This research paper examines one-day-ahead out-of-sample performance of the volatility smirk-based options pricing models, namely, Ad-Hoc-Black–Scholes (AHBS) models on the CNX Nifty index options of India. Further, we compare the performance of these models with that of a TSRV-based Black–Scholes (BS) model. For the purpose, the study uses tick-by-tick data. The results on the AHBS models are highly satisfactory and robust across all the subgroups considered in the study. Notably, a daily constant implied volatility based ad-hoc approach outperforms the TSRV-based BS model substantially. The performance of the ad-hoc approaches improves further when the smile/smirk effect is considered. For the estimation of the implied volatility smile, we apply three weighting schemes based on the Vega and liquidity of the options. All the schemes offer equally competing results. The major contribution of the study to the existing literature on options pricing is in terms of the ex-ante examination of the ad-hoc approaches to price the options by calibrating volatility smile/smirk on a daily basis.
Quality & Quantity - A growing complexity in the financial world has attracted the interest of academicians and policymakers to examine the financial planning and well-being of individuals.... 相似文献
Insiders’ shares can act as collateral while raising funds from lenders. This study examines the impact of insiders’ stock pledging activities on stock price informativeness using a sample of 1835 Indian firms. Our findings report that insider stock pledging increases the informational efficiency of stock prices. This informational efficiency increases for larger firms with: (1) financial constraints (high leverage and low cash holdings); (2) greater reliance on trade credit; and (3) higher indulgence in related party transactions. We also provide evidence on abnormal share turnover as a trading mechanism through which insider stock pledging is related to stock price informativeness. Our findings are robust across different specifications and after accounting for endogeneity issues. 相似文献
Masstige marketing has gained considerable attention in the recent past as a theoretically significant and practically relevant concept. Masstige strategy encompasses all those activities directed to position the products for the masses, neither by offering drastic price reductions nor discounts. Rather its success depends on product innovation and promotion. Although it has been recognized as an important strategic construct, the nascent concept needs further investigation for better understanding. This research identifies significant gaps in the extant literature on fashion accessories masstige brands and intends to bridge them. The objective of the current study is to empirically investigate the factors that facilitate or inhibit masstige purchase intentions. Our study uncovers the role of normative influence in influencing the purchase intentions of a masstige fashion accessory brand, that is, Armani Exchange. Data were collected from 395 respondents, and structural equation modeling was applied to check the proposed hypotheses. The study's results revealed that conspicuous and social values play an important role as facilitators. In addition, the study highlighted that masstige brands need to overcome inhibitors like identity avoidance and deficit-value avoidance to develop masstige purchase intention. Moderation analysis highlighted the significant influence of celebrity endorsement in strengthening the facilitators and overcoming inhibitors associated with masstige purchase intention. The study's results can help marketers to position their masstige brands by adopting the right strategies that can be formulated by taking into account the influence of stimulus, facilitators, inhibitors, and a moderating variable examined in the study. 相似文献
Most of the empirical literature assessing the impacts of climate change on agriculture has modeled crop yields as a function of the levels or deviations in the growing-period rainfall. However, an aspect that has received little attention in the empirical literature relates to the relationship between the timing of monsoon rains and crop yields. Using a pan-India district-level panel dataset for 50 years, this article investigates two interrelated issues critical to understanding the impacts of weather-induced agricultural risks and their management. It first examines the impact of the timing of monsoon onset on crop yields and then assesses the role of irrigation in mitigating its effects. The article finds that the delayed onset of monsoon is detrimental to crops, and its effects are realized beyond the rainy season. The findings also demonstrate that irrigation helps mitigate the harmful effects of delayed monsoon. Finally, to link these findings to farm-level adjustments, the article shows that farmers explicitly adjust the timing of irrigation in response to delays in monsoon rains. 相似文献
Group‐based micro‐credit initiatives, as part of the broader social and solidarity‐based finance initiatives, have gained prominence over the past decade, especially in developing economies like India. Lending to the poor, especially women, through micro‐credit groups, are significantly associated with the utilization of commons. Apart from their financial operations, self‐help groups promote social empowerment activities and collective action following a dual bottom‐line approach. However, the causal role of the group's motivation towards pursuing social objectives has not been explored in the past. The present study, therefore, investigates the interlinkages between the group's intrinsic motivation and efficiency using an innovative two‐stage double bootstrapped DEA‐based methodology. Results from the study affirm that apart from traditional factors like maturity, accessibility and group management, the motivation of the group is a crucial determinant of social efficiency. Additionally, the group's loan‐to‐savings ratio and receipt of cash payments significantly affect its long‐term financial sustainability. Micro‐credit groups cannot contribute sustainably as a viable alternative to traditional means of access to credit if it merely offers innovative forms of financing and consumption. They need to be socially aligned to serve the community better and contribute to the group's overall performance and galvanize community‐based resource management. 相似文献
We consider the usual product estimator adjusted for its bias, considered by Robson (1957). The exact variance of this estimator
has been obtained through a direct method. Its superiority over the sample mean and the product estimator is demonstrated.
The research of these authors has been partially supported by their respective NSERC grants A3661 and A3989. 相似文献
We implement a lab‐in‐the‐field experiment among childcare workers in Chandigarh, India, to evaluate discriminatory attitudes of the Hindu workers toward Muslim children. We use a third‐party allocation game that controls for selfish payoff‐maximizing preferences across the treatments and focus exclusively on distributional attitudes. Our results indicate that the workers in our sample are primarily motivated by welfare‐based criteria in making their allocation decisions and do not practice discrimination based on religious identities. 相似文献
Using insights from academic and practitioners' perspectives and recent data, this paper extends the literature by using pay variables that are typically used by practitioners, including those not studied in previous academic research. Consistent with previous findings, firm size, measured by three-year average revenues, has strong effects on CEO pay. However, the relationship is not the same for firms of different sizes. Revenue elasticity is strong among small companies and disappears for medium and large companies. Firm performance, measured by accounting-based measures (return on assets and return on equity), and market-based measures (total shareholder return and shareholder value), have little effects on CEO cash compensation, but strong positive effects on equity compensation. Implications for research and practice are discussed. 相似文献
In this study, a three-stage methodology for carton set optimization in e-commerce warehouses is proposed and evaluated on three DHL Supply Chain warehouses. The methodology includes order cubing, carton grouping, and optimal carton set selection. A modified largest area fits first algorithm for order cubing is proposed. For optimal carton set selection, a genetic algorithm with a novel crossover strategy is introduced. The results show that the proposed carton set optimization approach can improve the shipping cost and carton utilization by 7% and 7.8%, and considerably improve the carbon footprint of the operations, even when the number of carton types is not changed. 相似文献