No-arbitrage under a class of honest times

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit with bounded risk (NUPBR) and additional progressive information generated by a random time. This study complements the one of Aksamit et al. (Finance Stoch. 21:1103–1139, 2017) in which the authors have studied similar topics for the model stopped at the random time, while here we deal with the question of what happens after the random time. Given that the existing literature proves that NUPBR is always violated after honest times that avoid stopping times in a continuous filtration, we propose here a new class of honest times for which NUPBR can be preserved for some models. For these honest times, we obtain two principal results. The first result characterizes the pairs of initial market and honest time for which the resulting model preserves NUPBR, while the second result characterizes honest times that do not affect NUPBR of any quasi-left-continuous model (i.e., in which the asset price process has no predictable jump times). Furthermore, we construct explicitly local martingale deflators for a large class of models.     

Gender,family and career in the era of boundarylessness: determinants and effects of intra- and inter-organizational mobility

Changes in patterns of long-term employment make understanding the determinants of different career forms increasingly important to careers research. At the same time, the rise of dual-earner families demands greater attention to the ways in which gender and family characteristics shape careers than has been paid by traditional research. This paper addresses these issues, examining the determinants and consequences of intra-organizational and inter-organizational mobility, using a sample of employees from dual-earner couples. We find significant gender differences in these different types of career mobility, and in the effect of family relations on different forms of mobility. Women experience more inter-organizational mobility, while men experience more intraorganizational mobility. Having more children positively influences men's intra-organizational mobility, but increases inter-organizational mobility for women. Marital instability increases intra-organizational mobility among women, but has no effect among men. Each form of mobility has distinctive effects on objective and subjective indicators of career success for both men and women. Moving between organizations tends to depress earnings, but has no effect on how successful people feel in their careers. Job changes within an organization increase earnings, but have a negative effect on perceived success.     

Estimating intergenerational schooling mobility on censored samples: consequences and remedies

In this paper we estimate the impact of parental schooling on child schooling, focus on the problem that children who are still in school constitute censored observations, and evaluate three solutions to it: replacement of observed with expected years of schooling, maximum likelihood approach, and elimination of all school‐aged children. Using intergenerational data from the Wisconsin Longitudinal Study we test how the three correction methods deal with censored observations. The one that treats parental expectations as if they were realizations seems to fix the censoring problem quite well. Copyright © 2009 John Wiley & Sons, Ltd.     

Supporting weakly Pareto optimal allocations in infinite dimensional nonconvex economies

In this paper, we prove a new version of the Second Welfare Theorem for economies with a finite number of agents and an infinite number of commodities, when the preference correspondences are not convex-valued and/or when the total production set is not convex. For this kind of nonconvex economies, a recent result, obtained by one of the authors, introduces conditions which, when applied to the convex case, give for Banach commodity spaces the well-known result of decentralization by continuous prices of Pareto-optimal allocations under an interiority condition. In this paper, in order to prove a different version of the Second Welfare Theorem, we reinforce the conditions on the commodity space, assumed here to be a Banach lattice, and introduce a nonconvex version of the properness assumptions on preferences and the total production set. Applied to the convex case, our result becomes the usual Second Welfare Theorem when properness assumptions replace the interiority condition. The proof uses a Hahn-Banach Theorem generalization by Borwein and Jofré (in Joper Res Appl Math 48:169–180, 1997) which allows to separate nonconvex sets in general Banach spacesThis work was partially supported by Nucleo Complex Engineering System. The successive versions of the paper were partly prepared during visits of Alejandro Jofré to CERMSEM and of Monique Florenzano and Pascal Gourdel to the Centro de Modelamiento Matematico. The hospitality of both institutions and the support of the french Coopération régionale Cone Sud are gratefully aknowledged. The authors thank Ali Khan for stimulating exchange of ideas and literature, Roko Aliprantis, Jean-Marc Bonnisseau, Alain Chateauneuf, Roger Guesnerie, Filipe Martins Da Rocha, Moncef Meddeb, B. Mordukovich, Lionel Thibault and Rabee Tourky for valuable discussions     

HRM and strategic climates in hospitals: does the message come across at the ward level?

This study examined how employees perceive intended strategic goals and HRM at the ward level, and if these perceptions generate the desired effects. The qualitative part of the research reveals that the hospital pursues two strategic goals (i.e. quality and safety). Analysis of the questionnaire data (N = 576 respondents; 59 wards) shows that both climate dimensions could be distinguished. Results showed that the perceived HR system does have a significant influence on both climate dimensions, suggesting that the overall message of the HR system is important for creating strategic climates. Furthermore, the climate for quality partially mediated the relationship between the perceived HR system and commitment.     

Compositional Effects,Segregation and Test Scores: Evidence From the National Assessment of Educational Progress

A model of the effects of economic level and ethnicity on grade 8 mathematics scores both within and between schools found that both the economic composition and the ethnic composition of a school were directly related to the effectiveness of that school. Projection of the data suggests that if the nation's schools were completely desegregated economically (but not at all ethnically), the test-score gap between free lunch students and students paying full price for lunch would decline by 25 %. Ethnic compositional effects for black, Asian/Pacific Islander (API), and Hispanic students were reversed from their within-school effects, with positive effects for students in schools with larger proportions of black and Hispanic students and a strong negative effect for students in schools with larger proportions of Asian/Pacific Islander students.     

Role and Current Status of IFRS in the Completion of National Accounting Rules – Evidence from Malta

Abstract

We analyse the extent to which International Financial Reporting Standards (IFRS) have influenced the development of the national generally accepted accounting principles (GAAP) in the transposition of Directive 2013/34/EU in Malta including whether they are used as a reference point in the interpretation of the national GAAP. Malta mandated the use of IFRS by all companies for a significant number of years. This has resulted in IFRS influencing the development of the national GAAP; and enforcers and other key stakeholders viewing IFRS positively.     

Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity

In this paper we study the impact of earnings announcements on implied volatility, trading volume, open interest and spreads in the stock options market. We find that implied volatility increases before announcement days and drops afterwards. Also option trading volume is higher around announcement days. During the days before the announcement open interest tends to increase, while it returns to regular levels afterwards. Changes in the quoted spread largely respond to higher trading volume and changes in implied volatility. The effective spread increases on the event day and on the first two days following the earnings announcement.     

Edgeworth and Walras equilibria of an arbitrage-free exchange economy

Summary. In this paper, we first give a direct proof of the existence of Edgeworth equilibria for exchange economies with consumption sets which are (possibly) unbounded below. The key assumption is that the individually rational utility set is compact. It is worth noticing that the statement of this result and its proof do not depend on the dimension or the particular structure of the commodity space. In a second part of the paper, we give conditions under which Edgeworth allocations can be decentralized by continuous prices in a finite dimensional and in an infinite dimensional setting. We then show how these results apply to some finance models.Received: 15 April 2002, Revised: 25 February 2003, JEL Classification Numbers: C62, D58, G12. Correspondence to: Monique FlorenzanoThis paper was presented at seminars of the Economic Departments of Brown University, The Johns Hopkins University, The University of Alabama, Purdue University and at the Centro de Modelamiento Matematico de la Universidad de Chile at Santiago. The paper has benefitted of the comments of these diverse audiences. Part of this work was done while the authors were visiting respectively Brown University and the Centro de Modelamiento Matematico. We thank them for their hospitality.     

Risk taking by agents: The role of ex-ante and ex-post accountability

We study the role of accountability in situations where an agent makes risky decisions for a principal. We observe that in the absence of accountability, agents choose less risk averse investments for the principal than investors who invest for their own account. Accountability mitigates the observed decrease in risk aversion. Differences are observed between situations where agents are accountable for their decision (“ex-ante”) and where they are accountable for the outcome (“ex-post”).