Coupling smiles

The present paper addresses the problem of computing implied volatilities of options written on a domestic asset based on implied volatilities of options on the same asset expressed in a foreign currency and the exchange rate. It proposes an original method together with explicit formulae to compute the at-the-money implied volatility, the smile's skew, convexity, and term structure for short maturities. The method is completely free of any model specification or Markov assumption; it only assumes that jumps are not present. We also investigate how the method performs on the particular example of the currency triplet dollar, euro, yen. We find a very satisfactory agreement between our formulae and the market at one week and one month maturities.     

Implicit incentives and reputational herding by hedge fund managers

Several theories of reputation suggest that managers' incentives affect their propensity to engage in herding behavior. This paper investigates these theories by tracking hedge fund managers' herding behavior over their careers. I first examine managerial incentives for herding, and show that more senior managers that deviate from the herd have a significantly higher probability of failure and do not experience higher fund inflows than their less-senior counterparts. These implicit incentives should encourage managers to herd more as their careers progress. I find strong support for this hypothesis: using a number of proxies for herding, I show that more experienced managers herd more than less-experienced managers. Finally, I examine performance differences between more and less-experienced managers, and find that while more experienced managers underperform less-experienced managers, this underperformance does not appear to be caused by differences in herding. Overall, these results are in direct contrast with studies of mutual fund managers, reflecting important difference in implicit incentives between the two industries.     

A virtual and anonymous, deliberative and analytic participation process for planning and evaluation: The Concept Mapping Policy Delphi

Integrating knowledge and values across a range of stakeholders and experts is a common goal of, and challenge in, forecasting and planning processes across numerous decision-making domains. In this paper we present a virtual and anonymous, deliberative and analytical participatory group process which we applied in a planning study. The process was a combination of concept mapping and a policy Delphi. The Concept Mapping Policy Delphi offers an iterative process that is meant to foster critical, dissensus-based thinking by a group about an evaluation problem. In particular, it offers a platform on which to structure the group brainstorming of ideas, integrates knowledge and values, and creates a shared conceptual framework for addressing evaluation problems. We discuss the merits and limitations of this process and compare it with other public engagement mechanisms for decision-making. We argue that the use of a Concept Mapping Policy Delphi is relevant in forecasting and decision-making processes that aim to integrate information which is from various disparate points of view in order to clarify arguments and values, democratize and mediate public participation, and/or provide strategic advice about scenarios or planning options, while mitigating the problematic aspects of face-to-face group processes.     

Hurricane Fatalities and Hurricane Damages: Are Safer Hurricanes More Damaging?

The rising cost of hurricanes and other natural hazards has been a concern to policy makers and insurance industry executives. We offer a heretofore overlooked explanation for rising hurricane damages—the reduction in fatalities from hurricanes. Improved hurricane forecasts, more extensive evacuations, and other improvements make hurricanes less lethal, reducing the full cost of living on hurricane-prone coasts, and should paradoxically increase damages. We confirm this prediction by analyzing land-falling hurricanes in the mainland United States between 1940 and 1999. We first estimate a time-varying measure of hurricane lethality and then show that this measure significantly affects damages in hurricane-prone coastal areas.     

Using web and mobile technology to motivate pro-environmental action after a nature-based tourism experience

Nature-based tourism provides an ideal context for motivating pro-environmental action, as it draws travellers interested in the natural world and showcases unique, and often threatened, environments. This study examines efforts to motivate environmentally related behaviour in tourists' everyday lives using a technology-based intervention following an elephant seal viewing tour at California's Año Nuevo State Park. A total of 362 visitors completed pre-tour and post-tour surveys, with 94 visitors completing a final survey three months after the tour. We found that, although the intervention had little influence on conservation action overall, it was effective for a social media-related action. Post-tour conservation actions were significantly affected by emotional connection to wildlife during the tour and repeat visitation to either the same or another state park. We found that visitors' connectedness to nature increased during the three-hour tour, but returned to pre-visit levels three months later. Practical implications include that parks should encourage repeat visits, suggest an assortment of other experiences that support connecting to nature, and link their conservation messaging to visitors' close, personal, and emotional experiences with fauna. We suggest that one simple, yet effective, way to do this is through maintaining the visitor–park experience through a social media community.     

Factors Affecting Group-Oriented Travel Intention to Major Events

Large-scale, major social events, such as music and cultural festivals and international sporting events, are an important motivator of tourism activity and an increasingly significant component of destination marketing. Despite the growing consumption trend of group-oriented travel behavior and the economic significance of large-scale, event-based tourism, a theoretical gap exists in understanding what drives potential attendees' desire to attend these events, particularly in groups. A theoretically developed conceptual model is empirically tested using survey data from 170 Australian respondents planning to attend, and travel in a group, to a major social event. The results support the model showing that travel motivations (configured as a Type II multidimensional model), affective destination image, and enduring involvement in the event category influence group-oriented travel behavior to major events. Managerial implications and recommendations for future research are also presented.     

Customers’ reactions to price increases: Do customer satisfaction and perceived motive fairness matter?

Most of the previous research on price changes has focused on price decreases. This article investigates the effects of price increases at an individual level. The authors argue that customers’ reactions to price increases (i.e., repurchase intentions) are strongly driven by two factors: the magnitude of the price increase and the perceived fairness of the motive for the price increase. In this context, the authors examine the role of customer satisfaction in influencing the impact of these two variables on repurchase intentions after a price increase. Their findings reveal that as satisfaction increases, the negative impact of the magnitude of a price increase is weakened. Furthermore, the results suggest that satisfaction moderates the impact of perceived motive fairness. The authors also find that the level of satisfaction can influence the valence of the perceived motives in response to a price increase. Christian Homburg (homburg@bwl.uni-mannheim.de) is a professor of marketing and chair of the Marketing Department at the University of Mannheim, Germany. He also serves as director of this university’s Institute for Market-Oriented Management. He holds master’s degrees in business administration and mathematics and a Ph.D. in business administration from the University of Karlsruhe, Germany. He also holds a habilitation degree from the University of Mainz, Germany. His research interests include market-oriented management, buyer-seller relationships, and business-to-business marketing. He has published in theJournal of Marketing, the Journal of Marketing Research, Strategic Management Journal, the Journal of the Academy of Marketing Science, and theInternational Journal of Research in Marketing. He is also the founder of Professor Homburg & Partners, an internationally operating management consulting firm. Wayne D. Hoyer (wayne.hoyer@bus.utexas.edu) is the the James L. Bayless/William S. Farish Fund Chair for Free Enterprise, the chairman of the Department of Marketing, and the director of the Center for Customer Insight in the McCombs School of Business at the University of Texas at Austin. He received his Ph.D., M.S., and B.A. from Purdue University in the area of consumer psychology. He has published more than 60 articles in various forums including theJournal of Consumer Research, theJournal of Marketing Research, theJournal of Marketing, the Journal of Advertising Research, and theJournal of Retailing. His research interests include customer insight and relationship management, consumer information processing and decision making (especially low-involvement decision-making), and advertising effects (most particularly, miscomprehension and the impact of humor). Nicole Koschate (nicole.koschate@bwl.uni-mannheim.de) is an assistant professor of marketing in the School of Business Administration at the University of Mannheim, Germany. She holds a double master’s degree in business administration and psychology and a Ph.D. in marketing from the University of Mannheim, Germany. Her current research areas include pricing, customer insight, dynamic issues in marketing phenomena, and buyerseller relationships. Her research appears in several outlets, including theJournal of Marketing.     

Die Akzeptanz von Versicherungsdienstleistungen im Internet

There is not much known about the factors that determine online demand for insurances. This current study is a first attempt to locate the variables that affect the acceptance of online-purchase of an insurance policy from existing research and empirically verify them. Results show that good terms coupled with online purchase-experience is the most important cause for acceptance. Additionally, convenience (i.e., easy access to information through internet sites of insurance companies and easy and fast contracting), perceived barriers when transferring from a traditional insurance contract to an ?online contract“, information quality of the internet offer, perceived personal risk as well as perceived transaction risk are significant factors driving online demand for insurances.     

Teenagers’ use of alternative shopping channels: A consumer socialization perspective

The consumer socialization (CS) perspective is applied to explore factors that influence a developing consumers’ use of different shopping channels—mall and Internet. The effects of channel involvement, access to funds, access to the channel, and socialization agent communication on adolescent shopping and intentions are examined using a high school student sample. Results indicate that involvement with a channel has a major influence on agent communication, time and money spent, and future intentions to shop in that channel. Agent communication was also found to influence shopping behaviors and intentions. Differences between channels are noted. Additional findings, implications, limitations, and future research directions are also presented.