Valuation of VIX derivatives

We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations with a time-varying central tendency, jumps, and stochastic volatility, analyse their pricing performance, and implications for term structures of VIX futures and volatility “skews.” We find that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices VIX derivatives. We also uncover a significant risk premium that shifts the long-run volatility level.     

Determinants of website traffic: the case of European fashion apparel retailers

The globalization process together with the extraordinary growth in the use of Internet offer firms new growth opportunities. Retail firms are using a multichannel approach, involving the Internet, in their internationalization strategies. Website traffic as measured by unique users and online awareness is among the measures for assessing the success of the online channel. There is little evidence, however, linking website traffic and the characteristics of the retail multichannel internationalization process. In order to fill this gap, this paper analyses the factors explaining the retailer's international website traffic. Website traffic data for a sample of European fashion apparel retailers are modelled as dependent on characteristics of the organization and of its physical and virtual internationalization strategy. Following the results of several linear regression models, we infer the complementarity of online and offline channels in the international operation, as well as the contribution of social networks as traffic generators.     

Complementary Resources and Capabilities for an Ethical and Environmental Management: A Qual/Quan Study

Managers’ commitment to contribute to sustainable development holds the key to their long-term business success and may be a source of competitive advantage. The managerial perception of business ethics is influenced by the level of moral development and personal characteristics of managers. These perceptions are also shaped by forces existing in the environment of the firm, including available resources, societal expectations, sector, and regulations. The resource-based perspective can thus contribute to the analysis of ethical issues offering important insights on how they can influence the environmental strategy of the firm. The findings of this study show that firm resources have a strong influence on business managers’ ethical attitudes. In addition, the application of resource-based rationales to ethical issues can be justified in the following several ways: it influences a managerial perception of natural environment as a competitive opportunity, it requires investments of financial and human resources, flexibility and speed in the adaptation to environmental changes, and it creates new resource-based opportunities through changes in prevention pollution technology, policy process, and market forces.     

QUALITY MARKET ORIENTATION: Tourist Agencies’ Perceived Effects

This paper analyzes the effects of market orientation from two perspectives. First, its direct influences on tourist agencies’ perceived performance, and its indirect ones on performance through the perceived value of market information. Second, direct effects on the perceived service quality offered by the firm and indirect influences derived from the utilization of quality measurement systems are analyzed. Hypothesized relationships are tested in an empirical study of tourist managers. Research findings confirm the proposed relationships, except the influence of using quality measurement systems on service. A positive direct influence between perceived service quality and performance is also analyzed and confirmed.     

An autonomous multi-agent approach to supply chain event management

Organizations have made a significant effort to implement software for planning and scheduling, but disruptive event management is still a problem to be solved. Since a disruptive event can affect the overall performance of the supply chain, SCEM (Supply Chain Event Management) systems presenting different automation levels such as monitoring, alarm and decision support have been proposed. However, the management of disruptive events, taking into account the distributed nature of the supply chain, the members' autonomy and the ability to exert corrective control actions, has been identified as a problem that requires further research. This work presents an agent-based approach for the SCEM problem, which can perform autonomous corrective control actions to minimize the effect of deviations in the plan that is currently being executed. These control actions consist of a distribution of the variation between supply chain members, using the plan's slack in a collaborative way. An innovative feature of this approach is its focus on resources, which are affected by disruptive events in a direct way. Based on this approach, a SCEM system is designed as a net of control points defined on resources connected through supply process orders. Two novel aspects are the distributed collaborative inter-organizational architecture of the SCEM system and a Double Contract Net Protocol. This protocol allows a set of resource:representing agents to interact through an agent, representing a supply process order as a mediator. An application to a case study of the Multi-Agent SCEM system implemented with JADE is provided.     

Developmental management: Theories,methods, and applications in entrepreneurship,innovation, and sensemaking

This paper summarizes the best papers of the Global Innovation and Knowledge Academy (GIKA) conference, which took place in July 2013 in Valencia, Spain. The Journal of Business Research has published a special issue entitled “Developmental management: Theories, methods, and applications in entrepreneurship, innovation, and sensemaking”. All of them went through many rounds of double-blind reviews and revisions. Theories, methods, and applications are the three pillars to solve the issues in entrepreneurship, innovation, and sensemaking. Entrepreneurship contributes to the quality and future hopes of a sector, economy or even a country. The role of the entrepreneurs is crucial in creating value. Innovation has become important as the global economy seeks to escape from a period of major recession. In organizations, sensemaking consists of cognitive strategies for interpreting reality. It is interesting to examine how these three issues interacting with each other. And these papers contribute to various perspectives of these interactions in different countries.     

Creative Destruction as Economic Pattern of Europe＇s Small-Scale Audiovisual Media Markets and Minority-Language Film Industries

The small cinematography model as well as its incorporation into creation of the European digital space emerges as a paradigm of the creative destruction phenomenon in the way that Sombart spoke about and, afterwards, Schumpeter disseminated it seven decades ago. Working from this perspective, the University of Santiago de Compostela （USC）＇ audiovisual research group has been looking for the barriers the small cinema in original version must overcome and has even tested some of its findings in different geopolitical areas such as Lusophony,