The effect of liquidity constraints on futures hedging

This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal futures position is constant regardless of the parameter values and increases as the spot position or the conventional hedge ratio increases. When the capital allocation is small, the hedger tends to ignore this restriction and chooses a larger position. Consequently, the optimal position may decrease as the capital allocation increases. For a moderate capital allocation, the optimal position increases with an increasing capital allocation. Similar properties are established for exponential utility functions. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:603–613, 2003     

Comparison of hospital length of stay and hospitalization costs among patients with non-valvular atrial fibrillation treated with apixaban or warfarin: An early view

Objective: To quantify and compare hospital length of stay (LOS) and costs between hospitalized non-valvular atrial fibrillation (NVAF) patients treated with either apixaban or warfarin via a large claims database.

Methods: Adult patients hospitalized with AF were selected from the Premier Perspective Claims Database (01JAN2013-31MARCH2014). Patients with evidence of valvular heart disease, valve replacement procedures, or pregnancy during the index hospitalization were excluded. Patients treated with apixaban or warfarin during hospitalization were identified. Propensity score matching (PSM) was performed to control for baseline imbalances between patients treated with apixaban or warfarin. Primary outcomes were hospital LOS (days), post-medication administration LOS, and index hospitalization costs, and were compared using paired t-tests in the matched sample.

Results: Before PSM, 2894 apixaban and 124,174 warfarin patients were identified. Patients treated with warfarin were older and sicker compared to those treated with apixaban. After applying PSM, a total of 2886 patients were included in each cohort, and baseline characteristics were balanced. The mean (standard deviation [SD] and median) hospital LOS was significantly (p?=?0.002) shorter for patients treated with apixaban for 5.1 days (5.7 and 3) compared to warfarin for 5.5 days (4.8 and 4). The trend appeared consistent in the hospital LOS from point of apixaban or warfarin administration to discharge (4.5 vs 4.7 days, p?=?0.051). Patients administered apixaban incurred significantly lower hospitalization costs compared to those administered warfarin ($11,262 vs $12,883; p?<?0.001).

Conclusions: Among NVAF patients, apixaban treatment was associated with significantly shorter hospital LOS and lower costs when compared to warfarin treatment.     

Firm Value,Corporate Cash Holdings and Financial Constraint: A Study from a Developing Market

This paper investigates the nonlinear relationship between firm value and corporate cash holdings in a sample of non‐financial Vietnamese firms from 2008 to 2013. We focus on both static and dynamic regressions to test for a nonlinear relationship. Our results reveal an ‘inverse U‐shape’ relationship between firm value and cash holdings, which is in line with trade‐off theory. Specially, we further test whether the optimal cash level changes under different financial conditions. In turn, this paper shows evidence of a nonlinear relationship between firm value and cash holdings under different financial circumstances and that each type of firm will adjust its optimal cash level based on business conditions.     

Properties of first-time vs. repeat visitors: lessons for marketing Norwegian ski resorts

This paper explores the potential in foreign markets for winter tourism in Norway and discusses the influencing factors explaining why foreign tourists visit and revisit Norway on ski vacations. In a decreasing market, it becomes increasingly important to destination managers and marketers to choose the right marketing strategies and direction. We focus on characteristics that influence and explain why foreign tourists choose to return. More than 3000 respondents from Sweden, Denmark, and Germany were asked for their image of Norwegian ski destinations and criteria for winter vacation selection. We fitted mainly hurdle and quantile regressions to gain consistent and less biased estimates. Stable snow conditions, combining alpine and cross-country skiing, and no fees for the latter are some of Norway's competitive but seldom marketed advantages, and especially towards repeat visitors. Repeaters typically prefer self-catering accommodation and are less price sensitive. Surprisingly, foreign ski tourists are not very interested in other snow-based activities or cultural attractions. Despite repeaters constituting the majority of foreign ski tourists, neither the national development and marketing agency (Innovation Norway) nor local tourist organizations and marketers have a strategy for targeting them. We recommend a shift from profile marketing towards segmented marketing, aimed especially at the repeat-visitor segment.     

Information asymmetry and accounting restatement: NYSE-AMEX and NASDAQ evidence

We examine the impact of accounting restatement announcement on firms’ value and information asymmetry for both auction market (NYSE-AMEX) and dealer market (NASDAQ) using a public sample of restatement announcements from 1997 to 2005. In both markets, we document economically and significantly negative mean cumulative abnormal returns around the announcement dates. The restatements attributed to auditors are associated with more negative returns than those attributed to management and the SEC. However, there is no significant difference between market reactions arising from the core and non-core restatements. We also find a significant increase in volume, number of transactions, average order size, volatility, and various measures of spreads after the restatement announcement indicating that restatement announcements diminish company prospects and contribute to increased uncertainty and information asymmetry. Finally, we find that the information asymmetry in the NASDAQ market around the event date is less pronounced than in the NYSE-AMEX market.     

Baltic Dry Index and iron ore spot market: dynamics and interactions

Baltic Dry Index (BDI) is often included in the iron ore spot price. Iron ore market experienced a transition in pricing mechanism from the annual negotiated price to the one based on spot market price in 2008/2009. This paper investigates the dynamics of and the interactions between BDI and iron ore spot price in the regime of the new pricing mechanism. In addition to controlled variables, we find significant spillover interactions between BDI and the iron ore market. We also detect mean-reversion movement in the iron ore market, signalling certain inefficiency in the market pricing.     

A Note on Loss Aversion and Futures Hedging

This note examines the effect of loss aversion on the futures trading behavior of a short hedger. Using a modified constant‐absolute‐risk‐aversion utility function, I show that loss aversion has no effect in an unbiased futures market. It has different, predictable impacts when the futures market is in backwardation or contango. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 681–692, 2001     

Subjective Well‐Being and Income: A Re‐Examination of Satiation Using the Regression Kink Model With an Unknown Threshold

A methodological challenge in testing Easterlin's paradox, which states that increasing income fails to boost happiness beyond a satiation point, lies in the determination of this threshold if it exists. In the existing literature, various levels of GDP per capita have been chosen based upon visual inspection of the scatter plots of the data. The estimated income–well‐being gradients are sensitive to the choice of such kink points. We first replicate the results in Stevenson and Wolfers (American Economic Review, Papers and Proceedings 2013; 103 (3): 598–604), then apply the methods proposed in Hansen (Journal of Business and Economic Statistics 2016), which estimate the regression kink model with an unknown threshold, to the data in Stevenson and Wolfers ( 2013 ) to re‐examine the two modified versions of Easterlin's hypothesis. In most cases, we do not find the existence of any kink point. In the few cases where a kink point is detected, the estimated kink point thresholds are different from those chosen in the previous literature. Overall, we find no evidence of a satiation point, which is in support of Stevenson and Wolfers ( 2013 ). Copyright © 2016 John Wiley & Sons, Ltd.     

International ambidexterity and firm performance in small emerging economies

Conventional IB theories stress the importance and implications of a firm's exploitative strategy. However, the unprecedented competitive nature of contemporary business necessitates firm “ambidexterity” — the simultaneous execution of exploitation and exploration activities. Using balanced panel data of 207 Taiwanese firms spanning six years, this research examines the effects of international ambidexterity on firm performance. Findings reveal that ambidexterity promotes a firm's performance. For firms from small emerging economies, international ambidexterity is highly vulnerable to environmental complexity and sensitive to previous international experience and the firm's capability to conduct international business. These factors significantly moderate firm performance.