Level of Coherence Among Ethics Program Components and Its Impact on Ethical Intent

Journal of Business Ethics - Three ethics program components, a code of ethics, ethics training initiatives and ethics-oriented performance appraisal content, were examined for their relationship...     

Legal dispossession and civil war in Colombia

How are institutions that regulate property rights related to the massive coercive dispossession of land that took place during the Colombian conflict? How did the workings of these institutions change during the conflict? We answer these questions through an analysis of a unique data set of rulings on land restitution issued between 2012 and 2015. The paper argues that the exclusionary nature of the institutions that regulate the access and assignment of property rights preceded the onset and escalation of the Colombian conflict, but shows how and why once the conflict began, the set of techniques used to promote coercive dispossession through those institutions could be significantly broadened and escalated. By doing so, it intends to advance the knowledge of how institutions are transformed, in this case in a deeply anti‐egalitarian and violent sense, during war.     

Active investment strategies in the Spanish futures market: a solution to avoid data snooping bias

This article provides a solution to avoid the data snooping problem in the implementation of active investment strategies in the Spanish financial futures markets. The work sets out to evaluate the results obtained with optimum active investment strategies, grounded in the use of exponential moving averages, and to determine their consistency in periods subsequent to those for which they were obtained. To this end, prices were used with data of different time frequencies, different periods for calculating moving averages and different time ranges. In global terms, the differences between the yield of these active strategies and those of a passive nature are statistically significant. The weak efficient market hypothesis is, therefore, rejected for trading in futures on the IBEX-35 stock market index.     

Volatility persistence,long memory and time-varying unconditional mean: Evidence from 10 equity indices

This paper re-examines evidence of volatility persistence and long memory in the light of potential time-variation in the unconditional mean of the volatility series. Daily equity volatility is generally regarded as exhibiting long memory, however, recent evidence has suggested that long memory may be a spurious finding arising from neglected breaks or time-variation in unconditional variance. The results presented here suggested that long memory is apparent when analysed on the assumption that unconditional variance is constant. However, both breakpoint tests and a moving average application suggest that unconditional variance exhibits substantial, although slow moving, time-variation. The apparent long-memory property largely disappears when this time-variation is taken into account. A modification of the GARCH model to allow for mean variation generates improved volatility forecasting performance, but only over long horizon. At the daily level the assumption of a constant unconditional variance does not seem to affect forecasts.     

International Trade Policy towards Monopoly and Oligopoly*

This paper highlights the importance of product differentiation and endogenous R&D in determining the optimal R&D policy, in a model where investment in cost‐reducing R&D is committed before firms compete in a differentiated‐goods third‐country export market. R&D is always taxed in oligopolies for high degrees of product differentiation. For lower degrees of product differentiation the duopoly is subsidized or the government remains inactive. In contrast, the monopoly is always subsidized. The government with a duopoly may be active or inactive depending on the degree of product differentiation. Thus, we may observe a reversal in the sign of the optimal R&D policy if the degree of product differentiation changes or, alternatively, if there is a change in the number of firms. Similar qualitative results hold if trade policy uses output subsidies, instead of R&D promotion.     

Audit quality and the going-concern decision-making process: Spanish evidence

In this study, we attempt empirically to investigate the relationship between audit quality and the probability that a financially distressed company would receive a going-concern opinion. Auditor decision-making in the presence of going-concern uncertainties may be characterized as a two-stage process. The first stage is the identification of a potential going-concern problem and the second stage is to determine whether the particular company should receive a qualified going-concern opinion. A sample of 1,199 non-financial Spanish company-years has been obtained from the database issued by the Stock Exchange National Commission for the fiscal years ending between December 1991 and December 2000. The results indicate that audit quality (measured by the auditor's level of independence and knowledge) affects the probability that a financially distressed company would receive a going-concern opinion. This probability is influenced not only by the auditor's ability to detect financial uncertainties, but also by the auditor's decision-making as to what type of opinion should be finally issued.     

The Effect of Web-Based Information Availability on Consumers' Processing and Attitudes

Most companies use their websites to promote themselves, their products, and their services; these sites provide ever-increasing amounts of information. This paper examines the effects of the amount of information provided on a website on consumers' processing and attitudes. We propose that the amount of information has differential effects on consumers' information processing and attitudes. The influence of need for cognition is also examined. In our study, we create an experimental website with three versions, with each version providing different amounts of information. Results indicate that while information processing diminishes under high levels of information, attitudes remain favorable. In addition, the individual's need for cognition moderates the influence of the amount of information on both consumer information processing and attitudes.     

CAPM and Option Pricing With Elliptically Contoured Distributions

This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling asset returns. The class of elliptically contoured distributions, which includes the more familiar Normal distribution, provides flexibility in modeling the thickness of tails associated with the possibility that asset returns take extreme values with nonnegligible probabilities. As summarized in this article, this class preserves several properties of the Normal distribution. Within this framework, we prove a new version of Stein's lemma for this class of distributions and use this result to derive the CAPM when returns are elliptical. Furthermore, using the probability distortion function approach based on the dual utility theory of choice under uncertainty, we also derive an explicit form solution to call option prices when the underlying is log‐elliptically distributed. The Black–Scholes call option price is a special case of this general result when the underlying is log‐normally distributed.