Ex Post Evaluation of Enforcement: A Principal-Agent Perspective

Summary  This paper discusses a number of methodological challenges that ex post evaluation of competition policy faces. We argue that imprecise measurement and simplified analysis not only lead to unreliable results, but also trigger behavioural responses by competition authorities. Because evaluation works as an incentive scheme, it has an immediate impact on the way agencies operate. Faced with simplistic assessment, authorities may be tempted to be overly interventionist, to spend too many resources and to ignore relevant information. Therefore, a careful design of methodologies is important to ensure that ex post control does not bring about the very ills it is supposed to cure. The views expressed are those of the authors and do not necessarily reflect those of DG Competition or the European Commission.     

Employment and education discrimination against disabled people in Cape Verde

This article assesses the employment and school enrolment gaps between disabled and nondisabled persons using the last Cape Verdean census. The unexplained part of these gaps accounts for most of them, whatever the age group considered. Furthermore, differences in age structures between disabled and nondisabled persons have almost no effect on these gaps. Taking into account potential misclassification errors in the disability variable seems to change only marginally these results. These findings thus suggest that there is scope for programs to better target and promote employment and education of the disabled in Cape Verde.     

What’s in a crowd? Exploring crowdsourced versus traditional customer participation in the innovation process

This study explores the emerging crowdsourcing phenomenon, that is, the outsourcing of idea generation to the product users (‘the crowd’), typically via online platforms to interact with many and diverse customers and glean valuable market insights. The study focuses on this phenomenon and the factors that determine the value of crowdsourced customer participation over more traditional market research methods. The authors present the results of an extensive, in-depth qualitative case-study analysis pertaining to the media industry. The authors find that crowdsourced customer participation is not consistently superior in enabling firms to discover how to serve their customers better. Instead, the results unearth a catalogue of seven interrelated value determinants that show where the boundaries of both crowdsourcing and traditional customer participation in innovation lie. These value determinants fall into three main categories: (1) innovation-specific value determinants, (2) firm-specific value determinants, and (3) managerial value determinants.     

Option pricing with orthogonal polynomial expansions

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein–Stein, and Hull–White models, for which we provide numerical case studies. We find that our polynomial option price series expansion performs as efficiently and accurately as the Fourier‐transform‐based method in the nested affine cases. We also derive and numerically validate series representations for option Greeks. We depict an extension of our approach to exotic options whose payoffs depend on a finite number of prices.     

The evolution of price discovery in us equity and derivatives markets

This study considers the evolution of price discovery in the S&P 500 E-mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E-mini futures dominate price discovery at the beginning of the sample period. However, from 2007 onward both the SPY ETF and E-mini futures contribute similar portions to the price discovery process. The level of price discovery is significantly influenced by volume measures and relative levels of transaction costs for both securities.     

Who's afraid of that ad? Applying segmentation to the protection motivation model

The protection motivation model has contributed usefully to researchers' understanding of fear appeals in advertising. However, the empirical evidence reported to date in the literature has been mixed. This article proposes and tests a revised model including two segmenting variables as a means to resolve some of the differences evident in past research. With the use of data derived from an experimental study of juveniles' response to a range of antismoking advertising treatments, empirical support was found for the mediating role of fear in predicting behavioral intentions and for the influence of individual differences. The results, however, did not confirm the moderating role of response or self‐efficacy. Future research is clearly needed to further validate the revised protection motivation model. © 2004 Wiley Periodicals, Inc.     

Australian corporate collapse: The case of HIH Insurance

‘Australia's current financial reporting framework is recognised as amongst the world's best, but this obviously did not and cannot offer immunity from corporate failure’. There are numerous individual factors that can have and are having an impact on the reporting framework and should be addressed. Specifically, the auditor's role is to add credibility to the financial reports prepared and signed off by the company's directors and to provide a high level of assurance that the financial reports are free from material misstatement. Auditors may be unfairly or harshly judged for not foreseeing the collapse and warning the market and shareholders. In some instances there are clear cases of complacency on the auditors' part or outright negligence on the part of the auditor. The HIH Insurance collapse in 2001 has significantly influenced the audit profession, especially in the area of audit independence, audit committee and the legal liabilities of auditors and this case leads to a number of lessons that need to be learnt regarding the audit profession and the responsibilities of auditors.     

The Jacobi stochastic volatility model

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Charlier A expansion with closed-form coefficients. We derive closed-form series representations for option prices whose discounted payoffs are functions of the asset price trajectory at finitely many time points. This includes European call, put and digital options, forward start options, and can be applied to discretely monitored Asian options. In a numerical study, we show that option prices can be accurately and efficiently approximated by truncating their series representations.