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1 – 10 of over 89000Mohammadreza Tavakoli Baghdadabad
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Abstract
Purpose
We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and expected stock returns.
Design/methodology/approach
We estimate a cross-sectional model of expected entropy that uses several common risk factors to predict idiosyncratic entropy.
Findings
We find a negative relationship between expected idiosyncratic entropy and returns. Specifically, the Carhart alpha of a low expected entropy portfolio exceeds the alpha of a high expected entropy portfolio by −2.37% per month. We also find a negative and significant price of expected idiosyncratic entropy risk using the Fama-MacBeth cross-sectional regressions. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
Originality/value
We propose a risk factor of idiosyncratic entropy and explore the relationship between this factor and expected stock returns. Interestingly, expected entropy helps us explain the idiosyncratic volatility puzzle that stocks with high idiosyncratic volatility earn low expected returns.
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Jan F. Kiviet and Jerzy Niemczyk
IV estimation is examined when some instruments may be invalid. This is relevant because the initial just-identifying orthogonality conditions are untestable, whereas their…
Abstract
IV estimation is examined when some instruments may be invalid. This is relevant because the initial just-identifying orthogonality conditions are untestable, whereas their validity is required when testing the orthogonality of additional instruments by so-called overidentification restriction tests. Moreover, these tests have limited power when samples are small, especially when instruments are weak. Distinguishing between conditional and unconditional settings, we analyze the limiting distribution of inconsistent IV and examine normal first-order asymptotic approximations to its density in finite samples. For simple classes of models we compare these approximations with their simulated empirical counterparts over almost the full parameter space. The latter is expressed in measures for: model fit, simultaneity, instrument invalidity, and instrument weakness. Our major findings are that for the accuracy of large sample asymptotic approximations instrument weakness is much more detrimental than instrument invalidity. Also, IV estimators obtained from strong but possibly invalid instruments are usually much closer to the true parameter values than those obtained from valid but weak instruments.
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Shuang Zhang, Song Xi Chen and Lei Lu
With the presence of pricing errors, the authors consider statistical inference on the variance risk premium (VRP) and the associated implied variance, constructed from the option…
Abstract
Purpose
With the presence of pricing errors, the authors consider statistical inference on the variance risk premium (VRP) and the associated implied variance, constructed from the option prices and the historic returns.
Design/methodology/approach
The authors propose a nonparametric kernel smoothing approach that removes the adverse effects of pricing errors and leads to consistent estimation for both the implied variance and the VRP. The asymptotic distributions of the proposed VRP estimator are developed under three asymptotic regimes regarding the relative sample sizes between the option data and historic return data.
Findings
This study reveals that existing methods for estimating the implied variance are adversely affected by pricing errors in the option prices, which causes the estimators for VRP statistically inconsistent. By analyzing the S&P 500 option and return data, it demonstrates that, compared with other implied variance and VRP estimators, the proposed implied variance and VRP estimators are more significant variables in explaining variations in the excess S&P 500 returns, and the proposed VRP estimates have the smallest out-of-sample forecasting root mean squared error.
Research limitations/implications
This study contributes to the estimation of the implied variance and the VRP and helps in the predictions of future realized variance and equity premium.
Originality/value
This study is the first to propose consistent estimations for the implied variance and the VRP with the presence of option pricing errors.
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Sonia Abdennadher and Walid Cheffi
E-corporate governance or the use of technologies and information systems (ISs) in corporate governance, is still a subject that is too seldom addressed in business research. This…
Abstract
Purpose
E-corporate governance or the use of technologies and information systems (ISs) in corporate governance, is still a subject that is too seldom addressed in business research. This paper is at the intersection between two fields of research (corporate governance and the management of ISs), which are interdependent in ways that are still unexplored. The paper analyzes the implications of internet voting (IV) at shareholders’ annual meetings (SAM) for the corporate governance of listed companies in France, in particular for the relationship between executives and shareholders. Most of the studies that have dealt with IV at SAM have focused on techno-legal issues and were often conducted by business law researchers. The purpose of this paper is to investigate the implications of the new voting system through the prism of corporate governance.
Design/methodology/approach
The authors proceeded by triangulation of methods. This qualitative study is based on observations, interviews and documentary analysis. It assessed the IV implications for both the issuing companies and the shareholders.
Findings
The new voting system brings undeniable competitive advantage to the issuing company and facilitates shareholders’ activism, yet it has serious risks both for the corporations and for certain categories of the shareholder. Interestingly, the authors propose an original and field-grounded typology that distinguishes the risks and benefits associated with IV in relation to executives’ attitudes.
Social implications
The paper shows that the resolving of identified deficiencies with IV development could contribute to the alignment of companies’ interests with those of shareholders. Moreover, the study calls for policymakers to appoint an official body to regulate the practical implementation of the new system and to prevent its dissemination being held hostage to the executives’ willingness.
Originality/value
An original aspect of this research lies in the effective operationalization of the constructs of corporate governance effectiveness with a view to examining corporate governance as a set of technologically mediated practices. Moreover, this study emphasizes the key role of the construct of “executives’ willingness” in facilitating/impeding IV diffusion. This underlies their attempts to reverse the corporate governance relationship.
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Narain, Narander Kumar Nigam and Piyush Pandey
The purpose of this paper is to understand the patterns of the implied volatility (IV) of the Indian index option market and its relationship with moneyness (called the volatility…
Abstract
Purpose
The purpose of this paper is to understand the patterns of the implied volatility (IV) of the Indian index option market and its relationship with moneyness (called the volatility smile). Its goal is also to ascertain the determinants of IV.
Design/methodology/approach
For this purpose, IVs were computed from the daily call and put data of CNX Nifty index options from April 2004 to March 2014. The patterns of IVs were analysed using univariate parametric tests. Multivariate regression analyses were conducted to understand the relationships observed. Resultantly, vector autoregressions were performed to assess the determinants of IV.
Findings
The results suggested that there was asymmetric volatility across time and strike prices using alternative measures of moneyness. Furthermore, it was found that the IV of lower strike prices was significantly higher (lower) than that of higher strike prices for call (put) options. Put IV was observed to be higher than call IV irrespective of any attributes. The results further showed that current-month contracts have significantly higher IV than those for next month and those were followed by far-month contracts. Nifty futures’ volumes and momentum were found to be significant determinants of IV.
Practical implications
The behaviour of the volatility smile is important when accounting for the Vega risks in the portfolios of hedge fund managers. While taking a position, besides the Black-Scholes-Merton (BSM) model’s input factors, investors must consider the previous behaviour of volatility, a market’s microstructures and its liquidity for a put option contract. They must also consider the attributes of the underlying for a call option contract.
Originality/value
This is the first decadal study (the longest span of data for any international study on this subject) to confirm the existence of the volatility smile for the index options market in India. It examines and confirms the smile’s asymmetry patterns for different definitions of moneyness, as well as option types, the tenure of options contracts and the different phases of market conditions. It further helps to identify the determinants of IV and so has renewed importance for traders.
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Nolwenn Lapierre, Alain St-Arnaud, Jean Meunier and Jacqueline Rousseau
Older adults are at a high risk of falling. The consequences of falls are worse when the person is unable to get up afterward. Thus, an intelligent video monitoring system (IVS…
Abstract
Purpose
Older adults are at a high risk of falling. The consequences of falls are worse when the person is unable to get up afterward. Thus, an intelligent video monitoring system (IVS) was developed to detect falls and send alerts to a respondent. This study aims to explore the implementation of the IVS at home.
Design/methodology/approach
A multiple case study was conducted with four dyads: older adults and informal caregivers. The IVS was implemented for two months at home. Perceptions of the IVS and technical variables were documented. Interviews were thematically analyzed, and technical data were descriptively analyzed.
Findings
The rate of false alarms was 0.35 per day. Participants had positive opinions of the IVS and mentioned its ease of use. They also made suggestions for improvement.
Originality/value
This study showed the feasibility of a two-month implementation of this IVS. Its development should be continued and tested with a larger experimental group.
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Mary Barrett, Anne Cox and Blake Woodward
The purpose of this paper is to investigate the psychological contracts (PCs) of international volunteers (IVs) in international aid and development organizations (IADS)…
Abstract
Purpose
The purpose of this paper is to investigate the psychological contracts (PCs) of international volunteers (IVs) in international aid and development organizations (IADS). Specifically, it explores four questions: how IVs form PCs; what the content of these PCs is; how IVs’ PCs are maintained; and how they are fulfilled or breached.
Design/methodology/approach
The study used an inductive analysis of qualitative data: interviews with 27 IVs from a range of IADS.
Findings
The findings take the form of research propositions: RP1: IVs’ PCs, like those of domestic volunteers, include relational, transactional and, especially, values-based elements, but the balance of these is influenced by their values-based PC; the self-directed way IVs join their organizations; and reliance on peers rather than the organization’s management hierarchy. RP2: the PCs of IVs working for faith-based organizations have an additional element: spiritual support. RP3: the values-based PC means many transactional elements can be “adjusted away”, making it difficult to breach these PCs. RP4: experienced volunteers have very minimal PCs, but are more likely than inexperienced volunteers to expect basic safety and adequately skilled colleagues.
Research limitations/implications
The authors suggest areas of new inquiry and specific ways each research proposition could be tested empirically.
Practical implications
To alleviate IVs’ expatriation and repatriation adjustment problems, international aid organizations could facilitate the ways IVs already help each other. This would also help fulfill IVs’ PCs.
Originality/value
IVs are a growing but underexplored group and aspects of their PCs may be unique.
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Nolwenn Lapierre, Jean Meunier, Alain St-Arnaud and Jacqueline Rousseau
To face the challenges raised by the high incidence of falls among older adults, the intelligent video-monitoring system (IVS), a fall detection system that respects privacy, was…
Abstract
Purpose
To face the challenges raised by the high incidence of falls among older adults, the intelligent video-monitoring system (IVS), a fall detection system that respects privacy, was developed. Most fall detection systems are tested only in laboratories. The purpose of this paper is to test the IVS in a simulation context (apartment-laboratory), then at home.
Design/methodology/approach
This study is a proof of concept including two phases: a simulation study to test the IVS in an apartment-laboratory (29 scenarios of activities including falls); and a 28-day pre-test at home with two young occupants. The IVS’s sensitivity (Se), specificity (Sp), accuracy (A) and error rate (E) in the apartment-laboratory were calculated, and functioning at home was documented in a logbook.
Findings
For phase 1, results are: Se =91.67 per cent, Sp =99.02 per cent, A=98.25 per cent, E=1.75. For phase 2, the IVS triggered four false alarms and some technical dysfunctions appeared (e.g. computer screen never turning off) that are easily overcome.
Practical implications
Results show the IVS’s efficacy at automatically detecting falls at home. Potential issues related to future installation in older adults’ homes were identified. This proof of concept led to recommendations about the installation and calibration of a camera-based fall detection system.
Originality/value
This paper highlights the potentialities of a camera-based fall detection system in real-world contexts and supports the use of the IVS to help older adults age in place.
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A discretization technique is proposed for the multi‐dimensional, steady‐state hydrodynamic model of semiconductor devices, and a derivation of the model's appropriate boundary…
Abstract
A discretization technique is proposed for the multi‐dimensional, steady‐state hydrodynamic model of semiconductor devices, and a derivation of the model's appropriate boundary conditions is given. The model includes the complete balance equations for charge, momentum and energy, coupled with Poisson's equation, thus accounting for both diffusion and convection phenomena. The technique, like the Scharfetter—Gummel scheme for the simpler drift‐diffusion model, provides an efficient method for solving the hydrodynamic equations, allowing for a more detailed investigation of carrier dynamics in semiconductor devices.