An Improved Approach to Computing Implied Volatility

A well‐known problem in finance is the absence of a closed form solution for volatility in common option pricing models. Several approaches have been developed to provide closed form approximations to volatility. This paper examines Chance's (1993, 1996) model, Corrado and Miller's (1996) model and Bharadia, Christofides and Salkin's (1996) model for approximating implied volatility. We develop a simplified extension of Chance's model that has greater accuracy than previous models. Our tests indicate dramatically improved results.     

Return distributions and volatility forecasting in metal futures markets: Evidence from gold,silver, and copper

The characterization of return distributions and forecast of asset‐price variability play a critical role in the study of financial markets. This study estimates four measures of integrated volatility—daily absolute returns, realized volatility, realized bipower volatility, and integrated volatility via Fourier transformation (IVFT)—for gold, silver, and copper by using high‐frequency data for the period 1999 through 2008. The distributional properties are investigated by applying recently developed jump detection procedures and by constructing financial‐time return series. The predictive ability of a GARCH (1,1) forecasting model that uses various volatility measures is also examined. Three important findings are reported. First, the magnitude of the IVFT volatility estimate is the greatest among the four volatility measures. Second, the return distributions of the three markets are not normal. However, when returns are standardized by IVFT and realized volatility, the corresponding return distributions bear closer resemblance to a normal distribution. Notably, the application of financial‐time sampling technique is helpful in obtaining a normal distribution. Finally, the IVFT and realized volatility proxies produce the smallest forecasting errors, and increasing the time frequency of estimating integrated volatility does not necessarily improve forecast accuracy. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:55–80, 2011     

Risk attitudes and premiums of U.S. corn and soybean producers: an empirical investigation

The 2000 Agricultural Risk Protection Act and 2002 Farm Security and Rural Investment Act reduced price and yield risks faced by many U.S. crop producers to low levels. We use a non-structural methodology extended for application to pseudo panels and national survey data to examine the risk attitudes of U.S. corn and soybean producers to test whether, and examine how, risk attitudes varied during the 1996–2001 and 2002–2008 periods by revenue category. We cannot reject the hypothesis of risk neutrality for the entire population, and for each revenue category, for the former period, but can reject risk neutrality, in favor of risk tolerance, for the entire population and for the larger revenue categories for the latter period. Estimated risk premiums for the latter period suggest that U.S. corn and soybean farmers who earn more require larger payments to remain indifferent between receiving their expected income with certainty and receiving an uncertain income from farming and government programs.     

The Association Between Investment Opportunity Set Proxies and Realized Growth

Realized growth can be viewed as a proxy for the unobservable investment opportunity set (IOS) of the firm, and provides a benchmark against which IOS proxy variables can be compared. Results from such a comparison indicate that many of the variables from earlier studies, including book-to-market measures and capital expenditure to assets ratios are consistently correlated with subsequently realized growth. However, R&D intensity and E/P ratios do not exhibit any consistent association with subsequent growth indicating that they may not be valid IOS proxies.     

A Note on the Relationship between Firm Diversification and Corporate Advertising Expenditures

Using data on 200 major U.S. advertisers, our empirical analysis examines the relationship between the degree of firm diversification and corporate advertising expenditures, while controlling for competing explanations. Data on corporate advertising expenditures are obtained from Leading National Advertisers (1989). Compustat line of business data and Hoover's Handbook are used to construct measures of firm diversification, and other firm/industry characteristics included as covariates in our empirical analysis to account for possible alternative explanations. Our results suggest that less diversified firms spend more on corporate advertising.     

Information Transmission Between NSE50 Spot and Derivative Platforms in India: An Empirical Study

In this study, we examine the information transmission process between spot, futures and options segments for the NIFTY 50 index. The data is used from 2003 to 2013. Empirical results show that the spot market leads the price discovery process followed by the futures market and then the options market. The spot market again leads in the volatility spillover process while options dominate the futures contracts. There is a univariate skewness spillover from spot as well as futures to the options platform. Further, long term bidirectional kurtosis spillover is observed between spot and futures with former playing a more dominant role.

     

Interpretive structural modeling for E-electricity utility service

Service quality has been recognized as one of the major factors for an organization's sustainability. It is one of the driving forces for an organization??s achievement. Service quality may be represented by the comparison between customers?? expectations of how a company or organization should perform and the customer??s perception of the service performance. For successful delivery of public services, use of online technology has rapidly become a benchmark for effective public sector management. Governments worldwide are attempting to harness the potential offered by these new technologies to create new dimensions of economic and social progress. The present article discusses the important aspects of customer's satisfaction in service quality of E-electricity utility service by interpretive structural modeling method.     

Protecting positioning innovations: the emergence of non-traditional trademark registrations

Firms need to protect their positioning innovations from copycatting and imitation by competition. However, there is limited insight into factors driving legal protection of positioning innovations. This research utilizes non-traditional trademark (NTT) registrations as indicators of protection of certain types of positioning innovations by firms and investigates the role of firm and industry factors in these registrations. Findings based on secondary data collected over the time period (1984–2015) reveal that firm age and market share play a positive role in NTT registrations. Analysis also shows that industry munificence plays a positive role in NTT registrations, whereas competitive intensity and industry dynamism lower NTT registrations. Together, these findings provide important implications for research and practice that extend beyond technological innovations and add to the innovations literature in marketing.