Volatility and volatility-linked derivatives: estimation,modeling, and pricing

Decisions in Economics and Finance -     

Impact of funding sources on innovation: evidence from Brazilian software companies

This paper aims to investigate the impacts of different sources of innovation funding on company performances in the context of an emerging economy. Brazilian software companies are selected as a case for this investigation. Data – related to the types of funding support received and eight types of company performances measured in binary scales – was collected through an online survey from 188 companies located across Brazil. A multivariate probit model was estimated to assess the impacts of different funding schemes on company performances – controlling for other confounding effects. The findings confirmed the critical importance of public innovation funding, and revealed that companies that: (1) Used public funds were more likely to become nationally competitive; (2) Used loans from commercial banks were less likely to become nationally and internationally competitive; (3) Reinvested revenues were more likely to gain market share, and help in increasing the number of employees; (4) Not aware of public funding schemes were less likely to invest on research, development, and innovation. The overall findings suggest the positive impacts of innovation funds on company performance. They can serve as a policy guide to develop targeted performance strategy to determine which funding scheme would be effective to foster what outcomes.     

International business and human rights: A research agenda

The discussion on business responsibilities for human rights is thriving – although, surprisingly, predominantly outside of the International Business (IB) field. This article introduces business and human rights (BHR) as a research area with great potential for IB scholars. IB scholarship has much to offer when it comes to better understanding the relation between multinational enterprises (MNEs) and human rights. BHR, on the other hand, is a field that can no longer be ignored by IB research if the field is to remain at the forefront of scholarship in globalization-related issues concerning MNEs. Therefore, this perspective article aims at providing guidance to IB scholars interested in engaging in BHR research by tracing common themes and overlaps, and outlining a research agenda that addresses some of the research gaps and open questions in both fields.     

The Great Recession and charitable giving

We examine the impact of the Great Recession on charitable giving. Using the Panel Study of Income Dynamics, we estimate a variety of specifications and find sharp declines in overall donative behaviour that is not accounted for by shocks to income or wealth. These results suggest that overall attitudes towards giving changed over this time period.     

A generalization of the Hull and White formula with applications to option pricing approximation

By means of Malliavin calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the volatility and the noise driving the stock prices are correlated. This extension will allow us to describe the effect of correlation on option prices and to derive approximate option pricing formulas.A previous version of this paper has benefited from helpful comments by two anonymous referees.     

Status in a strange land? Context‐dependent value of status in cross‐border venture capital

Research Summary: While recent literature has depicted status as an intangible asset that is firm‐specific and mobile, we have a limited understanding of whether status confers advantage in a way similar to other intangible assets. This study examines the macro‐structural contingencies that influence the marginal value of firm status as firms expand to new markets. Building on the literatures on status and social approval assets, as well as globalization and international management, we hypothesize that two conditions influence how valuable home‐country status will be in a given host country: the interconnectedness of the home and host countries, and their relative position in the global network. We test our hypotheses in a study of 187 venture capital (VC)‐backed biotechnology ventures in 19 countries between 1990 and 2006. Managerial Summary: Startups typically prefer high‐status VC investors for endorsements, network connections, and resources. One might expect the benefits of high‐status VCs to be even higher when they invest across borders. Yet, we show that status is ingrained in context, and that the performance advantage of partnering with high‐status cross‐border VC firms depends on the relationship between the country of the VC firm and that of the startup. We find that, when the VC industries in the two countries are more connected, the positive effect of cross‐border VC firm status on successful exit is amplified. However, when the VC firm comes from a more central country than the startup, the benefits of VC firm status are less pronounced and vice versa.     

DYNAMIC MONOPOLIST'S BEHAVIOUR AND CONSUMER LEARNING*

This paper studies the features and the welfare properties of the equilibrium in a monopoly model with asymmetric information: consumers can only learn the quality of the good through experience. Because of word-of-mouth communication, cumulated sales help the process of product diffusion. It is proved that usually the profit-maximizing price policy entails a low introductory price, that is gradually increased over time. Output decreases over time, so that, in order to accelerate the process of information diffusion, the monopolist is induced to produce more than he would with perfect information. For the same reason, the quality level could also be above its full information level. Thus, consumers might even benefit from their own lack of information, becauses this induces the monopolist to offer a larger output, possibly of a better quality.     

Using Flexible Taste Distributions to Value Collective Reputation for Environmentally Friendly Production Methods

In this paper, we investigate consumer preferences for various environmentally friendly production systems for carrots. We use discrete choice multi‐attribute stated preference data to explore the effect of the collective reputation of growers from an Alpine valley with an established reputation for its environmentally friendly production: Val di Gresta ‘the valley of organic orchards.’ Data analysis of the panel of discrete responses identifies unobserved taste heterogeneity for organic, biodynamic, and place of origin along with extra variance associated with experimentally designed alternatives. The assumed parametric taste distributions are each tested using the semi‐nonparametric specification proposed by Fosgerau and Bierlaire, while the null of normality cannot be rejected for organic and biodynamic production methods, though it is for the place of origin. The latter is found to be bi‐modal, with modes at each side of zero. The use of a flexible taste distribution increases the plausibility of this form of heterogeneity and it appears promising for future applied studies. Dans le présent article, nous avons examiné les préférences des consommateurs quant à divers systèmes de production écologiques de carottes. Nous avons utilisé des données sur les préférences déclarées, la valeur attendue et les choix discrets pour examiner l'effet de la réputation collective de producteurs dans une vallée alpine réputée pour sa production écologique: Val di Gresta, dite la ?vallée des vergers biologiques?. L'analyse des données de panel discrètes a fait ressortir une hétérogénéité inobservable des goûts quant à la culture biologique, la culture biodynamique et le lieu d'origine ainsi qu’une variance supplémentaire liée à des options expérimentalement conçues. Les distributions paramétriques hypothétiques des goûts sont testées à l'aide de la spécification semi‐non‐paramétique proposée par Fosgerau and Bierlaire (2007), tandis que l'hypothèse nulle de normalité(null of normality) ne peut être rejetée pour les méthodes de production biologique et biodynamique, bien qu’elle le soit pour le lieu d'origine. Cette dernière serait bimodale, avec des modes de chaque côté de zéro. L'utilisation d'une distribution des goûts souple augmente la plausibilité de cette forme d'hétérogénéité et semble prometteuse pour les études appliquées futures.     

The dynamics of switching between governmental and independent venture capitalists: theory and evidence

Small Business Economics - In this paper, we study the switching dynamics between independent VCs (IVCs) and governmental VCs (GVCs) by means of a theoretical model and an empirical analysis. By...     

The Moderating Role of Local vs. Foreign Shopping Context in Consumer Experience

The current study seeks to provide a better understanding of how consumers experience shopping and whether it is contingent on local vs. foreign contexts (i.e., local vs. foreign brand department store). Using data collected by an intercept method with shoppers at a local and foreign brand department store in China, the current study finds that different types of values (i.e., emotional and intellectual) are associated with a local vs. foreign shopping context, which, in turn, affects consumer trust and customer loyalty. Results contribute to consumer experience and branding literature, and suggest that domestic companies should not blindly replicate management and operational practices of foreign companies.