The pricing of High Yield Equity Notes

High Yield Equity Notes are securities that provide the noteholder with a cash flow stream that comprises a fixed yield and a short position in a European put option on the shares of an Australian company. This paper examines the pricing of these securities and finds apparent overpricing compared with expectations given standard pricing relationships. This apparent overpricing is consistent with the low transaction costs incurred by purchasers of High Yield Equity Notes.     

Strategic Environmental Policy and International Trade in Asymmetric Oligopoly Markets

This paper examines optimal cooperative and non-cooperative environmental taxes for the case in which a polluting input is used to produce an internationally-traded finished product. The model allows for terms-of-trade effects under oligopoly and employs a general specification of the environmental damage function that encompasses special cases of local, global, and transboundary externalities. The model has several implications for public finance. For example, inefficiently high environmental taxes may be optimal for a net exporting country in non-cooperative circumstances, as the motive to shift rent by selecting an inefficiently low tax rate is countervailed by the incentive to shift the burden of the tax to foreign consumers. The findings identify the important role of asymmetric trade flows (denominated in both goods and pollution exchange) in determining optimal cooperative and non-cooperative tax policy under oligopoly.     

Disaggregate spatio-temporal assessments of population exposure to aircraft noise

Estimates of exposure to aircraft noise are generally based on an average day of operations and residential population figures. While providing a convenient way to condense information, this does not reflect noise experiences across the day. This paper details an approach to inject more reality into exposure assessments, using disaggregate geographic information systems-based flight movement data and a procedure to track the population over the day. Using empirical evidence from Sydney, this leads to markedly different insights about noise impacts, which in turn has ramifications for policy-makers planning flight operations and residential settlement patterns in impacted areas.     

Organizational performance and managerial turnover

Involuntary and voluntary managerial job‐termination hazard functions are estimated for English professional soccer for the period 1972–1997. A novel feature is the use of match‐level data, which reveals aspects of the hazard otherwise concealed by estimation using annual data. Short‐term fluctuations in performance strongly influence the involuntary termination hazard. The latter is also heavily dependent on the team's current league position relative to its position when the manager took charge, and on the win ratio over the entire spell. Managerial human capital attributes are found to have a greater influence on the voluntary rather than on the involuntary termination hazard. Copyright © 1999 John Wiley & Sons, Ltd.     

Understanding the determinants of environmentally conscious behavior

An understanding of the various motivational determinants of environmental consumer behavior is developed based on Batson's (1987) model of prosocial behavior. A correlational study finds support for two independent determinants of environmental behavior, the first being motivation based on internal responses of distress, the second being motivation based on empathy. The advantage of motivating environmental behavior through distress and empathy, over the more standard approaches based on attitudes and rewards or punishments, are discussed. In addition, the research supports the role of perceived consumer effectiveness and faith in others as determinants of some environmentally conscious consumer behaviors. © 1999 John Wiley & Sons, Inc.     

The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

We measure the volatility information content of stock options for individual firms using option prices for 149 US firms and the S&P 100 index. We use ARCH and regression models to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For 1-day-ahead estimation, a historical ARCH model outperforms both of the volatility estimates extracted from option prices for 36% of the firms, but the option forecasts are nearly always more informative for those firms that have the more actively traded options. When the prediction horizon extends until the expiry date of the options, the option forecasts are more informative than the historical volatility for 85% of the firms. However, at-the-money implied volatilities generally outperform the model-free volatility expectations.