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Full-Text Articles in Social and Behavioral Sciences
A Comment On Christofferson, Jacobs, And Ornthanalia (2012), "Dynamic Jump Intensities And Risk Premiums: Evidence From S&P 500 Returns And Options", Garland Durham, John Geweke, Pulak Ghosh
A Comment On Christofferson, Jacobs, And Ornthanalia (2012), "Dynamic Jump Intensities And Risk Premiums: Evidence From S&P 500 Returns And Options", Garland Durham, John Geweke, Pulak Ghosh
Finance
No abstract provided.
Improving Asset Price Prediction When All Models Are False, Garland Durham, John Geweke
Improving Asset Price Prediction When All Models Are False, Garland Durham, John Geweke
Finance
This study considers three alternative sources of information about volatility potentially useful in predicting daily asset returns: daily returns, intraday returns, and option prices. For each source of information the study begins with several alternative models, and then works from the premise that all of these models are false to construct a single improved predictive distribution for daily S&P 500 index returns. The prediction probabilities of the optimal pool exceed those of the conventional models by as much as 5.29%. The optimal pools place substantial weight on models using each of the three sources of information about volatility.
Risk-Neutral Modeling With Affine And Nonaffine Models, Garland Bennett Durham
Risk-Neutral Modeling With Affine And Nonaffine Models, Garland Bennett Durham
Finance
Option prices provide a great deal of information regarding the market’s expectations of future asset price dynamics. But, the implied dynamics are under the risk-neutral measure rather than the physical measure under which the price of the underlying asset itself evolves. This article demonstrates new techniques for joint analysis of the physical and risk-neutral models using data from both the underlying asset and options. While much of the prior work in this area has focused on affine and affine-jump models because of their analytical tractability, the techniques used in this article are straightforward to apply to a broad class of …
Beyond Stochastic Volatility And Jumps In Returns And Volatility, Garland Durham, Yang-Ho Park
Beyond Stochastic Volatility And Jumps In Returns And Volatility, Garland Durham, Yang-Ho Park
Finance
While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be seen from variation across time in the shape of Black-Scholes implied volatility smiles. This paper investigates model characteristics that are consistent with variation in the shape of return distributions using a stochastic volatility model with a regime-switching feature to allow for random changes in the parameters governing volatility of volatility, leverage effect and jump intensity. The analysis consists of two steps. …
The Economic Value Of A Sustainable Supply Chain, Robert Mefford
The Economic Value Of A Sustainable Supply Chain, Robert Mefford
Finance
The economic rationale to operate a global supply chain in a sustainable manner is developed. Arguments are made based on marketing, finance, and production theories that by engaging in socially responsible behavior the firm will increase sales, decrease costs, reduce financial risk, and increase profits which ultimately will increase returns to the firm’s shareholders. A model is developed of the mechanism by which modern production methods such as lean production and quality management result in sustainable corporate behavior which, in the long run, translates into higher stock valuations. The production effects cause marketing and financial risk effects that are complementary, …
Aesthetic Style As A Postructural Business Ethic, John Dobson
Aesthetic Style As A Postructural Business Ethic, John Dobson
Finance
The article begins with a brief history of aesthetic theory. Particular attention is given to the postructuralist ‘aesthetic return’: the resurgence of interest in aesthetics as an ontological foundation for human beingin- the-world. The disordered individual-as-emergentartist- and-artifact, who is at the centre of this ‘aesthetic return’, is then translated into the ‘dis’-organization that is the firm. The firm is thus defined in terms of its primal sensory impact on the world. It invokes a myriad of aesthetic relations between its disorganized self and others: its essence resides within these relations; its power of being is determined by its ability to …
Alasdair Macintyre’S Aristotelian Business Ethics: A Critique, John Dobson
Alasdair Macintyre’S Aristotelian Business Ethics: A Critique, John Dobson
Finance
This paper begins by summarizing and distilling MacIntyre’s sweeping critique of modern business. It identifies the crux of MacIntyre’s critique as centering on the fundamental Aristotelian concepts of internal goods and practices. MacIntyre essentially follows Aristotle in arguing that by privileging external goods over internal goods, business activity – and certainly modern capitalistic business activity – corrupts practices. Thus, from the perspective of virtue ethics, business is morally indefensible. The paper continues with an evaluation of MacIntyre’s arguments. The conclusion is drawn that MacIntyre’s critique, although partially valid, does not vitiate modern business as he claims. In short, modern business …
The Financial Crisis And Global Supply Chains, Robert Mefford
The Financial Crisis And Global Supply Chains, Robert Mefford
Finance
The financial crisis which erupted in 2007 has already had profound effects on the global supply chains of multinational firms and will likely permanently alter some fundamental supply relationships. This essay explores what some of the consequences have been to date and speculates about future effects. Of course, the length, scope, and severity of the financial and economic crisis will determine how significant and permanent these impacts are, and it is impossible at this point in time to forecast this accurately. But in any case there have already been major developments in global supply chains that are likely to persist …
Winning, Running, And Renewing The Outsourcing Contracts, Z Perunovic, M Christoffersen, Robert Mefford
Winning, Running, And Renewing The Outsourcing Contracts, Z Perunovic, M Christoffersen, Robert Mefford
Finance
The paper explores how vendors deploy competences and capabilities across the outsourcing process in order to win, run, and renew outsourcing contracts. The results of a multiple-case study of three contract electronics manufacturers (CEMs) show that different combinations of capabilities are required for a vendor to win, run, and renew outsourcing contracts. Permanent capabilities are constantly present across the process, while temporary capabilities, depending on customer requirements, can be added or removed from the portfolio of capabilities.
Utopia Reconsidered: The Modern Firm As Institutional Ideal, John Dobson
Utopia Reconsidered: The Modern Firm As Institutional Ideal, John Dobson
Finance
This paper challenges Alasdair MacIntyre's assertion that the modern firm -such as Google, Unilever, or Microsoft -is inimical to human flourishing within an Aristotelian framework. The paper begins by questioning MacIntyre's rendering of utopian communities. It then addresses four specific criticisms of the modern firm to be found throughout MacIntyre's oeuvre, namely compartmentalisation, myopia, inequality, and loss of community. Arguments are made to the effect that these criticisms do not vitiate the institutional role of the modern firm in an Aristotelian context. The paper concludes with an invocation of the modern firm as institutional ideal within an evolving utopian vision …
Introducing Ethics Into The Finance Curriculum: A Simple Three Level Guide, John Dobson
Introducing Ethics Into The Finance Curriculum: A Simple Three Level Guide, John Dobson
Finance
Ethics has arrived in the business school curriculum. But what about the curriculum of finance? Can ethics be integrated in any meaningful way into the theory and pedagogy of finance? Given the ever-broader array of topics in finance, should ethics be included at the inevitable expense of something else? Are finance instructors qualified to teach ethics any more than ethicists are qualified to teach finance? In short, are finance educators doing students a service or disservice by devoting class time to ethics? These are the questions addressed here. A menu of three different levels of integration is supplied;each level requiring …
Sv Mixture Models With Application To S&P 500 Index Returns, Garland B. Durham
Sv Mixture Models With Application To S&P 500 Index Returns, Garland B. Durham
Finance
Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provides a transparent look into the tails of the returns distribution. Model diagnostics suggest that the model, SV-mix, does a good job of capturing the …
Aesthetics As A Foundation For Business Activity, John Dobson
Aesthetics As A Foundation For Business Activity, John Dobson
Finance
This paper identifies the ultimate justification for business activity as an aesthetic justification. Aesthetics, loosely defined as the appreciation of beauty, subsumes both ethics and economics within an holistic justificatory mechanism for business decisions.Five essential qualities of aesthetic judgment are identified: disinterest, subjectivity, inclusivity, contemplativity, and internality. The quality of aesthetic judgment, exercised by the individual through the organization, will determine the extent to which business activity enhances quality of life.
Applying Virtue Ethics To Business: The Agent-Based Approach, John Dobson
Applying Virtue Ethics To Business: The Agent-Based Approach, John Dobson
Finance
No abstract provided.
Monte Carlo Methods For Estimating, Smoothing, And Filtering One- And Two-Factor Stochastic Volatility Models, Garland B. Durham
Monte Carlo Methods For Estimating, Smoothing, And Filtering One- And Two-Factor Stochastic Volatility Models, Garland B. Durham
Finance
One- and two-factor stochastic volatility models are assessed over three sets of stock returns data: S&P 500, DJIA, and Nasdaq. Estimation is done by simulated maximum likelihood using techniques that are computationally efficient, robust, straightforward to implement, and easy to adapt to different models. The models are evaluated using standard, easily interpretable time-series tools. The results are broadly similar across the three data sets. The tests provide no evidence that even the simple single-factor models are unable to capture the dynamics of volatility adequately; the problem is to get the shape of the conditional returns distribution right. None of the …
Size Matters: Why Managers Should Pursue Corporate Growth, Even At The Expense Of Shareholder Value, John Dobson
Size Matters: Why Managers Should Pursue Corporate Growth, Even At The Expense Of Shareholder Value, John Dobson
Finance
No abstract provided.
Likelihood-Based Specification Analysis Of Continuous-Time Models Of The Short-Term Interest Rate, Garland B. Durham
Likelihood-Based Specification Analysis Of Continuous-Time Models Of The Short-Term Interest Rate, Garland B. Durham
Finance
An extensive collection of continuous-time models of the short-term interest rate is evaluated over data sets that have appeared previously in the literature. The analysis, which uses the simulated maximum likelihood procedure proposed by Durham and Gallant (2002), provides new insights regarding several previously unresolved questions. For single factor models, I find that the volatility, not the drift, is the critical component in model specification. Allowing for additional flexibility beyond a constant term in the drift provides negligible benefit. While constant drift would appear to imply that the short rate is nonstationary, in fact, stationarity is volatility-induced. The simple constant …
Comment On "Iterative And Recursive Estimation In Structural Nonadaptive Models Iterative And Recursive Estimation In Structural Nonadaptive Models" By S. Pastorello, V. Patilea, And E. Renault, Garland Durham, John Geweke
Comment On "Iterative And Recursive Estimation In Structural Nonadaptive Models Iterative And Recursive Estimation In Structural Nonadaptive Models" By S. Pastorello, V. Patilea, And E. Renault, Garland Durham, John Geweke
Finance
No abstract provided.
Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson
Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson
Finance
Although not immediately apparent, the discipline of behavioral finance is rapidly adopting an implicit prescriptive agenda. Behavioral finance does not merely describe financial market reality, it shapes it. Economic rationality is taken as the ideal toward to which individuals 'should' strive. In this paper I show that, as a behavioral ideal, economic rationality is unjustified both from a strictly economic perspective, and from a moral perspective. In short, there is nothing inherently "wrong" with economically irrational participants in the business environment. Indeed such participants will actually enhance the efficiency, and the ethicality, of business.
Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson
Method To Their Madness: Dispelling The Myth Of Economic Rationality As A Behavioral Ideal, John Dobson
Finance
Although not immediately apparent, the discipline of behavioral finance is rapidly adopting an implicit prescriptive agenda. Behavioral finance does not merely describe financial market reality, it shapes it. Economic rationality is taken as the ideal toward to which individuals 'should' strive. In this paper I show that, as a behavioral ideal, economic rationality is unjustified both from a strictly economic perspective, and from a moral perspective. In short, there is nothing inherently 'wrong' with economically irrational participants in the business environment. Indeed such participants will actually enhance the efficiency, and the ethicality, of business. "rationality itself, whether theoretical or practical, …
Numerical Techniques For Maximum Likelihood Estimation Of Continuous-Time Diffusion Processes, Garland B. Durham, A. Ronald Gallant
Numerical Techniques For Maximum Likelihood Estimation Of Continuous-Time Diffusion Processes, Garland B. Durham, A. Ronald Gallant
Finance
Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great theoretical appeal, but previously available implementations have been computationally costly. We examine a variety of numerical techniques designed to improve the performance of this approach. Synthetic data generated by a Cox-Ingersoll-Ross model with …
Three Business Contexts: From The Technical And Moral, To The Aesthetic, John Dobson
Three Business Contexts: From The Technical And Moral, To The Aesthetic, John Dobson
Finance
No abstract provided.