Testing the validity of responses to contingent valuation questioning

One way of assessing the validity of results generated through the application of the Contingent Valuation Method (CVM) is through the analysis of response sensitivity to factors expected to have an influence. Scope testing involves presenting at least two alternative impact scenarios to population sub-samples and testing for differences between the estimates generated. Most applications of the CVM in Australia have not involved scope testing and those that have yielded mixed results. These studies are reviewed. The results of scope sensitivity and other validity tests are presented for a study aimed at estimating the value of environmental damage caused by dryland salinity in the Upper South East of South Australia.     

Hedging of Asian options under exponential Lévy models: computation and performance

In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and delta–gamma hedges in an incomplete market; particular attention is paid to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in the hedging portfolio for the reduction of this risk.     

Finance journal rankings and tiers: An Active Scholar Assessment methodology

This study uses respondent data from a web-based survey of active finance scholars (45% response rate from 37 countries) to endogenously rank 83 finance journals by quality and importance. Journals are further tiered into four groups (A, B, C and D) and stratified into “upper”, “middle” and “lower” tier categories (e.g. A+, A and A−) by estimating a nested regression with random journal-within-tier effects. The comprehensive and endogenous ranking of finance journals based on the Active Scholar Assessment (ASA) methodology can help authors evaluate the strategic aspects of placing their research, facilitate assessment of research achievement by tenure and promotion committees; and assist university libraries in better managing their journal resources. Study findings from active researchers in the field also provide useful guidance to editorial boards for enhancing their journal standing.     

Price‐cap regulation and the scale and timing of investment

This article shows how scale economies affect regulated firms’ investment behavior and welfare‐maximizing regulation of price and quantity. Regulated firms invest in smaller, more frequent, increments than social planners, with greater investment distortions the greater the economies of scale. Regulators cap prices at lower levels than planners when economies of scale are moderate, and at higher levels when they are substantial. When quantity is also regulated, the average cost of building capacity increases but the price cap decreases. Immediately after firms make their initial investment, regulators want to transfer surplus from customers to shareholders by raising the price cap to induce additional investment.     

Analysing the role of sustainable development indicators in accounting for and constructing a Sustainable Scotland

The main objective of this paper was to analyse how sustainable development indicators impacted upon the integration of sustainable development into the governing of Scotland. A major concern was whether an accounting technology could represent this complex multi-dimensional and interdisciplinary concept. We analysed the relationship between the official sustainable development strategy of the Scottish Executive and the associated indicator set using an analytics of government framework (Dean, M. (1999). Governmentality: Power and rule in modern society. London: Sage Publications. Dean, M. (2007). Governing societies. Berkshire: Open University Press). We observed a lack of alignment between these sustainable development indicators and the visions, fields of visibilities, forms of knowledge and techniques of government contained in this strategy. Critical aspects of this strategy were omitted from the indicator set and we argue that these indicators did not to effectively measure progress towards a Sustainable Scotland but that they could calculatively capture and distort the sustainable development governing process. The analytical framework used allowed us to problematise these indicators and contribute to a wider discourse on the composition and nature of sustainable development indicators.     

Estimating unobservable valuation parameters for illiquid assets

A problem that often arises in applied finance is one where decision‐makers need to choose a value for some parameter that will affect the cash flows between two parties involved in the operation of an illiquid asset. Because the values of the cash flows also depend on various unobservable parameters, identifying the value of the policy parameter that achieves the desired allocation between the parties is no simple task, often resulting in disputes and the invocation of ad hoc approaches. We show how this problem can be solved using an extension of the well‐known ‘implied volatility’ technique from option pricing, and apply it to the determination of equilibrium rental rates on ground leases of commercial land.     

Postcards from the Front: Changing narratives in UK financial services

This paper seeks to explore the methodological difficulties that confront those who would seek to explain, to account for and to intervene in social affairs. Noting the predominance of ‘behaviourist’ and ‘cognitivist’ accounts of the change process and the, recent, development of ‘narrative’ alternatives we reflect upon the craft of academic writing and upon the creative choices that fabricate our worlds and our understanding. Taking the Financial Services Authority (FSA) as our example we attempt to reveal the manner in which particular authorial strategies, that remain submerged with ‘behaviourist’ and ‘cognitivist’ accounts of change, precipitate distinctive forms of policy and action in the arena of financial services. Yet we also suggest that ‘narrative’ accounts of change, which base their authority on primary research, similarly, tend to downplay the political and poetical choices that shape their elaborations because they portray ‘context’ as natural and self-evident. By revealing the authorial strategies that shape our appreciation of ‘context’ and the organized world, more generally, we hope to encourage further reflection on the application of narrative approaches, and so, further discussion of the regulation of financial services. Through such analytical processes we aim to precipitate a ‘reciprocal’ appreciation of the problems associated with accounting for the lives and experiences of others.