On Some Characteristics of Gaussian Covariance Functions

The concepts of isotropy/anisotropy and separability/non‐separability of a covariance function are strictly related. If a covariance function is separable, it cannot be isotropic or geometrically anisotropic, except for the Gaussian covariance function, which is the only model both separable and isotropic. In this paper, some interesting results concerning the Gaussian covariance model and its properties related to isotropy and separability are given, and moreover, some examples are provided. Finally, a discussion on asymmetric models, with Gaussian marginals, is furnished and the strictly positive definiteness condition is discussed.     

Could lean practices and process innovation enhance supply chain sustainability of small and medium‐sized enterprises?

Small and medium‐sized enterprises (SMEs) adopt lean practices (LP) to reduce waste across their organisational value chain, which helps achieve sustainability. Process innovation (PI) has also been applied through cleaner production, environmental management system, ecodesign, and so on to address both customers' needs and legislations by policymakers. Although prior studies reveal the effect of sustainable practices, LP, and PI on sustainable performance separately, less is known on the integrated effect of them on sustainability performance. Moreover, studies on mediating effect of LP and PI on sustainability performance are scant. This is significant as LP and PI are considered to be the enablers for achieving sustainability performance. This research addresses this knowledge gap. The research first theorises a model integrating these four major constructs (sustainability practices, LP, PI, and sustainability performance) through hypotheses development. Subsequently, using structural equation modelling, it is tested whether each of sustainability practices, LP, and PI effect sustainability performances. Additionally, mediating effect of LP and PI between sustainability practices and performances is derived. The study uses data from 119 SMEs within manufacturing industries in the Midlands, United Kingdom. Further, a few case studies have been undertaken to validate the findings from quantitative analysis. The overall results show that although sustainability practices, LP, and PI help achieve sustainability performance of SMEs supply chain through efficiency and responsiveness respectively, the mediating effect LP is more compared with PI. Moreover, SMEs adopt LP when they are economy focused and implement PI when they are pressurised by customers and/or policymakers.     

A Note on Family Influence and the Adoption of Discontinuous Technologies in Family Firms

The 4Cs model of command, continuity, community, and connections is useful for examining the effect of family influence on the adoption of discontinuous technologies. However, assuming that family influence differs only in degree rather than kind is naive because such an assumption ignores the likelihood of heterogeneous behaviors among family firms. In this conceptual note, we extend prior work and explain how heterogeneity in the family's relative emphasis on command, continuity, community, and connections requires that the multifaceted and potentially nonlinear nature of family influence be considered when analyzing strategic decisions concerning family firm innovation.     

Are impatient farmers more risk-averse? Evidence from a lab-in-the-field experiment in rural Uganda

Based on data from a field-experiment in rural Uganda, we show that impatient farmers are more risk-averse than patient farmers. We relied on a simplified version of the Convex Time Budget (CTB) method to elicit farmers’ time preferences and on an independent method for eliciting their risk-preferences. We report two important findings. First, we show that our simplified CTB method applied to farmers from Uganda replicates the key findings of Andreoni and Sprenger’s lab experiments that involved student subjects. Second, we establish the existence of a negative correlation between risk tolerance and impatience, based on two independent measures.     

Digital Transformation Through Exploratory and Exploitative Internet of Things Innovations: The Impact of Family Management and Technological Diversification*

This study examines the impact of family management on digital transformation with specific regard to the firm’s development of Internet of Things (IoT) innovations. Drawing on the distinctive characteristics of firms with family managers, such as the focus on family‐centered noneconomic goals, long tenure, emotional ties to existing assets, and rigid mental models, it hypothesizes that increasing family involvement in the top management team is negatively related to the development of IoT innovations that are distant from a firm’s existing technology base (i.e., exploratory IoT innovations) compared to exploitative IoT innovations. Further, the study proposes that the firm’s degree of technological diversification, especially in unrelated forms, reinforces this relationship. The longitudinal analysis between 2002 and 2013 on a sample of publicly traded German firms allows us to test our hypotheses from the beginning of the emergence of the IoT concept. Our findings show that due to the particular characteristics of their managers, family‐managed firms do not welcome the risks related to exploratory IoT innovations, and the benefit of risk diversification from technological diversification is lower than the cost of abandoning family‐centered goals. As our results imply that the involvement of family managers constrains the development of exploratory IoT innovation, the top management team composition in firms that intend to be at the forefront of the digital transformation should be accurately designed by avoiding a high proportion of family members.     

Double continuation regions for American and Swing options with negative discount rate in Lévy models

In this paper, we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate that arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this case a double continuation region arises and we identify the two critical prices. We also generalize this result to multiple stopping problems of Swing type, that is, when successive exercise opportunities are separated by i.i.d. random refraction times. We conduct an extensive numerical analysis for the Black–Scholes model and the jump‐diffusion model with exponentially distributed jumps.     

Analysing Systemic Risk in the Chinese Banking System

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China for the 2007–2014 period. We find that these measures show different patterns, capturing different aspects of systemic risk of Chinese banks. However, rankings of banks based on these measures are significantly correlated. The time‐series results for the CoVaR and MES measures suggest that systemic risk in the Chinese banking system decreased after the global financial crisis but started rising in 2014.     

Semi-analytical prices for lookback and barrier options under the Heston model

Decisions in Economics and Finance - Under the Heston stochastic volatility model, we derive semi-analytical formulas for the prices of path-dependent options with payoffs linked to the maximum or...     

Commodity Price Volatility and the Sources of Growth

This paper studies the impact of the growth and volatility of commodity terms of trade (CToT) on economic growth, total factor productivity, physical capital accumulation and human capital acquisition. We use the standard system generalized methods of moments (GMM) approach as well as the dynamic common correlated effects pooled mean group (CCEPMG) methodology for estimation to account for cross‐country heterogeneity, cross‐sectional dependence and feedback effects. Using both annual data for 1970–2007 and 5‐year non‐overlapping observations, we find that while CToT growth enhances real output per capita, CToT volatility exerts a negative impact on economic growth operating mainly through lower accumulation of physical and human capital. Productivity, however, is not affected by either the growth or the volatility of CToT. Our results also indicate that the negative growth effects of CToT volatility offset the positive impact of commodity booms. Therefore, we argue that volatility, rather than abundance per se, drives the ‘resource curse’ paradox. Copyright © 2014 John Wiley & Sons, Ltd.