A Bayesian approach to misclassified binary response: female employment and intimate partner violence in urban India

We examine the effect of female employment on the odds of physical spousal violence using a Bayesian misclassification model combined with propensity score regression estimation. While a classical propensity score model finds a significant violence-provoking effect of female employment, our model finds no evidence of a significant effect. This suggests that misleading inferences are caused by falsely small standard errors in a model that does not account for uncertainties around propensity scores. Further, we confirm our misclassification model as a preferred specification using Deviance Information Criterion (DIC).     

How Attitudes Toward Product Categories Drive Individual Brand Attitudes and Choice

Three experiments examine the role of attitudes toward the category to which a brand belongs in consumers’ attitudes toward individual brands. The core findings indicate that what consumers think generally about a category affects their evaluations of singular brands belonging to the category. Study 1 demonstrates that both consumers’ attitudes toward a category as well as their relative attitudes toward a brand versus intracategory competitors drive overall attitudes toward individual brands. Study 2 shows that manipulating attitudes toward a product category affects attitudes toward, and purchase intention of, individual brands belonging to that category. Study 3 demonstrates that more versus less favorably evaluated categories are more likely to exhibit brand positivity effects in judgments of singular brands. The results suggest the practical importance of measuring attitudes toward product categories, as well as the utility of marketing interventions aimed at the category level.     

The Impact of Earnings Guidance Cessation on Information Asymmetry

This paper studies the impact of quarterly earnings guidance cessation on information asymmetry using a large sample of firms during the years 2002–11. After earnings guidance cessation, information asymmetry may increase because less information is provided to the market. Alternatively, information asymmetry may decrease if managers have less pressure to manage reported earnings to meet guidance numbers. Our study shows guidance cessation significantly reduces information asymmetry compared to matched non‐guiders and guidance maintainers. We also find that firms engage in less earnings management after guidance cessation, especially for firms that had provided guidance on a persistent basis.     

Audit Hours and Unit Audit Price of Industry Specialist Auditors: Evidence from Korea

Higher audit fees associated with auditor industry specialization could represent higher unit price charged by industry specialist auditors (ISAs) or the provision of a greater quantity of audit services. This study exploits a field setting in Korea, where the disclosure of audit hours is required in company annual reports, and finds that ISAs charge significantly higher total audit fees but also expend significantly greater audit hours than non‐ISAs. When audit fees and hours are considered together, the unit audit price of ISAs is significantly lower than that of non‐ISAs. This indicates that higher total audit fees associated with ISAs are likely to be attributable to greater audit hours associated with ISAs. However, greater audit hours for ISAs may suggest higher audit quality or may simply indicate that the additional audit work performed by ISAs is conducted by relatively cheaper junior auditors. Our work provides an alternative explanation for the higher total audit fees documented in the previous studies.     

Index options open interest and stock market returns

This study finds that the growth of index options open interest has a significant relation with future stock market returns. We propose a theoretical model that considers hedgers and informed traders in the options market and suggests that hedgers fully utilize options according to their expectations of future stock returns. The empirical results show that the growth of out-of-the-money call options open interest is significantly related with future stock market returns. These findings provide supporting evidence for our theoretical model.     

成功并购的四步流程

成功摆脱并购的危险困境,正逐渐成为进军亚太金融服务利基市场的全新课题我们与客户一起工作时发现,成功的并购交易, 在甄别、评估和整合潜在目标公司以显著增加成功机会方面,都遵守四步流程。     

Bootstrapping cointegrating regressions

In this paper, we consider bootstrapping cointegrating regressions. It is shown that the method of bootstrap, if properly implemented, generally yields consistent estimators and test statistics for cointegrating regressions. For the cointegrating regression models driven by general linear processes, we employ the sieve bootstrap based on the approximated finite-order vector autoregressions for the regression errors and the first differences of the regressors. In particular, we establish the bootstrap consistency for OLS method. The bootstrap method can thus be used to correct for the finite sample bias of the OLS estimator and to approximate the asymptotic critical values of the OLS-based test statistics in general cointegrating regressions. The bootstrap OLS procedure, however, is not efficient. For the efficient estimation and hypothesis testing, we consider the procedure proposed by Saikkonen [1991. Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1–21] and Stock and Watson [1993. A simple estimator of cointegrating vectors in higher order integrating systems. Econometrica 61, 783–820] relying on the regression augmented with the leads and lags of differenced regressors. The bootstrap versions of their procedures are shown to be consistent, and can be used to do asymptotically valid inferences. A Monte Carlo study is conducted to investigate the finite sample performances of the proposed bootstrap methods.     

What is the correct meaning of implied volatility?

This paper presents a closed-form solution for the valuation of European options under the assumption that the excess returns of an underlying asset follow a diffusion process. In light of our model, the implied volatility computed from the Black–Scholes formula should be viewed as the volatility of excess returns rather than as the volatility of gross returns. Using the SPX and the OMX options data, we test whether implied volatility obtained from Black-Scholes option price explains the volatilities of excess returns better than gross returns, even though the result is not statistically significant.