Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

We suggest that there is a significant relationship between cross-market comovement and time varying volatility. The time-varying component of cross-market dependence is attributed to the intertemporal risk-return adjustment by rational, risk-averse investors who systematically revise their expectation in response to changing volatility. To reflect the time-varying component of cross-market dependence, we propose a time-varying correlation test for contagion. Our results show that out of the countries reporting contagion evidence under the constant correlation test, none of the countries exhibits contagion evidence from the 1997 Asian crisis. We conclude that a high level of cross-market correlation during a crisis reported as contagion evidence under the standard constant correlation test is mostly due to the high level of cross-market co-movement resulting from the intertemporal risk-return adjustment.     

Option and Futures Evaluation With Deterministic Volatilities1

Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options.     

SECURITIES PRICE EFFECTS OF UNIONIZATION LEGISLATION

Prior studies document that firms experience negative stock price effects in response to unionization. We study the economic effects of a radical change in unionization legislation in New Zealand and hypothesize that the stock price effect of unionization is a function of prior unionization status of firms. We provide evidence that legislative events that increase the likelihood of introducing more stringent legislation do not affect stock prices of high‐unionized firms, whereas low‐unionized firms are affected negatively and significantly. Legislative events that signal less stringent unionization legislation result in significant stock price increases for all firms.     

Employer branding: Attracting and retaining talent in financial services

This study develops and investigates a framework for better understanding employer branding. More specifically, the overall purpose is to provide a deeper understanding on how employer branding is used to attract and retain talent. An extensive literature review leads to a proposed conceptual framework focusing on two key research questions: How can the relationship between corporate branding, internal branding and employer branding in service industries be described? And, How can the role of corporate values in delivering the brand promise be described? A qualitative, case study approach is used to collect data from a financial services company in Sweden. The data collected and analyzed reveals that the areas of employer, internal and corporate branding are not mutually exclusive, but instead an intertwined collection of branding issues that together form the corporation’s core values. All of this together is what allows the corporation to in turn deliver its brand(s) promise to several stakeholder groups.     

Possible selves and identity in relation to career development: evidence from Chilean male middle‐aged managers' career narratives

Social and economic conditions, as well as the dynamism of the Chilean labour market, place new demands on middle‐aged workers who have to explore both internal and external opportunities to develop successful careers. We assumed that possible self and identity in future states are core organizing aspects in this process. Identities, being core components of the self‐concept, comprise self‐representations that are contextually based and rooted in a social structure. Given the fact that there is a serious lack of empirical research in this domain, this study was aimed to help close an important gap in the literature. More specifically, it was intended to better understand the role played by possible selves and identity – that is, knowledge about what the self might eventually achieve or become – in career development. Based on an in‐depth qualitative study among 25 male middle‐aged Chilean managers, we found that the possible selves reported: (1) are evolving processes that vary in terms of content, stability and elaboration; (2) are related to career variety; (3) help in both career transitions and the adjustment process in novel situations; and (4) act as an incentive in career development. It is important to stress that in cases of challenging work contexts, employees are urged to create and recreate new selves and identities at work in order to increase their adaptability to ever‐increasing working life demands and enhance their employability.