General stopping behaviors of naïve and noncommitted sophisticated agents,with application to probability distortion

We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time‐inconsistent. We study stopping decisions of naïve agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over their future selves' behaviors. When the state process is one dimensional and the payoff functional satisfies some regularity conditions, we prove that any equilibrium can be obtained as a fixed point of an operator. This operator represents strategic reasoning that takes the future selves' behaviors into account. We then apply the general results to the case when the agents distort probability and the diffusion process is a geometric Brownian motion. The problem is inherently time‐inconsistent as the level of distortion of a same event changes over time. We show how the strategic reasoning may turn a naïve agent into a sophisticated one. Moreover, we derive stopping strategies of the two types of agent for various parameter specifications of the problem, illustrating rich behaviors beyond the extreme ones such as “never‐stopping” or “never‐starting.”     

Measuring the Impact of Doi Moi on Vietnam's Gross Domestic Product

In 1986 a wide range of policy measures, known as Doi Moi, was introduced to promote Vietnam's transition to a market economy. This paper represents the first attempt to measure the effect of Doi Moi on Vietnam's GDP. In the paper the level of GDP actually reached is compared with the level that would have been reached had the policy not been implemented, i.e. without the improvements in productivity and the increases in investment ratio that can be directly attributed to Doi Moi. Cross-time changes in GDP were depicted by a production function of capital stock, economically active labour force and technical progress. It was found that, after a time lag, Doi Moi appeared to have a significant positive effect on productivity, which by 1998 accounted for a 42% increase in GDP.     

Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks

We suggest that an unexpected volatility shock is an important risk factor to induce the intertemporal relation, and the conflicting findings on the relation could be attributable to an omitting variable bias resulting from ignoring the effect of an unexpected volatility shock on the relation. With the effect of an unexpected volatility shock incorporated in estimation, we find a strong positive intertemporal relation for the US monthly excess returns for 1926:12–2008:12. We also find a significant link between the asymmetric mean-reversion and the intertemporal relation in that the quicker reversion of negative returns is attributed to the negative intertemporal relation under a prior negative return shock.     

Information diffusion and value redistribution among transaction partners of the IPO firm

This paper examines the diffusion of information around the initial public offering (IPO) process and identifies transaction partners on which IPO firms are dependent. Using a resource payments perspective, we argue that this dependence will lead to greater cumulative abnormal stock returns for transaction partners when this information is revealed in the market (when the initial form S‐1 is filed with the SEC). Moreover, we examine the uniqueness of the resource configuration between the IPO firm and transaction partners and find that greater uniqueness is associated with higher valuation for these transaction partners. We also find that multiple dependencies (by the IPO firm) reduce the valuation effect for transaction partners, indicating that a bargaining effect reduces the potential value that any transaction partner can appropriate. Copyright © 2013 John Wiley & Sons, Ltd.     

Asymmetric information and corporate derivatives use

We investigate the relationship between derivatives use and the extent of asymmetric information faced by the firm. Using alternative analyst forecast proxies for asymmetric information, we find evidence that both the use of derivatives and the extent of derivatives usage is associated with lower asymmetric information. Specifically, for firms using derivatives (notably currency derivatives) we find that analysts' earnings forecasts have significantly greater accuracy and lower dispersion. These findings support the conjectures of DeMarzo and Duffie (1995) and Breeden and Viswanathan (1998) who argue that hedging reduces noise related to exogenous factors and hence decreases the level of asymmetric information regarding a firm's earnings. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 241–267, 2002     

Do futures‐based strategies enhance dynamic portfolio insurance?

In this paper we investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The investigation is conducted on the Australian market, over a sample period of 59 non‐overlapping quarters from December 1987 to December 2002. Its main contribution is to provide a comprehensive assessment of the two approaches under different market conditions, and the testing of ex ante information as an input into the trading program. The major finding is that the futures‐based implementation of both synthetic put and the CPPI approach is robust to both tranquil and turbulent market conditions in preserving the desired floor. The fact that this conclusion includes the case of employing implied volatility (obtained from the options market) is highly encouraging as it suggests high implementability of the strategy. Notably, the risk‐return tradeoff shows that portfolio insurance using this volatility measure yields a return that is 64 basis points over the risk free investment. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:591–608, 2004     

Trend in aggregate idiosyncratic volatility

We suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate that as more (less) stocks are listed in the markets, price interaction among stocks increases (decreases), and hence stocks, on average, become more (less) volatile. Our results show that price interaction has a significant positive effect of idiosyncratic volatility. The results of various robustness checks indicate that the effect of price interaction is still significant to the presence of liquidity, newly listed firms, cash flow variables, business cycle variables, and market volatility. Once the price interaction effect is taken into account, no trend remains in idiosyncratic volatility. We conclude that there is no trend, but a reflection of the positive effect of price interaction on idiosyncratic volatility.     

Effects of hospital leadership,organizational systems,and ESWOS on medical error reduction

One of the major elements of care quality provided by health care organizations is the reduction of medical errors. This study empirically examines the effect of leadership, organizational systems, and employee satisfaction with organizational support on medical error reduction. A set of hypotheses is tested based on data collected from 208 medical staff of hospitals with more than 300 beds in South Korea. Data were analyzed by confirmatory factor analysis and path analysis using SPSS 17.0 and Mplus 5.1. One of the major findings of this study was that medical error reduction could be achieved by effective leadership. Leadership and operational efficiency drive reduction in medical errors in the health care industry. The comparison between large- and small-sized quality assurance teams’ roles indicated that there was a significant difference in their effect on medical error reduction. The results of the study shed light on some practical implications for management professionals in hospitals.     

Economic evaluation of rituximab in addition to standard of care chemotherapy for adult patients with acute lymphoblastic leukemia

Aims: Acute lymphoblastic leukemia (ALL) is an aggressive form of leukemia with a poor prognosis in adult patients. The addition of the monoclonal antibody rituximab to standard chemotherapy has been shown to improve survival in adults with ALL. However, it is unknown whether the addition of rituximab is cost-effective. The objective was to determine the economic impact of rituximab in addition to standard of care (SOC) chemotherapy vs SOC alone in newly-diagnosed Philadelphia chromosome-negative, CD20-positive, B-cell precursor ALL.

Methods: A decision analytic model was constructed, based upon the Canadian healthcare system. It included the following health states over a lifetime horizon (max ≈60 years): event-free survival (EFS), relapsed/resistant disease, cure, and death. SOC was either hyper-CVAD or the Dana Farber Cancer Institute (DFCI) ALL consortium. EFS, overall survival, and serious adverse event (SAE) rates were derived from a large randomized controlled trial. Costs of the model included: first-line treatment and administration, disease management, second-line and third-line treatment and administration, palliative care, and SAE-related treatments. Inputs were sourced from provincial and national public data, the literature, and cancer agency input.

Results: Quality-adjusted life-years (QALYs) increased by 2.20 QALYs with rituximab in addition to SOC. The resulting mean Incremental Cost-Effectiveness Ratio (ICER) was C$21,828/QALY. At a willingness-to-pay threshold of C$100,000/QALY, the probability of being cost-effective was 98%. Decision outcomes were robust to the probabilistic and deterministic sensitivity analyses, including the SOC backbone as either hyper-CVAD or DFCI.

Limitations: The results of this analysis are limited by generalizability of the chemotherapy backbone to Canadian practice.

Conclusions: For adults with ALL, rituximab in addition to SOC was found to be a cost-effective intervention, compared to SOC alone. The addition of rituximab is associated with increased life years and increased QALYs at a reasonable incremental cost.     

Collective Dynamics of Citizenship Behaviour: What Group Characteristics Promote Group‐Level Helping?

A basic tenet of research on organizational citizenship behaviour (OCB) is that OCB aggregated across individuals improves organizational performance. Departing from the typical focus on individual-level OCB, the construct of group-level OCB (GOCB) recently emerged as a critical group function that affects various group effectiveness measures. Despite the clear link between GOCB and team performance, the existing literature provides a limited understanding with regard to the antecedents of GOCB, mostly focusing on leadership variables. Establishing helping behaviour (a core dimension of OCB) as a collective construct, this study substantially expands the antecedents of group-level helping, and empirically tests their effects using three different operationalizations of group-level helping. The results, based on a sample of 96 work units, show that membership diversity in gender and education decreased group-level helping, whereas diversity in tenure increased it. Group-level helping was also positively related to leadership characteristics (supportive unit manager, transformational top management) and perceived competence of unit members. In addition, the analysis further indicated that perceived competence is a positive predictor of group-level helping only when the unit members also believe that others are trustworthy in terms of integrity and benevolent motivation. From a methodological standpoint, the study provides important insights by comparing different ways of operationalizing collective constructs.