Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

This article introduces a new model for transaction prices in the presence of market microstructure noise in order to study the properties of the price process on two different time scales, namely, transaction time where prices are sampled with every transaction and tick time where prices are sampled with every price change. Both sampling schemes have been used in the literature on realized variance, but a formal investigation into their properties has been lacking. Our empirical and theoretical results indicate that the return dynamics in transaction time are very different from those in tick time and the choice of sampling scheme can therefore have an important impact on the properties of realized variance. For RV we find that tick time sampling is superior to transaction time sampling in terms of mean-squared-error, especially when the level of noise, number of ticks, or the arrival frequency of efficient price moves is low. Importantly, we show that while the microstructure noise may appear close to IID in transaction time, in tick time it is highly dependent. As a result, bias correction procedures that rely on the noise being independent, can fail in tick time and are better implemented in transaction time.     

On the Third Law of Demand

The Alchian and Allen theorem predicts that it will be harder to find "good" apples in the State of Washington, a prime apple-growing region, than in, say, New York City, where the addition of shipping charges makes "bad" apples comparatively more expensive. We recast the theorem as a testable proposition by explicitly taking the supply side into account and identifying plausible scenarios in which a fixed cost either has no effect on the relative prices of high and low quality grades of the same good in distant markets or, indeed, causes more of the bad apples to be shipped out.     

Mission attachment and satisfaction as factors in employee retention

Nonprofit organizations rely on the mission to attract resources and guide decision making. Increasingly, mission statements are recognized as a strong management tool that can motivate employees and keep them focused on the organization's purpose. This research investigated employee attitudes toward the mission in a youth and recreation service organization. In general, the employees expressed positive attitudes toward the organization's mission, and those attitudes were related to employee satisfaction and intentions to remain with the organization. However, dissatisfaction with pay tended to override employee's mission attachment as explanation of why they may leave the organization. The implication is that mission might be salient in attracting employees but less effective in retaining them.     

Using Probabilistic Terrorism Risk Modeling for Regulatory Benefit-Cost Analysis: Application to the Western Hemisphere Travel Initiative in the Land Environment

This article presents a framework for using probabilistic terrorism risk modeling in regulatory analysis. We demonstrate the framework with an example application involving a regulation under consideration, the Western Hemisphere Travel Initiative for the Land Environment, (WHTI‐L). First, we estimate annualized loss from terrorist attacks with the Risk Management Solutions (RMS) Probabilistic Terrorism Model. We then estimate the critical risk reduction, which is the risk‐reducing effectiveness of WHTI‐L needed for its benefit, in terms of reduced terrorism loss in the United States, to exceed its cost. Our analysis indicates that the critical risk reduction depends strongly not only on uncertainties in the terrorism risk level, but also on uncertainty in the cost of regulation and how casualties are monetized. For a terrorism risk level based on the RMS standard risk estimate, the baseline regulatory cost estimate for WHTI‐L, and a range of casualty cost estimates based on the willingness‐to‐pay approach, our estimate for the expected annualized loss from terrorism ranges from $2.7 billion to $5.2 billion. For this range in annualized loss, the critical risk reduction for WHTI‐L ranges from 7% to 13%. Basing results on a lower risk level that results in halving the annualized terrorism loss would double the critical risk reduction (14–26%), and basing the results on a higher risk level that results in a doubling of the annualized terrorism loss would cut the critical risk reduction in half (3.5–6.6%). Ideally, decisions about terrorism security regulations and policies would be informed by true benefit‐cost analyses in which the estimated benefits are compared to costs. Such analyses for terrorism security efforts face substantial impediments stemming from the great uncertainty in the terrorist threat and the very low recurrence interval for large attacks. Several approaches can be used to estimate how a terrorism security program or regulation reduces the distribution of risks it is intended to manage. But, continued research to develop additional tools and data is necessary to support application of these approaches. These include refinement of models and simulations, engagement of subject matter experts, implementation of program evaluation, and estimating the costs of casualties from terrorism events.     

Risk,trust and knowledge networks in farmers’ learning

This study reports on New Zealand dairy farmers’ access to and use of information as mediated through conditions of risk and trust within the context of their interpersonal social networks. We located participants’ reports of their information use within their perceived environments of trust and risk, following Giddens's [1990. The consequences of modernity. Polity Press, Stanford, CA] typology of trust and risk in pre-modernity and modernity. The research participants were constant users of interpersonal and print information from numerous sources, and monitored their incoming data in the light of strategic needs, reflecting their roles as both farming practitioners and business owners. Socio-spatial knowledge networks (SSKNs) combine individuals’ explanatory cognitive models of information acquisition and use with a micro-geographical analysis of their interpersonal networks. The participants showed characteristics of pre-modern, modern and even post-modern society in respect of their use of complex interactional forms, as well as a blending of individualistic and communitarian practices and concerns in their professional and personal lives.     

Beyond recruitment: Predictors of differential participation in a national antihunger organization

Surprisingly little research has sought to explain differential participation after recruitment into social movement organizations (SMOs). This study examines the influence of several sets of predictors on participation by members of a national organization in the antihunger movement. The findings highlight the importance of incentive, ideological, and microstructural factors for differential participation and suggest that favorable perceptions of SMOs also promote participation. Final remarks address the implications of the findings for the social movement and voluntary organization literatures.