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1
Shinozaki, Shinya, Hiroshi Moriyasu, and Konari Uchida. "Shareholder Composition and Managerial Compensation." Journal of Financial and Quantitative Analysis 51, no. 5 (October 2016): 1719–38. http://dx.doi.org/10.1017/s0022109016000636.
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Stock options are used only sparingly in Japan. Japanese firms are more likely to adopt new stock option plans when they are more (less) owned by arms-length investors (stable and controlling shareholders). Those firms have significantly more independent boards and pay higher dividends surrounding the adoption year than their industry peers. These results suggest that firms adopting stock options endeavor to meet demands for good governance practice from arms-length shareholders and to follow good governance practices in other dimensions. The coexistence of arms-length, stable, and controlling shareholders generates a situation in which stock options are not widely used in Japan.
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Seamer, Michael, and Adrian Melia. "Remunerating non-executive directors with stock options: who is ignoring the regulator?" Accounting Research Journal 28, no. 3 (November 2, 2015): 251–67. http://dx.doi.org/10.1108/arj-12-2013-0092.
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Purpose – This paper aims to investigate the incidence of remunerating Australian Securities Exchange (ASX)-listed non-executive directors (NEDs) with options and to determine whether companies that fail to adhere to NED remuneration recommendations share a common corporate governance profile. Despite corporate regulators condemning the practice of remunerating NEDs with stock options, there is a paucity of evidence regarding its prevalence in Australia. Design/methodology/approach – Focusing on ASX400 companies during 2008, a series of hypotheses relating NED stock option remuneration and corporate governance are tested using logistic regression. Findings – The study shows that the prevalence and quantum of NED option payments during 2008 was considerable with 73 of the ASX400 companies, including options in NED remuneration (option payers). Comparison of the corporate governance characteristics of option payers to that of a matched control group (non-option payers) highlighted both the existence and independence of the remuneration committee as critical in ensuring NED remuneration practices comply with regulator recommendations. Research limitations/implications – These results provide regulators and stakeholder groups with additional evidence to continue to call for corporate governance reforms to ensure that corporate remuneration practices are in the best interest of shareholders. Originality/value – This study is the first to highlight the extent to which Australian-listed company NED remuneration practices fail to comply with regulator recommendations and adds to the limited research on remuneration committee effectiveness.
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Lew, Albert Y., and Joseph F. Schirger. "Accounting For Employee Stock Options As Contingencies." Journal of Applied Business Research (JABR) 10, no. 1 (September 27, 2011): 19. http://dx.doi.org/10.19030/jabr.v10i1.5959.
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<span>The accounting profession has long attempted to improve the disclosure of compensatory stock option information in financial reporting. While evidence of inconsistent practice has been publicized and acknowledged, suggestions for readjustment center largely around technicalities. The purpose of this article is to: (1) identify the inherent weakness of existing accounting principles on stock options, and (2) propose a new framework to account for employee stock options so that conflicting issues can be resolved in theory as well as in accounting practice.</span>
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EKSTRÖM, ERIK, and JOHAN TYSK. "OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS." International Journal of Theoretical and Applied Finance 07, no. 07 (November 2004): 901–7. http://dx.doi.org/10.1142/s0219024904002694.
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There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contract functions and under very general conditions on the volatility, that the method which is market practice gives the lower option price. For call options and some other common contracts we find bounds for the difference between the two prices in the case of constant volatility.
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Mohliver, Aharon. "How Misconduct Spreads: Auditors’ Role in the Diffusion of Stock-option Backdating." Administrative Science Quarterly 64, no. 2 (March 14, 2018): 310–36. http://dx.doi.org/10.1177/0001839218763595.
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I study the role of external auditors in the diffusion of stock-option backdating in the U.S. to explore the role of professional experts in the diffusion of innovative practices that subvert stakeholders’ interests. Practices that are eventually accepted as misconduct may emerge as liminal practices—ethically and legally questionable but not clearly illegitimate or outlawed—and not be categorized as misconduct until social control agents notice, scrutinize, and react to them. I examine how the role of external auditors in the diffusion of stock-option backdating changed as the practice shifted from liminality to being illegal and illegitimate. The findings suggest that professional experts’ involvement in the diffusion of liminal practices is highly responsive to the institutional environment. Initially, professional experts diffuse these practices via local networks, but when the legal environment becomes more stringent, implying that the practice will become illegitimate, experts reverse their role and extinguish the practice. The larger network remains largely uninvolved in both diffusing and extinguishing the liminal practice until the practice is publicly exposed and labeled as illegal and illegitimate. The findings further show that the diffusion and then extinguishing of backdating before it was outlawed depended on the adopter’s geographic proximity to a local office of a complacent expert and on the absence of traceable communication about backdating between these offices. This combination set the stage for each office to develop independent views about backdating, leading some offices to view backdating favorably and diffuse it, and others to view it unfavorably and curtail it—even at the same time and within the same audit firm. This study contributes to research on the diffusion of misconduct by providing insight into the role of professional experts and the mechanisms and boundary conditions governing that role.
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Xu, Liu. "The application of the improved option parity arbitrage model in SSE 50ETF option." E3S Web of Conferences 233 (2021): 01169. http://dx.doi.org/10.1051/e3sconf/202123301169.
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The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper explores effective options arbitrage strategies and practices them. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper establishes an effective option arbitrage strategy model and puts it into practice. The results show that there are indeed arbitrage opportunities in the market that exceed the risk-free rate of return, but there are not many such opportunities, and there is not much arbitrage space under many opportunities. This is not only the embodiment of high market efficiency, but also the result of taking various transaction costs into full consideration in this paper to ensure the effectiveness of arbitrage.
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HENDERSON, VICKY, JIA SUN, and A. ELIZABETH WHALLEY. "THE VALUE OF BEING LUCKY: OPTION BACKDATING AND NONDIVERSIFIABLE RISK." International Journal of Theoretical and Applied Finance 24, no. 04 (June 2021): 2150023. http://dx.doi.org/10.1142/s0219024921500230.
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The practice of executives influencing their option compensation by setting a grant date retrospectively is known as backdating. Since executive stock options are usually granted at-the-money, selecting an advantageous grant date to coincide with a low stock price will be valuable to an executive. Empirical evidence shows that backdating of executive stock option grants was prevalent, particularly at firms with highly volatile stock prices. Executives who have the opportunity to backdate should take this into account in their valuation. We quantify the value to a risk averse executive of a lucky option grant with strike chosen to coincide with the lowest stock price of the month. We show the ex ante gain to risk averse executives from the ability to backdate increases with both risk aversion and with volatility, and is significant in magnitude. Our model involves valuing the embedded partial American lookback option in a utility indifference setting with key features of risk aversion, inability to diversify and early exercise.
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Kalra, Neha, and Dr Rajesh Bagga. "A Review of Employee Stock Option Plans: Panacea or Pandora’s Box for Firm Performance." International Journal of Management Excellence 10, no. 1 (December 31, 2017): 1201–7. http://dx.doi.org/10.17722/ijme.v10i1.949.
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Employee stock option Plans (ESOPs) have gathered enormous attention in recent decades and have become the most controversial component of the compensation package. Organizations around the globe have been using ESOPs to compensate their employees at managerial and non-managerial levels. While traditionally the stock options were reserved for top management employees, lately there has been strong growth of broad-based plans primarily to increase firm value. Recent literature examining the effects of broad-based stock options are not limited to executive but available for all employees (Core and Guay, 2001; Oyer and Schaefer, 2005; Hallock and Olson, 2010, etc.). However, the shareholders have become increasingly apprehensive about the size and proliferation of adoption of stock option plans. Accordingly, they have been an issue of debate in both academic research and practice circles. The present paper outlines the theoretical foundations behind the use of ESOPs in the compensation mix and strives to address the controversy of whether or not stock options adoptions result in enhancement in firm value. Though the evidence is mixed on the implications of ESOPs, however, there exists robust support for a positive interrelationship between the adoption of these plans and firm performance for large sized firms.
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Schoenmakers, John G. M., and Peter E. Kloeden. "Robust option replication for a Black-Scholes model extended with nondeterministic trends." Journal of Applied Mathematics and Stochastic Analysis 12, no. 2 (January 1, 1999): 113–20. http://dx.doi.org/10.1155/s104895339900012x.
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Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model. This memory or nondeterministic trend behavior is often seen as a reflection of market sentiments and causes that the historical volatility estimator becomes unreliable in practice. We propose an extension of the Black and Scholes model by adding a term to the original Wiener term involving a smoother process which accounts for these effects. The problem of arbitrage will be discussed. Using a generalized stochastic integration theory [8], we show that it is possible to construct a self financing replicating portfolio for a European option without any further knowledge of the extension and that, as a consequence, the classical concept of volatility needs to be re-interpreted.
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Athar, Mahmood. "Employee Stock Option Plans: A Meta-Analysis (Understanding Impact of Esops Through Literature)." Studies in Business and Economics 15, no. 1 (April 1, 2020): 100–114. http://dx.doi.org/10.2478/sbe-2020-0009.
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AbstractThe usage of psychological ownership as an HR practice has been of a relatively recent origin. It is fast being recognized as a useful tool in the area of human resource management. Employee Stock Option Plans are being used as a technique to propagate psychological ownership and gain many advantages including a competitive edge. This paper explores the available literature on psychological ownership in general and Employee Stock Option plans in particular over a thirty year period from 1988 till 2018. An attempt has been made to integrate all matter into a theoretical model indicating the effect of such plans on individuals and organizations. In the study, several empirical as well as theoretical papers have been studied and the impact of Employee Stock Option Plans on several parameters like organizational productivity, individual performance, absenteeism, employee turnover and organizational citizenship behaviour have been reported. Several job attitudes like job satisfaction and commitment of employees towards their organization have also been reported. The studies reporting conditions of these plans that make them successful have been covered comprehensively.
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Deng, Guohe. "Option Pricing under Two-Factor Stochastic Volatility Jump-Diffusion Model." Complexity 2020 (September 1, 2020): 1–15. http://dx.doi.org/10.1155/2020/1960121.
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Empirical evidence shows that single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of the skew, and certain financial assets may exhibit jumps in returns and volatility. This paper introduces a two-factor stochastic volatility jump-diffusion model in which two variance processes with jumps drive the underlying stock price and then considers the valuation on European style option. We derive a semianalytical formula for European vanilla option and develop a fast and accurate numerical algorithm for the computation of the option prices using the fast Fourier transform (FFT) technique. We compare the volatility smile and probability density of the proposed model with those of alternative models, including the normal jump diffusion model and single-factor stochastic volatility model with jumps, respectively. Finally, we provide some sensitivity analysis of the model parameters to the options and several calibration tests using option market data. Numerical examples show that the proposed model has more flexibility to capture the implied volatility term structure and is suitable for empirical work in practice.
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Chung, Jay M., and Jae Keun Kim. "The KOSPI200 Index Option Trading Behavior and Performance of Individual Investors." Journal of Derivatives and Quantitative Studies 13, no. 1 (May 31, 2005): 99–127. http://dx.doi.org/10.1108/jdqs-01-2005-b0005.
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We examine the argument of the Financial Supervisory Service that the behavior of the Individual Investors to buy an out-of-the-money option is excessively speculative. The FSS reported that the individual investors incurred huge losses in the trading of KOSPI200 index options for the years 2002 and 2003. But since the sample period is relatively short, the argument does not seem fully convincing. Using a longer period data from July 1997 to December 2003, we reconfirm the huge losses of the Individual investors and also find that a tendency of individual investors losing money in association with option trading perSisted during the longer period. The individual investors chose out-of-the money options with short time to maturity, that are cheap and thus are expected to make huge profits with very low probabilities. Finally, we tind that out-ot-the money options with short time to maturity turn out to be in general priced higher than what the Korea Stock Exchange model suggests. The practice of purchasing out-of-the-money options for the reason of cheap prices and huge profit possibilities can be regarded as being excessively speculative. Due to overpricing, the individual investors persistently incurred some losses.
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Ritter, Jay R. "Forensic Finance." Journal of Economic Perspectives 22, no. 3 (July 1, 2008): 127–47. http://dx.doi.org/10.1257/jep.22.3.127.
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During popular prime-time television shows, forensic investigators use specialized but wide-ranging scientific knowledge of chemical trace evidence, bacteria, DNA, teeth, insects, and other specialties to collect and sift evidence of possible crimes. In economics and finance, forensic investigators apply their own specialized knowledge of prices, quantities, timing, and market institutions—and sometimes discover or substantiate evidence that is used by regulatory or criminal enforcement agencies. In this article, I will discuss four recent topics in forensic finance, all of which have attracted media attention: 1) the late trading of mutual funds, 2) stock option backdating, 3) the allocation of underpriced initial public offerings to corporate executives, and 4) changes in the records of stock analyst recommendations. In most of these cases, once certain practices or patterns have been publicized, financial industry practice has changed.
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Ning, Zhang. "Research about Option’s Risk and Price in China Stock Market Based on Non-Linear HHT Signal Analysis in Matlab." Applied Mechanics and Materials 20-23 (January 2010): 931–35. http://dx.doi.org/10.4028/www.scientific.net/amm.20-23.931.
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In the paper, we introduce the new signal processing method HHT into the option price. HHT method is used to simulation and computing the volatility of price. And the result can work with BS-models or H-W model. In practice, the result is very good, especially for the option price in the rising market like China. The paper also gives the results based on the traditional methods including GARCH, EGARCH, GJR and so on. The comparison is obvious and HHT is new good choice. The data is from China stock market up to 10/12/2009.
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Kumar, P., Y. Fukahori, A. G. Thomas, and J. J. C. Busfield. "Recycled Rubber: The Rubber Granulate - Virgin Rubber Interface." Rubber Chemistry and Technology 80, no. 1 (March 1, 2007): 24–39. http://dx.doi.org/10.5254/1.3548167.
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Abstract Reusing granulates derived from old tire stock and other sources in high tech engineering applications is still considered a high risk option. In addition to ensuring that the granulates are correctly identified, it is important to know how the incorporation of these materials alters the intrinsic flaw size of a finished product and to see how much the strength of the interface between these materials and the virgin materials compares to the basic strength of the virgin stock and the granulates. This paper explores possible techniques that can examine both properties so that an informed evaluation of the effect of reincorporating granulates can be established in practice.
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Carberry, Edward J., and Brayden G. King. "Defensive Practice Adoption in the Face of Organizational Stigma: Impression Management and the Diffusion of Stock Option Expensing." Journal of Management Studies 49, no. 7 (October 11, 2012): 1137–67. http://dx.doi.org/10.1111/j.1467-6486.2012.01075.x.
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LUONG, CHUONG, and NIKOLAI DOKUCHAEV. "ANALYSIS OF MARKET VOLATILITY VIA A DYNAMICALLY PURIFIED OPTION PRICE PROCESS." Annals of Financial Economics 09, no. 03 (December 2014): 1450006. http://dx.doi.org/10.1142/s2010495214500067.
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The paper studies methods of dynamic estimation of volatility for financial time series. We suggest to estimate the volatility as the implied volatility inferred from some artificial "dynamically purified" price process that in theory allows to eliminate the impact of the stock price movements. The complete elimination would be possible if the option prices were available for continuous sets of strike prices and expiration times. In practice, we have to use only finite sets of available prices. We discuss the construction of this process from the available option prices using different methods. In order to overcome the incompleteness of the available option prices, we suggests several interpolation approaches, including the first order Taylor series extrapolation and quadratic interpolation. We examine the potential of the implied volatility derived from this proposed process for forecasting of the future volatility, in comparison with the traditional implied volatility process such as the volatility index VIX.
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Ahmadpour, Ahmad. "The Improvement of Governance Decision Making Using XBRL." International Journal of E-Business Research 7, no. 2 (April 2011): 11–18. http://dx.doi.org/10.4018/jebr.2011040102.
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eXtensible Business Reporting Language (XBRL) has the potential to influence users’ processing of financial information and their judgments and decisions. XBRL is an eXtensible Markup Language (XML)-based language, developed specifically for financial reporting. XBRL, as a search-facilitating technology, contributes to direct searches and simultaneous presentation of related financial statement, and facilitates processing footnote information which could help financial statements’ users. XBRL is more than a distribution mechanism for data or facilitating technology. XBRL has the potential to significantly improve corporate governance. Putting that potential into practice requires an XBRL taxonomy model that is data based instead of document based. This paper hypothesizes that in the presence of search-facilitating technology, users’ judgments of financial statement reliability will be influenced by the choice of recognition versus disclosure of stock option compensation than in the absence of search-facilitating technology. When the stock option accounting varies between two firms, the search technology helps in both acquiring and integrating relevant information. The paper suggests the implementation of XBRL improves transparency of financial information and managers’ choices for reporting that information.
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önalan, ömer. "Time-changed generalized mixed fractional Brownian motion and application to arithmetic average Asian option pricing." International Journal of Applied Mathematical Research 6, no. 3 (June 13, 2017): 85. http://dx.doi.org/10.14419/ijamr.v6i3.7688.
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In this paper we present a novel model to analyze the behavior of random asset price process under the assumption that the stock price pro-cess is governed by time-changed generalized mixed fractional Brownian motion with an inverse gamma subordinator. This model is con-structed by introducing random time changes into generalized mixed fractional Brownian motion process. In practice it has been observed that many different time series have long-range dependence property and constant time periods. Fractional Brownian motion provides a very general model for long-term dependent and anomalous diffusion regimes. Motivated by this facts in this paper we investigated the long-range dependence structure and trapping events (periods of prices stay motionless) of CSCO stock price return series. The constant time periods phenomena are modeled using an inverse gamma process as a subordinator. Proposed model include the jump behavior of price process because the gamma process is a pure jump Levy process and hence the subordinated process also has jumps so our model can be capture the random variations in volatility. To show the effectiveness of proposed model, we applied the model to calculate the price of an average arithmetic Asian call option that is written on Cisco stock. In this empirical study first the statistical properties of real financial time series is investigated and then the estimated model parameters from an observed data. The results of empirical study which is performed based on the real data indicated that the results of our model are more accuracy than the results based on traditional models.
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Abelev, O. A., M. M. Vinogradova, and M. G. Nersesyan. "Expert Study of the Execution of the Terms of an Investment Life Insurance Contract." Theory and Practice of Forensic Science 16, no. 1 (April 23, 2021): 78–91. http://dx.doi.org/10.30764/1819-2785-2021-1-78-91.
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A significant decrease in bank deposits’ profitability forces citizens to look for more profitable investment options, including purchasing various financial products. One such product is an investment life insurance contract. However, investors’ expectations are not always fully met since dealing with financial instruments, such as options, requires a certain of financial literacy, understanding of the futures stock market’s organization and functioning. Arising disputes are often resolved in court. To obtain answers to economical questions, a forensic examination is appointed and carried out.Forensic analysis on this topic has some features that are discussed in the article. The paper gives a list of objects for expert research and their brief characteristics. The main sources of reference information on quotations of financial instruments are provided. Some concepts and economic categories related to the stock market and derivatives are considered. The Russian and English terms used by the experts during the study are presented and explained.Using an example from expert practice, the authors explain the logic of the analysis of an option contract and show the sequence of actions that makes it possible to calculate the investment income amount. The article justifies the conditions that restrict the experts when carrying out calculations and should be taken into account when forming and studying the expert opinions.
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Burtnyak, Ivan, and Anna Malytska. "The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis." Investment Management and Financial Innovations 14, no. 3 (October 11, 2017): 126–34. http://dx.doi.org/10.21511/imfi.14(3).2017.12.
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The paper deals with the spectral methods to calculate the value of the double barrier option generated by the Bessel diffusion process. This technique enables us to calculate the option price in the form of a Fourier-Bessel series with the corresponding ratio. The autors propose a simple method to estimate options using the Green’s expansion function for boundary value problem for a singular parabolic equation. Thus, the accuracy of the estimation coincides with the accuracy of the convergence of the Fourier-Bessel series. In this paper, the authors use the spectral theory to calculate the price of derivatives of financial assets considering that the processes described are by Markov and can be considered in Hilbert spaces. In this work, the authors use the diffusion process to find derivatives prices by introducing them through the Bessel functions of first kind. They also examine the Sturm-Liouville problem where the boundary conditions utilize the Bessel functions and their derivatives. All assumptions lead to analytical formulae that are consistent with the empirical evidence and, when implemented in practice, reflect adequately the passage of processes on stock markets. The authors also focus on the financial flows generated by Bessel diffusion processes which are presented in the system of Bessel functions of the first order under the condition that the linear combination of the flow and its spatial derivative are taken into account. Such a presentation enables us to calculate the market value of a share portfolio, provides the measurement of internal volatility in the market at any given time, and allows us to investigate the dynamics of the stock market. The splitting of Green’s function in the system of Bessel functions is presented by an analytical formula which is convenient for calculating the price level of options.
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Bird, D. N., M. Kunda, A. Mayer, B. Schlamadinger, L. Canella, and M. Johnston. "Incorporating changes in albedo in estimating the climate mitigation benefits of land use change projects." Biogeosciences Discussions 5, no. 2 (April 8, 2008): 1511–43. http://dx.doi.org/10.5194/bgd-5-1511-2008.
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Abstract. Some climate scientists are questioning whether the practice of converting of non-forest lands to forest land (afforestation or reforestation) is an effective climate change mitigation option. The discussion focuses particularly on areas where the new forest is primarily coniferous and there is significant amount of snow since the increased climate forcing due to the change in albedo may counteract the decreased climate forcing due to carbon dioxide removal. In this paper, we develop a stand-based model that combines changes in surface albedo, solar radiation, latitude, cloud cover and carbon sequestration. As well, we develop a procedure to convert carbon stock changes to equivalent climatic forcing or climatic forcing to equivalent carbon stock changes. Using the model, we investigate the sensitivity of combined affects of changes in surface albedo and carbon stock changes to model parameters. The model is sensitive to amount of cloud, atmospheric absorption, timing of canopy closure, carbon sequestration rate among other factors. The sensitivity of the model is investigated at one Canadian site, and then the model is tested at numerous sites across Canada. In general, we find that the change in albedo reduces the carbon sequestration benefits by approximately 30% over 100 years, but this is not drastic enough to suggest that one should not use afforestation or reforestation as a climate change mitigation option. This occurs because the forests grow in places where there is significant amount of cloud in winter. As well, variations in sequestration rate seem to be counterbalanced by the amount and timing of canopy closure. We close by speculating that the effects of albedo may also be significant in locations at lower latitudes, where there are less clouds, and where there are extended dry seasons. These conditions make grasses light coloured and when irrigated crops, dark forests or other vegetation such as biofuels replace the grasses, the change in carbon stocks may not compensate for the darkening of the surface.
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Samsa, Greg. "A Primer on Pumping and Dumping: How Hedge Funds Do It and How Others Might Profit." Archives of Business Research 9, no. 8 (September 4, 2021): 175–80. http://dx.doi.org/10.14738/abr.98.10747.
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Pumping and dumping occurs when the price of a stock is artificially inflated and then drops. Here, we illustrate how hedge funds can accomplish pumping and dumping, and argue why this strategy is likely to be successful for them. We illustrate why writing a short-term in-the-money covered call option might constitute an informed speculation when pumping and dumping is suspected. In contradistinction to the usual practice, estimating the returns of a strategy which is based upon the predictable characteristics of pumping and dumping would be best tested prospectively, and social media communities might fruitfully participate in such research.
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Xiao, Shuang, Guo Li, and Yunjing Jia. "Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods." Asia-Pacific Journal of Operational Research 34, no. 01 (February 2017): 1740009. http://dx.doi.org/10.1142/s0217595917400097.
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The constant elasticity of variance (CEV) model is widely studied and applied for volatility forecasting and optimal decision making in both areas of financial engineering and operational management, especially in option pricing, due to its good fitting effect for the volatility process of various assets such as stocks and commodities. However, it is extremely difficult to conduct parameter estimation for the CEV model in practice since the precise likelihood function cannot be derived. Motivated by the gap between theory and practice, this paper initiatively applies the Markov Chain-Monte Carlo (MCMC) method into parameter estimation for the CEV model. We first construct a theoretical structure on how to implement the MCMC method into the CEV model, and then execute an empirical analysis with big data of CSI 300 index collected from the Chinese stock market. The final empirical results reveal insights on two aspects: On one aspect, the simulated results of the convergence test are convergent, which demonstrates that the MCMC estimation method for the CEV model is effective; On the other aspect, by a comparison with other two most frequently used estimation methods, the maximum likelihood estimation (MLE) and the generalized moment estimation (GMM), our method is proved to be of high accuracy and has a simpler implementation and wider application.
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Duppati, Geeta, Anoop S. Kumar, Frank Scrimgeour, and Leon Li. "Long memory volatility in Asian stock markets." Pacific Accounting Review 29, no. 3 (August 7, 2017): 423–42. http://dx.doi.org/10.1108/par-02-2016-0009.
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Purpose The purpose of this paper is to assess to what extent intraday data can explain and predict long-term memory. Design/methodology/approach This article analysed the presence of long-memory volatility in five Asian equity indices, namely, SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using five-min intraday return series from 05 January 2015 to 06 August 2015 using two approaches, i.e. conditional volatility and realized volatility, for forecasting long-term memory. It employs conditional-generalized autoregressive conditional heteroscedasticity (GARCH), i.e. autoregressive fractionally integrated moving average (ARFIMA)-FIGARCH model and ARFIMA-asymmetric power autoregressive conditional heteroscedasticity (APARCH) models, and unconditional volatility realized volatility using autoregressive integrated moving average (ARIMA) and ARFIMA in-sample forecasting models to estimate the persistence of the long-term memory. Findings Given the GARCH framework, the ARFIMA-APARCH long-memory model gave the better forecast results signifying the importance of accounting for asymmetric information when modelling volatility in a financial market. Using the unconditional realized volatility results from the Singapore and Indian markets, the ARIMA model outperforms the ARFIMA model in terms of forecast performance and provides reasonable forecasts. Practical implications The issue of long memory has important implications for the theory and practice of finance. It is well-known that accurate volatility forecasts are important in a variety of settings including option and other derivatives pricing, portfolio and risk management. Social implications It could be said that using long-memory augmented models would give better results to investors so that they could analyse the market trends in returns and volatility in a more accurate manner and reach at an informed decision. This is useful to minimize the risks. Originality/value This research enhances the literature by estimating the influence of intraday variables on daily volatility. This is one of very few studies that uses conditional GARCH framework models and unconditional realized volatility estimates for forecasting long-term memory. The authors find that the methods complement each other.
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Plyusnina, Ekaterina, and Vera Akristiniy. "Repair strategy for housing stock engineering systems to improve energy efficiency." E3S Web of Conferences 244 (2021): 05023. http://dx.doi.org/10.1051/e3sconf/202124405023.
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The article discusses problems of current interest concerning the housing and utility sector associated with increasing the level of comfort of living by constantly improving measures for carrying out planned and un-scheduled repairs and surveys. This work provides a methodology for justi-fying the choice of a repair strategy for engineering systems of water sup-ply and sewerage in the process of operating the housing stock, the imple-mentation of which will contribute to the timely and rational repairs and inspections of buildings engineering systems. This will allow systematical-ly eliminating engineering systems malfunctions, predicting and planning the optimal quantity and chronology of repair and restoration activities by maintaining the technical condition of the engineering system elements within the permissible limits during the standard service life.The main goal of the research in the presented material is to substantiate the methodology for choosing a repair strategy for water supply and sewerage systems dur-ing the operation of apartment buildings.The optimal periodicity for the re-pair of engineering systems depends on the failure rate of elements and the costs associated with the execution of all operational activities.Three op-tions considered for organizing repairs of engineering equipment.Applied in actual practice the technique of choosing the repair strategy of engineer-ing systems for selecting the optimal option to organize repairs of engi-neering equipment.
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Li, Pengshi, Yan Lin, and Yuting Zhong. "Patterns of 50 ETF Options Implied Volatility in China: On Implied Volatility Functions." E+M Ekonomie a Management 24, no. 1 (March 2021): 135–45. http://dx.doi.org/10.15240/tul/001/2021-1-009.
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The aim of this study is to examine the volatility smile based on the European options on Shanghai stock exchange 50 ETF. The data gives evidence of the existence of a well-known U-shaped implied volatility smile for the SSE 50 ETF options market in China. For those near-month options, the implied volatility smirk is also observed. And the implied volatility remains high for the short maturity and decreases as the maturity increases. The patterns of the implied volatility of SSE 50 ETF options indicate that in-the-money options and out-of-the-money options are more expensive relative to at-the-money options. This makes the use of at-the-money implied volatility for pricing out-of- or in-the-money options questionable. In order to investigate the implied volatility, the regression-based implied volatility functions model is considered employed to study the implied volatility in this study as this method is simple and easy to apply in practice. Several classical implied volatility functions are investigated in this paper to find whether some kind of implied volatility functions could lead to more accurate options pricing values. The potential determinants of implied volatility are the degree of moneyness and days left to expiration. The empirical work has been expressed by means of simple ordinary least squares framework. As the study shows, when valuing options, the results of using volatility functions are mixed. For far-month options, using at-the-money implied volatility performs better than other volatility functions in option valuation. For near-month options, the use of volatility functions can improve the valuation accuracy for deep in-the-money options or deep out-of-the-money options. However, no particular implied volatility function performs very well for options of all moneyness level and time to maturity.
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Griekspoor, Andre, and Egbert Sondorp. "Enhancing the Quality of Humanitarian Assistance: Taking Stock and Future Initiatives." Prehospital and Disaster Medicine 16, no. 4 (December 2001): 209–15. http://dx.doi.org/10.1017/s1049023x00043326.
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AbstractDuring the last five years, the debate on the performance of humanitarian assistance has intensified. The motivation to “do better” has come both from within the humanitarian agencies as well as from pressure exerted by the donors and the media. Paradoxically, until now, the voice of those who are to benefit from this assistance has not been heard.This paper is an overview of the most important initiatives to increase the quality of humanitarian assistance. The introduction of the logical framework and the increasing body of knowledge made available through guidelines have improved project management by measuring process and outcomes. Increasingly, evaluations are used to give account and to learn from experiences. But, current evaluation practice must develop in a wider variety of approaches more appropriate to create change of the operations in the field. Some agencies oppose new developments like the Sphere and the Humanitarian Accountability Projects, arguing that standards and regulation would undermine necessary flexibility to adjust responses to the local context, or be a threat to their independence. Nonetheless, standards are considered to be a prerequisite as reference to assess performance. Furthermore, it is hoped that a new breakthrough will be achieved by improved accountability towards beneficiaries.An option to address some of the gaps in the current quality assessment tools was to widen the perspective on performance from projects to the organisations behind them. Quality management models may provide the required framework, and they also can be used to embed current initiatives by organisations. Humanitarian organisations may want to develop forms of self-regulation rather than waiting for accreditation by donors. Another area in which progress is needed is a system-wide approach to performance. At this level, the influence of political actors, donors, national governments, and other representatives of the parties in a conflict also should be assessed. It is their legal obligation to protect the basic right to assistance of persons affected by disasters, as enshrined in international law.
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Allio, Robert J. "Learning to be a leader." Strategy & Leadership 44, no. 4 (July 18, 2016): 3–9. http://dx.doi.org/10.1108/sl-06-2016-0041.
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Purpose The author believes it is possible to select a better strategy for improving leadership effectiveness. His hypothesis: although leadership cannot be taught, paradoxically, leadership can be learned. Design/methodology/approach The playbook for developing potential leaders comprises these three elements: Establish a leadership identity and persona. Acquire relevant leadership knowledge and skills. Practice acts of leadership. Findings We preach the need for moral leaders, but in pursuit of maximizing shareholder returns and stock option bonuses for CEOs society embraces rogues and celebrates robber barons who successfully elbow their way ahead of the pack! Practical implications Whatever other personal traits the leader may possess, the one absolute prerequisite is the judicious exercise of power – specifically, the power to change the way followers think and behave. Originality/value Success leadership ultimately depends on the ability to communicate, to tell a story that explains the proposed corporate vector and inspires the followers to sign on for the adventure.
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Fayzulin, A. K., Aleksandr E. Mashkov, S. M. Sharkov, A. B. Sobolevskiy, A. A. Sobolevskiy, L. A. Strelkina, P. A. Kolosova, and V. V. Chuprikov. "A TREATMENT OPTION FOR THE DISTAL FORM OF HYPOSPADIA WITH THE USE OF F-II TECHNIQUES (HODGSON-II MODIFICATION)." Russian Journal of Pediatric Surgery 22, no. 1 (March 28, 2018): 9–12. http://dx.doi.org/10.18821/1560-9510-2018-22-1-9-12.
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Introduction. At the moment present, the problem of choosing the method of correction of distal hypospadias due to persistent numerous postoperative complications has not been completely solved. The most frequent complications are fistulas, stenoses and lysis of neo-urethra. Distal hypospadias is divided into distal stem, coronary and capitate. Features of the anatomical structure of the head, prep and meatus in children with hypospadia are often explained by a deficit of plastic material, which can lead to mistakes in the choice of the method of urethroplasty. The current principles of plastic surgery still do not completely eliminate postoperative complications. Material and methods. Since 2004, due to using the F-II procedure 208 operations have been performed without complications mentioned above. At the moment, the long-term results are being investigated. Results. Prolonged search for the optimal approach for the correction of distal forms of hypospadias suggests the need to modify the Hodgson-II technique and introduce it into clinical practice. In this article, the advantages and principal differences of the operation of F-II in comparison with Hodgson-II modification, a brief literary reference about the current world studies of the complications of distal urethroplasty are presented. Conclusion. When using the urethroplasty with a displaced prepuce flap according to the F-II procedure, we get an advantage over the stock of plastic material in comparison with urethroplasty by local tissues. Compared with the Hodgson technique, we get the best cosmetic and functional result.
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CARR, PETER, and WIM SCHOUTENS. "HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT." International Journal of Theoretical and Applied Finance 11, no. 04 (June 2008): 403–14. http://dx.doi.org/10.1142/s0219024908004865.
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In this paper, we will explain how to perfectly hedge under Heston's stochastic volatility model with jump-to-default, which is in itself a generalization of the Merton jump-to-default model and a special case of the Heston model with jumps. The hedging instruments we use to build the hedge will be as usual the stock and the bond, but also the Variance Swap (VS) and a Credit Default Swap (CDS). These instruments are very natural choices in this setting as the VS hedges against changes in the instantaneous variance rate, while the CDS protects against the occurrence of the default event. First, we explain how to perfectly hedge a power payoff under the Heston model with jump-to-default. These theoretical payoffs play an important role later on in the hedging of payoffs which are more liquid in practice such as vanilla options. After showing how to hedge the power payoffs, we show how to hedge newly introduced Gamma payoffs and Dirac payoffs, before turning to the hedge for the vanillas. The approach is inspired by the Post–Widder formula for real inversion of Laplace transforms. Finally, we will also show how power payoffs can readily be used to approximate any payoff only depending on the value of the underlier at maturity. Here, the theory of orthogonal polynomials comes into play and the technique is illustrated by replicating the payoff of a vanilla call option.
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HIN, LIN-YEE, and NIKOLAI DOKUCHAEV. "SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS." Annals of Financial Economics 11, no. 01 (March 2016): 1650004. http://dx.doi.org/10.1142/s2010495216500044.
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In this paper, we propose a strategy to extract the information on the market participants’ expectation of the future short rate from the cross-sectional zero coupon bond prices. In line with the current market practice of building different yield curves for different tenors, we construct multiple one-factor short rate processes to pin down the salient features of the yield curve at different tenors. We represent this information in the form of the Cox–Ingersoll–Ross model implied parameters, and show that this information can be used to forecast the future short rate. This approach of representing the information on the market participants’ consensus in the form of implied model parameters and using these implied parameters for forecasting purposes resembles the approach of representing the market expectation of the underlying asset volatility reflected by stock option prices in the form of implied volatility, and using it to forecast the realized volatility. We illustrate the implementation of this method using historical US STRIPS prices and effective Federal Funds rate.
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Dalton, Dan R., and Catherine M. Daily. "Director Stock Compensation: An Invitation to a Conspicuous Conflict of Interests?" Business Ethics Quarterly 11, no. 1 (January 2001): 89–108. http://dx.doi.org/10.2307/3857871.
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Abstract:While many aspects of stock and option based compensation for corporate officers remain controversial, we suggest that the growing trend for similar practices in favor of boards of directors will prove to be even more contentious. High-ranking corporate managers do not set their own salaries nor authorize their own stock options. By contrast, boards of directors do, in fact, set their own compensation packages. Other potential conflicts of interest include setting option performance targets, stock buybacks, stock option resets and reloads, consolidations (mergers and acquisitions), and service on multiple boards. As trust is the most valuable commodity in a capitalist society, we suggest that these potential conflicts of interest and related outcomes may ultimately serve to erode any anticipated benefits of director stock compensation.
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Dhankar, Raj S., and Madhumita Chakraborty. "Non-linearities and GARCH Effects in the Emerging Stock Markets of South Asia." Vikalpa: The Journal for Decision Makers 32, no. 3 (July 2007): 23–38. http://dx.doi.org/10.1177/0256090920070303.
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Up to the beginning of the last decade, financial economics was dominated by linear paradigm, which assumed that economic time series conformed to linear models or could be wellapproximated by a linear model. However, there is increasing evidence that asset returns may be better characterized by a model which allows for non-linear behaviour. Though more efforts are now being directed towards the Asian stock markets in the light of their increasing importance to the investment world and the world economy, there is an extremely sparse literature, which utilizes recent advances in non-linear dynamics to examine the data generating process of the South-Asian stock markets. This study investigates the presence of non-linear dependence in three major markets of South Asia: India, Sri Lanka, and Pakistan. It was, however, realized that merely identifying non-linear dependence was not enough. Previous research has shown that the presence of nonlinear characteristics usually takes the form of ARCH/GARCH (Autoregressive Conditional Heteroscedasticity or Generalized Autoregressive Conditional Heteroscedasticity) type conditional heteroscedasticity. Keeping this in view, this study investigates whether the non-linear dependence is caused by predictable conditional volatility. It has been found that the simple GARCH (1, 1) model has fitted all the market return series adequately and accounted for the non-linearity found in the series. The findings reveal the following: The application of the BDS test developed by Brock, et al., (1996) strongly rejects the null hypothesis of independent and identical distribution of the return series as well as the linearly filtered return series for all the markets under study. With the possibility of linear dependence causing the rejection of independent and identical distribution (IID) being eliminated by linear filtering, the study also shows that non-stationarity of return series is also not a cause for non-IID behaviour by applying Augmented Dickey Fuller test and Phillips-Perron test. This implies the presence of non-linear dependence in the return series. For researchers in the developing countries, it is time to embrace the shift to non-linearity as it would provide a better understanding of the underlying dynamics of financial time series. However, the results are not necessarily inconsistent with efficient market hypothesis, simply because non-linearity does not essentially imply predictability as the future price changes can be predictable but only with a time horizon too short to allow for excess profits. The implications of non-linear dependence and presence of GARCH effects go beyond the issue of market efficiency. The common assumption of constant variance underlying the theory and practice of option pricing, portfolio optimization, and value-at-risk (VaR) calculations needs to be revised. If the assumed stochastic processes do not adequately depict the full complexity of the true generating processes, then any derivatives in question may be mis-priced.
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Davids, Matthew S., Anuja Chatterjee, Arliene Ravelo, Sheila Shapouri, Beenish S. Manzoor, Kavita Sail, Gijs Van de Wetering, and Michael Hallek. "Cost-Effectiveness of a 12-Month Fixed Duration of Venetoclax in Combination with Obinutuzumab in First-Line Chronic Lymphocytic Leukemia in the United States." Blood 134, Supplement_1 (November 13, 2019): 4741. http://dx.doi.org/10.1182/blood-2019-123706.
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INTRODUCTION: Historically chemoimmunotherapy has been the standard of care in the treatment of first-line (1L) chronic lymphocytic leukemia (CLL). More recently several effective oral targeted agents, such as ibrutinib-based regimens, have provided effective chemotherapy-free treatment options in CLL. However, these therapies require continuous treatment until disease progression. Recently FDA approved (May 2019), venetoclax plus obinutuzumab (VenG) is a highly effective chemotherapy-free therapy that is used over a 12-month fixed treatment duration (Fischer et al, N Eng J Med 2019). The objective of this study is to estimate the cost-effectiveness of VenG in the treatment of 1L CLL from a US-payer perspective. METHODS: A three-state partitioned-survival model was used to extrapolate progression-free survival and overall survival over a lifetime horizon (20 years). Cost-effectiveness was estimated by comparing a 12-month fixed duration of VenG versus (vs.) chlorambucil-obinutuzumab (ClbG) based on the CLL14 clinical trial (NCT02242942). Other comparators included treat-to-progression therapies, such as ibrutinib (IBR), IBR + rituximab (IR), and IBR + G (IG), and a 6-month course of bendamustine + rituximab (BR). Using a network meta-analysis, the relative efficacy of VenG and ClbG vs. other selected comparators was estimated. Health state utilities and adverse event (AE) disutilities were derived from a systematic literature review and published health-technology assessment reports. To generate total quality-adjusted life years (QALYs), these health state utilities and AE disutilities were applied to the relative efficacy data. US-specific costs included those for CLL treatment, routine care and monitoring, AEs, disease progression (including subsequent treatment), and end-of-life care. Cost-effectiveness results are presented in terms of incremental cost per QALY. A new treatment that is both lower in total cost and more efficacious (in QALYs) vs. identified comparator treatments is described as being "dominant". Uncertainty in the model was tested through deterministic, probabilistic, and scenario analyses. RESULTS: The benefits in the cost-effectiveness model (CEM) were measured in terms of total discounted QALYs which were 6.47 for VenG, 6.12 for ClbG, 6.11 for IBR, 6.08 for IR, 6.41 for IG, and 5.98 for BR. The total discounted costs incurred by VenG and ClbG were $322,613 and $847,571, respectively. IBR-based treat-to-progression regimens incurred total discounted costs of $1,485,368 for IBR, $1,447,010 for IR, and $1,988,706 for IG. BR incurred total discounted costs of $808,756. Compared to these regimens, VenG is less costly (incremental cost ranges between: -$1,666,093 to -$486,143). The incremental discounted QALYs of VenG was: 0.36 vs. GC, 0.49 vs. BR, 0.37 vs. IBR, 0.06 vs. IG, and 0.39 vs. IR. Thus, VenG with a 12-month fixed duration, has lower total costs and is more efficacious ("dominant") over all comparators in the CEM. The probabilistic sensitivity analysis results were in line with the deterministic results. Sensitivity analysis indicated the post-progression survival utility was the most influential parameter on the model outcomes. As the CLL14 trial data matures, these cost-effectiveness estimates may change and additional scenarios for post-progression survival for VenG will be explored. Updated results will be presented. CONCLUSIONS: VenG is projected to be cost-effective vs. ClbG within accepted US cost-effectiveness thresholds. Compared with BR and IBR-based treat-to-progression regimens (IBR, IR, and IG), a 12-month fixed-duration treatment option with VenG seems cost saving and more efficacious based on the CEM. Taken together, VenG appears to be a cost-effective standard therapy for 1L CLL patients. Disclosures Davids: AbbVie, Acerta Pharma, Adaptive, Biotechnologies, Astra-Zeneca, Genentech, Gilead Sciences, Janssen, Pharmacyclics, TG therapeutics: Membership on an entity's Board of Directors or advisory committees; Research to Practice: Honoraria; AbbVie, Astra-Zeneca, Genentech, Janssen, MEI, Pharmacyclics, Syros Pharmaceuticals, Verastem: Consultancy; Acerta Pharma, Ascentage Pharma, Genentech, MEI pharma, Pharmacyclics, Surface Oncology, TG Therapeutics, Verastem: Research Funding. Ravelo:Genentech: Employment, Equity Ownership. Shapouri:Roche: Equity Ownership; Genentech, Inc.: Employment. Manzoor:AbbVie: Employment, Other: and may hold stock or stock options. Sail:AbbVie: Employment, Other: and may hold stock or stock options. Van de Wetering:AbbVie: Consultancy. Hallek:Roche, Gilead Sciences, Inc., Mundipharma, Janssen, Celgene, Pharmacyclics, AbbVie: Honoraria, Research Funding, Speakers Bureau.
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Badura, Peter, Lenka Kalusová, Miroslav Kmeťkoc, Mariana Sedliačiková, and Katarína Vavrová. "Precious metals market in the new millennium." Global Journal of Business, Economics and Management: Current Issues 8, no. 2 (July 30, 2018): 61–66. http://dx.doi.org/10.18844/gjbem.v8i2.3503.
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In the ever-changing investment environment it is not easy to find a relatively safe investment option. That is the reason why a large part of investors (respective both, the financial science as well as the financial practice) is increasingly concerned with the benefits and risks of investing into precious metals. The aim of this paper was to find out how the prices of gold, silver, platinum and palladium have been behaving in the last 15 years, from January 2001 to December 2015. The prices of selected precious metals, their cross-correlation and their volatility in the last millennium as well as the relation of precious metals prices to S&P 500 index values have been analyzed. The method of correlation analysis has been used as the main research method. Our findings showed that despite the fact that some of the precious metals seemed to be a good choice as a profitable investment none of them have been a good choice for investment diversification, neither with each other nor with the S&P 500 index that represented the stock market. The precious metals can be easily used as a form of financial investments. Unlike S&P 500 index or some other underlying assets the precious metals (especially gold) are financial instruments that are liquid in any part of the world.
© 2016 The Authors. Published by Elsevier B.V.
Peer-review under responsibility of Academic World Research and Education Center.
Keywords: precious metals; S&P 500 index; price correlations; standard deviation; new millennium;
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Zorell, Carolin V. "Nudges, Norms, or Just Contagion? A Theory on Influences on the Practice of (Non-)Sustainable Behavior." Sustainability 12, no. 24 (December 13, 2020): 10418. http://dx.doi.org/10.3390/su122410418.
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‘Nudging’ symbolizes the widespread idea that if people are only provided with the ‘right’ options and contextual arrangements, they will start consuming sustainably. Opposite to this individual-centered, top-down approach stand observations highlighting the ‘contagiousness’ of thoughts, emotions, and behaviors of reference groups or persons present in a decision-context. Tying in these two lines, this paper argues that nudging may sound promising and easily applicable, yet the social dynamics occurring around it can easily distort or nullify its effects. This argument stems from empirical evidence gained in an exploratory observation study conducted in a Swedish cafeteria (N = 1073), which included a ‘nudging’ treatment. In the study, people in groups almost unanimously all chose the same options. After rearranging the choice architecture to make a potentially sustainable choice easier, people stuck to this mimicking behavior—while turning to choose more the non-intended option than before. A critical reflection of extant literature leads to the conclusion that the tendency to mimic each other (unconsciously) is so strong that attempts to nudge people towards certain choices appear overwhelmed. Actions become ‘contagious’; so, if only some people stick to their (consumption) habits, it may be hard to induce more sustainable behaviors through softly changing choice architectures.
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Weiden, Kathleen, and Jane Mooney. "New economy versus old economy firms: the use of stock options and retirement plans for non-executive employees." Corporate Ownership and Control 7, no. 3 (2010): 159–72. http://dx.doi.org/10.22495/cocv7i3c1p1.
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Human resources and financial economics research suggests that a distinguishing feature of new economy firms is their use of stock options to attract, retain, and compensate employees. Previous research has examined the relationship between the granting of stock options and the use of alternate deferred pay mechanisms (defined benefit and defined contribution pension plans) for non-executive employees. This paper brings these research streams together, examining whether the option granting behavior of new and old economy firms is differentially impacted by the use of these other deferred pay plans. Using a large sample of US firms, we find that new economy firms differ significantly from old economy firms in their pay practices and that the relationship between the components of pay differ as well.
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Latremouille-Viau, Dominick, Annie Guerin, Patrick Gagnon-Sanschagrin, Katherine Dea, Benjamin Cohen, and George J. Joseph. "Reduction in Healthcare Resource Utilization and Costs in Patients with Chronic Myeloid Leukemia (CML) with Better Adherence to Tyrosine Kinase Inhibitors (TKIs) and Increased Molecular Monitoring Frequency." Blood 128, no. 22 (December 2, 2016): 2398. http://dx.doi.org/10.1182/blood.v128.22.2398.2398.
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Abstract Background: More frequent molecular monitoring (qPCR tests) and higher adherence to TKIs in the management of CML have been associated with better clinical and economic outcomes. In addition, more frequent qPCR tests have been associated with better adherence to TKIs. This study estimated the overall impact of more frequent qPCR tests on healthcare resource utilization(HRU) and costs, stratified by direct (impact of qPCR test frequency on HRU and costs) and indirect (through adherence to TKIs) impacts. Methods: Adult patients newly diagnosed with CML who started first-line therapy with a TKI (imatinib, nilotinib, or dasatinib) were identified from two US administrative claims databases (2010-2015). Adherence to TKIs (using Medication Possession Ratio), number of inpatient (IP) days, emergency room (ER) visits, and days with outpatient (OP) services were measured during the first year of CML treatment. Mean costs per event (USD 2015 - payers' perspective) were estimated for each HRU component. Direct and indirect impacts of qPCR test frequency were estimated using multivariate regression models adjusting for potential confounding factors (age, sex, region of residence, health plan type, year of CML treatment initiation, Darkow disease complexity, and Charlson comorbidity index). A model was developed to assess the direct and indirect impacts of varying qPCR test frequency on HRU and costs during the first year of CML treatment under different scenarios in clinical practice. Two scenarios are illustrated: an increase i) from 1 to 2 and ii) from 2 to 4 qPCR tests. Results: A total of 1,431 patients (mean age = 54 years; 47% female) were included. During the first year of CML treatment, 36% of patients did not have any qPCR tests, 16% had 1, 15% had 2, 18% had 3, and 16% had 4 tests, for an average of 1.6 qPCR tests. The average TKI adherence level was 0.86. Holding the TKI adherence level and other variables at their mean values, the direct impact of increasing qPCR test frequency by 1 test was associated with a reduction in the number of IP days by 13.0% and ER visits by 8.3%, and an increase in the number of days with OP services by 3.0% (all p<.05). Each increase of 1 test was also associated with an increased TKI adherence level by 2.2 percentage points (p<.01). When considering the indirect impact of qPCR test frequency through adherence to TKIs, an increase of 1 qPCR test combined with an increase of the TKI adherence level by 2.2 percentage points was associated with a greater reduction of the number of IP days from 13.0% to 15.2% and ER visits from 8.3% to 8.6%, but reduced the increase in the number of days with OP services from 3.0% to 2.6%. Mean costs were estimated at $3,660 per IP day, $848 per ER visit, and $313 per day with OP services - these estimates are used for cost imputation in the Table. Thus, for a health plan of 1 million beneficiaries - considering a CML annual incidence of 1.8 per 100,000 individuals - the impact of increasing the qPCR test frequency from 1 to 2 and from 2 to 4 was associated with an estimated cost savings of $52,530 and $81,971 over a one-year period, respectively. Conclusions: More frequent qPCR tests and better adherence to TKIs was associated with a reduction of HRU events and costs for patients and payers. Efforts to increase the qPCR test frequency and adherence to TKIs stand to enhance such benefits. Table Table. Disclosures Latremouille-Viau: Analysis Group: Employment; Novartis: Other: Author is an employee of Analysis Group which has received consulting fees from Novartis. Guerin:Analysis Group, Inc: Employment; Novartis Pharmaceuticals Corporation: Consultancy, Other: Annie Guerin is an employee of Analysis Group, which has received consultation fees from Novartis Pharmaceuticals Corporation. Gagnon-Sanschagrin:Novartis: Other: Author is an employee of Analysis Group which has received consulting fees from Novartis; Analysis Group, Inc: Employment. Dea:Novartis: Other: Author is an employee of Analysis Group which has received consulting fees from Novartis; Analysis Group, Inc: Employment. Cohen:Novartis: Other: Was an employee of Novartis at the time the study was conducted. Joseph:Novartis: Employment; Amgen: Other: Stocks/stock option; Pfizer: Other: Stock/stock option.
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Balsam, Steven, and Wonsun Paek. "Insider Holding Requirements, Stock Options, and Stock Appreciation Rights." Journal of Accounting, Auditing & Finance 16, no. 3 (July 2001): 227–48. http://dx.doi.org/10.1177/0148558x0101600305.
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This study examines how a Securities and Exchange Commission rule change affected the design of executive compensation contracts. It shows that a change in insider holding requirements for employee stock options led to a widespread decrease in the use of stock appreciation rights. Further, we find firms that decrease their use of stock appreciation rights compensate employees by increasing their use of employee stock options. The Securities and Exchange Commission rule change provides a unique opportunity to examine the use of compensation methods as it caused firms to examine their policies and make an active decision to modify their practices. Cross-sectionally, we find the likelihood a firm decreases its use of stock appreciation rights positively associated with the magnitude of expense associated with stock appreciation rights, the firm's use of income-increasing accounting methods, leverage, and the ratio of market to book value of assets. We also find a significant interaction effect for the magnitude of expense when interacted with profitability.
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Kay, Ira T. "Beyond Stock Options: Emerging Practices in Executive Incentive Programs." Compensation & Benefits Review 23, no. 6 (November 1991): 18–29. http://dx.doi.org/10.1177/088636879102300605.
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Siarudin, Mohamad, Syed Ajijur Rahman, Yustina Artati, Yonky Indrajaya, Sari Narulita, Muhammad Juan Ardha, and Markku Larjavaara. "Carbon Sequestration Potential of Agroforestry Systems in Degraded Landscapes in West Java, Indonesia." Forests 12, no. 6 (May 31, 2021): 714. http://dx.doi.org/10.3390/f12060714.
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When restoring degraded landscapes, approaches capable of striking a balance between improving environmental services and enhancing human wellbeing need to be considered. Agroforestry is an important option for restoring degraded land and associated ecosystem functions. Using survey, key informant interview and rapid carbon stock appraisal (RaCSA) methods, this study was conducted in five districts in West Java province to examine potential carbon stock in agroforestry systems practiced by smallholder farmers on degraded landscapes. Six agroforestry systems with differing carbon stocks were identified: gmelina (Gmelina arborea Roxb.) + cardamom (Amomum compactum); manglid (Magnolia champaca (L.) Baill. ex Pierre) + cardamom; caddam (Neolamarckiacadamba (Roxb.) Bosser) + cardamom; caddam + elephant grass (Pennisetum purpureum Schumach.); mixed-tree + fishpond; and mixed-tree lots. Compared to other systems, mixed-tree lots had the highest carbon stock at 108.9 Mg ha−1. Carbon stock variations related to species density and diversity. Farmers from research sites said these systems also prevent soil erosion and help to restore degraded land. Farmers’ adoption of agroforestry can be enhanced by the implementation of supportive policies and measures, backed by scientific research.
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Tiscini, Riccardo, and Elisa Raoli. "Stock option plan practices in family firms: The idiosyncratic private benefits approach." Journal of Family Business Strategy 4, no. 2 (June 2013): 93–105. http://dx.doi.org/10.1016/j.jfbs.2013.03.001.
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Stathopoulos, Konstantinos, Susanne Espenlaub, and Martin Walker. "U.K. Executive Compensation Practices: New Economy versus Old Economy." Journal of Management Accounting Research 16, no. 1 (January 1, 2004): 57–92. http://dx.doi.org/10.2308/jmar.2004.16.1.57.
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This paper examines the executive compensation practices of listed U.K. retailing companies. We compare “New Economy” retailers (e-commerce/dot-coms) to more traditional retailers operating in the “Old Economy.” We also discriminate between recently floated retailers and their more seasoned counterparts. Using a sample of remuneration contracts for 549 directors in 72 listed U.K. companies in the New and Old Economies, we investigate the structure and level of executive (and nonexecutive) compensation defined as the sum of salary, annual bonus, and the values of executive stock options and long-term incentive plans (LTIPs). We investigate the extent to which the contract features are determined by firm characteristics, economic sector, and governance/ownership factors. In contrast to the U.S., where almost all executive stock options are issued at the money, there is a greater variety of practice in the U.K. with some options being granted substantially in the money. We therefore pay special attention to this U.K. institutional feature by producing a model designed to explain the crosssectional variation in the moneyness of stock options at the date of issue. We also examine the determinants of a number of other contract features. These are: the time to maturity of the executive stock options, the leverage of the compensation package, the ratio of long-term pay relative to short-term pay, and pay performance sensitivity. We find that differences in compensation arrangements can be explained to a significant extent by differences in firm size, growth/growth opportunities, firm financial policy, ownership characteristics, and governance arrangements. We also find some systematic differences between the compensation arrangements of CEOs and other executives.
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Yang, Jerry T. "Alternatives to Traditional Repricing of Executive Stock Options." Review of Pacific Basin Financial Markets and Policies 14, no. 01 (March 2011): 35–80. http://dx.doi.org/10.1142/s0219091511002135.
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The main purpose of this paper is to examine two commonly used alternatives to traditional repricing (TR) of executive stock options (ESOs) in a dynamic agency model. TR practices have become obsolete since new accounting rules took effect in July 2000. To avoid associated variable accounting charges that cause uncertainty in future reported earnings, companies have tried several TR alternatives as solutions to rescuing underwater options. We justify the occurrence of TR alternatives and quantify the impact of the marking-to-market feature imbedded in the new accounting rules. We also propose an incentive measure which is comparable to the subjective value of ESOs claimed by Ingersoll, J (2006) to rank TR alternatives in terms of agent's incentive.
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Pennin, Oege, Martijn J. Van den Assem, and Remco C. J. Zwinkels. "A Critical Review of the Fair Value Settlement Procedure for Stock Options." Applied Finance Letters 4, no. 1and2 (November 30, 2015): 20. http://dx.doi.org/10.24135/afl.v4i1and2.29.
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We review the European practice of fair value settlement of stock options after a successful takeover bid. We argue on both fundamental and practical grounds that the inherent complexity, arbitrariness and inaccuracy of fair value calculations call for replacement by intrinsic value settlement. This alternative is simple, transparent, well-defined, and common practice at other exchanges
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Wilder, W. Mark, and Morris H. Stocks. "Does the FASB decision on stock options encourage inefficient compensation practices?" Journal of Corporate Accounting & Finance 7, no. 4 (1996): 123–27. http://dx.doi.org/10.1002/jcaf.3970070411.
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Howe, Harry, and Jeffrey W. Lippitt. "An Evaluation Of Fair Value Accounting For Employee Stock Options." International Business & Economics Research Journal (IBER) 11, no. 7 (July 5, 2012): 821. http://dx.doi.org/10.19030/iber.v11i7.7068.
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This paper employs static and simulation analysis to consider the measurement properties of the currently active accounting standards for reporting compensation expense related to Employee Stock Options. We find that under a wide range of plausible scenarios the reported expense significantly understates the cash cost incurred by the entity at exercise. The paper includes a discussion of implications for practice and standards setters.
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Majewska, Agnieszka. "Determining the exercise price in employee stock options - the practice of companies listed on the Warsaw Stock Exchange." Annales Universitatis Mariae Curie-Skłodowska, sectio H, Oeconomia 48, no. 4 (February 12, 2015): 131. http://dx.doi.org/10.17951/h.2014.48.4.131.
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Barenbaum, Lester, Thomas F. Monahan, and Walter Schubert. "Integrating research and practice in accounting education: The case of executive stock options." Journal of Accounting Education 13, no. 2 (March 1995): 207–22. http://dx.doi.org/10.1016/0748-5751(95)00008-a.
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