Predicting the equity market with option-implied variables

We comprehensively analyze the predictive power of several option-implied variables for monthly S&P 500 excess returns and realized variance. The correlation risk premium (CRP) and the variance risk premium (VRP) emerge as strong predictors of both excess returns and realized variance. This is true both in- and out-of-sample. Our results also reveal that statistical evidence of predictability does not necessarily lead to economic gains. However, a timing strategy based on the CRP leads to utility gains of more than 5.03% per annum. Forecast combinations provide stable forecasts for both excess returns and realized variance, and add economic value.     

Search,learning, and tracking

In many search markets, some consumers search to learn both the price and their willingness-to-pay whereas others search only to learn prices. When a seller can track indicators of the likelihood that consumers already know their willingness-to-pay, I show that price discrimination reduces profits and welfare relative to uniform pricing if search costs are small, but may increase both if search costs are large. The analysis also applies to sequential search if learning causes the likelihood that consumers know their willingness-to-pay to depend on the search history.     

Opacity in bargaining over public good provision

We consider ultimatum bargaining over the provision of a public good. Offer-maker and responder can delegate their decisions to agents whose actual decision rules are opaque. We show that the responder will benefit from strategic opacity, even with bilateral delegation. The incomplete information created by strategic opacity choices does not lead to inefficient negotiation failure in equilibrium. Inefficiencies arise from an inefficient provision level. While an agreement will always be reached, the public good provision will fall short of the socially desirable level. Compared with unilateral delegation, bilateral delegation is never worse from a welfare perspective.     

The moderating effect of management behavior for Lean and process improvement

It is commonly agreed that the success of Lean management is not only determined by its technical practices, but also by the so-called soft practices such as behavior and actions of employees and management. Lean Management behavior is in itself paradoxical in nature as it incorporates technical aspects (e.g., fact-based management, analysis and adhering to the standard operating procedures for sake of efficiency) and social, follower-related aspects (e.g., promotion of employee responsibility to continuously improve their work processes). In this paper, we investigate the (moderating) effect of some important Lean related management actions on the relationship between Lean and the level of process improvement: i) envisioning and communicating the meaning of Lean, ii) setting goals and active steering on improvement performance metrics and ii) encouraging continuous improvement. Survey data of 178 responses from Dutch organizations, shows that these management actions have a positive effect on both Lean and the level of process improvement. In addition, active steering on performance improvement has a reinforcing effect on the relationship between Lean and process improvement. For respondents with a low level of steering on performance improvement Lean does not lead to process improvement, while it does for respondents with average and high levels of steering on performance improvement. The more management operates on performance improvement, the more Lean will result in a higher level of process improvement.     

Futures basis,inventory and commodity price volatility: An empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.     

When innovation in education works: stimulating teachers' innovative work behaviour

The twenty‐first century labour market requires employees that proactively shape innovations and solve complex problems. Professionals in the education sector are expected to perform innovative behaviour that not only entails the generation, but also the realization and sustainable implementation of new ideas. In a sample of 458 employees in Dutch secondary and higher vocational education (abbreviated in Dutch to MBO and HBO, respectively), this study investigated the relation between environmental factors (namely task variety, management support and exposure to innovation) and Innovative Work Behaviour (IWB) across the different phases of the innovation process, including a sustainability phase. Results of hierarchical regression analyses showed that management support and exposure to innovations served as a predictor for all phases of IWB. Teachers with supportive managers and a high degree of exposure to innovations showed higher scores on innovative behaviour across all phases. Linear regressions revealed a significant relationship between task variety and IWB. In the hierarchical model, only management suport and exposure to innovations showed significant relations. Background characteristics, such as gender, age, tenure, number of working hours and type of education, for which we controlled during the analyses, played a role in how much IWB is displayed. It can be concluded that a work environment, in which employees are exposed to innovation and are supported is crucial. Additionally, in view of the role background characteristics play, it is recommended to select teachers with specific profiles for the different phases of the innovation process.     

How do leaders' perceptions of organizational health climate shape employee exhaustion and engagement? Toward a cascading-effects model

Although researchers and practitioners increasingly focus on health promotion in organizations, research has been mainly fragmented and fails to integrate different organizational levels in terms of their effects on employee health. Drawing on organizational climate and social identity research, we present a cascading model of organizational health climate and demonstrate how and when leaders' perceptions of organizational health climate are linked to employee well-being. We tested our model in two multisource studies (N_{Study 1} = 65 leaders and 291 employees; N_{Study 2} = 401 leader–employee dyads). Results showed that leaders' perceptions of organizational health climate were positively related to their health mindsets (i.e., their health awareness). These in turn were positively associated with their health-promoting leadership behavior, which ultimately went along with better employee well-being. Additionally, in Study 1, the relationship between perceived organizational health climate and leaders' health mindsets was moderated by their organizational identification. High leader identification strengthened the relationship between perceived organizational health climate and leaders' health mindsets. These findings have important implications for theory and practice as they show how the dynamics of an organizational health climate can unfold in organizations and how it is related to employee well-being via the novel concept of health-promoting leadership.     

Trade openness,FDI, and income inequality: Evidence from sub‐Saharan Africa

The motivation for this study stems from the United Nations Sustainable Development Goals (UN‐SDGs) and their impact by 2030. The UN highlights 17 SDGs that address pertinent local and global issues, one of which—SDG‐10—has been devoted to reducing inequality. This study investigates the nexus between trade openness, foreign direct investment (FDI), and income inequality in sub‐Saharan Africa using panel data from 2000 to 2015 and the generalized method of moment (GMM) technique approach. The findings show that FDI and income have a negative, statistically significant relationship with income inequality, signifying that as FDI and income per capita increase, the level of income inequality decreases. However, trade openness, education, political stability, corruption, and rule of law have a positive, statistically significant relationship with inequality. This study, therefore, offers some recommendations that will help policymakers. First, develop good policies to attract more foreign investors, which will contribute to creating employment opportunities in the region. Second, create more infrastructures to provide good quality education. Third, implement a good policy to motivate local production which will contribute to creating jobs. Fourth, build a strong institution(s) to fight against corruption.     

Patterns of vertical specialisation in trade: long-run evidence for 91 countries

Review of World Economics - The authors estimate the domestic value-added content in exports of manufacturing goods (VAX-D ratio) for 91 countries over the period from 1970 to 2013. They find a...     

A theory of social license when regulatory pressure is jointly produced by an EPA and an NGO

We develop a model in which social pressure on a firm to behave well is jointly produced by a state regulator (EPA) and an NGO. The EPA and NGO differ in how they trade-off business versus environmental interests and also have access to different instruments in pursuit of their objectives. In particular, while the EPA will typically have the tools for detecting misbehaviour, the NGO can influence the intensity of social hostility directed towards those found to have misbehaved. EPA and NGO efforts may be strategic complements or substitutes, depending upon circumstances. We present a taxonomy of outcomes in the game between EPA and NGO in the spirit of Fudenberg and Tiroles’s (Am Econ Rev Pap Proc 74(2):361–366, 1984) classic taxonomy of business strategies. We also consider strategic delegation from NGO supporters to an NGO that has tastes over environmental and business interests different to their own.