HOW FIRMS MANAGE RISK: THE OPTIMAL MIX OF LINEAR AND NON-LINEAR DERIVATIVES

This paper provides guidance on how corporations should choose the optimal mix of "linear" and "non-linear" derivatives. Linear derivatives are products such as futures, forwards, and swaps, whose payoffs vary in linear fashion with changes in the un-derlying asset price or reference rate. Non-linear derivatives are contracts with option-like payoffs, including caps, floors, and swaptions.
A company's optimal hedging position should generally consist of linear contracts because of their effective-ness in smoothing corporate cash flows. But as the firm's business (quantity) risk increases, its use of linear contracts will decline due to costs associated with overhedging. At the same time, there will be a shift towards the use of non-linear contracts. The degree of substitution of non-linear for linear in-struments will depend on the relation-ship between the quantities to be hedged and market prices. A negative relationship will tend to exacerbate the substitution effect while a positive re-lationship will dampen the effect. An empirical examination of corporate derivative holdings provides support for all of the major hypotheses.     

Creating barriers for foreign competitors: a study of the impact of anti-dumping actions on the performance of U.S. firms

This study investigates whether anti-dumping statutes are effective at improving the performance of U.S. firms. As international trade grows and competitors increasingly cross national borders to enter new markets, U.S. trade law becomes a potentially important tool for managers as they consider how to create barriers for foreign competitors. The results of this study suggest that the anti-dumping laws significantly increase returns of U.S. firms that pursue anti-dumping protection. The average petitioner between 1980 and 1992 received a $46 million increase in market value as a result of filing an anti-dumping petition. However, no significant change in market value was associated with preliminary or final determinations of the International Trade Commission, except when petitions received a negative determination at the final stage of the process. A negative determination at the final stage of the process resulted in a loss of market value. © 1998 John Wiley & Sons, Ltd.     

Content analysis of fake consumer reviews by survey-based text categorization

As the influence of online consumer reviews grows, deceptive reviews are a worsening problem, betraying consumers' trust in reviews by pretending to be authentic and informative. This research identifies factors that can separate deceptive reviews from genuine ones. First, we create a novel means of detection by contrasting authentic versus fake word patterns specific to a given domain (e.g., hotel services). We use a survey on a crowdsourcing platform to obtain both genuine and deceptive reviews of hotels. We learned the word patterns from each category to discriminate genuine reviews from fake ones for positively and negatively evaluated reviews, respectively. We show that our All Terms procedure outperforms current benchmark methods in computational linguistics and marketing. Our extended analysis reveals the factors that determine fake reviews (e.g., a lack of details, present- and future-time orientation, and emotional exaggeration) and the factors influencing people's willingness to write fake reviews (including social media trust, product quality consciousness, deal proneness, hedonic and utilitarian consumption, prosocial behavior, and individualism). We also use our procedure to analyze more than 250,000 real-world hotel reviews to detect fake reviews and identify the hotel and review characteristics influencing review fakery in the industry (e.g., star rating, franchise hotel, hotel size, room price, review timing, and review rating).     

A review and validation of overall survival extrapolation in health technology assessments of cancer immunotherapy by the National Institute for Health and Care Excellence: how did the initial best estimate compare to trial data subsequently made available?

Background: Validation of overall survival (OS) extrapolations of immune-checkpoint inhibitors (ICIs) during the National Institute for Health and Care Excellence (NICE) Single Technology Assessment (STA) process is limited due to data still maturing at the time of submission. Inaccurate extrapolation may lead to inappropriate decision-making. The availability of more mature trial data facilitates a retrospective analysis of the plausibility and validity of initial extrapolations. This study compares these extrapolations to subsequently available longer-term data.

Methods: A systematic search of completed NICE appraisals of ICIs from March 2000 to December 2017 was performed. A targeted search was also undertaken to procure published OS data from the pivotal clinical trials for each identified STA made available post-submission to NICE. Initial Kaplan-Meier curves and associated extrapolations from NICE documentation were extracted to compare the accuracy of OS projections versus the most mature data.

Results: The review identified 11 STAs, of which 10 provided OS data upon submission to NICE. The extrapolations undertaken considered parametric or piecewise survival models. Additional data cut-offs provided a mean of 18 months of OS beyond the end of the original data. Initial extrapolations typically under-estimated OS from the most mature data cut-off by 0.4–2.7%, depending on the choice of assessment method and use of the manufacturer- or ERG-preferred extrapolation.

Conclusion: Long-term extrapolation of OS is required for NICE STAs based on initial immature OS data. The results of this study demonstrate that the initial OS extrapolations employed by manufacturers and ERGs generally predicted OS reasonably well when compared to more mature data (when available), although on average they appeared to underestimate OS. This review and validation shows that, while the choice of OS extrapolation is uncertain, the methods adopted are generally aligned with later-published follow-up data and appear appropriate for informing HTA decisions.     

When work and family collide: ‘Resource Caravans’ of personal and contextual resources in remote work

Research on remote work remains without consensus as to its benefits, with continued questions about which factors may enable it to be more beneficial to employees working remotely. Applying Conservation of Resources theory, we explore the impact of ‘resource caravans’ on ‘work–family balance’ and subsequent ‘well-being’ in a sample of 446 remote workers. Our findings contribute to ongoing sociological debates by showing exactly how flexibility and control play a role in the remote workplace. Specifically, our model revealed that ‘sense of control’ over home was most beneficial for ‘work–family balance’ among experienced remote workers who had high levels of ‘schedule flexibility’, whereas ‘work–family balance’ benefited from lower levels of ‘schedule flexibility’ among new remote workers. Resources from the home domain were most critical for ‘work–family balance’, which mediated the effects of the ‘resource caravan’ from the home domain on overall employee ‘well-being’.