The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

We measure the volatility information content of stock options for individual firms using option prices for 149 US firms and the S&P 100 index. We use ARCH and regression models to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For 1-day-ahead estimation, a historical ARCH model outperforms both of the volatility estimates extracted from option prices for 36% of the firms, but the option forecasts are nearly always more informative for those firms that have the more actively traded options. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than the historical volatility for 85% of the firms. However, at-the-money implied volatilities generally outperform the model-free volatility expectations.     

Visual representation of knowledge networks: A social network analysis of hospitality research domain

Intellectual relationships and collaboration networks are the basis for the development of a knowledge domain. The visual representation of such “knowledge networks” contributes to the overall understanding of intellectual collaborations in a particular knowledge domain. Based on the co-authorship data from recent journal publications over a period of five years, the authors applied social network analysis to explore the network structures and identify their network properties in the hospitality research domain. The analysis revealed the core and peripheral networks where the power law distribution was observed on the pattern of publishing academic papers. The overall network was further examined by nine research streams in both “global” and “contextual” views to understand a broad variety of the collaboration patterns of hospitality researchers.     

Coalition governments in a model of parliamentary democracy

We analyse a model of coalition government in a parliamentary democracy where parties care both for ideology and perks from office, and examine how the magnitude of this tradeoff affects the nature of coalitions that form. It is shown that equilibrium coalitions can be minimal winning, minority or surplus and they may be ideologically disconnected. The types of coalitions that emerge depend upon the relative importance of rents from office and the distribution of party ideologies. Further, there is a non-monotonic relationship between ideological connectedness of coalitions and rents from office.     

Ethnic Networks and US Exports*

This paper provides new estimates of the effects of ethnic networks on US exports. In line with recent research, our dataset is a panel of exports from US states to 29 foreign countries. Our analysis departs from the literature in two ways, both of which show that previous estimates of the ethnic‐network elasticity of trade are sensitive to the restrictions imposed on the estimated models. Our first departure is to control for unobserved heterogeneity with properly specified fixed effects, which we can do because our dataset contains a time dimension absent from previous studies. Our second departure is to remove the restriction that the network effect is the same for all ethnicities. We find that ethnic‐network effects are much larger than has been estimated previously, although they are important only for a subset of countries.     

Customer share,value, and business success

Two books on strategies that are likely to shape business success in the twenty‐first century are reviewed. One is about a change in focus by marketers from pursuing a share of the market to going after a share of the customers' total spending money. The other is a collection of research articles by faculty at leading business schools on how entrepreneurial marketers might address the business challenges of the new millennium with effective strategies that create value for customers. © 2005 Wiley Periodicals, Inc.     

The role of money demand functions in one-sector growth models

This paper shows that the assumption made regarding the functional form of the demand for money has a crucial role in determining the effect of the rate of inflation on the steady-state capital intensity in a one-sector monetary growth model. It is also indicated that by introducing money into a growth model, which assumes a fixed coefficient technology production function and a homogeneous savings function, a long-run instability problem can be avoided, irrespective of the form of the money demand function.     

Hispanic-Americans,Mobile Advertising and Mobile Services

The literature on marketing to Hispanics and the use of mobile-based marketing methods continues to grow. However, to our knowledge, no research has been published on Hispanic use and acceptance of mobile marketing channels; this research addresses that gap. The study investigates various aspects of mobile channel services including advertising among Hispanic-Americans and non-Hispanic-Americans. The results indicate significant differences between Hispanic-Americans and others in the usage of mobile services, satisfaction with mobile services, and attitudes toward mobile advertising, as well as within Hispanic-Americans based on their strength of ethnic identification. The managerial and theoretical implications are discussed.     

Mandatory audit partner rotation,audit market concentration,and audit quality: Evidence from China

This research examines the audit quality consequences of China's mandatory audit partner rotation (MPR) regulation, which became effective in 2004. The rule requires firms to rotate signing audit partners of audit reports every five years. We find that audit quality improves in the three years immediately following a client firm's MPR during the 2004–2011 period for a sample of 273 Chinese publicly listed firms. Specifically, we find that the improvement is most pronounced in those Chinese provinces with both low levels of audit market concentration and low levels of legal development. However, MPR does not improve audit quality in jurisdictions where legal conventions are more developed and/or where audit markets are highly concentrated with a handful of large audit firms dominating the market.     

Non-market economic valuation in developing countries: Role of participant observation method in CVM analysis

Developing countries have high proportion of black money and related corruption in the society in comparison to the developed ones. This aspect has to be kept in mind while conducting contingent valuation method (CVM) questionnaire survey (in-person) at the site whose economic valuation is being done. Participant observation method (POM) and unstructured interview schedule (UIS) are the two means, which must be used in addition to structured interview schedule during CVM studies in developing countries to arrive at a reasonable non-market economic valuation figure of an environmental amenity. It has been observed that researchers generally ignore this fact during survey for primary data collection among respondents who are quite well off, educated and belong to countries of huge parallel economy. However in the present study, we have utilized these two means during primary data collection for a CVM study and reached the conclusion that CVM has to be used with caution even among educated masses in the developing countries.