scholarly journals An Analysis of the Asymmetric Volatility under Asymmetric Information and Ambiguity

2020 ◽  
Vol 28 (1) ◽  
pp. 1-34
Author(s):  
Min-Jik Kim ◽  
Jaeho Cho
Keyword(s):  
Asymmetric Information ◽  
Ambiguity Aversion ◽  
Empirical Test ◽  
Explanatory Power ◽  
Asymmetric Volatility ◽  
Good State ◽  
State Of The Economy ◽  
Liquidity Traders ◽  
The Difference ◽  
Korean Market

The asymmetric volatility phenomenon (‘the phenomenon’, henceforth), documented first by Black (1976), refers to the fact that the stock return and its conditional volatility are negatively correlated. To explain ‘the phenomenon’, this paper presents an asymmetric information model under ambiguity, and provides an empirical test of its result as well. We assume that in the Grossman and Stiglitz (1980), uninformed liquidity traders face ambiguity about the distribution of asset payoffs, and that their attitudes toward ambiguity vary depending on the state of the economy. In model I, their utility functions exhibit ambiguity aversion in the bad state and ambiguity neutrality in the good state. In model II, liquidity traders are still ambiguity-averse in the bad state but ambiguity-seeking in the good state. We find that ‘the phenomenon’ appears in model II when the degree of ambiguity is not large. Furthermore, we show that the possibility of ‘the phenomenon’ is higher as the proportion of liquidity traders increases. To perform an empirical analysis, we measure the degree of ambiguity by the Kolmogorov-Smirnov statistic and show that this measure has a positive relationship with the difference between the volatilities in the good and bad states. In addition, we find that the risk factor constructed by the ambiguity measure has explanatory power about returns on 25 portfolios of the Fama-French type in the Korean market.

Firm Characteristics, Relative Efficiency, and Equity Returns

2009 ◽  
Vol 44 (1) ◽  
pp. 213-236 ◽  
Author(s):  
Giao X. Nguyen ◽  
Peggy E. Swanson
Keyword(s):  
Explanatory Power ◽  
Stochastic Frontier ◽  
Efficiency Score ◽  
Equity Returns ◽  
Firm Characteristics ◽  
Stochastic Frontier Approach ◽  
Cross Sectional ◽  
Firm Efficiency ◽  
The Difference ◽  
Sectional Analysis

AbstractThis study uses a stochastic frontier approach to evaluate firm efficiency. The resulting efficiency score, based on firm characteristics, is the input for performance evaluation. The portfolio composed of highly efficient firms significantly underperforms the portfolio composed of inefficient firms even after adjustment for firm characteristics and risk factors, suggesting a required premium for the inefficient firms. The difference in performance between the two portfolios remains for at least five years after the portfolio formation year. In addition, firm efficiency exhibits significant explanatory power for average equity returns in cross-sectional analysis.

scholarly journals Silent and a audible stereotypes: The constitution of "ethnic character" in Serbian epic poetry

2005 ◽  
pp. 105-120 ◽  
Author(s):  
Gordana Djeric
Keyword(s):  
Explanatory Power ◽  
Mental Image ◽  
Epic Poetry ◽  
National Character ◽  
The Other ◽  
Relevant Feature ◽  
Explanatory Relevance ◽  
Starting Point ◽  
The Difference ◽  
Epic Poems

The article deals with the explanatory relevance of the concept of stereotype in one of its original meanings - as a "mental image". This meaning of the term is the starting point for further differentiations, such as: between linguistic and behavioral stereotypes (in the sense of nonverbal, expected responses); universal and particular stereotypes; self representative and introspective stereotypes; permanent and contemporary stereotypes; and finally, what is most important for our purposes, the difference between silent and audible stereotypes. These distinctions, along with the functions of stereotype, are discussed in the first part of the paper. In the second part, the relations of silent and audible stereotypes are tested against the introduction of "innovative vocabularies" in popular lore. In other words, the explanatory power of this differentiation is checked through an analysis of unconventional motives in Serbian epic poems. The goal of the argument is to clarify the procedure of self creation of masculinity as a relevant feature of the "national character" through "tactic games" of silent and audible stereotypes. The examination of these "poetic strategies" serves a twofold purpose: to illustrate the process of constructing particular features of the "ethno type", on one hand, and to check hypotheses and models which are taken as frameworks in analyzing stereotypes, on the other.

scholarly journals An Empirical Test Of The View Of Inventory As A Liability IN Explaining Financial Distress

2011 ◽  
Vol 14 (2) ◽  
pp. 83 ◽  
Author(s):  
Benjamin P. Foster ◽  
M. Cathy Sullivan ◽  
Terry J. Ward
Keyword(s):  
Logistic Regression ◽  
Financial Distress ◽  
Regression Models ◽  
Empirical Test ◽  
Explanatory Power ◽  
Manufacturing Firms ◽  
Logistic Regression Models ◽  
Financially Distressed ◽  
Accounting Ratios ◽  
Extreme View

<span>This study reports a first attempt in a financial distress context to test the extreme JIT and TOC view that inventory is a liability. We compared inventory levels and the change in inventory for healthy and financially distressed manufacturing firms. We also compared the explanatory power of logistic regression models including traditional accounting ratios to that of models including accounting ratios created by viewing inventory as a liability. We found some support for the extreme view of some JIT and TOC proponents that traditional inventory should be considered a liability.</span>

Factors that Influence Multinational Corporations’ Control of Their Operations in Foreign Markets: An Empirical Investigation

2008 ◽  
Vol 16 (1) ◽  
pp. 98-119 ◽  
Author(s):  
Beibei Dong ◽  
Shaoming Zou ◽  
Charles R. Taylor
Keyword(s):  
Cost Analysis ◽  
Transaction Cost ◽  
Multinational Corporations ◽  
Bargaining Power ◽  
Empirical Test ◽  
Explanatory Power ◽  
Transaction Cost Analysis ◽  
Power Theory ◽  
Foreign Operations ◽  
Degree Of Control

Multinational corporations’ (MNCs’) control over their foreign operations plays an important role in implementing their global marketing strategy. In the past, transaction cost analysis and bargaining power theory have been widely cited to explain the degree of control MNCs exert over their foreign operations. However, research explicitly combining these two perspectives has been limited. To address the gap in the literature, the authors present a joint model that combines the two alternative theories to explain MNCs’ control, and they compare their relative explanatory power. Using primary survey data, they perform an empirical test of the relative explanatory power of these two theories. The results suggest that three factors, two drawn from bargaining power theory and one from transaction cost analysis, are key factors in explaining MNCs’ degree of control over their foreign operations. The article concludes with a discussion of the theoretical and managerial implications.

On the Adaptive Cycle of Transformational Change: A Proposal for a Panarchical Expansion of Escalation Theory

2008 ◽  
Vol 14 ◽  
pp. 335-355
Author(s):  
Gregory P. Dietl
Keyword(s):  
Explanatory Power ◽  
Biological Evolution ◽  
Transformational Change ◽  
Robert Frost ◽  
Systems Ecology ◽  
Adaptive Cycle ◽  
Nested Sets ◽  
The Difference ◽  
The One ◽  
Ecologically Sustainable

An outstanding challenge with broad implications for an ecologically sustainable future is to understand how living systems—whether natural or social—balance opportunity and constraint in a given environment. In this paper, I compare the proposed mechanics of a heuristic developed to explain transformational change in systems ecology with various paleontological patterns and hypotheses for its conceptual homology and thus explanatory power in causal terms. The adaptive cycle heuristic, which has potential to influence current environmental and natural resources law and policy, has two components: 1) cycles that alternate between long periods of growth and shorter periods that create opportunities for innovation (new structures or conditions that become economically successful), and 2) the interaction of nested sets of such cycles (panarchies) across space and time scales. I critically evaluate three basic underlying tenets of the adaptive cycle related to the circumstances of innovation—empty niche space, competition and availability of resources—because of their importance to the development of a theoretical framework for understanding the ecological dimension of opportunity in biological evolution. I conclude that not all of the proposed mechanics and observed phenomenology of the adaptive cycle are appropriate in biological evolution. I draw insight, however, from the hierarchical nature of the heuristic to outline a “panarchical” conceptualization of the escalation hypothesis; I identify self-organization, emergence, selection and adaptation, and feedback as phenomena that are held in common across systems and scales, which influence how entities in the economic hierarchy of life arise, interact and evolve.Two roads diverged in a wood, and I, I took the one less traveled by, and that has made all the difference.Robert Frost.Every system either finds a way to develop or else collapses.Aleksander Solzhenitsyn

scholarly journals Oil, the Baltic Dry index, market (il)liquidity and business cycles: evidence from net oil-exporting/oil-importing countries

2019 ◽  
Vol 33 (4) ◽  
pp. 349-416
Author(s):  
Husaini Said ◽  
Evangelos Giouvris
Keyword(s):  
Explanatory Power ◽  
Market Liquidity ◽  
Important Indicator ◽  
Financial Variables ◽  
Predictive Variables ◽  
Future State ◽  
State Of The Economy ◽  
Recent Financial Crisis ◽  
The Baltic ◽  
Baltic Dry Index

AbstractThe recent financial crisis has made (il)liquidity research more significant than ever. Galariotis and Giouvris (Int Rev Financ Anal 38:44–69, 2015) find evidence that market liquidity may contain information for predicting the state of the economy. Similar to (il)liquidity, oil is an important indicator of the future state of the economy (GDP). We consider five predictive variables, namely national/global illiquidity, foreign exchange, Baltic Dry, and oil. Our findings show that (1) global illiquidity provides greater overall explanatory power compared to national illiquidity (even for developed oil exporters: Norway, Canada, and Denmark). (2) Oil is the most important predictive variable for oil exporters (especially for emerging oil exporters suggesting over-reliance), while Baltic Dry appears to be more important for oil importers. (3) FX has extra power over financial variables mainly for emerging oil exporters. Finally, there is a two-way causality between GDP and our predictive variables: (4) For oil exporters, the two-way causality between oil and GDP remains, while for net oil importers, we observe a one-way causality from GDP to oil.

On Relation Between Margin and Conditional Volatility in Japanese Stock Market

2010 ◽  
Vol 18 (4) ◽  
pp. 51-68
Author(s):  
Pan-Do Sohn ◽  
Sung-Shin Kim ◽  
Jung-Soon Shin
Keyword(s):  
Stock Market ◽  
Empirical Test ◽  
Conditional Volatility ◽  
Positive Relation ◽  
Risk And Return ◽  
Trade Off ◽  
Bear Market ◽  
Asymmetric Volatility ◽  
Policy Tool ◽  
Market State

This paper investigates the asymmetric volatility between conditional volatility and initial margin using daily market return of TOPIX and Nikkei225 over 1970 to 1990. In prior studies, generally, it has been known that margin is regard as a main discipline to control volatility with respect to a policy tool. Our empirical test provides the following results. First, this paper shows that there is significantly positive relation between return of stock market and margin, implying that as margin increases, also return increases. Thus we conclude that the trade-off of risk and return is found. Second, our result suggests that in normal state, margin affects to conditional volatility negatively and significantly, indicating that margin policy could control the conditional volatility. Third, this paper finds that in recession state, there is little bit evidence of discipline action in controlling volatility. Fourth, our paper also finds that in boom state, there is adversely evidence of margin on conditional volatility. As a result, government has motivation to decrease the volatility in bull market state, whereas it also has motivation to increase the volatility in bear market state. Our paper finds the evidence that the motive for changing the margin is fitted to normal and boom state. Therefore, our result suggests that government has to adjust the change of margin policy adequately to fit the market conditions.

The Contextual Role of Regulatory Stakeholder Pressure in Proactive Environmental Strategies: An Empirical Test of Competing Theoretical Perspectives

2017 ◽  
Vol 32 (3) ◽  
pp. 281-308 ◽  
Author(s):  
Eva Alexandra Schmitz ◽  
Matthias Baum ◽  
Pascal Huett ◽  
Ruediger Kabst
Keyword(s):  
Empirical Test ◽  
Explanatory Power ◽  
Strategic Orientation ◽  
Environmental Strategy ◽  
Theoretical Perspectives ◽  
Stakeholder Pressure ◽  
Proactive Environmental Strategy ◽  
The Relationship ◽  
Made In

Guided by two competing theoretical perspectives, we investigate the contextual role of perceived regulatory stakeholder pressure in the relationship between firms’ strategic orientation and their pursuit of a proactive environmental strategy (PES). While the enhancing perspective suggests that perceived regulatory stakeholder pressure strengthens the association between strategic orientation and PES, the buffering perspective argues that greater regulatory stakeholder pressure mitigates this relationship. Our study looks at a sample of 349 German energy sector firms to identify which perspective holds greater explanatory power. Surprisingly, the empirical findings go beyond the arguments made in the buffering perspective: high perceived regulatory stakeholder pressure not only weakens but also eradicates the relationship between strategic orientation and the pursuit of a PES. Our results indicate that in the case of high perceived regulatory stakeholder pressure, market-oriented considerations are eclipsed by the need to gain legitimacy within the regulatory stakeholder context.

scholarly journals Platform Competition under Asymmetric Information

2013 ◽  
Vol 5 (3) ◽  
pp. 22-68 ◽  
Author(s):  
Hanna Hałaburda ◽  
Yaron Yehezkel
Keyword(s):  
Asymmetric Information ◽  
Market Failure ◽  
New Technology ◽  
Exclusive Dealing ◽  
Platform Competition ◽  
Ex Post ◽  
Market Inefficiency ◽  
The Difference ◽  
Two Sides ◽  
Do So

We consider platform competition in a two-sided market, where the two sides (buyers and sellers) have ex ante uncertainty and ex post asymmetric information concerning the value of a new technology. We find that platform competition may lead to a market failure: competition may result in a lower level of trade and lower welfare than a monopoly, if the difference in the degree of asymmetric information between the two sides is below a certain threshold. Multi-homing solves the market failure resulting from asymmetric information. However, if platforms can impose exclusive dealing, then they will do so, which results in market inefficiency. (JEL D41, D42, D82, D83, L11, L12)

scholarly journals Labor market and crisis: an analysis of sectoral segmentation in Brazilian rural

2022 ◽  
Vol 60 (4) ◽  
Author(s):  
Gabriela Gomes Mantovani ◽  
Jefferson Andronio Ramundo Staduto ◽  
Carlos Alves do Nascimento
Keyword(s):  
Labor Market ◽  
Rural Areas ◽  
Bias Correction ◽  
Explanatory Power ◽  
Sample Selection ◽  
Household Survey ◽  
Sample Selection Bias ◽  
Agricultural Activities ◽  
The Difference ◽  
Counterfactual Decomposition

Abstract: The article aims to analyze which factors contributed to the inequality across income distribution of Brazilian workers in rural areas, occupied in agricultural and non-agricultural activities. Quantile regression with sample selection bias correction and counterfactual decomposition of income by quantiles were applied, using the microdata from the National Continuous Household Survey (PNAD-C) for the years 2012 and 2019. The results showed that there is income inequality favorable to workers occupied in non-agricultural activities concerning agricultural activities, which is intensive for those with lower incomes, as well as for those with high incomes. The presence of sectorial segmentation was also confirmed, of which the largest portion in 2012 corresponds to the labor market duality. However in 2019, in lower quantiles the segmentation obtained greater explanatory power for the difference in income between the groups, while in higher quantiles the theory of human capital prevailed.

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