Identifying the Transition from Efficient-Market to Herding Behavior: Using a Method from Econophysics

We test whether “detrended fluctuation analysis” (DFA)—an econophysics method—identifies the transition from efficient-market trading to herding behavior and the rise of the NASDAQ dot.com stock market bubble. DFA divides a time series into “segments” of varying lengths and then tests whether power-law distributions exist within the segments. A power-law distribution of stock-price changes within a segment indicates herding behavior and the start of the dot.com bubble. The clarity of the transition indication depends on both segment lengths and segment starting dates. Our findings show that DFA can be used to identify the beginning of stock-market bubbles but not the beginning of crashes.     

Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Aggregation of Directional Distance Functions and Industrial Efficiency

Three main objectives are pursued in this paper. First, we intend to analyze the aggregation problem of directional distance functions from a constructive viewpoint. We provide necessary and sufficient conditions concerning the structural properties of the production technology and of the nature of groups of firms. Indeed, exact additive aggregation holds for a linear technology and for a direction solely defined in the output space. Second, since these conditions are somewhat restrictive, we are interested in providing a measure for the aggregation bias through the relationship between industrial and structural technical efficiency. Finally, we show that this aggregation bias is a lower bound for industrial allocative efficiency.     

The impact of the United States subsidies on world cotton price: evidence from ARDL bounds tests

This article investigates the impact of the United States subsidies on world cotton price in a structural framework. It starts with a simultaneous equations model of world cotton market, and then, it focuses on the reduced form. Using the Autoregressive Distributed Lag (ARDL) bounds tests of Pesaran et al. (2001), no evidence of cointegration is found between the underlying variables. This contrasts with results found in the classical framework, which highlight a strong evidence of a negative impact of subsidies on cotton price, either in the short or long run.     

Information on sellers and buyers characteristics: added value to explain price formation at primary fish markets in managed French scallop fisheries

The aim of this article is to explore, through a hedonic approach, the factors that might explain the price variability for the French-managed fishery of scallop at primary fish markets. In addition to factors classically identified in the current literature like intrinsic product characteristics or markets situation, the characteristics of operators are tested. The relationships of loyalty between sellers and buyers, and market assiduity are notably considered.     

A Geometrical Interpretation of Collinearity: A Natural Way to Justify Ridge Regression and Its Anomalies

Justifying ridge regression from a geometrical perspective is one of the main contributions of this paper. To the best of our knowledge, this question has not been treated previously. This paper shows that ridge regression is a particular case of raising procedures that provide greater flexibility by transforming the matrix X associated with the model. Thus, raising procedures, based on a geometrical idea of the vectorial space associated with the columns of matrix X , lead naturally to ridge regression and justify the presence of the well-known constant k on the main diagonal of matrix X ^′ X . This paper also analyses and compares different alternatives to raising with respect to collinearity mitigation. The results are illustrated with an empirical application.     

An assessment of the learning benefits of using a Web-based Learning Environment when teaching accounting

The impact and use of information and communication technology on learning outcomes for accounting students is not well understood. This study investigates the impact of design features of Blackboard¹ used as a Web-based Learning Environment (WBLE) in teaching undergraduate accounting students. Specifically, this investigation reports on a number of Blackboard design features (e.g. delivery of lecture notes, announcements, online assessment and model answers) used to deliver learning materials regarded as necessary to enhance learning outcomes. Responses from 369 on-campus students provided data to develop a regression model that seeks to explain enhanced participation and mental effort. The final regression shows that student satisfaction with the use of a WBLE is associated with five design features or variables. These include usefulness and availability of lecture notes, online assessment, model answers, and online chat.     

Cultural metaphors and KMS appropriation: Drawing on Astérix to understand non-use in a large French company

Management research is increasingly using fiction as an insightful way to analyze complex organizational dynamics. Focusing on user appropriation of Knowledge Management Systems, we describe how we used the popular Astérix, a well-known French cartoon to better understand KMS appropriation. We came to use this approach in an action research project in a large French construction firm initially designed to help Chief Knowledge Officers address KMS non-use. After our first findings showed paradoxical cultural issues, and based on the idea that culture is central to sensemaking and appropriation, we used the notion of the cultural metaphor to help better understand the cultural aspects associated with KMS appropriation. These results contribute knowledge in three different areas. First, we underline the role of cultural metaphors in information systems appropriation. Second, we enrich the literature on the role of fiction in management by illustrating the role of cultural metaphors. Third, we report on how this can be used in an action research project to help better understand KMS appropriation issues, which has the potential of leading to practical managerial action.