Influence of hospital context on cost and length of stay following cardiac catheterization

This study attempted to link health care activities and outcomes, taking into account characteristics of the health care system, the work group, and the individual. Results indicated that organizational structure and work group process had a greater influence on cost and derived length of stay (a measure of efficiency) than did the individual-level variables. The findings of this study add to the body of knowledge that explains how the processes of nurses' work influence the outcomes of that work.     

Bivariate normal mixture spread option valuation

We discuss the pricing and hedging of European spread options on correlated assets when the marginal distribution of each asset return is assumed to be a mixture of normal distributions. Being a straightforward two-dimensional generalization of a normal mixture diffusion model, the prices and hedge ratios have a firm behavioural and theoretical foundation. In this ‘bivariate normal mixture’ (BNM) model no-arbitrage option values are just weighted sums of different ‘2GBM’ option values that are based on the assumption of two correlated lognormal diffusions, and likewise for their sensitivities. The main advantage of this approach is that BNM option values are consistent with both volatility smiles and with the implied correlation ‘frown’. No other ‘frown consistent’ spread option valuation model has such straightforward implementation. We apply analytic approximations to compare BNM valuations of European spread options with those based on the 2GBM assumption and explain the differences between the two as a weighted sum of six second-order 2GBM sensitivities. We also examine BNM option sensitivities, finding that these, like the option values, can sometimes differ substantially from those obtained under the 2GBM model. Finally, we show how the correlation frown that is implied by the BNM model is affected as we change (a) the correlation structure and (b) the tail probabilities in the joint density of the asset returns.     

The publishing performance of U.S. economics departments in industrial economics

The publication records (1980–1986) of U.S. Ph.D.-granting economics departments are used to rank departments in industrial economics. Princeton, Cal Tech, Harvard, Yale, and Northwestern demonstrate the strongest and most consistent publishing performances. Also examined are the departmental publication records in each of the 16 subfields of industrial economics and the publication records of the leading individual researchers. The results indicate that the overall reputation of a department does not always reflect faculty strength in industrial economics.     

Brand personality: Exploring the potential to move from factor analytical to circumplex models

With the proliferation of products and brands in the marketplace, brand personality has emerged as an important means of brand differentiation and thus of increasing consumer preference. However, little research has investigated this important construct, with the significant exceptions of Aaker's (1997) work, which is based on a factoranalytical approach. In response to the limitations of the factor approach to brand personality, this study explores the potential for advancing understanding of brand personality through a circumplex model derived from the fields of social and personality psychology and interpersonal psychiatry. The model is based on relationships between interpersonal personality traits or emotions and can assist academics and practitioners in understanding the brand personality concept. © 2006 Wiley Periodicals, Inc.     

Corporate plant location under uncertainty: Divergence between the interests of ownership and management

This paper expands current knowledge of location decision-making under uncertainty by analyzing instances where the corporate goal of profit maximization diverges from the managerial decision-maker's goal of maximizing personal profit. With illustrations based on alternative decision-making criteria, the paper demonstrates that a corporate manager acting in his own self interest may select a plant site that does not maximize corporate profits. The trend for US corporations to select suburban locations, despite the cost advantages of older urban areas, is illustrative of this divergence between the objectives of ownership and management.     

Econometric modeling of urban and other substate areas: An analysis of alternative methodologies

Questions raised by J.R. Meyer and J.W. Millimar on the appropriate level of sophistication in regional econometric models are addressed by comparing the modeling methodologies for each of six diverse substate areas. The methodologies range from aggregated recursive structures driven by an ARIMA time-series model of export-base employment to highly detailed simultaneous equation models. It is found that recursive model accuracy is relatively insensitive to forecast accuracy of the model-driving variable and simultaneous models are more accurate than recursive ones, but relative accuracies of aggregated and detailed simultaneous models are less clear. Population and personal income estimates are improved by disaggregation, but with respect to employment, there is a trade-off in model structure between average employment prediction accuracy over a number of time periods and turning point prediction accuracy.     

Robustness and Pricing with Uncertain Growth

We study how decision-makers' concerns about robustness affectprices and quantities in a stochastic growth model. In the modeleconomy, growth rates in technology are altered by infrequentlarge shocks and continuous small shocks. An investor observesmovements in the technology level but cannot perfectly distinguishtheir sources. Instead the investor solves a signal extractionproblem. We depart from most of the macroeconomics and financeliterature by presuming that the investor treats the specificationof technology evolution as an approximation. To promote a decisionrule that is robust to model misspecification, an investor actsas if a malevolent player threatens to perturb the actual data-generatingprocess relative to his approximating model. We study how aconcern about robustness alters asset prices. We show that thedynamic evolution of the risk-return trade-off is dominatedby movements in the growth-state probabilities and that theevolution of the dividend-price ratio is driven primarily bythe capital-technology ratio.     

Model-free hedge ratios and scale-invariant models

A price process is scale-invariant if and only if the returns distribution is independent of the price measurement scale. We show that most stochastic processes used for pricing options on financial assets have this property and that many models not previously recognised as scale-invariant are indeed so. We also prove that price hedge ratios for a wide class of contingent claims under a wide class of pricing models are model-free. In particular, previous results on model-free price hedge ratios of vanilla options based on scale-invariant models are extended to any contingent claim with homogeneous pay-off, including complex, path-dependent options. However, model-free hedge ratios only have the minimum variance property in scale-invariant stochastic volatility models when price–volatility correlation is zero. In other stochastic volatility models and in scale-invariant local volatility models, model-free hedge ratios are not minimum variance ratios and our empirical results demonstrate that they are less efficient than minimum variance hedge ratios.