Short sales and put options: Where is the bad news first traded?

Although the literature provides strong evidence supporting the presence of informed trading in both the option and the short equity markets, it is not clear which market attracts more informed trading. Using a unique dataset that covers intraday transaction data in the option and short equity markets, we investigate informed trading in a cross-market environment by explicitly studying the lead–lag relationship between the put net trade volume and short sales of the underlying stock. Our high frequency analysis shows that in general short sales contain more information. However, put options become more informative before the release of negative earnings announcements.     

俄罗斯产业结构现状

苏联解体后,俄罗斯的产业结构依然保持了苏联经济结构的基本格局和特点,而且其产业中轻重结构畸形和原材料化趋势还在发展,出现了自发性和退化性的反工业化趋势。俄罗斯产业结构具有以能源工业为支柱,军事工业与机械重工业为重点,民用工业严重落后的特点。应改革国家调控制度,降低通货膨胀和利率,发展抵押贷款信贷制度,加强立法,保障市场的有效运转。     

Integrated reporting: an international overview

This article analyses the determinants associated with the use of the Integrated Report (IR) as a corporate reporting model for sustainability information. IRs provide information regarding the use and interdependence of different company resources. The previous literature has identified determinants behind the presentation of IRs at the country level (legal system, investor protection, economic development, cultural characteristics) as well as at the company level (size, industry, verification of the sustainability report). Our work contributes to the literature by using a novel statistical approach that addresses the likelihood of the non‐independence of data: companies in the same country are more similar to one another than are companies from different countries. Our results confirm significant inter‐country variance, which may be partially explained by the existence of specific regulations and the individualism vs. collectivism dimension. Although we confirm the effect of company‐level determinants, our results do not support the role of specific variables tested as determinants.     

Designing electricity auctions

Motivated by the new auction format in the England and Wales electricity market, as well as the recent debate in California, we characterize bidding behavior and market outcomes in uniform and discriminatory electricity auctions. Uniform auctions result in higher average prices than discriminatory auctions, but the ranking in terms of productive efficiency is ambiguous. The comparative effects of other market design features, such as the number of steps in suppliers' bid functions, the duration of bids, and the elasticity of demand are analyzed. We also consider the relationship between market structure and market performance in the two auction formats.     

Network effects, market structure and industry performance

This paper analyzes oligopolistic markets with network externalities. Exploiting a minimal complementarity structure on the model primitives that allows for pure network goods, we prove existence of non-trivial fulfilled-expectations equilibrium. We formalize the concept of industry viability, investigate its determinants, and show that it improves with more firms in the market and/or by technological progress. These results enlighten some well-known conclusions from case studies in the management strategy literature. We also characterize the effects of market structure on industry performance, which depart substantially from ordinary markets. The approach relies on lattice-theoretic methods, supplemented with basic insights from nonsmooth analysis.     

Downward nominal wage rigidity in Canada: Evidence from micro‐level data

We assess the importance of downward nominal wage rigidity (DNWR) in Canada using employer‐level administrative data from the major wage settlements (MWS) and household‐based survey data from the Survey of Labour Income Dynamics (SLID). MWS data cover large unionized firms in Canada, while SLID is a rich rotating panel representative of the employed population in Canada. Combining both sources of information allows for an extensive analysis of DNWR in the Canadian labour market. We find large shares of wage freezes and smaller shares of wage cuts in both MWS and SLID. Shares of freezes are higher at lower CPI inflation rates, based on provincial data. These observations are consistent with the presence of DNWR. DNWR in Canada appears to be larger than in other countries such as the United States, the United Kingdom and European countries. The incidence of DNWR is heterogeneous across firms’ and workers’ characteristics. Wages report less DNWR over longer horizons.     

Ethical behavior perceptions in Russia: Do ethics-related programs and individual characteristics matter?

This paper aims to analyze how individual differences and ethics-related programs predict Russian business students and working adults' perception of personal business ethics. This research evaluates the business ethics perceptions based on surveys of 1,207 managers, employees, and business students in Russia. This study finds the significant correlations between individual differences (gender, age, education level, and management experience), ethics-related programs (business ethics courses taught in universities, ethics and diversity professional development training), and personal business ethics' perceptions of Russian business students and working adults. We also find that individual differences moderate the relationship between ethics-related programs and how the personal business ethics of Russian business students and working adults are perceived. These findings advance current literature by revealing that age moderates the relationship between ethics-related programs (formal ethic courses, ethics, and diversity trainings) and personal ethical behavior perceptions of working adults and business students in Russia. Our study found that gender had a significant positive moderating effect on relationship of organizational code of ethics, formal ethic courses, and diversity professional development with personal ethical behavior perceptions. The relation between personal ethical behavior perceptions and the presence of an organizational code of ethics was negative and marginally moderated by age and managerial experience. This study contributes to business ethics research by deepening the understanding of the impact of individual differences on the relationship between ethics-related programs and personal business ethics' perceptions.     

Corporate governance performance ratings with machine learning

We use machine learning with a cross-sectional research design to predict governance controversies and to develop a measure of the governance component of the environmental, social, governance (ESG) metrics. Based on comprehensive governance data from 2,517 companies over a period of 10 years and investigating nine machine-learning algorithms, we find that governance controversies can be predicted with high predictive performance. Our proposed governance rating methodology has two unique advantages compared with traditional ESG ratings: it rates companies' compliance with governance responsibilities and it has predictive validity. Our study demonstrates a solution to what is likely the greatest challenge for the finance industry today: how to assess a company's sustainability with validity and accuracy. Prior to this study, the ESG rating industry and the literature have not provided evidence that widely adopted governance ratings are valid. This study describes the only methodology for developing governance performance ratings based on companies' compliance with governance responsibilities and for which there is evidence of predictive validity.