The response of fertility to the expectations of death: implications for the demographic transition

The authors present an economic explanation for the first stage of events often experienced by a society entering the demographic transition, namely, declining death rates coupled with high or rising birth rates. The explanation is based on the response of fertility to the expectation of child death and on a distinction between actual and desired family size     

Maturity cycles in implied volatility

The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [8]. The time-variation of the fitted skew-slope parameter shows a periodic behaviour that depends on the option maturity dates in the future, which are known in advance. By extending the mathematical analysis to incorporate model parameters which are time-varying, we show this behaviour can be explained in a manner consistent with a large model class for the underlying price dynamics with time-periodic volatility coefficients.Received: December 2003, Mathematics Subject Classification (2000): 91B70, 60F05, 60H30JEL Classification: C13, G13Jean-Pierre Fouque: Work partially supported by NSF grant DMS-0071744.Ronnie Sircar: Work supported by NSF grant DMS-0090067. We are grateful to Peter Thurston for research assistance.We thank a referee for his/her comments which improved the paper.     

Embedding CSR Values: The Global Footwear Industry’s Evolving Governance Structure

Many transnational corporations and international organizations have embraced corporate social responsibility (CSR) to address criticisms of working and environmental conditions at subcontractors’ factories. While CSR ‹codes of conduct’ are easy to draft, supplier compliance has been elusive. Even third-party monitoring has proven an incomplete solution. This article proposes that an alteration in the supply chain’s governance, from an arms-length market model to a collaborative partnership, often will be necessary to effectuate CSR. The market model forces contractors to focus on price and delivery as they compete for the lead firm’s business, rendering CSR observance secondary, at best. A collaborative partnership where the lead firm gives select suppliers secure product orders and other benefits removes disincentives and adds incentives for CSR compliance. In time, the suppliers’ CSR habit should shift their business philosophy toward pursuing CSR as an end in itself, regardless of buyer incentives and monitoring. This article examines these hypotheses in the context of the athletic footwear sector with Nike, Inc. and its suppliers as the specific case study. The data collected and conclusions reached offer strategies for advancing CSR beyond the superficial and often ineffectual ‹code of conduct’ stage.     

FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

The left tail of the implied volatility skew, coming from quotes on out‐of‐the‐money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing by dynamic convex risk measures, which are given as solutions of backward stochastic differential equations, to establish a link between these two approaches to risk measurement. We derive a characterization of the implied volatility in terms of the solution of a nonlinear partial differential equation and provide a small time‐to‐maturity expansion and numerical solutions. This procedure allows to choose convex risk measures in a conveniently parameterized class, distorted entropic dynamic risk measures, which we introduce here, such that the asymptotic volatility skew under indifference pricing can be matched with the market skew. We demonstrate this in a calibration exercise to market implied volatility data.     

MEASURING CASH FLOWS BY FARM TYPE*

Data from the records of 68 Ontario farmers indicate significant variarion in levels and seasonality of cash flows among several major types of farms. Hence farm type may be a useful classification for data gathering and analysis of financial position. Major differences in level of borrowing between farm types can be attributed to the relative use of agribusiness credit and to seasonal fluctuations in net cash receipts. Des données prises des enregistrements de 68 exploitants ontariens indiquent ?exploitation parmi plusiers types principals de fermes. Done, le type ?exploitation peut être une classification utile pour la collection de données el pour ?analyse de la position financiére. Des differences importantes de niveau ?emprunt parmi des types ?exploitation peut étre attribuées à?utilisation relative de “crédit agribusiness” ainsi qu'aux fluctuations saisonières des recettes comptants nets.     

The Small Firm in a Quantity Choosing Game: Some Experimental Evidence

We demonstrate with a grim trigger strategy that the small firm should be more willing to collude tacitly as its market share declines; large firms should be less willing to cooperate. The small firm is not a maverick. The intensity of rivalry between two firms with asymmetric market shares is studied in experimental markets. Treatments give duopolists (1) 50% shares, (2) a 60 or 40% share, and (3) an 80 or 20% share. Choices for the small firm in the latter treatments are not significantly larger than the collusive choice. Irrespective of relative size, firms in all three market environments exhibit collusive behavior.     

The Face of the Brand: How Art Directors Understand Visual Brand Identity

This study interviewed 15 art directors to explore their understanding of visual brand identity. Art directors define visual brand identity as the holistic look and feel of a brand, manifest as consistency among the brand, its strategy, and all its individual visual elements, ongoing over time. Art directors search for “ownable” visual elements within the competitive space and rely on examples of previous brand advertising to start ideation. We identified four possible routes that visual brand identity construction can take, corresponding to whether existing visual brand identity is strong or weak, and whether many or few client mandatories are imposed. The interviews also indicated that conflicts with clients may arise because elements that contribute to a brand's visual identity may be selected, in part, based on art directors’ personal taste preferences and felt emotion. Implications for managing visual branding and for future research on brand identity are discussed.     

Alumni Orientation: Development of the Construct

The aim of this article is to conceptualize and empirically examine the constructs that constitute the concept of Alumni Orientation (AO). Using a discovery-oriented approach, conducted by supplementing educational and marketing literatures with in-depth interviews from 22 alumni personnel in six different UK universities, the author identified three second-order formative constructs and three first-order reflective constructs to measure the concept of AO. The study then developed a self-administrated survey to validate the six identified constructs that form AO. Through using rigorous statistical analysis, the study confirms that the measurement instrument for AO is the 48 items that can be validly and reliably measured using the nine multi-item components of: Case for Support; Alumni Database Management; Social Media Management; Financing Event Management; Financing Publication Management; Promoting Best Practices of Event Management; Promoting Best Practices of Publication Management; Intrafunctional Coordination; and Interfunctional Coordination.