Insider employee stock option trading and stock prices

The question of which factors determine corporate bonds pricing is investigated by analysing the spreads of eurobonds issued by major G-10 companies during the 1991–2001 period. Three main results emerge from the analysis. First, bond ratings appear as the most important determinant of yield spreads, with investors’ reliance on rating agencies judgments increasing over time. Second, the primary market efficiency and the expected secondary market liquidity are not relevant explanatory factors of spreads cross-sectional variability. Finally, rating agencies adopt a different, ‘through the cycle’, evaluation criteria of default risk with respect to the forward looking one adopted by bond investors.     

Identification of technological structures using patent statistics

This paper studies the use of patent statistics in identifying four aspects of technological structure, namely, the potential knowledge pool, cumulativeness, inter-firm homogeneity in technology levels, and the scope of innovations. The firms are sampled from the chemical (CHEM), the computer (COM) and the electrical and electronic (EE) industries worldwide. Using the proxies defined, we find that (i) the contributions of intra-industry spillover are low, at 12%, 10%, and 9% for the three industries respectively; (ii) they can internalize 15%, 19% and 13% of their previous research efforts respectively; and (iii) a positive relationship between knowledge spillover and technology overlap, and between scope of innovation and number of patents being cited in future.     

Personality,organization-specific attitude,and socioeconomic correlates of charity giving behavior

It should be noted that due to the composition of the sample, the specific findings of this study are not intended to be generalized to the population. The results of the discriminant analysis, nevertheless, provide some evidence that socioeconomic variables are more efficient than both organization-specific attitudes and personality variables in discriminating donors and nondonors. The analyses also show that personality variables used in this study do not contribute to a separation of nondonor/donor groups. Ford Motor Company The authors gratefully acknowledge the research support of University Research Committee, Ball State University in this study.     

The Early Careers Of Engineers And The Accumulation Of Skills In The Canadian Economy

In this paper we use world cycling records to study the pattern of technological development of the track bicycle. We find that there is a strong evidence of ‘contagious’ effects among cycling records which in turn provides indirect evidence of ‘contagious’ effects among technological innovations. Interestingly, the ‘contagiousness’ of records is not a salient characteristic of track and field competitions where, arguably, technology plays a smaller role.     

Does the digital divide matter? The role of information and communication technology in cross-country level and growth estimates

The bulk of information and communication technology is made of weightless, implementable, and infinitely reproducible knowledge products (such as software and databases). These products are transferred by telephone lines, accessed through internet hosts, and processed through personal computers. In this work, the coefficient of the labour augmenting factor in the aggregate production function has been estimated using proxies of variables crucially affecting the diffusion of (non-rival and almost non-excludable) knowledge products. This specification provides interesting answers to some of the open issues in the existing growth literature. The most recent information, though available for a limited period, shows that telephone lines, personal computers, mobile phones, and internet hosts significantly affect levels and growth of income per worker across countries. The result is robust to changes in sample composition, econometric specification, and estimation approach.     

Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

This article explores the relationships between several forecasts for the volatility built from multi-scale linear ARCH processes, and linear market models for the forward variance. This shows that the structures of the forecast equations are identical, but with different dependencies on the forecast horizon. The process equations for the forward variance are induced by the process equations for an ARCH model, but postulated in a market model. In the ARCH case, they are different from the usual diffusive type. The conceptual differences between both approaches and their implication for volatility forecasts are analysed. The volatility forecast is compared with the realized volatility (the volatility that will occur between date t and t + ΔT), and the implied volatility (corresponding to an at-the-money option with expiry at t + ΔT). For the ARCH forecasts, the parameters are set a priori. An empirical analysis across multiple time horizons ΔT shows that a forecast provided by an I-GARCH(1) process (one time scale) does not capture correctly the dynamics of the realized volatility. An I-GARCH(2) process (two time scales, similar to GARCH(1,1)) is better, while a long-memory LM-ARCH process (multiple time scales) replicates correctly the dynamics of the implied and realized volatilities and delivers consistently good forecasts for the realized volatility.     

How Do Switching Costs Affect Market Concentration and Prices in Network Industries?

I investigate the effects of switching costs on the market outcome in network industries using a dynamic duopoly model of price competition in the presence of an outside option. I find that the role of switching costs depends on network effects and the outside option. Without a viable outside option, high switching costs can neutralize the tendency towards high market concentration associated with network effects, but with a viable outside option, switching costs increase market concentration. Furthermore, switching costs lower prices if network effects are modest and there exists a viable outside option, but generally raise prices otherwise.     

On the equivalence of the static and dynamic asset allocation problems

A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth, for an individual who can invest in a risky stock and a risk-free bond, trading continuously in time. Recently, several authors considered the corresponding static asset allocation problem in which the individual cannot trade but can invest in options as well as the underlying. The optimal static strategy can never do better than the optimal dynamic one. Surprisingly, however, for some market models the two approaches are equivalent. When this happens the static strategy is clearly preferable, since it avoids any impact of market frictions. This paper examines the question: when, exactly, are the static and dynamic approaches equivalent? We give an easily tested necessary and sufficient condition, and many non-trivial examples. Our analysis assumes that the stock follows a scalar diffusion process, and uses the completeness of the resulting market model. A simple special case is when the drift and volatility depend only on time; then the two approaches are equivalent precisely if (μ (t)? r)/σ²(t) is constant. This is not the Sharpe ratio or the market price of risk, but rather a nondimensional ratio of excess return to squared volatility that arises naturally in portfolio optimization problems.     

Healthcare resource utilization with ixazomib or placebo plus lenalidomide-dexamethasone in the randomized,double-blind,phase 3 TOURMALINE-MM1 study in relapsed/refractory multiple myeloma

Aims: The aim of this analysis was to assess healthcare resource utilization in the pivotal phase 3 TOURMALINE-MM1 study of the oral proteasome inhibitor ixazomib or placebo plus lenalidomide and dexamethasone (Rd) in relapsed and/or refractory multiple myeloma (RRMM).

Methods: In this double-blind, placebo-controlled, randomized study (NCT01564537), 722 patients with RRMM following 1–3 prior lines of therapy received Rd plus ixazomib (ixazomib-Rd; n?=?360) or matching placebo (placebo-Rd; n?=?362) until disease progression or unacceptable toxicity. Healthcare resource utilization data were captured on Day 1 of each 28-day cycle, every 4 weeks during follow-up for progression-free survival, and every 12 weeks during subsequent follow-up, and included medical encounters (length of stay, inpatient, outpatient, and reason) and number of missing days from work or other activities for patients and caregivers.

Results: Exposure-adjusted rates of hospitalization were similar between the ixazomib-Rd and placebo-Rd arms, at 0.530 and 0.564 per patient year (ppy), respectively, as were outpatient visit rates (3.305 and 3.355 ppy). Mean length of hospitalization per patient was 10.0 and 10.8 days, respectively. In both arms, hospitalization and outpatient visit rates were higher in patients with two or three prior lines of treatment (ixazomib-Rd: 0.632 and 3.909 ppy; placebo-Rd: 0.774 and 3.539 ppy) compared with patients with one prior line (ixazomib-Rd: 0.460 and 2.888 ppy; placebo-Rd: 0.436 and 3.243 ppy). Patients and their caregivers who missed any work or other activity missed a median of 7 and 5 days in the ixazomib-Rd arm, respectively, vs 8 and 4 days with placebo-Rd.

Limitations: The study was not powered for a statistical comparison of healthcare resource utilization between treatment arms, nor did it capture costs associated with utilization of the identified healthcare resources.

Conclusions: This pre-specified analysis demonstrated that the all-oral triplet regimen of ixazomib added to Rd did not increase healthcare resource utilization compared with placebo-Rd.     

Gender,Honor, and Aggregate Fertility

This article examines the tension between population‐level and individual‐level interests regarding childbearing, from Malthus's concern for overpopulation to the contemporary issue of son preference, and argues for an understanding of individual‐level interests that distinguishes parents from households. In making this distinction, we draw attention to how gender norms can play an important role in shaping reproductive interests. Survey data and previous work show a wealth of differences in the number of children men and women would like to have, and in their behaviors toward the children they have. We argue not that gender norms cause women to want more children than men, but that they cause women to want children more, for reasons that include time spent with children, old‐age support, women's proscribed opportunities for achieving social standing, and the relationship in many contexts between honorable female adulthood and bearing children at the right time and under the right circumstances. We further argue that a just and effective population policy must consider fertility outcomes at multiple scales, including that of the welfare of individual women.