Robust estimation of intraweek periodicity in volatility and jump detection

Opening, lunch and closing of financial markets induce a periodic component in the volatility of high-frequency returns. We show that price jumps cause a large bias in the classical periodicity estimators and propose robust alternatives. We find that accounting for periodicity greatly improves the accuracy of intraday jump detection methods. It increases the power to detect the relatively small jumps occurring at times for which volatility is periodically low and reduces the number of spurious jump detections at times of periodically high volatility. We use the series of detected jumps to estimate robustly the long memory parameter of the squared EUR/USD, GBP/USD and YEN/USD returns.     

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard models without jumps when estimated on S&P500 returns. We find very strong support for time-varying jump intensities. Compared to the risk premium on dynamic volatility, the risk premium on the dynamic jump intensity has a much larger impact on option prices. We confirm these findings using joint estimation on returns and large option samples.     

Cause-related marketing persuasion research: an integrated framework and directions for further research

This paper presents an integrative review of the literature on cause-related marketing (CRM) persuasion research (i.e. studies of how CRM influences evaluations of the partner brand). The aim of the study was to review CRM persuasion research and to integrate the findings into a theoretical framework that could direct future research efforts in the area. Drawing on Bergkvist and Taylor's model of Leveraged Marketing Communications (LMC), a dual-path model of CRM persuasion effects was developed. According to the model, CRM affects brand evaluations along two paths: the indirect transfer path which is mediated by attribution of motives and the direct transfer path in which attitude towards the cause is transferred to the brand. The model incorporates results from extant research and provides guidance for future studies.     

Celebrity endorsements: a literature review and research agenda

This paper presents a narrative review of celebrity endorsement research. The review identifies six areas of research on celebrity endorsements (celebrity prevalence, campaign management, financial effects, celebrity persuasion, non-evaluative meaning transfer, and brand-to-celebrity transfer). A review of the research in each area identifies key findings, conflicting results, and research gaps. In addition, this paper reviews the celebrity endorsement literature with a focus on the psychological processes underlying celebrity endorsement effects that has been put forward in the literature. Based on the review an agenda for future research is offered.     

Predicting bankruptcy in the Texas nursing facility industry

Approximately 50% of nursing facilities in Texas petitioned for bankruptcy during the 1998–2004 period. Using a logit regression model tested for robustness, we find nursing facilities that are profit-seekers, chain members, pay higher than average wage rates, accept more intensive-care residents and obtain a larger than average portion of their funding from public sources are highly vulnerable to negative changes in regulatory policy decisions on Medicare and Medicaid reimbursement. Larger facilities having higher than average occupancy rates and quality of care are less susceptible to adverse decisions. The model correctly classifies a facility as either bankrupt or solvent in about 75% of cases. We also examine the duration of bankruptcy using accelerated failure-time models. It appears that the duration of bankruptcy depends on location, out-of-state ownership, length of ownership, volume of resident days supplied, total cost and proportion of revenues from Medicaid.