Trading and Investing in Volatility Products

Since the banking crisis the market for volatility exchange‐traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer‐term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up‐to‐date comparison of the market and statistical characteristics of European and US exchange‐traded volatility products.     

Retail investors exonerated: the case of the January effect

We dispel the belief that the January effect is due to retail investor trading. Previous studies suggest that retail investors, affected by behavioural biases and disproportionally invested in small capitalization stocks, are the source of the January effect. Furthermore, the literature regards retail investor trading and the tax‐loss selling hypothesis as essentially the same explanation. We separate tax implications and market capitalization to show that retail traders are not the cause of the January effect. Our study is an important direct test of whether retail trading causes market anomalies.     

Strangers in the night: speeddating, CCI and service businesses

Organisations are increasingly realising the importance of customer-to-customer interactions (CCI). From theme parks and shopping malls, to hairdressing and health clubs, interactions between customers are recognised as a key aspect of the service experience. This research examines CCI in the context of the speeddating phenomena, a unique setting in which conversations between strangers are at the very core of the service exchange. Three elements emerge from an in-depth qualitative study to provide new insights for managers who wish to influence CCI and give some structure to future research in the area: planning, roles and performances, and cooperation versus competition.     

NGOs in Bangladesh: Activities, resources, and governance

This paper reports results from one of the first large, nationally representative surveys of non-governmental organizations (NGOs) in a developing country. The NGO sector in Bangladesh is highly organized and relatively homogeneous. Most NGOs utilize a branch and headquarters structure in which branches have limited autonomy from headquarters. At the branch level, most NGOs in the country, whether big or small, focus on credit services, derive more of their income from fees for services than from grants, rely on salaried rather than voluntary staff, keep detailed financial accounts that are externally audited, and hire middle-class college educated men as managers. The convergence to a modal institutional form probably is the result of the persuasive power of ideas, sociological pressures toward acculturation and conformity, as well as material incentives.     

Tourenplanung mittelst?ndischer Speditionsunternehmen in Stückgutkooperationen: Modellierung und heuristische L?sungsverfahren

Zusammenfassung Mittelst?ndische Speditionsunternehmen arbeiten infolge zunehmender Globalisierung sowie gestiegener Kundenerwartungen verst?rkt in Stückgutkooperationen zusammen. Für die Kooperationspartner ergeben sich dadurch eine Vielzahl neuer Anforderungen bei der Erstellung eines Tourenplans. Neben der Berücksichtigung heterogener Fahrzeuge und Kundenzeitfenster sowie simultaner Auslieferung und Einsammlung sind z. B. ein mehrfacher Fahrzeugeinsatz vorzusehen und Belegungszeiten der Verladerampen im Depot zu berücksichtigen. Das resultierende Tourenplanungsproblem kann als gemischt-ganzzahliges lineares Programm formuliert und für kleine Probleminstanzen mit dem Solver ILOG CPLEX gel?st werden. Zur L?sung komplexer Instanzen werden in der Praxis h?ufig Entscheidungsunterstützungssysteme eingesetzt. Verfahren, die in einem solchen System zum Einsatz kommen, müssen in der Lage sein, in kurzer Zeit gute L?sungen zu generieren. Wir stellen dazu ein Sampling Verfahren, ein Lokales Suchverfahren und einen Genetischen Algorithmus vor, die in einer Performance-Analyse miteinander verglichen werden.

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Heuristic Algorithms for Vehicle Routing Problems of Less-Than-Truckload Carriers

Summary As a consequence of globalisation and increasing customer expectations, medium-sized less-than-truckload carriers operate together in cooperations. Each cooperative member faces a multitude of requirements when constructing a low-cost, feasible set of routes. Taking up this problem, we take into consideration among other aspects heterogeneous vehicles, time windows, simultaneous pick-up and delivery at customer locations, as well as the multiple use of vehicles and assignment of vehicles to loading bays at the depot. The resulting vehicle routing problem can be formulated as a mixed-integer linear program, and we use ILOG CPLEX to solve small instances. In order to solve practical problem instances, there is a need for decision support systems. Algorithms which are to be implemented in such a system must be able to quickly generate good solutions. For this reason, we present a sampling procedure, a local search and a genetic algorithm, which we compare in a performance-analysis.

     

»Informational Utility«

The experiment examined factors that influence the selective exposure to media information. Earlier research has shown that dimensions of the informational utility model — magnitude of perceived consequences, perceived likelihood of their materialization, and perceived immediacy — govern selective news exposure. This approach is extended by the dimension of efficacy to predict the recipients’ selection of information. In an experimental procedure, two online newsmagazines with either positive or negative news only were presented. The 2x3x2 design varied efficacy (low vs. high), the established information utility dimensions (magnitude, likelihood, and immediacy) and the level of their intensity (low vs. high). Findings show that efficacy, as well as the established utility dimensions, foster the selection of news in recipients. The impacts of the dimensions is additive and applies to both positive and negative news.     

Tourism as connectedness

Late modernity in developed nations is characterized by changing social and psychological conditions, including individualization, processes of competition and loneliness. Remaining socially connected is becoming increasingly important. In this situation, travel provides meaning through physical encounters, inclusion in traveller Gemeinschaft based on shared norms, beliefs and interests, and social status in societies increasingly defined by mobilities. As relationships are forged and found in mobility, travel is no longer an option, rather a necessity for sociality, identity construction, affirmation or alteration. Social contexts and the underlying motivations for tourism have changed fundamentally in late modernity: non-tourism has become a threat to self-conceptions. By integrating social and psychological perspectives, this paper expands and deepens existing travel and mobilities discussions to advance the understanding of tourism as a mechanism of social connectedness, and points to implications for future tourism research.     

Modelling the term structure of interest rates: An efficient nonparametric approach

We propose a new approach for estimating the coefficients of the term structure equation by means of the volatility of the interest rates and the slope of the yield curve. One advantage of this approach consists in the fact that the drift and the market price of risk are jointly estimated and need not be individually specified. We then generate trajectories in a test problem to investigate the finite properties of this approach. Our simulation results show that this new approach outperforms the classic nonparametric models in the literature. Finally, an application to USA Treasury Bill data is also illustrated.     

Misvaluation and Insider Trading Incentives for Accrual‐based and Real Earnings Management

We investigate the incentives that misvaluation creates for: (1) insider trading; and (2) concurrent earnings management through both accruals and real activities. Managers of overvalued firms have an incentive to sustain overvaluation through income increasing earnings management and, at the same time, to sell their shares (Jensen, 2005 ). Managers of undervalued firms benefit from buying their firm's shares, however the negative effects of downward earnings management may offset incentives to enhance trading advantages. The results indicate that managers of both over‐ and under‐valued firms act opportunistically, managing earnings upward (downward) with accruals while selling (buying) shares. The Sarbanes‐Oxley Act of 2002 (SOX) has been largely ineffective in eliminating trading motivated earnings management. Finally, we do not find evidence of a relationship between managerial trading and real earnings management.