Nonparametric estimation for a stochastic volatility model

Consider discrete-time observations (X _{? δ} )_1≤?≤n+1 of the process X satisfying $dX_{t}=\sqrt{V_{t}}dB_{t}Consider discrete-time observations (X _{ℓ δ} )_{1≤ℓ≤n+1} of the process X satisfying dX_t=?{V_t}dB_tdX_{t}=\sqrt{V_{t}}dB_{t} , with V a one-dimensional positive diffusion process independent of the Brownian motion B. For both the drift and the diffusion coefficient of the unobserved diffusion V, we propose nonparametric least square estimators, and provide bounds for their risk. Estimators are chosen among a collection of functions belonging to a finite-dimensional space whose dimension is selected by a data driven procedure. Implementation on simulated data illustrates how the method works.     

Inter-market competition for NYSE-listed securities under decimals

Blume and Goldstein (J Finance 52:221–244, 1997) suggest that quote competition between trading venues may diminish following tick size reductions. We test this suggestion by studying the competitive landscape in the NYSE-listed stocks before and after decimalization. We find that NBBO (National Best Bid and Offer) participation by non-NYSE venues declines following decimalization consistent with the prediction. At the same time, the importance of quote competitiveness in attracting order flow increases. In addition, although not as active in determining and maintaining the best quotes under decimals, non-NYSE venues become more active in price discovery. Finally, decimalization leads to lower trading costs and to smaller differences in trading costs across trading venues.     

Bank mergers and components of risk: An evaluation

The present study empirically examines the contribution of the acquired banks in only the nonconglomerate types of mergers (i.e., banks with banks), where the bulk of the payment is in the form of equity to the acquiring bank and finds overwhelmingly statistically significant evidence that nonconglomerate types of mergers definitely reduce the total as well as the unsystematic risk while having no statistically significant effect on systematic risk. Therefore, it seems that diversification may be a possible motive for bank mergers.     

Optimal solutions of multiplier DEA models

Journal of Productivity Analysis - Conventional models of data envelopment analysis (DEA) are based on the constant and variable returns-to-scale production technologies. Any optimal input and...     

Reliable Inference in Categorical Regression Analysis for Non‐randomly Coarsened Observations

In most surveys, one is confronted with missing or, more generally, coarse data. Traditional methods dealing with these data require strong, untestable and often doubtful assumptions, for example, coarsening at random. But due to the resulting, potentially severe bias, there is a growing interest in approaches that only include tenable knowledge about the coarsening process, leading to imprecise but reliable results. In this spirit, we study regression analysis with a coarse categorical‐dependent variable and precisely observed categorical covariates. Our (profile) likelihood‐based approach can incorporate weak knowledge about the coarsening process and thus offers a synthesis of traditional methods and cautious strategies refraining from any coarsening assumptions. This also allows a discussion of the uncertainty about the coarsening process, besides sampling uncertainty and model uncertainty. Our procedure is illustrated with data of the panel study ‘Labour market and social security' conducted by the Institute for Employment Research, whose questionnaire design produces coarse data.     

An Investigation of Justice in supply chain relationships and their performance impact

Justice is important in improving performance of supply chain relationships. However, the role of justice in improving performance in supply chain relationships is an under-investigated subject in the literature. In studying the joint impact of justice dimensions, the traditional assumption is that the three forms of justice interact with each other in a multiplicative manner. However, this assumption creates a managerial problem as discussed in this paper. We outline a different view of how the justice dimensions interact with one another utilizing the constraining factor model (CFM). We show that the CFM resolves some of the problems arising from the choice of multiplicative interaction of justice measures on performance. Specifically, we demonstrate that an increase in procedural, distributive or interactional justice results in a significant and positive improvement in performance only if the specific justice dimension is the constraining factor in the relationship. Overall, our analysis suggests that all three dimensions are important and a high level of one of the justice elements will not compensate for a low level of another, a view that is put forward by a number of past research studies in justice. We discuss the theoretical and managerial implications of our findings.     

Endogeneity and the relationship between board structure and firm performance: a simultaneous equation analysis for the Athens Stock Exchange

The main goal of this paper is to examine the relationship between the three most important characteristics of the board of directors with firm performance. More specifically, we investigate whether the independence of the board, the leadership structure and the board size, are exogenous determinants to the firm's performance, using a simultaneous equations framework. Our database is composed of firms quoted in the ASE, starting from 146 observations in 2000 and ending with 232 firms in 2006. The findings suggest that the board independence and the leadership structure do not affect the firm performance. On the other hand, an inverse relationship between board size and firm performance is observed. Copyright © 2010 John Wiley & Sons, Ltd.     

Family income and children's education: Using the Norwegian oil boom as a natural experiment

Parental income is positively correlated with children's educational attainment. This paper addresses the causality of this observed link. We have a unique data set for Norwegians born in the period 1967–1969, with a measure of permanent family income in the children's adolescence. This enables us to examine the long-term effect of family income on children's educational attainment. The Norwegian oil shock in the 1970s is used as an instrument, because this – in some regions but not in others – implied a general increase in income unrelated to parents' abilities. This variation in income is used to estimate the causal effect of family income on children's educational attainment. We find no such causal relationship. This result is robust with respect to different specification tests.