Variance swaps valuation under non-affine GARCH models and their diffusion limits

In this article, we investigate the pricing and convergence of general non-affine non-Gaussian GARCH-based discretely sampled variance swaps. Explicit solutions for fair strike prices under two different sampling schemes are derived using the extended Girsanov principle as the pricing kernel candidate. Following standard assumptions on time-varying GARCH parameters, we show that these quantities converge respectively to fair strikes of discretely and continuously sampled variance swaps that are constructed based on the weak diffusion limit of the underlying GARCH model. An empirical study which relies on a joint estimation using both historical returns and VIX data indicates that an asymmetric heavier tailed distribution is more appropriate for modelling the GARCH innovations. Finally, we provide several numerical exercises to support our theoretical convergence results in which we further investigate the effect of the quadratic variation approximation for the realized variance, as well as the impact of discrete versus continuous-time modelling of asset returns.     

Effects of Motor Carriers’ Growth or Contraction on Safety: A Multiyear Panel Analysis

Motor carrier safety remains a highly relevant issue for supply chain managers and scholars because carriers’ safety affects supply chains as well as the welfare of the motoring public. This article enriches understanding regarding this topic by investigating how motor carriers’ growth or contraction since the start of the Compliance, Safety, and Accountability (CSA) program in 2010 affects their safety performance. Drawing on core principles from theories regarding internal adjustment costs from economics and nonscale free capabilities from management, we explain why carriers’ growth or contraction should differentially affect various safety metrics tracked by the CSA program. To test our theory, we assemble a multiyear panel data set for over 1,000 of the largest for‐hire motor carriers operating in the United States by melding together several different governmental data sources. We fit a series of multivariate seemingly unrelated regression models to test our hypothesized effects. Our results corroborate our theorized predictions and are robust to alternative model specifications. We conclude by detailing how this work contributes to extant theory, summarizing managerial and policy implications, highlighting limitations, and suggesting directions for further pursuit.     

A Matter of Experience? Understanding the Decline in Group Lending

Group lending, often considered a key innovation driving the successful expansion of microcredit across the world, appears to be on the decline. Using MIX data on microfinance institutions (MFIs), we study this time trend, focusing on macroeconomic predictors of group lending and MFI experience. Results suggest that any movement away from group lending is better explained via MFIs gaining experience rather than a secular time trend. We also find that group lending is used more extensively in poorer and low‐growth economies. We argue that these findings can be understood within established views of group lending, and carry important implications for the historical and continuing importance of group lending.     

Risking the self: the impact of self-esteem on negative word-of-mouth behavior

Negative word-of-mouth is a pervasive and persuasive force on consumers, yet little is known about the characteristics of the people who decide to share, or not to share, this information. We examine the impact of consumer trait self-esteem on tendencies to share negative word-of-mouth. Prior work has shown that consumer self-esteem moderates the likelihood of sharing positive word-of-mouth, yet extending this theory to negative word-of-mouth behavior results in conflicting predictions. This paper addresses these contradictions by adopting a two-dimensional view of self-esteem (self-liking and self-competence). We suggest that these dimensions will have opposing effects on the sharing of negative word-of-mouth. Two studies show that individuals high in self-competence are less willing to share negative word-of-mouth, whereas individuals high in self-liking are more willing to do so—results that would be disguised by treating self-esteem as a single-dimension construct.     

Emerging Market Footholds and Knowledge: An Examination of New Product Launch Performance

As developed markets become more saturated, managers increasingly recognize the value of emerging markets as venues for growth opportunities. Yet, launching products into these markets is extremely risky due to weak institutional environments (e.g., lack of physical infrastructure), making success more uncertain. To alleviate this challenge, theory points to using emerging market footholds that yield market-specific knowledge. However, it is unclear whether knowledge is realized and, if so, what facets of harvested knowledge are effective in driving performance. Accordingly, we used data collected from a survey of business professionals to examine emerging market footholds and market-specific knowledge (i.e., customer, competitor, and logistics knowledge). Our results show that the extent of market presence held by an emerging market foothold is positively associated with all types of knowledge, yet only competitor and logistics knowledge—not customer knowledge—is positively associated with product launch performance. A supplemental sample of new product launches in developed markets revealed the opposite results wherein customer knowledge was the only significant predictor. Viewed collectively, the results suggest a market maturity threshold wherein logistics and competitive knowledge becomes less influential in driving performance, and customer knowledge becomes more influential.     

THE EFFECT OF MARIJUANA DISPENSARY OPENINGS ON HOUSING PRICES

We evaluate the effect of medical and recreational dispensary openings on housing prices in Denver, Colorado. Using an event study approach, we find that the introduction of a new dispensary within a half‐mile radius of a new home increases home prices by approximately 7.7% on average. The effect diminishes for homes further from new dispensaries but is consistent over time. Our results provide important and timely empirical evidence on the socioeconomic impacts of marijuana legalization. (JEL R32, R38, R5)     

Effects of functional green advertising on self and others

This study examines the effects of a functional green advertising promoting the environmental advantages of a product. It presents the results of three experiments designed to (a) explore consumers’ perceptions of a functional green ad's effects on themselves and others, (b) determine how those perceptions are influenced by consumer environmental concern, and (c) examine how individualism–collectivism relates to self–other effect perceptions. Findings indicate that (a) consumers believe that functional green advertising exerts a stronger influence on others’ purchase decisions than on their own purchase decisions; (b) the self–other difference is more salient among consumers with high environmental concern; (c) in the individualistic culture, the perceived effectiveness on self, not on others, predicts consumers’ support for the regulation of functional green ads, while this effect is reversed when consumers are in collectivistic cultures. The study's findings extend several lines of research, including the literature on green advertising and the third‐person effect.     

Where is the power in numbers? Understanding firm and consumer power when crowdsourcing

This work utilizes the theory of social power as a lens through which to analyze the power structure of firms and consumers involved in crowdsourcing and discusses the managerial implications of this power balance. The results of this analysis reveal how power is structured differently in each form of crowdsourcing, with consumer power being strongest in the case of idea crowdsourcing and weakest in the case of microtask crowdsourcing. These differences in power have implications for managers who initiate and maintain crowdsourcing endeavors. Understanding the structure of consumer power in different types of crowdsourcing allows firms to better prepare for the wide range of possible outcomes as consumers inevitably push their own agendas regardless of whether or not these agendas are aligned with those of the firm.     

Can green behaviors really be increased for all employees? Trade‐offs for “deep greens” in a goal‐oriented green human resource management intervention

This study explores the complex interaction between psychological and goal‐relevant boundary conditions that influence levels of individual engagement in a green human resource management (HRM) intervention designed to encourage employee green behavior (EGB). Data were collected from 1,112 employees in an automobile manufacturing plant. Consistent with goal‐setting theory, the level of feedback received predicts EGB. However, a three‐way interaction demonstrates how employees with high levels of autonomous motivation do not gain the expected benefits of high feedback and high goal commitment in the enactment of EGB. Instead, only those with weak autonomous motivation are affected by these goal‐related constructs. Findings suggest that both goal‐setting and self‐determination theories are relevant to green HRM interventions. Managers should consider that interventions that are effective for employees who do not have strong autonomous motivation towards the environment may not be effective for those who do.