Optimal portfolios with minimum capital requirements

We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the ‘stressed’ VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios.     

Interstellar humanity

Fifty years after Olaf Stapledon's landmark essay “Interplanetary man?”, we propose the coming era of “interstellar humanity”. Over the next 1000 years the domain of humanity will increasingly spread to the stars, a process that will alter our future in profound ways. At least three factors will drive this expansion: (1) increased understanding of cosmic evolution, changing our perception of ourselves and our place in the universe; (2) contact with extraterrestrial intelligence, bringing knowledge, wisdom, and problems of culture contact now unforeseen; and (3) interstellar travel, transporting humanity's emissaries to at least the nearest stars. The consequences of these events are not predictable in detail, but may be studied by examining the lessons of cosmic evolution; by using history to analyze the reception of new world views and intellectual culture contacts on Earth; and by anticipating the likelihood of success in interstellar travel and its effects. The prospect of interstellar humanity during the next millennium is likely to have an effect on all branches of terrestrial endeavor, whether religion, philosophy, science or the arts. The stage of human drama will be vastly expanded.     

Flipping markets to virtue with qui tam and restorative justice

Contemporary economies are characterised by a regulatory capitalism in which both markets and regulation extend their sway. Freer markets with more rules nurture markets in vice that game regulation. Tax avoidance and evasion are used to illustrate these dynamics. Yet freer markets with more rules also engender markets in compliance services that can be virtuous and more dominant (more demanded) than markets in vice. As a result of that dominance, firms and individuals often comply at levels that seem economically irrational virtue. To hold corporations to compliance through markets in virtue requires regulation with toughened enforcement capabilities for drawing out insider information about looming problems. Qui tam is suggested as one option. This option can be complemented with a more deliberative approach, restorative justice. One reason to consider this package of hybrid private–public enforcement that knows no jurisdictional boundaries is that when fraud is globalised, firms organise their affairs so that fraud is off-shore from all state regulators with an interest in exercising jurisdiction against it.     

Socio-economic evaluation of mental health as a basis for financing health care in Sweden

The objective of this paper is to examine hypotheses about the relationships between socio-economic factors, risk factors in working life, and the occurrence of mental illness, together with the degree of quality of life and consumption of health care, costs for health care, and costs for social insurance. This is a prospective and longitudinal study of 1,347 individuals of an active working age, 18–64 years, who have been on sick leave for more than 30 days. The group is characterized by the prevalence of risk factors in their work environment and welfare losses, such as multiple health problems, poor quality of life, inability to work, and dependency on society's support from health care and social insurance. The costs for health care were just over 2.8 million SEK, or 30 percent higher for those with psychological distress as compared to the group without. The payments from social insurance also increased by approximately 15 percent. The relatively greater weighting of health care costs and sickness cash benefits were motivating factors to study whether this group had an optimal amount and quality of health care, or if the resources available for health care should be distributed in another way that better satisfies the needs of the group.     

Within-person variation in affective commitment to teams: Where it comes from and why it matters

Teamwork is crucial to organizational success and commitment to teams is an important predictor of team-related behaviors. However, theorists and researchers have typically assumed that commitment levels are generally stable within-persons, increasing or decreasing as a result of substantial organizational changes. This position is at odds with the evidence of systematic and regular intraindividual fluctuations in personal attributes and workplace behaviors. We draw upon affective events theory to present a model explaining how certain events and dispositions produce vacillations in affective reactions which, in turn, are likely to create within-person variation in affective commitment to teams (WPVC_teams). We further propose that WPVC_teams enhances prediction and explanation of intraindividual fluctuations in work behavior and, interindividually, moderates the relationship between level of commitment and behavior.     

Regulating Work: Measuring the Scope and Burden of Occupational Licensure Among Low‐ and Moderate‐Income Occupations in the United States

This study examines the scope and burden of occupational licensing laws in the United States for 102 low‐ and moderate‐income occupations. Findings indicate that the licences studied require of aspiring workers, on average, $US209 in fees, one exam, and about nine months of education and training, plus minimum grade and age levels. Data also indicate striking disparities in requirements within and between occupations and within and between states. These inconsistencies likely reflect not the relative public health and safety risks of occupations, but instead the lobbying prowess of practitioners in securing laws to shut out competition.     

Continuity and Change in Mergers and Acquisitions: A Social Identity Case Study of a German Industrial Merger*

abstract It is crucial from an employee's point of view to perceive some degree of stability even in times of major organizational change. This paper examines the role of a sense of continuity for organizational identification after an organizational merger. We argue that mergers and acquisitions so often end in failures partly because the change is designed in discontinuous ways and employees do not feel they are doing the same job after the merger as before. Such discontinuous change engenders a critical tension between positive and negative effects of identification that has not yet been fully understood. To deepen the understanding of this tension, in‐depth interviews were conducted in a recently merged German industrial company. Based on these qualitative data we demonstrate how features of the post‐merger company structure and the way it was implemented may have eroded organizational identification. Finally, we propose a parsimonious model to be tested by future research, in which the sense of continuity is consisting of both observable as well as projected continuity.     

Contagion as a domino effect in global stock markets

This paper shows that stock market contagion occurs as a domino effect, where confined local crashes evolve into more widespread crashes. Using a novel framework based on ordered logit regressions we model the occurrence of local, regional and global crashes as a function of their past occurrences and financial variables. We find significant evidence that global crashes do not occur abruptly but are preceded by local and regional crashes. Besides this form of contagion, interdependence shows up by the effect of interest rates, bond returns and stock market volatility on crash probabilities. When it comes to forecasting global crashes, our model outperforms a binomial model for global crashes only.     

Employee attitudes,customer satisfaction,and sales performance: assessing the linkages in US grocery stores

Using store‐level panel data for a major supermarket company, we investigate the linkages between employee attitudes, customer satisfaction, and sales performance, while controlling for observed and unobserved differences across stores. We find that employee attitudes positively affect customer satisfaction with service but do not affect customer satisfaction with quality or value. Additionally, we find that customer satisfaction with service positively affects sales performance. Our results suggest that employee attitudes affect sales performance through their impact on customer service. Copyright © 2008 John Wiley & Sons, Ltd.