ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of a geometric Brownian motion and the density of the stock price process in the Hull–White model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the price of an Asian option are obtained.     

A Regime‐Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors

This article uses regime‐switching models of the threshold type to analyze the adjustment process of rental prices for three U.K. commercial real estate sectors over the period 1974–2008. The nonlinear models outperform their linear counterparts in in‐sample fit. Their out‐of‐sample forecasting ability is better whenever the corresponding linear models contain a significant amount of neglected nonlinearity. Regime switches are triggered when the growth rates of rental price exceed certain threshold levels. For the industrial and retail sectors such regime switches occur in situations of strong excess demand, for the office sector they occur when there is strong excess supply.     

The Price Impact of Lending Relationships

This study analyzes the impact of bank relationships on a firm's borrowing costs. We find that a firm's borrowing costs decrease with relationship strength, proxied by the share of bank debt provided by the lender. Borrowing costs, however, rise with relationship length. While the increase over time is weak on average, bank‐dependent borrowers face a substantial premium after several relationship years. Switching the lender initially leads to only a small price discount on average. However, the discount is considerable for borrowers that switch and had a strong relationship with their previous lender. Our results suggest that close lending relationships lead to benefits for the firm, but may also imply hold‐up costs in the long term.     

Retaining volunteers for the cause: Hope and pride associated with cause-related charity events in cancer control

Special charity events are an important source of revenue for non-profit organisations in cancer control yet volunteering is declining and turnover is high. Experiences at cause-related events may influence retention, particularly emotions connected to the cause and ceremonies which honour cancer survivors and remember loved ones. We explore the degree to which emotions associated with cause-related volunteering and collective action in the literature are felt in response to Relay For Life and what emotions predict three indicators of retention: intention to return for future events, satisfaction with volunteering, and organisational commitment. Volunteers (n = 410) completed a cross-sectional survey at Relay For Life events in Queensland, Australia. Multiple regression analyses examined whether emotions associated with events predicted each indicator of retention, adjusting for number of years spent volunteering for events. Sixty-two percent reported an intention to return the following year. The most commonly reported event-related emotions were hope, pride, and empathy (62–69%). Intention to return, satisfaction, and commitment were each significantly predicted by hope and pride. The findings suggest special charity events in cancer control could retain volunteers by fostering pride and hope (e.g., for a cancer free future); however, future prospective research which examines the mechanisms of these relationships is warranted.     

Distress rentals and the land rental market as a safety net: contract choice evidence from Tigray,Ethiopia

Rural households in the semiarid Northern Ethiopian highlands are net buyers of food. Crop failure due to erratic and unpredictable rainfall occurs frequently and leads to food shortages and income shocks. The renting out of land may be one of the coping responses of households exposed to shocks. We developed a theoretical household model for poor landlord households capturing their contract choice response to downside production shocks. We tested econometrically whether contract choice may depend on poverty, capital constraints, production risk and random shocks. The multinomial logit model estimates show that poor households experiencing random shocks are more likely to choose fixed‐rent contracts as a distress response to shocks, suggesting that fixed‐rent contracts may be used to meet immediate needs, but at the expense of future incomes. We also found that fixed‐rent contracts are preferred when ex ante production risk is low, while sharecropping is more likely where production risk is high. Finally, we found an indication that the choice of a fixed‐rent contract as a coping response to shocks comes as a last resort after all other means of coping are exhausted.     

Formalisation of land rights: Some empirical evidence from Mali, Niger and South Africa

In this paper, we re-interpret three cases of research previously carried out in Mali, Niger and South Africa in light of the recent debate about formalisation of land rights that has emerged since the publication of Hernando de Soto's ‘Mystery of Capital’. The Malian case shows that lack of broad access to formalisation processes in high-pressure areas may play into the hands of those with power, information, and resources. The case also demonstrates that timing of formalisation efforts in urban areas characterised by rapid expansion is crucial in terms of distributive outcomes. The Nigerien case demonstrates how impending formalisation led to a scramble for land and increased conflicts in a context of institutional competition and limited administrative capacity. The South African case shows that the very process of surveying and registering rights may also change the rights themselves. Formalisation procedures may also amplify the tension between individual and communal rights, and boost privatisation.     

A nonlinear simultaneous probit-model for the investigation of decision-making processes: modelling the process of setting up a family in partnerships

This article proposes an approach for modelling the interactive influences of two (or more) actors in decision-making processes. We use a nonlinear simultaneous probit-model and show how the problem of identification for estimating the relative effects of the actors can be solved. The formal model will be applied to examine the decision-making process for setting up a family in partnerships. We model a trivariate distribution consisting of the wifes’ desire to have a child or disposition toward the generative decision, the husbands’ disposition and the joint generative decision. We show how the parameter can be used to assess the relative importance of both partners’ dispositions for the decision, the reciprocal influence of both partners’ dispositions within the interaction process, and the relevance of both partners’ biographical contexts in relation to their own disposition as well as to that of the partner. The analysis is based on a three-stage estimation strategy which is implemented in MECOSA 3 and we use data from the Bamberger married couple panel.