Target volatility option pricing in the lognormal fractional SABR model

We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula of Itô's calculus yields an approximation formula for the price of a target volatility option in small time by the technique of freezing the coefficient. A decomposition formula in terms of Malliavin derivatives is also provided. Alternatively, we also derive closed form expressions for a small volatility of volatility expansion of the price of a target volatility option. Numerical experiments show the accuracy of the approximations over a reasonably wide range of parameters.     

Dependence calibration and portfolio fit with factor-based subordinators

The paper explores the properties of a class of multivariate Lévy processes used for asset returns. We focus on describing both linear and non-linear dependence in an economic sensible and empirically appropriate way. The processes are subordinated Brownian motions. The subordinator has a common and an idiosyncratic component, to reflect the properties of trade, which it represents. A calibration to a portfolio of 10 US stock indices returns over the period 2009–2013 shows that the hyperbolic specification has a very good fit to marginal distributions, to the overall correlation matrix and to the return distribution of both long-only and long-short random portfolios, which also incorporate non-linear dependence. Their tail behaviour is also well captured by the variance gamma specification. The main message is not only the goodness of fit, but also the flexibility in capturing dependence and the ease of calibration on large sets of returns.     

Growth of born globals: the role of the entrepreneur’s personal factors and venture capital

This paper examines to what extent the human capital of entrepreneurs and the receipt of venture capital (VC) financing affect the growth of born globals (BGs). The study analyzes a sample of 242 BGs resulting from a survey on high-tech start-ups operating in the ICT and electronics sectors, located in different countries throughout the world. A multivariate explorative analysis controlling for the endogenous nature of VC is conducted. The results indicate that the experience of the entrepreneur in having previously established another entrepreneurial firm positively affects the growth of BGs. A negative effect is associated with the presence of heterogeneity in the management team in terms of education background. With regard to the linkage between financial capital and growth, it is found that both VC financing and the number of founders (a proxy for the availability internal capital) positively influence the growth of BGs.     

Drivers of productivity in Vietnamese SMEs: the role of management standards and innovation

Using a rich panel dataset of small and medium scale manufacturing enterprises (SMEs) active in the manufacturing sector in Viet Nam, this paper investigates the drivers of firm productivity, focusing on the role played by international management standards certification. We test the hypothesis that, accounting for technological innovation (product and process) and other variables related to technological capabilities, international standards are conducive to higher productivity, through improved management practices and business organization. In line with the requirement of continuous improvement implied by most international standards, the main findings show that the possession of an internationally recognized standard certificate leads to significant productivity premium. We further find that the effect of certification on productivity is particularly strong for firms with technological innovation, located in southern provinces, and operating in more scale-intensive industries.     

Media effects on sustainable food consumption. How newspaper coverage relates to supermarket expenditures

Information provision is often considered to have an important role to play in changing consumers' choices. However, there is still no consensus on the mechanisms by which information might influence specific consumer expenditures, especially in relation to environmentally friendly food products. This paper explores whether the public debate on sustainable consumption in UK broadsheets and tabloids relates to observed consumers' expenditures. It does so by relating the number of published articles on selected sustainability topics to consumers' food expenditure in a leading UK supermarket from May 2009 to May 2011, using regression analysis. We selected only regular supermarket's shoppers who frequently buy the Sunday editions of the analyzed newspapers. Results indicate very sparse and inconsistent correlations suggesting that the impact of information is only minimally effective. The number of newspaper articles relates mainly to expenditures on organic, wholegrain and low salt products, possibly indicating a preference for healthy food. No consistent effects are observed when media target a change in more general food categories (e.g. a reduction in food of animal origin), although we observed some influence on purchases of fish. Finally, results indicate some correlations with purchases of meat for the readers of the Telegraph. In order to contextualize some of the results, we applied content analysis to a subsample of published articles on organic food. The qualitative approach shows that the framing of the news is important: change is positively related to information proposed uncritically; and negatively to information contextualized as a highly structured debate.     

Angel Financing and the Performance of High‐Tech Start‐Ups

In this paper, we investigate what drives the performance of high‐tech start‐ups receiving angel financing, while taking a closer look at the capabilities (i.e., experience) and investment behavior of business angels (BAs). We exploit a new data set (extracted from Crunchbase), which consists of 1,933 high‐tech start‐ups that received at least one financing round from a BA. The results indicate that the experience of BAs in early stage investments is positively associated with additional receipt of follow‐on rounds of financing and sequential capital injections from venture capitalists (VCs). Later‐stage experience is positively associated with the start‐up's success (i.e., probability to be listed or acquired), but reduces the need for new VCs to invest in the start‐up. Furthermore, we find consistent evidence that start‐ups that combine BA and VC financing experience higher levels of funding amounts, additional VC financing, and an improved likelihood of success. Finally, we find that the co‐localization of BA investors and start‐ups in the same area facilitates the attraction of VC financing.     

The drivers of patent transactions: corporate views on the market for patents

In recent years, the proactive management of patents and their exploitation through licensing out and sales transactions have been enhanced by the development of intermediaries and trading platforms. This paper first investigates the main drivers of companies' decisions to engage in patent licensing and sales; then, it examines how improvements in the marketplace for patents and more intense involvement of patent brokers might impact the factors hindering the development of patent transactions. The study's findings are supported by the results found in the scientific literature and by evidence from a survey conducted on a sample of companies involved in patent transactions.     

A Conditional Role-Involved Purpose-Based Access Control Model

This paper presents a conditional role-involved purpose-based access control (CPAC) model, where users dynamically activate conditional roles in accordance with the context attributes. Based on conditional role, access permissions are assigned that represent what can be accessed for what purpose to roles under certain conditions. On the other hand, conditional purpose is applied along with allowed purpose and prohibited purpose in the model. It allows users using some data for certain purpose with conditions (for instance, Tony agrees that his income information can be used for marketing purposes by removing his name). The structure of a CPAC model is defined and investigated. Access purpose is verified in a dynamic behavior, based on user attributes, context attributes, and authorization policies. Intended purposes are dynamically associated with the requested data object during the access decision. An algorithm is developed to achieve the compliance computation between access purposes and intended purposes and is illustrated with role-based access control (RBAC). Access purpose authorization and authentication in the model are studied with the hierarchical purpose structure. The model separates authorization of access purpose from access decision that improves the flexibility of private data control.     

The role of customer loyalty as a brand extension purchase predictor

The paper explores the relationship between customer loyalty to the retail brand and the purchase of non-traditional products and services (NTPS) offered by grocery retailers with their private label (i.e. over-the-counter products, photo printing, mobile communication services and travel booking). Customer loyalty to the retail brand is measured through its behavioral and attitudinal components. A survey was conducted administering a questionnaire to 480 retail customers in two stores belonging to different retail grocers. A binary logistic regression was then applied using the buying of at least one NTPS as the dependent variable (1 = buy; 0 = no buy) and behavioral loyalty and attitudinal loyalty as independent variables. Results show that attitudinal loyalty plays a significant role as buying predictor, but this depends on the NTPS offered. Theoretical and managerial implications are derived.     

Real effects of private equity investments: Evidence from European buyouts

This study investigates the effects of buyout deals on the ex-post performance of target companies. The analysis is based on a sample of 241 private-to-private buyouts involving European companies between 1997 and 2004 and a control sample of non-buyouts selected through a propensity score matching methodology. The paper explores three different dimensions of firm performance: size, profitability and productivity. The results indicate a positive impact of buyouts on the growth of total assets and of employment in target firms in the short- and mid-term. An equivalent clear pattern cannot be identified for productivity, while we estimate a lower operating profitability for buyout companies with respect to the control group three years after a deal is made. When we restrict the analysis to the sub-sample of buyout companies, we find that generalist funds negatively and significantly impact the mean ex-post operating profitability of PE-backed firms, while turnaround specialists are positively associated with operating profitability. The evidence also highlights that target companies whose lead investor is located in the same country show relatively higher ex-post profitability performance.