Variance and skew risk premiums for the volatility market: The VIX evidence

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading strategies. Using a time series of option prices on the VIX, we find that variance swap excess return can be partially explained by volatility index and equity index excess returns while these latter variables carry little information for the skew swap excess return. The results sharply contrast with those obtained for the equity index option market underlining very specific characteristics of the volatility derivative market.     

Why not now? Intended timing in entrepreneurial intentions

International Entrepreneurship and Management Journal - Understanding the formation of entrepreneurial intention is critical, given that it is the first step in the entrepreneurial process. Little...     

Renegotiation in Public–Private Partnerships: An Incentive Mechanism Approach

Game theory is an important analytical tool for measuring problems caused by behaviors that deviate from contractual ethics. However, the PPP literature still does little to explore this research topic. This paper analyzes and improves the equilibrium conditions of a renegotiation model of PPPs by introducing the asymmetry of information in the contract. To achieve this goal, the Mechanism Design Theory is used to demonstrate how the correct tracking of the investor directly influences the payoffs of the renegotiation. The study concludes that the lack of incentive constraints in the bidding document, as an ex ante condition, does not provide sufficient information on investor management capability. In this way, this information is only revealed in the renegotiation phase. Consequently, this contract failure results in high political costs to the government due to excessive subsidies.     

Intraday patterns and trading strategies in the Spanish stock market

Different rating and investment companies have recently pointed out Spain’s brightening growth outlook, which has energized the Spanish stock market. By anticipating greater interest in the behaviour of the Spanish stock market, we show that the best trading strategy is that in which the investor enters long or short after the opening of the New York Stock Exchange (NYSE) till the end of the trading day at 17:30. This strategy should be complemented with that of entering long or short from the opening of the trading day till the closing price before the opening of the NYSE in no-coincidence phases.     

Do we need a global VAR model to forecast inflation and output in South Africa?

This study determines whether the global vector autoregressive (GVAR) approach provides better forecasts of key South African variables than a vector error correction model (VECM) and a Bayesian vector autoregressive (BVAR) model augmented with foreign variables. The article considers both a small GVAR model and a large GVAR model in determining the most appropriate model for forecasting South African variables. We compare the recursive out-of-sample forecasts for South African GDP and inflation from six types of models: a general 33 country (large) GVAR, a customized small GVAR for South Africa, a VECM for South Africa with weakly exogenous foreign variables, a BVAR model, autoregressive (AR) models and random walk models. The results show that the forecast performance of the large GVAR is generally superior to the performance of the customized small GVAR for South Africa. The forecasts of both the GVAR models tend to be better than the forecasts of the augmented VECM, especially at longer forecast horizons. Importantly, however, on average, the BVAR model performs the best when it comes to forecasting output, while the AR(1) model outperforms all the other models in predicting inflation. We also conduct ex ante forecasts from the BVAR and AR(1) models over 2010:Q1–2013:Q4 to highlight their ability to track turning points in output and inflation, respectively.     

Vertical price transmission in the Turkish poultry market: the avian influenza crisis

This article assesses the impact of the Avian Influenza (AI) outbreak in the Turkish poultry market by focusing on price transmission at producer and retail levels. The relationship and patterns of transmission between producer and retail prices are analysed by estimating a Regime-Switching Vector Error Correction Model with three regimes. An AI information index variable is developed and used to determine regime-switching. Results suggest that consumer prices adjust to disequilibrium caused by the AI crisis, while producer prices are sticky and slowly responsive.     

Assessing tax reforms through the elasticity of reported income: an empirical analysis for Spain

This paper demonstrates the usefulness of the elasticity of reported income to assess tax reforms from the perspectives of tax revenue and well-being. Employing different identification strategies, evidence is provided of the value of the elasticity of gross reported income in Spain and, based on this elasticity, a detailed assessment is made of the impact of the increase in marginal tax rates which the Spanish government approved in 2012. We use microdata from the Taxpayers Panel of the Institute for Fiscal Studies. The mean value of this elasticity for Spain is 0,363 with considerable heterogeneity depending on taxpayers’ characteristics.     

Cobb-Douglas preferences under uncertainty

This paper axiomatizes Cobb-Douglas preferences under uncertainty. First, we extend the original Trockel (Econ Lett 30:7–10, 1989)’s axiomatic foundation to a general state space framework based on the Strong Homotheticity Axiom, obtaining also the incomplete case a la Bewley (Decis Econ Financ 25:79–110, 2002). We show that this key axiom for the Cobb-Douglas expected utility specification is refuted by Ellsberg’s uncertainty aversion behavioral pattern. Our main result provides a set of meaningful axioms characterizing Cobb-Douglas min-expected utility preferences, an important class of uncertainty averse preferences for studying the consequences of ambiguity in finance and other fields. Finally, we present briefly how to obtain more general representations like the variational case.     

International generation of technology: an assessment of its intensity,motives and facilitators

This paper assesses two decades of international generation of technology through EPO data: we quantify its volume, analyse its motives and identify several business traits that facilitate its implementation. Our database, which is composed of 65,000 firms and 465,000 patents, shows that most technological activities are still carried out in the home country of multinationals. We nevertheless find that the international generation of technology has been continuously increasing during the 80s and 90s. This growing trend partially reflects the use of global technological supply as a source of new competences; however, data verifies that adapting products and processes to foreign markets is an even more relevant motive. Lastly, after controlling for the home country and geographic diversification of multinationals, we search for structural and technological business features that make the internationalisation of their technological activities easier. Our model thus verifies the relevance of the size and technological activity of parent companies.     

Combining tech-mining and semantic-TRIZ for a faster and better technology analysis: a case in energy storage systems

Understanding and anticipating the evolution of technologies is an increasingly complex task attributable to the interdisciplinarity of the technology and the explosion of information about the research and patent activity. By combining the capabilities of tech-mining in identifying and in highlighting trends, weak signals, with those of semantic-TRIZ (Teoriya Resheniya Izobreatatelskikh Zadatch – Theory of Inventive Problem Solving) in identifying the functions, its causes and effects, a better understanding of the trends may be obtained in a shorter time. An interesting trend in the use of graphene in cathode materials, as well as its applications, mainly to enhance the conductivity and the discharge and recharge of the Li–air battery, has been quickly assessed as a result of the combined techniques. Another two cases, the increased presence of nanostructures in cathodes and the emergence of LIFePO₄ in the lithium–ion batteries have been also analysed in a short time. The results may predict the good possibilities of the combination of these two evolving techniques.