Self‐Fulfilling Early‐Contracting Rush*

In markets for entry‐level professionals, the insurance motive drives some participants to sign early contracts. The rush to early contracting can be self‐fulfilling, as both its effect on expectations about demand–supply balance in the subsequent spot market and the effect on it from changes in the demand–supply balance can be nonmonotone. Matching markets with more risk‐averse participants, a greater uncertainty regarding relative supply of positions, or a more polarized distribution of applicant qualities are more vulnerable to self‐fulfilling early‐contracting rushes. Employers can have a collective interest in preventing early offers to a few promising applicants from starting the rushes.     

When I put on my service mask: Determinants and outcomes of emotional labor among hotel service providers according to affective event theory

This article develops and tests a model of emotional labor in the hotel industry using affective event theory. A multiple-wave longitudinal analysis using data from 424 hotel service employees and their immediate supervisors reveals how work contexts (supervisory support) affect work events (interactional justice), and thereby influence the affective (negative emotions), attitudinal (job satisfaction), and behavioral (emotional labor, service quality, and voluntary turnover) reactions of hotel service employees. The results show that (1) supervisory support relates positively to supervisory interactional justice; (2) supervisory interactional justice is negatively associated with negative emotions; (3) negative emotions relate positively to surface acting and negatively to deep acting; (4) surface acting leads to lower job satisfaction, whereas deep acting leads to higher job satisfaction; and (5) job satisfaction leads to higher service quality and lower turnover. The implications suggest important recommendations for hotel managers.     

Comparative persistence and adherence with newer anti-hyperglycemic agents to treat patients with type 2 diabetes in the United States

Objectives: Non-adherence and non-persistence to anti-hyperglycemic agents are associated with worse clinical and economic outcomes in patients with type 2 diabetes. This study evaluated treatment persistence and adherence across newer anti-hyperglycemic agents (canagliflozin, dapagliflozin, sitagliptin, saxagliptin, linagliptin, liraglutide, or exenatide).

Methods: This retrospective cohort study of Truven Health Analytics Marketscan databases included adult patients with type 2 diabetes whose first pharmacy claim for a newer anti-hyperglycemic agent was between February 1, 2014 and July 31, 2014. Treatment persistence and adherence were assessed for 12 months after the first claim (post-index). Persistence was defined as no gap ≥90 days between the end of one pharmacy claim and the start of the next pharmacy claim post-index. Adherence used two definitions: proportion of days covered (PDC) and medication possession ratio (MPR). Multivariable analyses of non-persistence (hazard ratios) and adherence (odds ratios) were adjusted for baseline demographics, drug cost, clinical characteristics, and other anti-hyperglycemic agents.

Results: A total of 11,961 patients met all study selection criteria. Persistence rates at 12 months were significantly greater (p?p?=?0.83; PDC?=?0.79) and canagliflozin 300?mg (MPR?=?0.92; PDC?=?0.81) were greater than for the other index anti-hyperglycemic agents (MPR?=?0.33–0.75; PDC?=?0.33–0.72). Consistent results for treatment persistence and adherence were observed in multivariable analyses that were adjusted baseline characteristics.

Conclusions: Canagliflozin was associated with better treatment persistence and treatment adherence compared with other anti-hyperglycemic agents in real-world settings.     

The joint effect of leader–member exchange and emotional intelligence on burnout and work performance in call centers in China

We examined the joint effect of LMX and emotional intelligence (EI) on burnout and work performance. Results based on data collected from 493 leader-member dyads in the call center of a large Chinese telecommunication company indicated that LMX was negatively related to burnout, yet was not significantly related to objective work performance. Moreover, we examined the effects of the four dimensions of EI (self-emotion appraisal, other-emotion appraisal, use of emotion, and regulation of emotion) on burnout and performance, and found that burnout mediated the link between use of emotion and work performance. Results also showed that LMX was associated with burnout and work performance more strongly for service workers with lower levels of self-emotion appraisal. More surprisingly, the link between LMX and work performance was stronger for service workers with higher levels of use of emotion.     

Forecasting volatility: Roles of sampling frequency and forecasting horizon

This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the time‐series model affect the quality of volatility forecasting. Using highly synchronous executable quotes retrieved from an electronic trading platform, the study avoids the influence of various market microstructure factors in measuring RV with high‐frequency intraday data and in inferring implied volatility (IV) from option prices. The study shows that excluding non‐trading‐time volatility produces significant downward bias of RV by as much as 36%. Quality of prediction is significantly affected by the forecasting horizon and RV model, but is largely immune from the choice of sampling frequency. Consistent with prior research, IV outperforms time‐series forecasts; however, the information content of historical volatility critically depends on the choice of RV measure. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor’s theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk‐free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results.     

Analysis of ultra-high-frequency financial data using advanced Fourier transforms

This paper presents a novel application of advanced methods from Fourier analysis to the study of ultra-high-frequency financial data. The use of Lomb–Scargle Fourier transform, provides a robust framework to take into account the irregular spacing in time, minimising the computational effort. Likewise, it avoids complex model specifications (e.g. ACD or intensity models) or resorting to traditional methods, such as (linear or cubic) interpolation and regular resampling, which not only cause artifacts in the data and loss of information, but also lead to the generation and use of spurious information.     

Does rapid economic growth enhance democratization? Time-series evidence from high performing Asian economies

We examine the long-run relationship between economic growth and democratization for the high performing Asian economies using a time-series technique called the autoregressive distributive lag bounds test. For all eight of such economies, we do not find a statistically significant long-run relationship running from growth to democratization. Instead, we find a statistically significant long-run relationship running from democratization to growth, which can be either positive or negative. Contrary to the conventional wisdom, our results suggest that rapid economic growth in the high performing Asian economies appears to have little effect on democratization in the long run.     

Firm Size and Performance of Manufacturing Enterprises in P.R. China: The Case of Shanghai's Manufacturing Industries

This paper studies the relationship between firm size and technical efficiency of manufacturing enterprises in Shanghai's manufacturing sector from 1989 to 1992. Although our empirical results show that technical efficiency is increasing in the firm size, the group of the smallest enterprises (0–99 workers) have very high technical efficiency. The group of enterprises with size of 100–249.9 workers have the lowest technical efficiency while the largest size (1000 workers or above) group usually have the highest technical efficiency. Finally, technical efficiency computed from net industrial product has large upward biases compared with that computed from gross industrial product.