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Option Valuation with Observable Volatility and Jump Dynamics 具有可观察波动率和跳跃动力学的期权估值
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-12-01 DOI: 10.2139/ssrn.2494379
Peter F. Christoffersen, Bruno Feunou, Yoontae Jeon
{"title":"Option Valuation with Observable Volatility and Jump Dynamics","authors":"Peter F. Christoffersen, Bruno Feunou, Yoontae Jeon","doi":"10.2139/ssrn.2494379","DOIUrl":"https://doi.org/10.2139/ssrn.2494379","url":null,"abstract":"Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical measures are observed in discrete intervals, our option valuation model is cast in discrete time, allowing for straightforward filtering and estimation of the model. Our model belongs to the affine class enabling us to derive the conditional characteristic function so that option values can be computed rapidly without simulation. When estimated on S&P500 index options and returns the new model performs well compared with standard benchmarks.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127310123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 45
Multimarket Competition 市场竞争
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-11-03 DOI: 10.7146/jod.22254
Metin Sengul, S. Dimitriadis
{"title":"Multimarket Competition","authors":"Metin Sengul, S. Dimitriadis","doi":"10.7146/jod.22254","DOIUrl":"https://doi.org/10.7146/jod.22254","url":null,"abstract":"This article provides an introduction to multimarket competition and the research stream that examines it. Multimarket competition occurs when firms meet their competitors in multiple markets and compete with them by coordinating their strategies across those markets. In this article, we present a concise exposition of the theoretical foundations of the literature on multimarket competition and illustrate how empirical research projects are typically designed in this literature. We also provide some directions for future work in this area and discuss implications for research in organization design.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134343419","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Concealable Stigma and Occupational Segregation: Toward a Theory of Gay and Lesbian Occupations 可隐藏的耻辱和职业隔离:走向同性恋职业理论
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-08-29 DOI: 10.2139/ssrn.2653073
András Tilcsik, Michel Anteby, C. Knight
{"title":"Concealable Stigma and Occupational Segregation: Toward a Theory of Gay and Lesbian Occupations","authors":"András Tilcsik, Michel Anteby, C. Knight","doi":"10.2139/ssrn.2653073","DOIUrl":"https://doi.org/10.2139/ssrn.2653073","url":null,"abstract":"Numerous scholars have noted the disproportionately high number of gay and lesbian workers in certain occupations, but systematic explanations for this type of occupational segregation remain elusive. Drawing on the literatures on concealable stigma and stigma management, we develop a theoretical frame-work predicting that gay men and lesbians will concentrate in occupations that provide a high degree of task independence or require a high level of social perceptiveness, or both. Using several distinct measures of sexual orientation, and controlling for potential confounds, such as education, urban location, and regional and demographic differences, we find support for these predictions across two nationally representative surveys in the United States for the period 2008-2010. Gay men are more likely to be in female-majority occupations than are heterosexual men, and lesbians are more represented in male-majority occupations than are heterosexual women, but even after accounting for this tendency, common to both gay men and lesbians is a propensity to concentrate in occupations that provide task independence or require social perceptiveness, or both. This study offers a theory of occupational segregation on the basis of minority sexual orientation and holds implications for the literatures on stigma, occupations, and labor markets.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121950875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 56
The Effects of Publicity on Demand: The Case of Anti-Cholesterol Drugs 宣传对需求的影响:以降胆固醇药物为例
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-03-15 DOI: 10.2139/ssrn.1782055
Andrew T. Ching, R. Clark, Ignatius J. Horstmann, H. Lim
{"title":"The Effects of Publicity on Demand: The Case of Anti-Cholesterol Drugs","authors":"Andrew T. Ching, R. Clark, Ignatius J. Horstmann, H. Lim","doi":"10.2139/ssrn.1782055","DOIUrl":"https://doi.org/10.2139/ssrn.1782055","url":null,"abstract":"Over the past 10 years there has been increased recognition of the importance of publicity as a means of generating product awareness. Despite this, previous research has seldom investigated the impact of publicity on demand. We contribute to the literature by (i) proposing a new method for the interpretation of publicity data, one that maps the information in news articles (or broadcasts) to a multidimensional attribute space; (ii) investigating how different types of publicity affect demand; and (iii) investigating how different types of publicity interact with firms’ own marketing communication efforts. We study these issues for statins. We find that publicity plays an important role both for expanding the market for statins and for determining which statins patients or physicians choose. We also find evidence that publicity can serve as either a substitute or a complement for traditional marketing channels depending on the complexity of the information type. We argue that the interaction results are driven by the relative strengths of the corroborative and rational inattention functions in publicity. These results suggest that managers should be aware of the interactions between publicity and traditional marketing channels to better determine how to allocate their marketing expenditures.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122238839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 41
Addressing Endogeneity Issues in Alliance Research 解决联盟研究中的内生性问题
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-03-15 DOI: 10.2139/SSRN.2601780
O. Martinez, J. Oxley, B. Silverman
{"title":"Addressing Endogeneity Issues in Alliance Research","authors":"O. Martinez, J. Oxley, B. Silverman","doi":"10.2139/SSRN.2601780","DOIUrl":"https://doi.org/10.2139/SSRN.2601780","url":null,"abstract":"The ultimate goal of strategy scholars in alliance research is to understand how alliances contribute to firm performance. Empirical researchers face myriad questions about the causal underpinnings of firm performance and learning: How can one disentangle the influence of process and structure on alliance outcomes? To what extent are asymmetries in learning the outcome of alliance design versus partner firms’ inherent capabilities or orientation? What other determinants of partners’ bargaining power affect firms’ decisions about appropriate partners, the design of alliance structures and processes, and ultimately the learning that each firm takes from the alliance? We attempt to crystallize the identification problem in empirical studies of alliance organization and performance, document the evolution from blissful ignorance through dawning awareness to growing methodological sophistication in alliance research published in key strategy and organizations journals, and offer some thoughts on useful trajectories for future work.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129628506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Newspapers and Magazines 报刊杂志
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-03-12 DOI: 10.1016/B978-0-444-62721-6.00009-3
Ambarish Chandra, Ulrich Kaiser
{"title":"Newspapers and Magazines","authors":"Ambarish Chandra, Ulrich Kaiser","doi":"10.1016/B978-0-444-62721-6.00009-3","DOIUrl":"https://doi.org/10.1016/B978-0-444-62721-6.00009-3","url":null,"abstract":"","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123956642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The Term Structure of Credit Spreads and the Cross-Section of Stock Returns 信用利差的期限结构与股票收益的横截面
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-02-22 DOI: 10.2139/ssrn.2560693
Bing Han, A. Subrahmanyam, Yi Zhou
{"title":"The Term Structure of Credit Spreads and the Cross-Section of Stock Returns","authors":"Bing Han, A. Subrahmanyam, Yi Zhou","doi":"10.2139/ssrn.2560693","DOIUrl":"https://doi.org/10.2139/ssrn.2560693","url":null,"abstract":"We explore the link between credit and equity markets by considering the informational content of the term structure of credit spreads. A shallower credit term structure predicts decreases in default risk, increases in future profitability, as well as favorable earnings surprises. Further, the slope of the credit term structure negatively predicts future stock returns. While systematic slope risk is also priced, information diffusion from the credit market to equities, particularly in less visible stocks, plays an additional role in accounting for return predictability from credit slopes: Such predictability is less evident in stocks with high institutional ownership, analyst coverage, and liquidity, and vice versa.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122541481","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Global Taxes and International Taxation: Mirage and Reality 全球税收和国际税收:海市蜃楼与现实
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2015-01-01 DOI: 10.2139/SSRN.2587842
R. Bird
{"title":"Global Taxes and International Taxation: Mirage and Reality","authors":"R. Bird","doi":"10.2139/SSRN.2587842","DOIUrl":"https://doi.org/10.2139/SSRN.2587842","url":null,"abstract":"global taxes; international taxation; taxes on finance; carbon taxes; international governance","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130254943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Brokers' Contractual Arrangements in the Manhattan Residential Rental Market 曼哈顿住宅租赁市场的经纪人合约安排
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2205157
Heski Bar-Isaac, A. Gavazza
{"title":"Brokers' Contractual Arrangements in the Manhattan Residential Rental Market","authors":"Heski Bar-Isaac, A. Gavazza","doi":"10.2139/ssrn.2205157","DOIUrl":"https://doi.org/10.2139/ssrn.2205157","url":null,"abstract":"We bring new evidence to bear on the role of intermediaries in frictional matching markets and on how parties design contracts with them. Specifically, we examine two features of contracts between landlords and agents in the Manhattan residential rental market. In our data, 72 percent of listings involve exclusive relationships between landlords and agents (the remaining 28 percent are non-exclusive); and in 21 percent of listings, the landlord commits to pay the agent’s fee (in the other 79 percent, the tenant pays the agent’s the fee). Our analysis highlights that these contractual features reflect landlords’ concerns about providing agents with incentives to exert effort specific to their rental units and to screen among heterogeneous tenants.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123794428","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Of Age, Sex, and Money: Insights from Corporate Officer Compensation on the Wage Inequality between Genders 年龄、性别和金钱:从公司高管薪酬看性别工资不平等
University of Toronto - Rotman School of Management Research Paper Series Pub Date : 2014-03-21 DOI: 10.2139/ssrn.2430781
D. Newton, Mikhail Simutin
{"title":"Of Age, Sex, and Money: Insights from Corporate Officer Compensation on the Wage Inequality between Genders","authors":"D. Newton, Mikhail Simutin","doi":"10.2139/ssrn.2430781","DOIUrl":"https://doi.org/10.2139/ssrn.2430781","url":null,"abstract":"This paper shows that the gender and age of the wage setter are crucial determinants of the disparity in wages between sexes. We document our findings using a data set on compensation of corporate officers that is uniquely suited for this analysis because officer wages are set by chief executive officers CEOs. We show that CEOs pay officers of the opposite gender less than officers of their own gender, even when controlling for job characteristics. Older and male CEOs exhibit the greatest propensity to differentiate on the basis of sex. Female officers receive smaller raises if the firm is headed by a man. Our results suggest that CEO gender and age are economically more important determinants of officer compensation than are firm stock performance, stock volatility, or return on assets. \u0000 \u0000This paper was accepted by Uri Gneezy, behavioral economics.","PeriodicalId":370944,"journal":{"name":"University of Toronto - Rotman School of Management Research Paper Series","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122615801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
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