ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order. We then use these option prices approximations to calculate the first‐ and second‐order deviation of the implied volatility from its leading value and obtain approximations which we numerically demonstrate to be highly accurate.     

Too Popular to Ignore: The Influence of Online Reviews on Purchase Intentions of Search and Experience Products

Consumers assess the credibility of online product reviews to guide their purchase decisions. However, little is known about how consumers determine the credibility of online product reviews. This article examines the effect of the level of detail in a product review and the level of reviewer agreement with it on the credibility of a review and consumers' purchase intentions for search and experience products. Overall, the results indicate that more credible reviews lead to higher purchase intentions. Interestingly, the findings also demonstrate that consumers determine the credibility of a review differently for search and experience products. For search products, consumers deem online reviews to be more credible when the reviews contain detailed information about the product. However, for experience products, consumers determine the credibility of a review by assessing the level of reviewer agreement with a review. The lack of diagnosticity of detailed information in online reviews of experience products is attributed to the idiosyncratic nature of experiences. Implications for research and practice are discussed.     

What is professional attire today? A conjoint analysis of personal presentation attributes

Personal presentation attributes have long been understood to affect perceptions of competence and capabilities. To that end, this study investigates seven attributes associated with favorable interview presentation, including overall physical attractiveness, neatness and grooming, clothing color, conservative versus trendy attire, professional versus casual attire, and body modification (including tattoos and piercings). Participants (n = 108), including students, faculty, and hospitality industry professionals, sorted an orthogonal array of 16 full-color, laminated cards that contained photos so that respondents could see levels of clothing color, clothing conservativeness, and degree of professional attire. The remaining attributes and their corresponding levels were shown on respective analog indicators. The conjoint analysis results indicate that grooming and professional attire are the most important attributes in shaping favorable perceptions. Furthermore, faculty perceived conservative clothing to be better while students and industry professionals indicated that trendy clothing creates a more favorable presentation on the part of a job candidate.     

Reading history: comment on Chenoweth and Feitelson

While Chenoweth and Feitelson have done a service to the futures community by comparing the Global 2000 Report with The Resourceful Earth-two important books of the late 1970s/early 1980s—their comparison is flawed in three dimensions: (1) they treat the books as though they were intended to be accurate predictions of the future. Their intention, instead, was to influence public policy in certain, often contrasting, directions; (2) by using in 2000 the same data sources the two books used in the 1970s (rather than better data sources available now, but not then), the authors' comparative conclusions are often flawed; and (3) in spite of this, their own conclusions often do not seem to follow from the comparative data they present: using only the data the two authors present, The Resourceful Earth does not appear to have been more ‘accurate’ in ‘predicting’ the year 2000 than was the Global 2000 report.     

Strategic Cost Reduction and Cost Revelation

Strategic cost reduction requires cost transparency. When unilateral cost revelation is feasible, strategic cost reduction indeed arises as equilibrium. If it is not feasible, however, credible revelation has to be organized, possibly by a trade association. Then, firms face a prisoners' dilemma: in Cournot duopoly, cost revelation arises as an equilibrium, but hurts firms; in Bertrand duopoly, cost concealing is the equilibrium, while firms would be better off with cost revelation. Since cost revelation is socially desirable (undesirable) in Cournot (Bertrand) competition, it should be encouraged (discouraged).     

Using Information Communication Technology to Develop International Entrepreneurship Competencies

Many researchers claim that the use of web-based learning tools and information and communication technology (ICT) will revolutionize traditional learning methods in university contexts and fundamentally change the process of how knowledge is gathered and disseminated. However, there are conflicting views regarding the benefits of these techniques and actual learning outcomes. This paper posits that by using ICT and particularly the Web as a dynamic and integrating learning tool, several strategic competencies can be deployed and that the international knowledge, skills and competencies of entrepreneurship students can be radically enhanced. In light of an extensive literature review on research in the field, suggestions are provided for using the Web as a comprehensive teaching tool.     

How 'modern' is the modern apprenticeship?

Despite the fact that some sectors of industry are facing major skills shortages, the Scottish labour market continues to be characterised by occupational segregation and a large disparity between the wages of women and men. The concentration of individuals in occupations and training based on their gender effectively restricts the pool of potential recruits to industry and is unlikely to make the best use of human capital. Moreover, it obstructs the pursuit of gender equality by reinforcing the gender pay gap and restricting individual career choices. This paper reports on the government's flagship training policy, the Modern Apprenticeship programme, from a gender perspective. It concludes that, ten years on from its introduction, the scheme represents something of a 'missed opportunity' to tackle occupational segregation and its deleterious effects in the wider economy and in society at large. It is recommended that the government and organisations involved in the development and delivery of Modern Apprenticeships adopt a more conscious and cohesive approach to promoting non-traditional choices at the vocational level.     

Reevaluating hedging performance

Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance‐evaluation metrics across seven international markets. The hedging performances of short and long hedgers are compared with the use of traditional variance‐based approaches together with modern risk‐management techniques, including value at risk, conditional value at risk, and approaches based on downside risk. The findings indicate that use of these metrics to evaluate hedging performance yields differences in terms of best hedging strategy as compared with the traditional variance measure. Also, significant differences in performance between short and long hedgers are found. These results are observed both in sample and out of sample. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:677–702, 2006