Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

This study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the CBOE during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.     

Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence

American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2009) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations of the lower bounds by ask prices are infrequent. In out‐of‐sample tests of stochastic dominance, the writing of options that violate the upper bound increases the expected utility of any risk‐averse investor holding the market and cash, net of transaction costs and bid‐ask spreads. The results are economically significant and robust.     

Agrarian Crisis and Agrarian Questions in India

This essay reviews five recent books concerned with different aspects of the agrarian crisis and agrarian questions in India. Each book deals, implicitly or explicitly, with specific facets of these issues. Specific regional patterns of highly exploitative agrarian capitalist developments and the role of agro‐commercial capital are analysed by the books. The essay argues that the agrarian crisis is class specific and that the capitalist farming classes are, in the main, able to successfully accumulate, although uneven development across India makes generalization difficult. The review concludes with some overall perspectives on agrarian transition in India.     

Life-time income of men and women — the case in Denmark

Life-time income is estimated here including the money value of household work. A modified opportunity principle is used, which means that non-employed women's price of time is found by calculating reservation wage rates. The overall results demonstrate that Danish women's ‘loss' of labour income during the child caring period is difficult for them to regain, and just to reach the same level of income as childless Danish women seems impossible; furthermore Danish men get a higher life-time income than Danish women even when we add the money value of household work.     

Recovering Probability Distributions from Option Prices

This article derives underlying asset risk-neutral probability distributions of European options on the S&P 500 index. Nonparametric methods are used to choose probabilities that minimize an objective function subject to requiring that the probabilities are consistent with observed option and underlying asset prices. Alternative optimization specifications produce approximately the same implied distributions. A new and fast optimization technique for estimating probability distributions based on maximizing the smoothness of the resulting distribution is proposed. Since the crash, the risk-neutral probability of a three (four) standard deviation decline in the index (about ?36 percent (?46 percent) over a year) is about 10 (100) times more likely than under the assumption of lognormality.     

Relevance of Academic Research and Researchers' Role in the IASB's Financial Reporting Standard Setting

The International Accounting Standards Board (IASB) faces a vast number of standard‐setting issues at all levels of financial reporting. The purpose of this article is to explore the relevance of academic research for financial reporting standard setting and the role of academic researchers in the standard‐setting process. We contribute to the current debate surrounding International Financial Reporting Standards (IFRS) by drawing inferences from prior findings regarding the role of research in the IASB's standard‐setting efforts. After defining three broad categories of standard‐setting questions, we explore how the international heterogeneity of its constituency imposes constraints on the IASB's work. Then, whether and how academic research can inform policy makers is investigated from an epistemological perspective. Based on a review of extant literature, the general criteria which a piece of research should fulfil in order to be perceived as relevant and useful by standard setters are discussed. This discussion is followed by more detailed considerations regarding the suitability of different research approaches for each of the three categories of standard‐setting questions. We also touch on the subject of inferential problems inherent in most academic accounting research. Since the main objective is to contribute insights relevant to the IASB's efforts, we analyse academics' career systems and their incentives to engage in research intermediation, before discussing possible ways in which interested researchers can channel their insights into the IASB's standard‐setting process. Overall, the international dimension of IASB standard setting and its implications for relevant research are emphasized.