Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice. Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based realized volatilities indicates significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn relate to a set of macro-finance state variables. We also find that the extracted volatility risk premium helps predict future stock market returns.     

Improving Estimates of Inequality and Poverty from Urban China's Household Income and Expenditure Survey

In urban China the Household Income and Expenditure Survey requires respondents to keep a daily expenditure diary for a full 12-month period. This onerous reporting task makes it difficult to recruit respondents, compromising the sample. This article uses monthly expenditure data from two urban areas of China to see if data collection short-cuts, such as extrapolating to annual totals from expenditure reports in only some months of the year, would harm the accuracy of annual expenditure, inequality and poverty estimates. Replacing 12-month diaries with simple extrapolations from either one, two, four or six months would cause a sharp increase in estimates of annual inequality and poverty. This undermines international comparisons of inequality statistics because no country other than China uses such comprehensive 12-month expenditure records. But a corrected form of extrapolation, based on correlations between the same household's expenditures in different months of the year, gives much smaller errors in estimates of inequality and poverty.     

Ethical decision making in the medical profession: An application of the theory of planned behavior

The present study applied Ajzen's (1985) theory of planned behavior to the explanation of ethical decision making. Nurses in three hospitals were provided with scenarios that depicted inadequate patient care and asked if they would report health professionals responsible for the situation. Study results suggest that the theory of planned behavior can explain a significant amount of variation in the intent to report a colleague. Attitude toward performing the behavior explained a large portion of the variance; subjective norms explained a moderate amount of the variance; and, perceived behavioral control added little to the explanation of variance. Implications for research and practice are discussed. Donna M. Randall is an Associate Professor in Management and Systems at Washington State University. Her research interests include organizational commitment, media coverage of elite crime, and ethical issues in management. Her publications have appeared in such journals as Decision Sciences, Academy of Management Review, and Journal of Business Ethics. Annetta M. Gibson is a doctoral student in the Department of Accounting and Business Law at Washington State University and a CPA. Her research interests lie in the area of behavioral accounting and ethical issues in auditing, accounting, and management. She has published in the Journal of Business Ethics.     

Planning Behavior Variables in Small Firms

Much of the empirical data that identifies the incidence of planning in small firms and the variables associated with that planning is based on small samples subject to geographic and industry constraints. The intent of this article is to partially overcome those limitations by testing relationships using results from a large Australian-wide, multiple-period sample. For each of three years, the frequency with which firms maintained documented business plans was determined and tested for associations with a range of traditional "business structure" demographic variables and a group of "management structure" variables. Results support expectations that size, volume, training, intention to change operations, and the major decision-maker's education are positively associated with business planning. Results also indicate that a significant number of firms change planning behavior states over time.     

Cost‐ and Income‐based Measures of Human Capital

Human capital is increasingly believed to play an important role in the growth process, however, adequately measuring its stock remains controversial. In this paper three general approaches to measurement are identified; cost‐based, income‐based and educational stock‐based. This survey focuses on the first two approaches and provides a critical review of the theories and their applications to data from a range of countries. Particular emphasis is placed upon the work of Jorgenson and Fraumeni (1989, 1992) and some new results for New Zealand based upon their approach are also presented.     

Mapping your innovation strategy

In the complex sport of American football, teams rely on playbooks as thick as the Manhattan phone directory. But when it comes to creating innovative growth businesses-which is at least as complicated as professional football--most companies have not developed detailed game plans. Indeed, many managers have concluded that a fog enshrouds the world of innovation, obscuring high-potential opportunities. The authors believe that companies can penetrate that fog by developing growth strategies based on disruptive innovations, as defined by Clayton Christensen. Such innovations conform to a pattern: They offer an entirely new solution; they perform adequately along traditional dimensions and much better along other dimensions that matter more to target customers; and they are not initially appealing to powerful incumbents. Companies can develop customized checklists, or playbooks, by combining this basic pattern with analysis of major innovations in their markets. The key early on is to focus not on detailed financial estimates--which will always guide companies toward the markets most hostile to disruptive innovations--but on how well the innovation fits the pattern of success. It's also crucial to encourage flexibility: Companies must be willing to kill projects that are going nowhere, exempt innovations from standard development processes, and avoid burdening project teams with extra financing, which can keep them heading in the wrong direction. Companies can create competitive advantage by becoming champions at defining the pattern of successful innovations and executing against it. But as that pattern becomes obvious--and others emerge-building a sustainable advantage on innovation competencies will again prove elusive.     

Health state utilities associated with caring for an individual with cutaneous T-cell lymphoma (CTCL)

Abstract

Aim

Cutaneous T-cell Lymphoma (CTCL) is a rare form of non-Hodgkin lymphoma characterized by skin lesions, which can negatively impact the quality of life of both patients and their caregivers. The Decision Support Unit (DSU) at the National Institute for Health and Care Excellence (NICE) in the UK recently outlined a rationale for the inclusion of caregiver burden in economic evaluations. This study aimed to estimate utilities for health states associated with being a caregiver for an individual with CTCL at different stages of treatment.     

Aggregate and distributional impacts of China’s household responsibility system

It is 40 years since China started to abandon collective farming, with initial rural reforms in 1978 that culminated in adoption of the household responsibility system (HRS). Existing studies of impacts of these reforms do not consider nonrandom spread of the HRS, spillovers from early adopters, or distributional effects. In this paper, the synthetic control method and spatial autoregressive panel models with autoregressive errors are used to estimate impacts of the HRS that account for these features. The HRS had a significant positive effect on grain output and food supply in China, while also helping to reduce regional inequality.     

Reconciling culturalist and rationalist approaches: leadership in the United States and Turkey

This article empirically investigated the invariance and discriminant validity of a six-factor leadership model across two very divergent cultures: the United States and Turkey. In conjunction with the rationalist approach to international management, it was hypothesized that the same range of six leadership styles would appear in both cultures. However, coinciding with the culturalist approach to international management, it was also hypothesized that managers would emphasize different styles in each culture. Turkish and US managers each completed the Leadership Effectiveness Questionnaire measuring degree of emphasis placed on six leadership styles. Results of the test of model invariance indicated that the six styles existed in both cultures; however, discriminant analysis demonstrated that the Autocratic and Consensus styles differentiated managers best. Turkish managers emphasized the Autocratic style to a greater extent and the Consensus style to a lesser extent than did US managers. Implications for international management are discussed. ©1998 John Wiley & Sons, Inc.