Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

This paper contributes to our understanding of the informational content of implied volatility. Here we examine whether the S&P 500 implied volatility index (VIX) contains any information relevant to future volatility beyond that available from model based volatility forecasts. It is argued that this approach differs from the traditional forecast encompassing approach used in earlier studies. The findings indicate that the VIX index does not contain any such additional information relevant for forecasting volatility.     

Editors' Introduction: The Effects of New Work Practices on Workers

The effects of employee involvement have been widely studied, including a special issue of this journal ( Ichniowski et al. 1996 ). This issue examines the effects of involvement and related programs on employees. This introduction examines several relevant theories and describes the methodological challenges. Of the many outcomes of interest ranging from employee satisfaction to health and safety, we focus our literature review on one: wages. The results of the studies we review vary widely, as do the programs those studies examine. Our reading is that many programs have no effect on wages, while on average, the effect is a small increase in wages after companies introduce new work systems with higher employee involvement.     

Hospital RNs' and CNOs' perceptions of the impact of the nursing shortage on the quality of care

The results of analyses of the 2002 and 2004 National Sample Surveys of RNs and the 2004 National Sample of CNOs document the widespread perception that the shortage of nurses is a major problem for the overall quality of patient care in hospitals. In the eyes of the majority of hospital RNs and CNOs surveyed, care processes involving communication, timely response to pages and telephone calls, delays in patient discharges, and the time patients had to wait for tests and procedures were all affected negatively by the nursing shortage. These results are not encouraging.     

Is the shortage of hospital registered nurses getting better or worse? Findings from two recent national surveys of RNs

The results of two recent national surveys of RNs that were conducted at a time when the nursing shortage in the U.S. was in full force (2002) and 2 years later (2004) were compared. The findings provide a mixed assessment: on the one hand, there is evidence that the shortage has eased since 2002 and that there have been notable improvements in the lives of nurses; on the other hand, the shortage has had a negative impact on hospitals and nurses, and longstanding problems associated with the workplace environment remain.     

The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets

In this paper we examine the extent of the bias between Black and Scholes (1973)/Black (1976) implied volatility and realized term volatility in the equity and energy markets. Explicitly modeling a market price of volatility risk, we extend previous work by demonstrating that Black-Scholes is an upward-biased predictor of future realized volatility in S&P 500/S&P 100 stock-market indices. Turning to the Black options-on-futures formula, we apply our methodology to options on energy contracts, a market in which crises are characterized by a positive correlation between price-returns and volatilities: After controlling for both term-structure and seasonality effects, our theoretical and empirical findings suggest a similar upward bias in the volatility implied in energy options contracts. We show the bias in both Black-Scholes/Black implied volatilities to be related to a negative market price of volatility risk. JEL Classification G12 · G13