Persistent mispricing in a recently opened emerging index futures market: Arbitrageurs invited

The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties of shorting in the spot stock market, behavioral effects, and insufficient arbitrage. The magnitude of the mispricing and the absence of arbitrage make behavioral effects more visible and provide a unique opportunity to examine extant behavioral hypotheses. Results confirm effects such as disposition and/or conservatism with the mispricing negatively related to past returns, but unrelated to future returns. Finally, an orderly weakening of the negative relation to past returns and behavioral effects is observed, suggesting that such effects will diminish as the market matures. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:218–243, 2009     

Bargaining and the observability of contractual commitments via third parties

This paper analyzes a two-stage model of bilateral bargaining where one of the agents has the option to delegate. A first approach is to assume that the contract between the agent and his representative is perfectly observable and can be renegotiated. Commitment effects arise although renegotiation is possible. Then, perfect observability of the contract is weakened to observe it with certain probability. Commitment effects as pure-strategy equilibria exist if this probability is sufficiently close to 1, in contrast to Bagwell's [1995] findings that imperfect observability undermines commitment. Considering the realistic case of the actual agreement between two parties being private information, the commitment value as equilibrium outcome disappears since having closed a renegotiation-proof contract offers costless self-insurance against strategic misunderstandings. The author is grateful for helpful comments from Vasco Santos, participants at the International Atlantic Economic Conference, October 7–10, 1999, Montreal, Canada, an anonymous referee, and David M. Aadland.     

ERP On Demand Platform

Platforms for SaaS-based enterprise applications are prospering and the number of on-demand ERP vendors is increasing. We combine both phenomena for the first time and illustrate how the integration of a sustainability benchmarking service into an on-demand ERP platform provides added value beyond pure cost savings. By applying a qualitative system dynamics approach we identify self-reinforcing mechanisms which allow a faster and more comprehensive market penetration compared to providing these services separately.     

Strategic Incentives for Keeping One Set of Books in International Transfer Pricing

We study the equilibrium accounting and transfer pricing policies in a multinational duopoly with price competition in the final product market. We find that the firms in a duopoly can benefit from strategically using the same transfer price for tax and managerial purposes instead of using separate transfer prices for both objectives. According to our results, the practice of one set of books should be the prevalent accounting method in markets with a small number of competitors and similar products.     

The tactical and strategic value of hedge fund strategies: a cointegration approach

This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships, while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets. Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization. However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification potential, especially in the framework of tactical asset allocation.

Why do patients select a hospital? A conjoint analysis in two German hospitals

Patients decide on where to consume hospital services in Germany. Thus, the understanding of the exact hospital selection criteria and their weights is important. This research reviews the antecedents of hospital selection utilizing the conjoint methodology with regard to six questions. (1) Which are the relevant choice criteria, and (2) what are their weights? (3) Which criteria receive an increased importance in the absence of experience? (4) Do differences between compulsory and privately insured patients, (5) between hospitals with regard to their size, and (6) between female and male patients exist? The relevance and importance of nine pre-selected criteria are determined through two conjoint analyses. Experience is found to be most important followed by referral by general practitioner, certified quality management system, positive press coverage, recommendation by relatives and acquaintances and distance to the hospital. Reception area design and the personnel's friendliness, the website quality and the published quality report are less relevant. Without experience, reception area design, personnel's friendliness and distance to the hospital receive an increased importance. In addition, for some criteria notable discrepancies between female and male patients and between patients with different insurance policies are found.