Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

This study sets out to investigate trading in Standard and Poor's Depository Receipt Trust Series I (SPDR) options and the impact on the price‐discovery process of SPDRs. The empirical results reveal a significant rise in liquidity within the SPDR market following the introduction of SPDR options. Furthermore, the results also show that the introduction of SPDR options has led to a significant improvement in the information share of SPDRs, and that the contribution of SPDRs to price discovery has become very close to that of E‐mini index futures. These findings imply that developments in the derivatives market can lead to improvements in market quality, including the level of liquidity and price discovery of the underlying securities. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:683–711, 2012     

Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited

The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique opportunity to examine extant behavioral hypotheses. Results confirm effects such as disposition and/or conservatism with the mispricing negatively related to past returns, but unrelated to future returns. Finally, an orderly weakening of the negative relation to past returns and behavioral effects is observed, suggesting that such effects will diminish as the market matures. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:218–243, 2009     

INVESTOR REACTION TO MUTUAL FUND PERFORMANCE: EVIDENCE FROM UK DISTRIBUTION CHANNELS

Existing work on the flow–performance relation in mutual funds focuses on the average U.S. investor, obscuring the contributions of different clienteles. We analyze UK data on monthly fund sales and purchases made via seven distinct distribution channels. We show that there exist marked differences in the reaction to fund performance between different types of retail and institutional investors. These differences can be understood by considering the incentives of parties involved in each channel. Our analysis indicates that the well‐documented aggregate net flow–performance convexity in mutual funds is driven by the extreme reaction of retail inflows to favorable performance, particularly from independently advised investors.     

A Walk in Customers' Shoes: How Attentional Bias Modification Affects Ownership of Integrity-violating Social Media Posts

The number of social media posts that expose company integrity violations has increased dramatically. In response, some companies empower employees to respond to customer blogs, which requires employees to recognize the customer's perspective. We show that attentional bias modification can be used to prime employees of two global Fortune 100 companies with a self-sufficiency or empathy bias. The results indicate that narrative transportation, or the extent to which employees mentally enter the world evoked by a customer's story, mediates the effect of attentional bias on two relevant psychological ownership dimensions: acknowledgment of responsibility and willingness to respond. Participants with a self-sufficiency bias neither acknowledge responsibility nor want to respond. However, participants primed with an empathy bias take responsibility for the customer's case and respond to the integrity violation. We find evidence for two boundary conditions of this effect: (1) it strengthens when the employee perceives the customer's financial vulnerability as high and (2) it weakens when the customer is impolite in the blog post.     

DEFINING AND OPERATIONALIZING SUPPLY CHAIN PROCESS INTEGRATION

Integration has been recognized as critical to successful supply chain management. However, an extensive literature review revealed no consensus in its conceptualization. The current study attempts to address this research gap by providing a better definition and operationalization of supply chain process integration. With empirical support, it is proposed that internal and external supply chain process integration should be treated as two separate constructs, each comprised of two dimensions: connectivity and simplification.     

Measuring traveler involvement in urban public transport services: The case of Kaohsiung

The city of Kaohsiung has been urgently reducing its rates of ownership and usage of privately owned motor vehicles. The most important strategy undertaken thus far has been to build mass rapid transit systems. This study aims to apply the Involvement Theory to construct an inventory to measure level of travelers’ involvement in public transport services. The results indicate that the number of low involvement travelers is the critical factor that determines whether the new public transport system can effectively operate. They also provide authorities with precise marketing strategies targeting different groups in order to allow the new public transport systems to sufficiently meet public needs.     

Boardroom centrality and firm performance

Firms with central boards of directors earn superior risk-adjusted stock returns. A long (short) position in the most (least) central firms earns average annual returns of 4.68%. Firms with central boards also experience higher future return-on-assets growth and more positive analyst forecast errors. Return prediction, return-on-assets growth, and analyst errors are concentrated among high growth opportunity firms or firms confronting adverse circumstances, consistent with boardroom connections mattering most for firms standing to benefit most from information and resources exchanged through boardroom networks. Overall, our results suggest that director networks provide economic benefits that are not immediately reflected in stock prices.     

基于非财务数据的企业财务危机预警模型实证研究

引起公司财务危机的因素多种多样,目前的研究主要集中在基于财务数据的数学建模,本文希望通过运用Logistic建模,研究非财务数据与公司财务危机的关系,以从另一个角度对财务危机进行预测。     

工民建混凝土施工的质量控制措施

在建筑行业中,混凝土因为其价格低廉、抗压强度高和容易成型等优势条件,成为了建筑行业最广泛的材料。但是由于施工过程中操作不当或者浇筑条件控制不严格等原因,会经常引起各种质量事故。混凝土质量高低是工民建施工质量控制的关键,在本文中,笔者对工民建混凝土施工的质量控制措施进行了分析和研究。