Bias of a Value-at-Risk estimator

We develop the analytical second-order bias of a Value-at-Risk estimator based on an ARCH(1) volatility specification when the parameters are estimated by the method of quasi maximum likelihood. We show that the bias results from two sources: assumption on the distribution of the standardized residuals and the parameter estimation error.     

Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator

Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be further improved. First, we extend MY’s estimator to the multivariate case, and also establish the asymptotic theorem for the slope estimators; second, we propose a more efficient two-step estimator for nonparametric regression function with general parametric error covariance, and develop the corresponding asymptotic theorems. Monte Carlo study shows the relative efficiency loss of MY’s estimator in comparison with our estimator in nonparametric regression with either AR(2) errors or heteroskedastic errors. Finally, in an empirical study we apply the proposed estimator to estimate the public capital productivity to illustrate its performance in a real data setting.     

Impact of employees’ perceived threat of market competition on unethical marketing and selling practices: Moral disengagement and ethical leadership

This study draws on the social cognitive theory to examine the effect of perceived market competition on employees’ unethical marketing and selling practices. The boundary conditions associated with this relationship were examined, and we posit that perceived market competition is related to unethical marketing and selling practices through the mediating mechanism of moral disengagement. We further propose that ethical leadership moderates the relationship between the perceived threat of market competition, moral disengagement, and tendency toward unethical marketing and selling practices. We tested our hypotheses with a sample of 387 employees working in the banking sector in Pakistan. Our results suggest that moral disengagement had a full mediation effect between the perceived threat of market competition and tendency of employees toward unethical marketing and selling practices. Moreover, ethical leadership moderated the relationship between moral disengagement and the tendency of employees toward unethical marketing practices. The research findings indicate that when field employees encounter threat perceptions due to market competition, they have a propensity toward engaging in unethical marketing and selling practices when they can activate moral disengagement. This study also found that ethical leadership negatively moderates the relationship of moral disengagement with employees’ tendency toward unethical marketing and selling practices.     

Households’ participation in and expenditure on recreation and tourism in Pakistan

We employ Heckman selection models and Probit, OLS techniques to estimate the effect of socio-economic factors on household participation in and expenditure on recreation and tourism in Pakistan. Results show that income, education, region and women’s empowerment increase the probability of households in participation in on recreational and tourism while the number of adults and children in the households decreases probability. Similarly, household income and age of the household head positively but the number of adults and children negatively affect households’ expenditure on tourism. Strategies and policies in favor of low income and large families’ participation in tourism are recommended.     

Chief executive officer attributes,sustainable performance,environmental performance,and environmental reporting: New insights from upper echelons perspective

This study examines the impact of chief executive officer (CEO) attributes on sustainable performance, environmental performance, and environmental reporting, which are motivated by institutionally driven environmental policies, regulations, and management in the context of Chinese listed firms. With the use of a comprehensive dataset of 2,854 Chinese listed firms over the 2010–2017 period (i.e., making over 16,000 individual firm‐year observations), our findings are fourfold. First, our overall findings reveal that CEOs with research background tend to engage more in activities that improve sustainable performance, environmental performance, and environmental reporting than do those without research background. Second, CEOs with financial expertise are positively linked with increased sustainable performance and environmental reporting. Third, CEOs with foreign exposure are more eager to engage in activities that enhance sustainable and environmental performance than do those without foreign exposure. Fourth, young CEOs tend to take actions that reduce both sustainable and environmental performance than do their older counterparts. We interpret our results within upper echelons theoretical perspective. The results are robust to alternative measures, potential endogeneities, and sample selection problems.     

Do product reviews really reduce search costs?

The literature on online product reviews is based on the fundamental premise that reviews impact search costs and also affect consumers’ confidence in their purchase decisions. However, this proposition has not been proven in the literature. To this end, we conducted an experiment using an eye-tracking machine to measure the impact of online editorial and customer reviews on consumer’s information search costs and on decision confidence. Search costs in this study are defined in terms of time costs and cognitive effort costs. We find that when present, both editorial reviews and customer reviews separately reduce both search time and cognitive effort considerably, but not when present together. We also find that the presence of both types of reviews increases decision confidence considerably, but do not lower search costs. These results suggest that ecommerce firms can benefit from the presence of either or both editorial and customer reviews through either lower search costs, or higher decision confidence. We conclude with several managerial recommendations for ecommerce firms.     

Violators versus non-violators of information security measures in organizations—A study of distinguishing factors

The present study analyzes the elements that differentiate violators from non-violators of information security measures. Various elements are derived from established theories and models such as general deterrence theory, theory of planned behavior, theory of reasoned action, protection motivation theory, and social cognitive theory. To examine these factors, the data are gathered through an online study conducted in a Midwestern University, USA. The data are collected using questionnaires, and after scrutiny, 195 questionnaires are selected for final analysis. This data are analyzed using second-level statistical techniques, such as chi-square analysis and ANOVA. Results reveal that violators and non-violators of information security measures differ significantly with respect to many factors. These factors include perceived privacy, subjective norms, perceived information security policy (ISP) scope, perceived severity of penalty, perceived celerity of penalty, management support, organizational security culture, and perceived organizational IT capability. The non-significant factors are trust and work load. Implications for practitioners and researchers are provided.     

Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation

We use quantile regression to investigate the short‐term return‐volatility relation between stock index returns and changes in implied volatility index. Neither the leverage hypothesis nor the volatility feedback hypothesis effectively explains the asymmetric return‐volatility relation. Instead, behavioral explanations, such as the affect and representativeness heuristics, are supported by our results, particularly in the short‐term; the affect heuristic plays an important role. Moreover, in the context of an extreme volatility change distribution, the affect heuristic and time‐pressure dominate. Thus, we observe strong negative and asymmetric relations between each volatility index and its corresponding stock market index. The asymmetry increases monotonically from the median quantile to the uppermost quantile (i.e., 95%); therefore, ordinary least squares (OLS) regression underestimates this relation at upper quantiles. Additionally, the VIX presents the highest asymmetric return‐volatility relation, followed by the VSTOXX, VDAX, and VXN. Finally, the observed asymmetry is more pronounced with the new volatility index measure than with the old, at‐the‐money volatility index measure. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:235–265, 2013