Mean-reversion properties of implied volatilities

In this paper, we present a new stylized fact for options whose underlying asset is a stock index. Extracting implied volatility time series from call and put options on the Deutscher Aktien index (DAX) and financial times stock exchange index (FTSE), we show that the persistence of these volatilities depends on the moneyness of the options used for its computation. Using a functional autoregressive model, we show that this effect is statistically significant. Surprisingly, we show that the diffusion-based stochastic volatility models are not consistent with this stylized fact. Finally, we argue that adding jumps to a diffusion-based volatility model help recovering this volatility pattern. This suggests that the persistence of implied volatilities can be related to the tails of the underlying volatility process: this corroborates the intuition that the liquidity of the options across moneynesses introduces an additional risk factor to the one usually considered.     

Toward a capability‐based conceptualization of business model innovation: insights from an explorative study

Although business model innovation (BMI) is more and more being acknowledged as key strategic task, current research is missing a conceptualization of core elements and relevant organizational capabilities. These research gaps impede a full theoretical understanding and a systematic and purposeful managerial application. By drawing on dynamic capability literature, this study addresses the question of how firms systematically and purposefully pursue BMI. Empirical analysis is based on six case studies in the specialized publishing industry, in which technological change has triggered numerous opportunities for new business models. The findings demonstrate that BMI can be conceptualized as a distinct dynamic capability. This capability can be disaggregated into a firm's capacity to sense business model opportunities, seize them through the development of valuable and unique business models, and reconfigure the firms' competences and resources accordingly. The present study outlines how distinct organizational routines and processes undergird these capacities. A conceptualization as dynamic capability contributes to a theoretical underpinning of BMI by integrating previously discussed dimensions of this phenomenon. Moreover, managers can gain concrete guidelines about how to systematically and purposefully approach BMI.     

Does female management influence firm performance? Evidence from Luxembourg banks

In this study, we examine the relationship between the proportion of women in top management positions at banks and these institutions’ financial performance. Using prudential data from supervisory reporting for all credit institutions in the Grand Duchy of Luxembourg from 1999 to 2013, we find a positive association between female management and firm performance. The economic effect is substantial: a 10 % increase in women in top management positions improves the bank’s future return on equity by more than 3 % p.a. Moreover, we show that this positive relationship is (i) almost twice as large during the global financial crisis than in stable market conditions and (ii) non-linear, with banks having 20–40 % female management being the most successful.     

Inflationsziel und Inflationsmessung in der Eurozone im Wandel

Wirtschaftsdienst - Viele Menschen im Euroraum haben zunehmend das Gefühl, dass der allgemeine Kaufkraftverlust des Geldes sehr viel höher ist als die offiziell gemessenen...     

The role of coalitions at international tariff negotiations: a CGE perspective

Review of World Economics - Developing countries coalitions form an integral part of tariff negotiations that take place under the aegis of the World Trade Organization. While there was only a...     

Why some are more equal: Family firm heterogeneity and the effect on management’s attention to CSR

Research at the family firm–Corporate Social Responsibility (CSR) nexus lacks agreement about whether family firms are more or less socially responsible than their non‐family counterparts, which leads discussion relating to the bright and dark side of socioemotional wealth (SEW). We add to this ongoing debate in two different ways. First, we build on family firm heterogeneity and argue for a gray side to SEW, located between the bright and dark sides that is dependent upon the kind of family firm ownership. Second, we assume that prior research on a diverse set of CSR behaviors may, to some extent, explain the contradicting results; thus, we propose going back a step and focusing on management’s attention to CSR as an important antecedent of CSR behavior. By analyzing the letters to the shareholders of German HDAX firms from 2003 to 2012, this study finds that family ownership positively affects management’s attention to CSR, mainly driven by founders and family foundations. The research adds to our understanding of the family firm–CSR nexus by scrutinizing the role SEW plays in management’s attention to CSR when it comes to family firm heterogeneity.     

That Sounds Sweet: Using Cross‐Modal Correspondences to Communicate Gustatory Attributes

Building on existing research into sound symbolism and cross‐modal correspondences, this article proposes that cross‐modal correspondences—systematic mappings between different sensory modalities—can be used to communicate nonmusical, low‐level sensory properties such as basic tastes through music. A series of three experiments demonstrates that cross‐modal correspondences enable people to systematically encode basic taste properties into parameters in musical space (Experiment 1), and that they are able to correctly decode basic taste information embedded in complex musical compositions (Experiments 2 and 3). The results also suggest some culture‐specificity to these mappings, given that decoding performance, while still above chance levels, was lower in Indian participants than in those from the United States (Experiment 3). Implications and potential applications of these findings are discussed.     

How Can We Better Understand Current and Future Workforce Values in the Global Business Environment?

Our study tested the predictive power of socioeconomic development theory and age differences theory to explain work values across cultures and across age groups. We compared the values orientations of future managers, business students under the age of 25, with those of current managers and professionals, who we split into three decade groups (30 to 39, 40 to 49, and 50 to 59). Our respondents (n = 1,518) come from six diverse societies: Brazil, Germany, Indonesia, Russia, the United States, and Vietnam. Our findings indicate that both theories contribute to our understanding of work values and behaviors. One implication is that while socioeconomic development theory makes an important contribution, it is clearly not sufficient by itself to explain work values/behavior differences in the global context. The study findings and the discussion of them will hopefully provide multinational managers with a clearer assessment of current and future workforce values/behavior. © 2012 Wiley Periodicals, Inc.     

Wird die Konjunkturkomponente der Schuldenbremse ihrer Aufgabe noch gerecht?

Wirtschaftsdienst - In der Debatte um die Schuldenbremse geht es zumeist um eine Grundgesetzänderung. Dabei ist ein wesentlicher Teil der Schuldenbremse — die Konjunkturkomponente,...