The Dynamics of Location in Home Price

It is well established that house prices are dynamic. It is also axiomatic that location influences such selling prices, motivating our objective of incorporating spatial information in explaining the evolution of house prices over time. In this paper, we propose a rich class of spatio-temporal models under which each property is point referenced and its associated selling price modeled through a collection of temporally indexed spatial processes. Such modeling includes and extends all house price index models currently in the literature, and furthermore permits distinction between the effects of time and location. We study single family residential sales in two distinct submarkets of a metropolitan area and further categorize the data into single- and multiple-transaction observations. We find the spatial component is very important in explaining house price. Moreover, the relative homogeneity of homes within the submarket and the frequency with which homes sell affects the pattern of variation across space and time. Differences between single and repeat sale data are evident. The methodology is applicable to more general capital asset pricing when location is anticipated to be influential.     

Employee Stock Options, Corporate Taxes, and Debt Policy

We find that employee stock option deductions lead to large aggregate tax savings for Nasdaq 100 and S&P 100 firms and also affect corporate marginal tax rates. For Nasdaq firms, including the effect of options reduces the estimated median marginal tax rate from 31% to 5%. For S&P firms, in contrast, option deductions do not affect marginal tax rates to a large degree. Our evidence suggests that option deductions are important nondebt tax shields and that option deductions substitute for interest deductions in corporate capital structure decisions, explaining in part why some firms use so little debt.     

Measuring financial risks with copulas

This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the concept of copulas. We select some special copulas and identify the type of dependency captured by each one. We fit copulas to daily returns and simulate from the fitted models. We compare the effect of the choice of copula on risk measures and assess the variability of one-step-ahead predictions of portfolio losses. We analyze extreme scenarios and fit extreme value copulas to the block maxima and minima from daily returns. The stress scenarios constructed are compared to those obtained using models from the extreme value theory. We illustrate the usefulness of the copula approach using two stock market indexes.     

Announcement effects of bank mergers in Europe and the US

We investigate the announcement effect of large bank mergers in the European and US stock market. Cumulative abnormal returns are calculated on the basis of the performance vis-à-vis the market and a sector index. Mergers result in small positive abnormal returns. Target banks realize significantly higher returns than bidders. In many respects, there is a difference between the announcement effects of European bank mergers compared to those in the US.     

Chebyshev interpolation for parametric option pricing

Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real time. We concentrate on parametric option pricing (POP) as a generic instance of parametric conditional expectations and show that polynomial interpolation in the parameter space promises to considerably reduce run-times while maintaining accuracy. The attractive properties of Chebyshev interpolation and its tensorized extension enable us to identify broadly applicable criteria for (sub)exponential convergence and explicit error bounds. The method is most promising when the computation of the prices is most challenging. We therefore investigate its combination with Monte Carlo simulation and analyze the effect of (stochastic) approximations of the interpolation. For a wide and important range of problems, the Chebyshev method turns out to be more efficient than parametric multilevel Monte Carlo. We conclude with a numerical efficiency study.     

The potential of integrated reporting to enhance sustainability reporting in the public sector

This paper examines the influence of integrated reporting (IR) on the sustainability reporting practices of a state-owned enterprise through a content analysis of their reports and interviews with report preparers. The findings show a steady increase in the quantity and quality of sustainability disclosures. In 2012, the organization chose to adopt the IR framework in order to enhance sustainability reporting for all stakeholders. The IR process resulted in a more balanced disclosure of material aspects of sustainability. However, while IR has the potential to enhance public sector sustainability reporting, inter-generational equity issues were ignored.     

The interactive effects of organizational and leadership career management support on job satisfaction and turnover intention

In the organizational career management literature, scholars have focused on career management policies, with little attention given to practices that can vary within organizations. And despite its recognized importance, research on the role of leaders in the career management process is also scant. In this study, we investigate the effects of career management practices (OCPs) and leadership career support (LCS) on employee attitudes. Grounded on coping theory, we propose that career support received from line managers can be particularly consequential when OCPs are lacking. We analyze the moderating effects of LCS on the relationship between OCPs and both job satisfaction and turnover intention in a sample of employees from a large Brazilian organization, applying multiple regression analyses. Results showed that OCPs and LCS are positively related to job satisfaction and that OCPs are negatively related to turnover intention. In addition, we confirmed that LCS moderates the relationship between OCPs and both job satisfaction and turnover intention. Finally, we observed that the relationship between OCPs and turnover intention is mediated by job satisfaction. Theoretical and practical implications are discussed.     

Logics,Leaders, Lab Coats: A Multi‐Level Study on How Institutional Logics are Linked to Entrepreneurial Intentions in Academia

Situated in the context of academia, this study integrates ideas from institutional theory, person‐environment fit theory and leadership research to conceptualize and examine the cross‐level link between the organizational‐level institutional logic of research commercialization and the entrepreneurial intentions of researchers. Multi‐level analyses based on a sample of 254 researchers working for 85 research group leaders in 49 German research institutes reveal that two distinct attributes of research group leaders – that is, their track records of entrepreneurial behaviour and their entrepreneurial intentions – play a significant role in transmitting the organizational‐level logic to the individual level. We also observe a complementary interaction between organizational‐level commercialization logic and the entrepreneurial track records of leaders. We discuss how these findings advance our understanding of science commercialization through academic entrepreneurship and how they inform institutional theory and theory development in other domains of entrepreneurship research.