Recent Submissions

  • Testing the predictive ability of corridor implied volatility under GARCH models

    Lu, Shan (2019)
    This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid options in the tails of the risk-neutral distribution. By adding CIV measures to the modified GARCH specifications, the out-of-sample predictive ability of CIV is measured by the forecast accuracy of conditional volatility. It finds that the narrowest CIV measure, covering about 10% of the RND, dominate the 1-day ahead conditional volatility forecasts regardless of the choice of GARCH models in high volatile period; as market moves to non volatile periods, the optimal width broadens. For multi-day ahead forecasts narrow and mid-range CIV measures are favoured in the full sample and high volatile period for all forecast horizons, depending on which loss functions are used; whereas in non turbulent markets, certain mid-range CIV measures are favoured, for rare instances, wide CIV measures dominate the performance. Regarding the comparisons between best performed CIV measures and two benchmark measures (market volatility index and at-the-money Black–Scholes implied volatility), it shows that under the EGARCH framework, none of the benchmark measures are found to outperform best performed CIV measures, whereas under the GARCH and NAGARCH models, best performed CIV measures are outperformed by benchmark measures for certain instances.
  • Forecasting the term structure of volatility of crude oil price changes

    Balaban, E.; Lu, Shan (2016-04)
    This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.
  • The effects of stakeholder integration on firm-level product innovativeness: insights from small and medium-sized enterprises in Ghana

    Adomako, Samuel; Amankwah-Amoah, J.; Danso, A. (2019)
    In spite of growing research on the influence of external stakeholders on firm outcomes, there is a paucity of research on how they influence innovation in emerging economies. In addition, the specific environmental factors that may influence the effect of stakeholder integration (SI) on firm innovation is less understood. Using data collected from 248 small and medium-sized enterprises (SMEs) in Ghana, this paper develops and tests a model that examines the relationship between SI and firm-level product innovativeness. The findings from the study indicate SI positively relates to product innovativeness. Moreover, under conditions of higher competitor pressure and greater customer expectations, the effect of SI on product innovativeness is amplified. Contributions for theory and practice are discussed.
  • Would two-stage scoring models alleviate bank exposure to bad debt?

    Abdou, H.A.; Mitra, S.; Fry, J.; Elamer, Ahmed A. (2019-08-15)
    The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic regression, multi-layer feed-forward neural network and probabilistic neural network are used in building credit scoring models for the Indian banking sector. Notably actual misclassification costs are analysed in preference to estimated misclassification costs. Our first-stage scoring models show that sophisticated credit scoring models, in particular probabilistic neural networks, can help to strengthen the decision-making processes by reducing default rates by over 14%. The second-stage of our analysis focuses upon the default cases and substantiates the significance of the timing of default. Moreover, our results reveal that State of residence, equated monthly instalment, net annual income, marital status and loan amount, are the most important predictive variables. The practical implications of this study are that our scoring models could help banks avoid high default rates, rising bad debts, shrinking cash flows and punitive cost-cutting measures.
  • Environmental sustainability orientation and performance of family and nonfamily firms

    Adomako, Samuel; Amankwah-Amoah, J.; Danso, A.; Konadu, R.; Owusu-Agyei, S. (2019)
    Despite the growing research evidence on the effect of environmental sustainability orientation (ESO) on firm outcomes, contingent factors that may influence the strength of this relationship have received little scholarly attention. In this study, we use insights from the literature on ESO and family business to introduce family status and firm age as moderators in the ESO-performance linkage. Using time-lagged data from 253 small and medium-sized enterprises (SMEs) in Ghana, we found the impact of ESO on firm performance is amplified for nonfamily firms but not significant for family firms. Our evidence suggests it is stronger among older firms than younger ones. Implications and directions for future research are discussed.
  • Rework and its unintended consequence in projects: the emergence of uncomfortable knowledge

    Love, P.E.D.; Smith, J.; Ackermann, F.; Irani, Zahir
    To make sense of the rework phenomena that plagues construction projects a longitudinal exploration and mixed-method approach was undertaken to understand its causal setting and why it remained an on-going issue for organizations contracted to deliver an asset. The research reveals that rework was an zemblanity (i.e., being an unpleasant un-surprise) that resulted in: (1) project managers ignoring established organisation-wide procedures and, at their discretion, amend them to suit their own goals while denouncing the importance of recording and learning from non-conformances; (2) a deficiency of organisational controls and routines to contain and reduce rework; and (3) an absence of an organisation-project dyad that supported and promoted an environment of psychological safety. A new theoretical conceptualization of error causation that is intricately linked to rework and safety incidents is presented. The research provides managers with ‘uncomfortable knowledge’, which is needed to provide insights into the determinants of rework that form part of their everyday practice.
  • The effect of ad smiles on consumer attitudes and intentions: influence of model gender and consumer gender

    Trivedi, Rohitkumar; Teichert, T. (2019-06)
    Firms widely use smiling models to create a positive background setting for advertisements. This study assesses the various effects of smiling in print advertisements across different stages of consumer decision-making, while also considering interaction effects between the genders of models and viewers. Empirical evidence comes from 175,647 consumer evaluations of 421 real advertisements across a broad spectrum of product categories (22). Beyond gender, a smiling model not only effects a positive attitude change but also influences a product's integration into a relevant set and a consumer's purchase intention. For female consumers, a smiling model of the same gender exerts a greater influence on positive brand attitude change and on purchase intention. Advertisers should avoid using non-smiling male models when targeting female consumers. In contrast, smiling models of both genders can positively influence male consumer reaction, while use of a female model should be avoided during the early stages.
  • Rescaling-contraction with a lower cost technology when revenue declines

    Adkins, Roger; Paxson, D. (2019)
    A mature oil field rescaled contraction describes a switch to a technological alternative more appropriate for the depleted state of an underlying resource. Off-shore oil rigs are an illustration, since the original technological scale designed for very large output flows becomes inappropriate as the operational efficiency declines later in life and facing a dwindling output flow, so a more appropriate extraction technology becomes economic. A real option representation is formulated on a stochastic oil price and deteriorating output volume. We consider investment/divestment decisions both separately, and jointly, which have different implications for government policies and also option values. The resulting model yields analytical (or semi-analytical) results indicating that immediate switching to the lower cost technology could sometimes be hastened as the price volatility increases, depending on the current revenue, if divestment and switching are considered jointly. However, greater volatility could also promote hysteresis.
  • The Influence of Institutional and Conductive Aspects on Entrepreneurial Innovation: Evidence from GEM Data

    Arabiyat, T; Mdanat, M; Haffar, Mohamed; Ghoneim, A; Arabiyat, O (2019)
    Purpose – The main purpose of this study is to improve the understanding of how different aspects of the national institutional environment may influence the level of innovative entrepreneurial activity across countries. Several institutional and conductive factors affecting a country’s capacity to support innovative entrepreneurship is explored. Design/methodology/approach – Institutional theory is used to examine the national regulatory, normative, cognitive, and conducive aspects that measure a country's ability to support innovative entrepreneurship. A cross-national institutional profile is constructed to validate an entrepreneurial innovation model. The impact of country-level national institutions on innovative entrepreneurial activity as measured by Global Entrepreneurship Monitor (GEM) data is assessed through structural equation modeling (SEM). Findings – Knowledge about the influence of specific institutional aspects on innovative entrepreneurship, and hence of institutional structures within and across countries, is enhanced. For new innovative enterprises, conductive and regulatory aspects seem to matter most. All conductive factors have a significant and positive impact on entrepreneurial activity rates. Research limitations/implications – Results could support policy makers and practitioners in evaluating government policies’ effect on innovative entrepreneurship. Interventions should target both individual attributes and context. Future research could include longitudinal designs to measure the direction of causality. Practical implications – Aspects such as regulatory institutions, and conductive factors such as ICT use and technology adoption, are important for innovation entrepreneurship development.
  • Perceived helpfulness of eWOM: emotions, fairness and rationality

    Ismagilova, Elvira; Dwivedi, Y.K.; Slade, E. (2019)
    Consumers use online reviews to help make informed purchase decisions. This paper extends existing research by examining how content of online reviews influences perceptions of helpfulness by demonstrating how different emotions can influence helpfulness of both product and service online reviews beyond a valence-based approach using cognitive appraisal theory and attribution theory. This research contributes to existing knowledge regarding the theory of information processing, attribution theory, and cognitive appraisal theory of emotions. Using findings from this study, practitioners can make review websites more user-friendly which will help readers avoid information overload and make more informed purchase decisions.
  • Stakeholder integration, environmental sustainability orientation, and financial performance

    Danso, A.; Adomako, Samuel; Lartey, T.; Amankwah-Amoah, J.; Owusu-Yirenkyi, D. (2019)
    Despite the growing research on the influence of stakeholder integration on organizational outcomes, our understanding of the specific firm-level conditions that may mediate the relationship between stakeholder integration and financial performance is lacking. Using primary data gathered from 233 small and medium-sized enterprises in Ghana, we found empirical support for our contention that the link between stakeholder integration and financial performance is mediated by a firm’s environmental sustainability orientation. In addition, our study demonstrated that competitive intensity moderates the indirect relationship between stakeholder integration and financial performance in such a way that the indirect effect through environmental sustainability orientation is stronger for higher levels of industry competition. We discuss theoretical and managerial implications of these findings.
  • The effect of characteristics of source credibility on consumer behaviour: a meta-analysis

    Ismagilova, Elvira; Slade, E.; Rana, N.P.; Dwivedi, Y.K. (2019)
    The aim of this research is to synthesise findings from existing studies on the characteristics of source credibility of electronic word of mouth (eWOM) communications in a single model by using meta-analysis. Findings from 20 research papers show that source expertise, trustworthiness, and homophily significantly influence perceived eWOM usefulness and credibility, intention to purchase, and information adoption. The results of this study add to existing knowledge of the influence of source characteristics on consumer behaviour, which will advance our understanding of information processing. Marketers can use the findings of this meta-analysis to enhance their marketing activities.
  • L’impact du Brexit sur la relation franco-allemande

    Trouille, Jean-Marc (2019)
    Le Brexit représente le changement le plus important dans les relations que le Royaume-Uni a entretenu avec l’Europe et le monde depuis la fin de la Seconde Guerre mondiale. La décision britannique de mettre fin à plus de quatre décennies de participation au projet européen, la détermination du gouvernement de Theresa May à extraire son pays de l’Union Européenne (UE), mais aussi de l’Union douanière, du Marché intérieur, de la juridiction de la Cour Européenne de Justice, de l’ensemble des règlementations européennes, et même de la Convention Européenne des Droits de l’Homme, ont des implications multiples et lourdes de conséquences dans de vastes domaines. Le Royaume-Uni est certes le premier pays affecté, et ce sur tous les plans. Toutefois, la France et l’Allemagne, ainsi que le projet européen, sont aussi directement concernés par ce divorce qui laisse présager d’importantes répercussions économiques et politiques, mais aussi un déclin progressif de leur voisin d’outre-Manche, avec les conséquences qui pourront en découler.
  • Trust in work teams: an integrative review, multilevel model, and future directions

    Costa, Ana-Cristina; Fulmer, C.A.; Anderson, Neil (2018-02)
    This article presents an integrative review of the rapidly growing body of research on trust in work teams. We start by analyzing prominent definitions of trust and their theoretical foundations, followed by different conceptualizations of trust in teams emphasizing its multilevel, dynamic, and emergent nature. We then review the empirical research and its underlying theoretical perspectives concerning the emergence and development of trust in teams. Based on this review, we propose an integrated conceptual framework that organizes the field and can advance knowledge of the multilevel nature of trust in teams. Our conclusion is that trust in teams resides at multiple levels of analysis simultaneously, is subject to factors across levels in organizations, and impacts performance and other relevant outcomes both at the individual and team levels. We argue that research should not only differentiate between interpersonal trust between members from collective trust at the team level, but also emphasize the interplay within and between these levels by considering cross-level influences and dynamics. We conclude by proposing four major directions for future research and three critical methodological recommendations for study designs derived from our review and framework.
  • Applicant perspectives during selection: a review addressing "so what?," " what's new?." and "where to next?"

    McCarthy, J.M.; Bauer, T.N.; Truxillo, D.M.; Anderson, Neil; Costa, Ana-Cristina; Ahmed, S.M. (2017-07-01)
    We provide a comprehensive but critical review of research on applicant reactions to selection procedures published since 2000 (n = 145), when the last major review article on applicant reactions appeared in the Journal of Management. We start by addressing the main criticisms levied against the field to determine whether applicant reactions matter to individuals and employers (“So what?”). This is followed by a consideration of “What’s new?” by conducting a comprehensive and detailed review of applicant reaction research centered upon four areas of growth: expansion of the theoretical lens, incorporation of new technology in the selection arena, internationalization of applicant reactions research, and emerging boundary conditions. Our final section focuses on “Where to next?” and offers an updated and integrated conceptual model of applicant reactions, four key challenges, and eight specific future research questions. Our conclusion is that the field demonstrates stronger research designs, with studies incorporating greater control, broader constructs, and multiple time points. There is also solid evidence that applicant reactions have significant and meaningful effects on attitudes, intentions, and behaviors. At the same time, we identify some remaining gaps in the literature and a number of critical questions that remain to be explored, particularly in light of technological and societal changes.
  • Validity of interpretation: a user validity perspective beyond the test score

    MacIver, R.; Anderson, Neil; Costa, Ana-Cristina; Evers, A. (2014-06)
    This paper introduces the concept of user validity and provides a new perspective on the validity of interpretations from tests. Test interpretation is based on outputs such as test scores, profiles, reports, spread-sheets of multiple candidates’ scores, etc. The user validity perspective focuses on the interpretations a test user makes given the purpose of the test and the information provided in the test output. This innovative perspective focuses on how user validity can be extended to content, criterion and to some extent construct-related validity. It provides a basis for researching the validity of interpretations and an improved understanding of the appropriateness of different approaches to score interpretation, as well as how to design test outputs and assessments which are pragmatic and optimal.
  • The validity of ipsative and quasi-ipsative forced-choice personality inventories for different occupational groups: a comprehensive meta-analysis

    Salgado, J.F.; Anderson, Neil; Tauriz, G. (2015-12)
    A comprehensive meta‐analysis of two types of forced‐choice (FC) personality inventories (ipsative and quasi‐ipsative) across nine occupational groups (Clerical, Customer Service, Health Care, Managerial, Military, Police, Sales, Skilled Manual, and Supervisory) is reported. Quasi‐ipsative measures showed substantially higher operational validity coefficients and validity generalization across all occupations than ipsative measures. Results also showed that, compared with the findings of previous meta‐analyses, quasi‐ipsative personality inventories are better predictors of job performance than previously thought and that operational validities for ipsative measures are notably congruent with past findings. We conclude that quasi‐ipsative scale formats are superior for predicting job performance for all occupational groups. Theoretical and practical implications of these findings for personnel selection are discussed in 4.4.

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