Does informed trading occur in the options market? Some revealing clues

This paper analyses the relationship between proxy variables for informed trading in the options market and a set of exogenous news variables. The aim was to test directly for the presence or absence of informed trading in the options market and for the possible impact of this trading on underlying asset prices. Our findings reveal that potential informed trading in options markets is channelled basically through out‐of‐the‐money options, except for volatility trading which mainly involves at‐the‐money options because of their liquidity. In both cases, we have found evidence in favour of investors’ strategic fragmentation of transactions into intermediate size trades (stealth trading). Finally, it is shown that lack of consensus among agents also generates increased trading, particularly in out‐of‐the‐money and at‐the‐money options.     

Modelling electricity prices: a time change approach

To capture mean reversion and sharp seasonal spikes observed in electricity prices, this paper develops a new stochastic model for electricity spot prices by time changing the Jump Cox-Ingersoll-Ross (JCIR) process with a random clock that is a composite of a Gamma subordinator and a deterministic clock with seasonal activity rate. The time-changed JCIR process is a time-inhomogeneous Markov semimartingale which can be either a jump-diffusion or a pure-jump process, and it has a mean-reverting jump component that leads to mean reversion in the prices in addition to the smooth mean-reversion force. Furthermore, the characteristics of the time-changed JCIR process are seasonal, allowing spikes to occur in a seasonal pattern. The Laplace transform of the time-changed JCIR process can be efficiently computed by Gauss–Laguerre quadrature. This allows us to recover its transition density through efficient Laplace inversion and to calibrate our model using maximum likelihood estimation. To price electricity derivatives, we introduce a class of measure changes that transforms one time-changed JCIR process into another time-changed JCIR process. We derive a closed-form formula for the futures price and obtain the Laplace transform of futures option price in terms of the Laplace transform of the time-changed JCIR process, which can then be efficiently inverted to yield the option price. By fitting our model to two major electricity markets in the US, we show that it is able to capture both the trajectorial and the statistical properties of electricity prices. Comparison with a popular jump-diffusion model is also provided.     

On the Collapse of Historical Civilizations

To explain the collapse of historical civilizations, scholars typically point to suboptimal behaviors including misunderstanding the natural environment, shortsightedness, or a lack of institutions. We examine the collapse of four historical societies with a model of endogenous population growth and renewable resources employing components of optimal resource management, economic growth theory, and the moral philosophy of social welfare function choice. We find that these collapses may have been socially optimal. Further, we show that the transient behavior of the system is more sensitive to assumptions than the equilibrium behavior and that focusing solely on equilibria may miss key insights.     

The Brazilian bankruptcy law experience

In early 2005, the Brazilian Congress approved a new bankruptcy law. The new legislation increased creditor protection and improved the efficiency of the bankruptcy system. This paper evaluates the empirical consequences of a bankruptcy reform on a poorly developed credit market. Using data from Brazilian and non-Brazilian firms, we estimated, using two different models, the effect of the bankruptcy reform on contractual and non-contractual debt variables. In general, both models yielded similar results. Concerning contractual debt variables, we found a significant increase in the total amount and the long-term debt and a reduction in the cost of debt. For the non-contractual debt variable, we found no effect in the loans’ ownership structure.     

Happiness perception in Spain,a SEM approach to evidence from the sociological research center

Quality & Quantity - In the current study, we examined the relationship between perceived person happiness and factors that influence this perception, also, is inferred that life satisfaction...     

A discrete choice experiment to assess patients’ preferences for HIV treatment in the urban population in Colombia

Abstract

Aim: This study aimed to assess patients’ preferences for HIV treatment in an urban Colombian population.

Methods: A Discrete Choice Experiment (DCE) was conducted. Urban Colombian HIV patients were asked to repetitively choose between two hypothetical treatments that differ in regard to five attributes ‘effect on life expectancy’, ‘effect on physical activity’, ‘risk of moderate side effects, ‘accessibility to clinic’ and ‘economic cost to access controls’. Twelve choice sets were made using an efficient design. A Mixed Logit Panel Model was used for the analysis and subgroup analyses were performed according to age, gender, education level and sexual preference.

Results: A total of 224 HIV patients were included. All attributes were significant, indicating that there were differences between at least two levels of each attribute. Patients preferred to be able to perform all physical activity without difficulty, to have large positive effects on life expectancy, to travel less than 2?h, to have lower risk of side-effects and to have subsidized travel costs. The attributes ‘effect on physical activity’ and ‘effects on life expectancy’ were deemed the most important. Sub-analyses showed that higher educated patients placed more importance on the large positive effects of HIV treatment, and a more negative preference for subsidized travel cost (5% level).

Limitations: A potential limitation is selection bias as it is difficult to make a systematic urban/rural division of respondents. Additional, questionnaires were partly administered in the waiting rooms, which potentially led to some noise in the data.

Conclusions: Findings suggests that short-term efficacy (i.e. effect on physical activity) and long-term efficacy (i.e. effect on life expectancy) are the most important treatment characteristics for HIV urban patients in Colombia. Preference data could provide relevant information for clinical and policy decision-making to optimize HIV care.     

A discrete choice experiment to assess patients’ preferences for HIV treatment in the rural population in Colombia

Abstract

Aim: To elicit patients’ preferences for HIV treatment of the rural population in Colombia.

Methods: A discrete choice experiment (DCE), conducted in a HIV clinic in Bogotá, was used to examine the trade-off between five HIV treatment attributes: effect on life expectancy, effect on physical activity, risk of moderate side-effects, accessibility to clinic, and economic costs to access controls. Attributes selection was based on literature review, expert consultation and a focus group with six patients. An efficient experimental design was used to define two versions of the questionnaire with each of 12 choice sets and a dominance task was added to check reliability. A mixed logit model was then used to analyse the data and sub-group analyses were conducted on the basis of age, gender, education, and sexual preference.

Results: A total of 129 HIV patients were included for analysis. For all treatment attributes, significant differences between at least two levels were observed, meaning that all attributes were significant predictors of choice. Patients valued the effect on physical activity (conditional relative importance of 27.5%) and the effect on life expectancy (26.0%) the most. Sub-group analyses regard age and education showed significant differences: younger patients and high educated patients valued the effect on physical activity the most important, whereas older patients mostly valued the effect on life expectancy and low educated patients mostly valued the accessibility to clinic.

Limitations: One potential limitation is selection bias, as only patients from one HIV clinic were reached. Additionally, questionnaires were partly administered in the waiting rooms, which potentially led to noise in the data.

Conclusions: This study suggests that all HIV treatment characteristics included in this DCE were important and that HIV patients from rural Colombia valued short-term efficacy (i.e. effect on physical activity) and long-term efficacy (i.e. effect on life expectancy) the most.     

Cost of doing business index in Latin America

Quality & Quantity - The World Bank's Ease of Doing Business Index (EDBI) has been widely used in analyzes of attracting investments and formulating public policies. Despite its importance...     

How do business schools compete in Latin America? Stability and best predictors of success for the AmericaEconomia MBA Ranking

ABSTRACT

The main aim of this paper is to present a longitudinal analysis of the AmericaEconomia MBA Ranking for the period 2005–2014. AmericaEconomia was the first international ranking specifically devoted to Latin American business schools, and with data gathered from this publication, we build a panel to study its stability and the main determinants of a school‘s position in such ranking. We examine the reliability of the ranking, that is whether changes in the relative positions are not just due to white noise, and compare its stability with those of the US and other global rankings. We also empirically determine which are the key quality variables this ranking is promoting for Latin America Business Schools and the evolution of these business schools during the period under study. Unlike previous literature that usually considers dynamic Tobit models for ranking analysis, we put forwards an alternative methodology based on a system GMM estimator with first-differenced instruments. We argue that dynamic Tobit models are appropriate only if you have truncated data about the ranking variable but full data on Business Schools variables.     

Nature of transfers,income tax function and empirical estimation of elasticity of taxable income for Brazil

This article aims to estimate the elasticity of taxable income (ETI), taking into account the nature of transfers and their use as a redistribution package (involving cash and in-kind transfers) to households in Brazil. Our contributions are twofold. First, we provide a simple model with balanced-budget government that reveals the role played by cash and in-kind transfers on the labour supply (and income tax revenues thereof). Next, in order to estimate ETI in the presence of cash and in-kind transfers, Brazilian population surveys (Pesquisa Nacional por Amostra de Domicílios [PNAD]) are used to explore a limited tax reform that was implemented between 1997 and 1998. This reform only affected the higher income tax bracket. Our findings suggest that in-kind (cash) transfers are positively (negatively) associated with reported taxable income and precise estimation of ETI requires estimates of both types of transfers. Last, we estimate the ETI for Brazil in the range from 0.4 to 1.3 not different from those that maximize income tax revenues.