Hyperbolic normal stochastic volatility model

For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the normal stochastic alpha-beta-rho (SABR) model. Using two generalized Bougerol's identities in the literature, the study shows that our model has a closed-form Monte Carlo simulation scheme and that the transition probability for one special case follows Johnson's distribution—a popular heavy-tailed distribution originally proposed without stochastic process. It is argued that the distribution serves as an analytically superior alternative to the normal SABR model because the two distributions are empirically similar.     

ROBOT–BRAND FIT THE INFLUENCE OF BRAND PERSONALITY ON CONSUMER REACTIONS TO SERVICE ROBOT ADOPTION

Marketing Letters - Can every brand benefit from adopting service robots? To tackle this important question, we examined the interactive effects of brand personality (sincere vs. exciting) and...     

Trade diversion effects of the US–China trade war on Vietnam

This paper empirically examines the US–China trade war that began in mid-2018, focusing on the impact on a third country, Vietnam. Using regression analysis, we found that while the trade war had a negative impact on US imports from China for all targeted products, there was a partial offset from increased imports from other countries. Notably, US imports from Vietnam experienced a sharp increase, particularly after the third round of US import tariffs on Chinese goods. Additionally, our research reveals that the four rounds of tariff escalation affected US imports from China differently depending on their end-use and technology intensity.     

Temporal Orientation and Corporate Social Responsibility: Global Evidence

There has been a growing emphasis on the importance of a long-term perspective in academia and practice. Yet understanding of the interdependency of those factors – the temporal preferences embedded in organizations and in societal values as well as the influence of temporal orientation of investors – remains limited. We theorize whether and how a firm's corporate social responsibility (CSR) is affected by the societal temporal orientation, its time horizon, and its investors' time horizon. Using a global sample, we confirm that CSR activity is higher when a country has a long-term orientation culture, when the firm has a long-time horizon, and when the controlling institutional investor has a long-term investment horizon. We also find that the national culture's long-term orientation heightens the effect of a firm's long-time horizon on its CSR. Further, our results show that the effects of temporal orientation are more pronounced in environmental than in social CSR.     

Corroborating social media echelon in cancer research

Worldwide medical facilities differ, and for this reason, the causes of death can vary. Cancer is considered the second leading cause of death after heart disease worldwide, and the same causes of death are observed in the United States (US). Therefore, the purposes of this study are to explore worldwide research levels in the field of cancer and the social collaboration of researchers and institutions in this field. This article examines the structural patterns of international co-authors and co-institutions in science citation index papers in cancer research. The study uses measures from the social network analysis method, including degree centrality, betweenness centrality, eigenvector centrality, and effectiveness, to investigate the effects of social networks in the area of cancer research. Empirical analysis results identify the US is the most central country, followed by Germany, Italy, France, and China, in terms of co-authored networks in this research field. Institutional analysis results indicate that the University of Milan is at the top in terms of degree centrality. The Gustave Roussy Cancer Campus in France and German University of Düsseldorf occupy the second and fourth positions, respectively. The University of California in Los Angeles and Harvard University, both in the US, are at third and fifth positions, respectively.     

Weak‐instrument robust inference for two‐sample instrumental variables regression

Instrumental variable (IV) methods for regression are well established. More recently, methods have been developed for statistical inference when the instruments are weakly correlated with the endogenous regressor, so that estimators are biased and no longer asymptotically normally distributed. This paper extends such inference to the case where two separate samples are used to implement instrumental variables estimation. We also relax the restrictive assumptions of homoskedastic error structure and equal moments of exogenous covariates across two samples commonly employed in the two‐sample IV literature for strong IV inference. Monte Carlo experiments show good size properties of the proposed tests regardless of the strength of the instruments. We apply the proposed methods to two seminal empirical studies that adopt the two‐sample IV framework.     

Sorting it out: pile sorting as a mixed methodology for exploring barriers to cancer screening

We discuss a mixed methodology for analyzing pile sorting data. We created a list of 14 barriers to colon cancer screening and recruited 18, 13, and 14 participants from three American Indian (AI) communities to perform pile sorting. Quantitative data were analyzed by cluster analysis and multidimensional scaling. Differences across sites were compared using permutation bootstrapping. Qualitative data collected during sorting were compiled by AI staff members who determined names for the clusters found in quantitative analysis. Results showed five clusters of barriers in each site although barriers in the clusters varied slightly across sites. Simulation demonstrated type I error rates around the nominal 0.05 level whereas power depended on the numbers of clusters, and between and within cluster variability.     

Short-sale constraints and informational efficiency to private information: A natural experiment

Exploiting a regulatory change in short-sale constraints (Regulation SHO) as a natural experiment, this paper examines the effect of short-sale constraints on informational efficiency of stock prices to private information. I find that short-sellers act as informed traders prior to forthcoming analyst news and trade on negative private information. When short-sale constraints are relaxed for pilot stocks (treatment group), both trading volume and stock price sensitivity increase prior to the analyst announcement for bad news but not for good news, relative to that of nonpilot stocks (control group). The findings are consistent with the Diamond and Verrecchia model that predicts that short-selling increases the speed of adjustment of stock prices to private negative information. In the cross-section, the effect of Reg SHO is stronger in stocks of firms with weak and uncertain information environments (i.e., small firms and firms with high analyst forecast dispersion).     

Bertrand versus Cournot competition in a downstream mixed oligopoly with foreign ownership

Focusing on foreign ownership in the private firm, we examine the Cournot-Bertrand comparison in a mixed oligopolistic market with vertical market structure. We have found that if public and private firms were charged with uniform price for their inputs, then Cournot-Bertrand ranking in market outcomes confirms those obtained by Ghosh and Mitra (2010). This implies that under uniform pricing in the upstream sector, the vertical market structure does not have substantial influences on Cournot-Bertrand ranking. However, if discriminatory pricing is adopted, firm's profits, output, and social welfare are often reversed to those obtained from uniform pricing in the upstream sector. Given the closeness of products, if the share of foreign ownership is sufficiently low, social welfare in Cournot competition can exceed that of Bertrand competition, contrasting with the standard welfare ranking that Bertrand welfare is strictly higher than Cournot. This implies that Cournot competition can be more socially desirable than Bertrand in mixed oligopoly with vertical market structure if discriminatory pricing scheme is adopted by foreign upstream monopolists.     

Are social entrepreneurs more risk-averse?

We have a conventional wisdom that risk-seeking behaviours are related to commercially oriented entrepreneurs. For this reason, most studies have focused on the context of commercial entrepreneurship, and thus we do not know the risk propensity of social entrepreneurs. Using the PSM method, contrary to our wisdom, we find that social entrepreneurs tend to more have about 15% risk-seeking propensity than commercial entrepreneurs.