Options-based forecasts of futures prices in the presence of limit moves

The reported analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using futures and futures options data for three agricultural commodities, it is found that the simultaneous estimation approach accounts for the abrupt changes in implied volatility associated with limit moves and generates more accurate price forecasts than conventional methods that rely on only one implied variable.     

International Differences in Conditional Conservatism – The Role of Unconditional Conservatism and Income Smoothing

Abstract

Prior research documents that conditional conservatism, measured as the asymmetric timeliness of earnings reflecting bad vs. good news, varies with cross-country differences in institutional regimes. In this paper, we examine the determinants of conditional conservatism and related earnings attributes internationally. First, using panel data, we investigate whether competing earnings attributes such as unconditional conservatism and income smoothing affect conditional conservatism and its international differences. We find that these attributes are predictably correlated with conditional conservatism. Second, we address the question whether income smoothing and conditional conservatism are two fundamentally different earnings attributes. We show theoretically that both attributes yield different earnings distributions and that the motivations for producing earnings which possess these attributes differ. To test these predictions empirically, we calculate firm-specific time-series measures of asymmetric timeliness, using a novel trigonometric measure based on the standard Basu (1997)-type regression. Using this cross-sectional data, we test whether conditional conservatism and income smoothing are different and find them to be only weakly correlated for a broad international sample. Also, we demonstrate that income smoothing explains international differences in conditional conservatism. Finally, we estimate simple determinant models of conditional conservatism and income smoothing, showing that both earnings attributes are driven by different explanatory firm-level factors: Conditional conservatism increases with the importance of debt financing, while income smoothing increases with the importance of dividends. Despite some important limitations, we believe our results to be meaningful because they show that cross-country differences in conditional conservatism are influenced by the effects of other accounting properties, predominantly income smoothing. Especially, legal regime appears to drive income smoothing while losing its explanatory power for conditional conservatism when firm-specific factors are controlled for.     

Organizational Culture and Innovation: A Meta‐Analytic Review

The relationship of organizational culture and innovation has been subject to extensive research over the last decades. The multitude of cultural variables under investigation has led to a fragmented concept of culture for innovation, and an inclusion into management theory is still missing. Further, managerial practice requires an underlying structure in order to decide what culture should be implemented in order to foster innovation, and to assess if a specific culture is an effective and efficient coordination instrument. Hence, a framework is needed which allows classification of cultural values without residuals, to draw expedient comparisons with reference to the criteria by which they are grouped, and to assess their relationship with organizational innovation. This meta‐analysis, which comprises 43 studies with a combined sample size of 6341 organizations, reveals that Quinn and Rohrbaugh's Competing Values Framework provides a meaningful structure for the ideational aspects of organizational culture. The Competing Values Framework describes value systems based on two main dimensions. Those two pairs of opposing values are flexibility versus control and internal versus external orientation. The analysis shows that the congruence of different cultures with organizational goals of innovation can be described based on that framework. Control theory is used to explain the relationship of organizational culture and innovation. While culture describes the ideational aspects of organizational values, clan control describes their coordinative effect. Managers may choose different clan control strategies according to the Competing Values Framework. They will most likely follow the strategy that provides a high level of congruence between the goals of management and the goals of their organization's social system. Individuals that have internalized the organizational values apply them as a form of self‐control. Those values will also be applied in groups, such as product development teams. While development teams may be formed and disbanded with certain projects and individuals may leave the company, the organization forms the steady frame of those activities. The cumulative data confirms the hypothesis that managers of innovative organizations most likely implement a developmental culture, which emphasizes an external and a flexibility orientation. Yet also group and rational cultures are to a certain extent consistent with the goals of an innovative organization and may thus be appropriate social control strategies. Hierarchical cultures emphasize control and an internal orientation and are less likely to be found in innovative organizations. A moderator analysis of the culture–innovation relationship revealed that it is not influenced by the differentiation between radical and incremental innovation, and only weak evidence exists for an influence of innovation adoption versus innovation generation. A potential reason is that those organizations that are geared toward innovation will pursue it consequently, without differentiating between different kinds of innovation. Therefore, managers that follow a (radical) innovation strategy should establish a developmental culture in their organization. If innovation rather represents a minor aspect of the firm's long‐term objectives, the efficiency‐oriented rational culture or a group culture may also be the right choice.     

Expanding understanding of service exchange and value co-creation: a social construction approach

According to service-dominant logic (S-D logic), all providers are service providers, and service is the fundamental basis of exchange. Value is co-created with customers and assessed on the basis of value-in-context. However, the extensive literature on S-D logic could benefit from paying explicit attention to the fact that both service exchange and value co-creation are influenced by social forces. The aim of this study is to expand understanding of service exchange and value co-creation by complementing these central aspects of S-D logic with key concepts from social construction theories (social structures, social systems, roles, positions, interactions, and reproduction of social structures). The study develops and describes a new framework for understanding how the concepts of service exchange and value co-creation are affected by recognizing that they are embedded in social systems. The study contends that value should be understood as value-in-social-context and that value is a social construction. Value co-creation is shaped by social forces, is reproduced in social structures, and can be asymmetric for the actors involved. Service exchanges are dynamic, and actors learn and change their roles within dynamic service systems.     

Exploring consumer knowledge structures using associative network analysis

This paper offers a new perspective on consumer knowledge analysis that combines Human Associative Memory (HAM) models from cognitive psychology with network analytic approaches in order to gain deeper insights into consumers” mental representations, such as brand images. An illustrative case study compares the associative networks of a manufacturer brand with a retail brand and is used to demonstrate the application and interpretation of various network measures. Network analysis is conducted on three levels: Node‐level analysis yields insights about salient brand image components that can be affected through short‐term marketing activities. Group‐level analysis is concerned with brand image dimensions that characterize a brand and can be strategically influenced in the medium term. Finally, network‐level analysis examines the network structure as a whole, drawing parallels to brand imagery, which needs to be managed over the long term. Management implications are derived and suggestions for further research are provided. © 2010 Wiley Periodicals, Inc.     

Stabileres Tarifvertragssystem durch Stärkung der Allgemeinverbindlicherklärung?

The declaration of the general binding of collective agreements plays a minor role in Germany compared to other European countries. In particular, the number of extended wage agreements has declined greatly over the last two decades. Because of the declining bargaining coverage, calls for a stabilisation of the collective bargaining system are increasing. In this context, the greater use of the extension mechanism could play an important role. This article analyses the historical development of the instrument and explains different proposals for reforming the extension mechanism put forward by political parties and trade unions.     

The (Non‐)Equivalence of Input and Output Taxes Under Monopoly

The author argues that a government taxing a polluting monopoly by means of levies on output and inputs can implement the first‐best allocation through a continuum of tax profiles. Using this degree of freedom in the tax system, the government is, in general, able to transfer income from the firm to the public sector, so that the additional tax rate acts as a non‐distorting tax on profits. This transfer – and therefore public revenue – is the higher, the lower (higher) the input taxes are, and correspondingly the higher (lower) the output tax is, provided that the production function exhibits decreasing (increasing) returns to scale.     

Soziale Pflegeversicherung und Beihilfeverordnungen: Ein Leistungsvergleich

Zusammenfassung   Im Pflegefall werden Beamte und Angestellte von unterschiedlichen Versorgungseinrichtungen unterstützt. Wie sind die Regelungen für diese beiden Besch?ftigungsgruppen ausgestaltet? Wo liegen die Unterschiede? Schneiden Beamte bei einem Leistungsvergleich besser ab? Dr. Jasmin H?cker, 29, Tobias Hackmann, 27, Dipl.-Volkswirt, und Thorsten Henne, 25, sind Mitarbeiter am Institut für Volkswirtschaftslehre und Finanzwissenschaft I an der Albert-Ludwigs-Universit?t Freiburg.     

Fair value and audit fees

This paper investigates the effect of fair value reporting and its attributes on audit fees. We use as our primary sample the European real estate industry around mandatory IFRS adoption (under which reporting of property fair values becomes compulsory), due to its unique operating and reporting characteristics. We document lower audit fees for firms reporting property assets at fair value relative to those employing depreciated cost—a difference that appears driven, in part, by impairment tests that occur only under depreciated cost. We further find that audit fees are decreasing in firms’ exposure to fair value and increasing both in the complexity of the fair value estimation and for recognition (versus only disclosure) of fair values. We corroborate our findings in two alternative settings: contrasting UK and US real estate firms and using UK investment trusts. Overall, the results suggest that fair values can lead to lower monitoring costs; however, any reductions in audit fees will vary with salient characteristics of the fair value reporting, including the difficulty to measure and the treatment within the financial statements.