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Experimental studies in behavioral finance historically have confirmed that subjects are highly influenced by reference points when making economic decisions. A recent study by Baucells, Weber and Welfens (2011) analyzed the dynamics of reference price formation using experimental methods with subjects forming reference prices for stocks based on observed price sequences. Their study helps to clarify behavioral effects of past prices on reference price formation but it does not consider contextual information. We extend the BWW study by adding market price information as background to the experiment, and we investigate how this additional information affects reference point formation and updating. Our overarching hypothesis is that if the market background information has no impact then it should not alter the results of BWW; otherwise, the additional market information should be an explanatory variable for the reference point. Our results confirm the hypothesis that market information matters. We also investigate the impact of pessimism and optimism on reference prices by the combining the BWW framework with a model of disappointment aversion and anticipatory feelings developed by Gollier and Muerman (2010). Our study fills a void in the literature by providing new evidence on the impact of contextual market information on reference point formation in an investment setting.

Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching-copula-extreme value theory model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model is applied to daily returns on crude oil prices and the stock markets in the United States and China over six major extreme downside risk events. We find that financial contagion is shorter, stronger, and more susceptible to extreme downside shocks in the United States than in China. In addition, the COVID-19 crisis shows the largest financial contagion compared with previous crises.

AIE-active positional isomers, TTE-o-PhCHO, TTE-m-PhCHO and TTE-p-PhCHO, tetrathienylethene (TTE) derivates with peripherally attached ortho-/meta-/para-formyl phenyl groups, were designed and synthesized. The formyl substitution position can effectively modulate their photophysical properties, mechanochromism and fluorescent response to hydrazine. TTE-o-PhCHO and TTE-m-PhCHO exhibit remarkable AIE characteristics, and TTE-p-PhCHO possesses aggregation-induced emission enhancement performance. They all exhibit high contrast mechanochromism, and TTE-m-PhCHO shows larger red-shift (164 nm) than TTE-o-PhCHO (104 nm) and TTE-p-PhCHO (125 nm) due to the more twisted molecular conformation and much looser molecular packing. Moreover, TTE-o-PhCHO with a higher contrast color change can be used as ink-free rewritable paper. In addition, TTE-p-PhCHO, as a turn-on fluorescent probe, can selectively detect hydrazine with significant color changes that are visible by the naked eye . Therefore, the position dependence of groups would be an effective method to modulate the molecular arrangement, as well as develop AIE compounds for mechano-stimuli responsive materials, ink-free rewritable papers and chemosensors.

This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near-the-money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage-related news variables.

In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic, financial, operational, and hazard risks under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. Using a sample of P&C insurers with S&P ERM quality ratings from 2006 to 2013, we find that the quality of a firm's ERM is a significant determinant of P&C insurer performance and that, for firms with high-quality ERM programs, product line diversification has a significant positive effect on performance.

Dynamic enterprise risk management (ERM) entails holistic decision making for critical corporate functions such as capital budgeting and risk management. The interplay across business divisions, however, is complicated due to their natural interactions through risk exposures that are shared and dependent across an intricate corporate structure. This article develops an integrated optimization framework via a copula-based decision tree interface to facilitate ERM decision making to meet the specified enterprise goal in a multiperiod setting. We illustrate our model and provide managerial insights with a case study for a financial services company engaged in both banking and insurance businesses.

This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross-sectional regression analysis finds a positive (negative) premium for downside (upside) betas, conditional on down and up markets, respectively. Coskewness and cokurtosis are also priced factors.

Modeling the dependence between uncertainties in decision and risk analyses is an important part of the problem structuring process. We focus on situations where correlated uncertainties are discrete, and extend the concept of the copula-based approach for modeling correlated continuous uncertainties to the representation of correlated discrete uncertainties. This approach reduces the required number of probability assessments significantly compared to approaches requiring direct estimates of conditional probabilities. It also allows the use of multiple dependence measures, including product moment correlation, rank order correlation and tail dependence, and parametric families of copulas such as normal copulas, t-copulas, and Archimedean copulas. This approach can be extended to model the dependence between discrete and continuous uncertainties in the same event tree.

This paper examines the information content of implied volatility for crude oil options as it relates to future realized volatility. Using data for the period 1996 to 2011 we find that implied volatility is an effective predictor of the month-ahead realized volatility. We show that implied volatility subsumes the information content of contemporaneous volatility, and it contains incremental information on future volatility after controlling for contemporaneous volatility. Furthermore, incorporating risk-neutral skewness, and especially kurtosis, improves the forecasting of realized volatility. Overall, the association between implied volatility and month-ahead realized volatility is consistent with evidence documented for other asset classes, leading us to conclude that implied volatility serves as a reasonable proxy for expected volatility. Copyright © 2015 John Wiley & Sons, Ltd.

Traditional long-persistent luminescence (LPL) materials, which are based on inorganic systems containing rare elements and with preparation temperatures of at least 1000 degrees C, exhibit afterglow times of more than 10 h and can be tuned for different applications. However, the development of this field is hindered due to the large thermal energy consumption and the need for nonrenewable resources. Thus, the development of a "green" design and preparation of LPL materials is of some importance. A doped-crystalline material based on two metal-free organic small molecules is easily prepared through ultrasonic crystallization at room temperature. It has a high-quality, single crystalline structure, and visible LPL performance with a duration of more than 6 s upon low-energy photoexcitation. A green, flexible, and convenient screen-printing technology for controllable pattern anticounterfeiting is then developed from this purely organic material, which improves the prospects for commercial utilization in the future.

[enter Abstract Body]This study examines how longevity risk, in conjunction with other postretirement risks, impacts retirement consumption decisions and retirement wealth needs. We develop a theoretical model that directly examines the relationship between longevity risk and consumption/savings, and empirically test these theoretical implications by simulating retirement outcomes for representative households, including longevity, inflation, investment, health, and long‐term care risks. Our study shows that the top third of households by longevity need approximately 20% more retirement wealth than those households who live only an average life span. Investigations of various risk mitigation strategies suggest that combination strategies, particularly those that include delayed retirement, can significantly reduce the retirement wealth target. This research provides valuable new insights on household financial planning strategies for managing longevity risk. Full Text Available Here: https://doi.org/10.1002/cfp2.1007