The bond event study methodology since 1974

In the spirit of methodology reviews for stock event studies, like the one prepared by Binder (Rev Quant Financ Account 11:111–137, 1998), this paper discusses the development of the event study methodology for corporate bonds since its first application with Katz (J Financ 29:551–559, 1974). The motivation to conduct this review stems from two sources: First, the methodology utilized for stocks cannot simply be applied to bonds, as bonds present several features that strongly distinguish them from stocks. An erroneous model could lead to false conclusions about the impact of new information on a firm’s debt. Second, the availability of new sources for bond data enables the application of bond event studies for an increasing number of research frameworks. Thus, future research ought to be interested in the selection of the proper methodology. Consequently, this paper illustrates past and present event study methods utilized to calculate abnormal bond returns and reviews the applied parametric and non-parametric test statistics. Besides, insight on how the availability of corporate bond data has evolved through the last four decades, as well as the impact on prevailing methodology is provided. Altogether, this paper provides a first extensive snapshot of the current bond event study methodology and offers guidance for future research.     

On the multiplicity of option prices under CEV with positive elasticity of variance

The discounted stock price under the Constant Elasticity of Variance model is not a martingale when the elasticity of variance is positive. Two expressions for the European call price then arise, namely the price for which put-call parity holds and the price that represents the lowest cost of replicating the call option’s payoffs. The greeks of European put and call prices are derived and it is shown that the greeks of the risk-neutral call can substantially differ from standard results. For instance, the relation between the call price and variance may become non-monotonic. Such unfamiliar behavior then might yield option-based tests for the potential presence of a bubble in the underlying stock price.     

ANFA — National Money Creation as an Existential Threat to the Currency Union?

The recent publication of the previously secret Agreement on Net Financial Assets (ANFA) directed the public’s attention to the possibility that national central banks could create money through purchases of securities on their own account. This paper provides an overview of the legal foundations for ANFA and shows the varying extent to which the member countries use these regulations. What are the interests, risks and consequences for the countries in crisis and the currency union as a whole? Is the ECB properly monitoring ANFA purchases? Could money creation via ANFA act as an explosive device for the currency union?     

ANFA – nationale Geldschöpfung als Sprengsatz für die Währungsunion?

The so called ANFA secret protocol brought to the public’s attention the previously only little noticed opportunity for national central banks of individual Eurozone members to create money through purchases of securities at their own expense. The ANFA financial assets amount to the significant share of 51% (gross) or rather 18% (net) of the Eurosystem’s balance sheet total and 41% of its total liquidity, thereby jeopardising the principle that the communities of the emitting and the money accepting countries should be congruent, which is seen as a stability condition for currency unions. There is a danger that the money creation via ANFA acts as an explosive device for the currency union. It is therefore necessary to clearly limit the own funds portfolio in order to restore the community of money emission.     

Organizational practice transfer within a transnational professional service firm: the role of leadership and control

Most cross-border organizational practice transfer involves implementation challenges, yet key literature in this field largely overlooks the mediating role of the transfer coalition, which serves as a ‘bridge’ between headquarters and subsidiaries in transferring an organizational practice. By exploring an in-depth case study of a top-tier professional service firm, this study contributes to the literature on cross-border human resource management practice transfer. We show that the transfer coalition displayed activities that translated into two separate managerial roles – transfer leadership and control – that were practiced with quite different levels of commitment by different members and impacted the successful management of the transfer process. We propose two distinctive transfer coalition archetypes – the entrepreneurial and the ceremonial type – where the leadership and control roles were practiced quite differently and reached different levels of organizational practice adoption. Furthermore, we suggest practical implications for HR professionals in order to improve global leadership and control competence.     

Audit Market Segmentation – The Impact of Mid-tier Firms on Competition

This analysis’ goal is to characterise the impact of mid-tier auditors on competition and average supplied audit quality. The major result of our analysis is the following: Auditors’ flexibilities with respect to clients’ complexity determine the offered audit quality levels and thus the average supplied audit quality. Defining a model-endogenous quality measure, we show that for some instances the mid-tier auditor improves average audit quality, but for other instances fails to do so. The result could be of special interest for standard setters, for example, the European Commission, which is currently revising EU audit regulation. Further, the analysis may serve as an instrument to analyse economic consequences of future changes of regulation.     

Econometrics with Octave

GNU Octave is an open‐source implementation of a (mostly Matlab compatible) high‐level language for numerical computations. This review briefly introduces Octave, discusses applications of Octave in an econometric context, and illustrates how to extend Octave with user‐supplied C++ code. Several examples are provided. Copyright © 2000 John Wiley & Sons, Ltd.     

Resentful and religious: How religiosity can mitigate the detrimental effects of workplace embitterment on helping behaviors

This study aims to establish how employees' experiences of workplace embitterment may direct them away from voluntary efforts to help coworkers, mediated by emotional exhaustion and moderated by religiosity. Three rounds of survey data, collected from employees and their supervisors in various Pakistani organizations, reveal that a sense of being emotionally overburdened by work links rancorous feelings due to negative work events with tarnished helping behavior, mitigated by employees' ability to draw on their religious faith. As an original contribution, this research addresses the effect of an actually felt negative emotion (workplace embitterment), instead of a source of emotional hardship, on employees' propensity to halt extra-role work efforts; it also describes how the personal resource of religiosity influences this process.