage opportunities decline when execution delays are introduced but the declines are not statistically significant. In broad terms, the bill futures market is efficient with respect to quasi‐arbitrage but less so with respect to synthetic bill opportunities. The results also suggest that arbitrage opportunities are not generally available to arbitrageurs without access to the interbank bill market. The incidence of arbitrage opportunities is on a par with levels reported in intraday studies of stock index and foreign exchange markets. This illustrates the importance of using high frequency data to assess transactional efficiency in financial markets. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:519–555, 2002     

Integration and arbitrage in the Spanish financial markets: An empirical approach*

Several authors have introduced different ways to measure integration between financial markets. Most of them are derived from the basic assumptions about asset prices, like the Law of One Price or the absence of arbitrage opportunities. Two perfectly integrated markets must give identical prices to identical final payoffs, and a vector of positive discount factors, common to both markets, must exist. If these properties do not hold, the degree to which they are violated can be defined and considered as a measure of integration. The present paper empirically tests integration measures in the Spanish financial markets. Furthermore, the integration measures are operationalized to analyze the presence of cross‐market arbitrage without previously specifying the exact nature of the arbitrage strategy to be used. When the absence of arbitrage holds, several interesting variables are obtained, for instance, state prices or risk‐neutral probabilities. When this absence fails, explicit cross‐market arbitrage portfolios are provided. The results of the test yield some evidence about market efficiency and integration outside the United States, and they are surprising for several reasons. First of all, arbitrage opportunities do sometimes appear, and the bid–ask spread and transaction costs seem to be unable to prevent arbitrage profits. Furthermore, the criticisms that are usually raised when empirical papers show the existence of arbitrage opportunities do not apply here because we work with perfectly synchronized high frequency data. On the other hand, different integration measures show a similar evolution along the tested period, although these measures give different information about the markets’ efficiency and integration, and they do not necessarily have to be related. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 321–344, 2000     

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

We establish a simple no-arbitrage criterion that reduces the absence of arbitrage opportunities under proportional transaction costs to the condition that the asset price process may move arbitrarily little over arbitrarily large time intervals.
We show that this criterion is satisfied when the return process is either a strong Markov process with regular points, or a continuous process with full support on the space of continuous functions. In particular, we prove that proportional transaction costs of any positive size eliminate arbitrage opportunities from geometric fractional Brownian motion for H ∈ (0, 1) and with an arbitrary continuous deterministic drift.     

The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets

We examine how investors arbitrage the Bitcoin spot and futures markets. Using intraday data of the Chicago Board Options Exchange, we reconstruct the actual arbitrage condition that investors confront. We find that there are few arbitrage profit opportunities in “normal” markets, but large arbitrage profit opportunities arise during Bitcoin market “crashes.”     

Industry environments and new venture formations in U.S. manufacturing: A conceptual and empirical analysis of demand determinants

Through integration of theoretical perspectives from Austrian economics, industrial organization economics, and organizational theory, this study builds and examines empirically a model of the demand determinants of new venture formations in manufacturing industries. Austrian economics and other writings on market disequilibrium imply that the dynamics of industries create market opportunities that are available to economic actors. The greater the changes occurring in an industry, the greater the opportunities created, and the further the market is moved from an equilibrium state. Entrepreneurship is viewed as the process of seizing opportunities through combinations of productive inputs. The more available market opportunities in an industry, the greater is the potential for entrepreneurial activity and, more specifically, new venture formations. Entry barriers constrain the formation of new ventures by prohibiting new ventures from taking advantage of available emerging opportunities. The inertial properties of existing firms constrain their ability to move toward these opportunities and thereby increase the potential for new ventures to exploit these market opportunities.The empirical analysis utilizes the Small Business Administration's U.S. Establishment and Enterprise Microdata file to test the model on a large sample of U.S. manufacturing industries. Results indicate that dynamic industries have greater new venture formations. More specifically, new venture formations are associated with industry growth, the dynamism of industry niches, and technological development. Moreover, entry barriers were found to strongly constrain rates of new venture formations. Industry capital requirements, concentration, and excess capacity were all related negatively to the formation of new ventures. The hypothesized positive relationship between industry-level measures of organizational inertia and new venture formations was also borne out in the empirical analysis. New venture formations were related positively to the extent of vertical integration in an industry as well as to the failure of incumbent firms to invest in new capital.Overall, the independent variables explained more than 50% of the variance in rates of new venture formations in manufacturing industries. The results support an Austrian perspective on entrepreneurship and imply that demand factors and industry structural variables are important determinants of new venture creations.The results imply that dynamic industries should spawn new ventures, and industries with high sales growth, changing consumer preferences, and rapid technological change should exhibit high rates of venture formations. For potential entrepreneurs, the model presented herein might be a useful guide to focus their venture activities. Entrepreneurs who can spot the fundamental sources of market change can exploit their knowledge for economic gain. Yet, there are a number of difficulties in suggesting that the model presented herein could be directly applied by entrepreneurs. First, it is always easier to estimate the dynamics of an industry post hoc than it is ex ante. For example, whereas it is simple to catalogue the technological change that occurred in an industry over time, it is another matter to predict the nature of future technological developments. Second, entrepreneurial opportunity can persist only if other potential economic actors do not know of the presence of the opportunity or cannot act upon it. Any model that gains acceptance as a means of predicting the presence of opportunities would, through its widespread usage, neutralize those opportunities for economic profit. Nonetheless, entrepreneurs who have that unique capability to spot industry dynamics and associated profit opportunities where others do not will gain from that ability.     

Business Dynamics and Efficiency in Industries and Regions: The Case of Spain

High rates of firm births and deaths are a pervasive phenomenon across industries and territories. Most studies have related the great turbulence at the fringe of practically all manufacturing industries to positive effects on the long-run performance of industries. According to these views business turbulence, although it has a relatively small incidence on net entry, leads to allocative improvement and stimulates innovation. The existing set of empirical studies does not reach clear conclusions, however, and many questions are still open. Our contribution analyses the relationship between business dynamics in manufacturing and the growth of total factor productivity in industries and regions. After a review of current literature on entry and exit it is argued that most models are tailored to suit the processes observed in industries and regions that are near the technological frontier, and we propose an approach that could be more representative of middle range economies such as Spain. According to this approach new firms are seen more as users of innovations than producers of innovations. We adopt a model based on a vintage capital framework in which new entrants embody the edge technologies available and exiting businesses are supposed to represent the most marginal obsolete plants. Both industries and regions are represented by a Hall's type production function which controls for imperfect competition and economies of scale. The results show that both entry and exit rates contribute positively to the growth of total factor productivity in industries and in regions.     

Arbitrage opportunities,liquidity provision,and trader types in an index option market

This study examines the impact of arbitrage in put–call futures parity (PCFP) violations on option market liquidity and explores the liquidity provision process by trader type during periods of arbitrage exploitation. Using a unique data set comprising the complete history of transactions, we find that PCFP violations contain toxic arbitrage opportunities. Hence, more frequent toxic arbitrage opportunities can cause liquidity to deteriorate because arbitrageurs create adverse selection costs and order imbalances in the option market. In addition, when the law of one price breaks down, market makers dominate by providing liquidity compared with individual, domestic, and foreign institutional traders.     

Productivity Growth,Protection and Plant Entry in a Deregulating Economy: The Case of India

In this paper we study the comparative performance of Indian manufacturing industries during relatively recent periods of domestic regulation and de-regulation of plant entry. The period of de-regulation is accompanied by largely unchanging levels of import competition and higher output growth. The growth of labour and total factor productivity (TFPG) is observed to be higher during the deregulation period. We use data on 42 three-digit manufacturing industries. Our sample covers consumer, intermediate and capital good industries. We study the relationship between levels of effective protection and total factor productivity growth (TFPG). We found that increasing effective rates of protection was not associated with lower TFPG. We test the hypothesis that higher degree of trade protection induces greater entry of plants. This hypothesis is statistically supported. Our econometric estimates found a positive association between net entry and TFPG, after controlling for inter-industry differences in effective protection, asset size of plants and demand growth. Our results support the proposition that competition positively contributes to TFPG during deregulation.     

Changes in the options contract size and arbitrage opportunities

We examine the impacts of changes to the options multiplier on market efficiency by analyzing their effects on arbitrage proxies based on the performance of options spread strategies. Despite the intentions of the reforms, both decisions to raise and reduce the multiplier significantly increase the frequency and probability of arbitrage opportunities. Whereas the increment in the multiplier also deteriorates market efficiency by increasing the duration and average size of the arbitrage opportunities in a day, the decrement does not affect these proxies. Our results overall provide evidence that reforms to the options multiplier do not enhance market efficiency and suggest that retail investors are not homogeneously noisy.     

The determinants of new firm formation in italian manufacturing

This paper focuses on entry of small firms in the manufacturing industries. It is argued that the exit option can be viewed as an insurance against risks of failure, increasing the likelihood of entry in an uncertain environment; the result is implicit in recent stochastic models of competition and entry decision under uncertainty. A regression model of industry birth rates in the Italian manufacturing industries provides empirical evidence on the impact of factors determining the decision to enter and the supply of new entrepreneurs. In our estimates, yearly entry rates are found to decrease with entry costs and barriers and to increase with market growth, expected growth of small firms, risks of failure and an index of spatial concentration of activities.     

服务业自由化对制造业全要素生产率的影响

服务是一系列生产活动的必要投入,服务业自由化将对下游制造业有重要影响。基于中国银行业和制造业2003-2009年的数据,本文实证分析服务业自由化对制造业全要素生产率的影响。研究发现服务业自由化对制造业全要素生产率有显著的影响,外资企业进入、服务业私有化和服务业竞争水平的提高对制造业全要素生产率有积极作用,外资企业进入与服务业私有化相比更能促进制造业全要素生产率的提高。     

The profitability of index futures arbitrage: Evidence from bid-ask quotes

Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that contains both real-time transaction prices and bid-ask quotes; the article further examines the bias of identifying arbitrage opportunities based on transaction prices. The article finds the percentage of observations violating no-arbitrage bounds is significantly reduced when bid-ask quotes are employed instead of transaction prices. This suggests studies that implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. This article finds a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid-ask spreads in the futures and options markets. This phenomenon indicates that a larger mispricing, which may arise when the bid-ask spread is wider, does not necessarily imply profitable arbitrage opportunity. © 1998 John Wiley & Sons, Inc. Jrl Fut Mark 18:743–763, 1998     

指数期货套利交易策略设计

在期货市场上 ,指数期货是一种股票的避险工具。由于时间及其它因素 ,使得指数期货市场发生不平衡的现象 ,此一不平衡我们称之为套利空间。如何运用金融工程和信息技术来计算出其套利空间 ,为投资人赢得更多的利润 ,正是本研究的宗旨。本文针对指数期货的特性来寻找实时套利机会 ,明确地指出了买低卖高的方向及套利空间的大小 ,并给投资者设计了指数期货套利的交易策略。     

A Comparison of Clustering Dynamics in the British Broadcasting and Financial Services Industries

This paper compares patterns of industrial clustering in the British broadcasting and financial services industries. Recent trends of deregulation, rapid technological change, and globalization in both industries suggest the significant and increasing importance of clustering effects. This study examines the evidence. It investigates the effects of cluster strength on the growth of the firm and on rates of surviving entry. We find positive, large, and statistically significant clustering effects. In both industries: (a) incumbent firms located in a cluster that is strong in their own sub-sector of their industry tend to grow faster than average; and, (b) new firms are attracted by industry strength in certain sub-sectors in a particular region. The results for these largely mature service industries are very similar to those observed in earlier studies that have examined clustering patterns in newer high technology manufacturing industries.     

中国概念股指期货跨市场套利研究——基于沪深300指数、H股指数、新华富时A50指数期货的实证分析

针对沪深300指数、H股指数、新华富时A50指数期货,给出确定投资比例、选择投资时机及度量投资风险的方法,对中国概念股指期货的跨市场套利机会进行研究,结论显示:中国沪深300股票指数与周边市场的中国概念股票指数之间存在着普遍关联性,并且这种关联性可以转化为套利机会。实证结果表明:当1:0.836546作为A50股指期货与H股股指期货的持仓比时,可以得到最优套利结果。     

加入WTO对东北地区粮食产业发展的影响及对策

加入WTO ,给我国很多产业带来跳跃性发展的机遇 ,但对粮食产业而言 ,挑战远远大于机遇 ;东北地区作为我国粮食生产的主产区和集散地 ,其今后的发展影响着东亚甚至世界粮食贸易格局的形成 ,也决定了能否为我国的粮食安全提供有效的保障。