Publications des institutions partenaires
Recursive equilibria in dynamic economies with stochastic production
Institution partenaire
English / 29/12/2014
Aktionäre und Stimmrechtsberater im Jahr 1 nach der Abzocker-Initiative
Institution partenaire
Deutsch / 01/12/2014
The Dispersion Effect in International Stock Returns
We find that stocks exhibiting high dispersion in analysts' earnings forecasts do not only underperform in the U.S. but also in some European countries. However, testing for the dispersion effect in many countries calls for adequate multiple testing controls. Under this paradigm it turns out that none of the naively derived dispersion effects proves to be a sustainable…
Institution partenaire
English / 01/12/2014
Unleashing the powerful few: sustainable investing behaviour of wealthy private investors
Despite their apparent interest, private investors are surprisingly disengaged from sustainable investing, an observation that has received limited scholarly attention. This theory building study draws on the theory of planned behaviour to conceptualize the decision-making process of private investors towards sustainable investing. Findings from literature provide some insights but…
Institution partenaire
English / 01/12/2014
On the strategic value of risk management
This article examines how firms facing volatile input prices and holding some degree of market power in their product market link their risk management and their production or pricing strategies. This issue is relevant in many industries ranging from manufacturing to energy retailing, where firms rendered "risk averse" by financial frictions decide on and commit to their…
Institution partenaire
English / 01/11/2014
Asset Demand Based Tests of Expected Utility Maximization
In the neoclassical model of consumer behavior, considerable work has been done investigating when a consumer's demand behavior can be described as having been derived from utility maximization. However, most discussions are in a certainty world. We expand on prior analyses in an uncertainty setting by providing conditions under which contingent claim and asset demands will be…
Institution partenaire
English / 01/11/2014
Credit default swaps networks and systemic risk
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be…
Institution partenaire
English / 01/11/2014
Funding decisions and entrepreneurial team diversity: A field study
This study provides experimental evidence, using a large sample of 2894 individuals recruited via business media websites, about the impact of demographic attributes within entrepreneurial teams on funding decisions by external capital providers. In previous work the role of diversity with regard to personal characteristics within entrepreneurial teams, such as education, gender and…
Institution partenaire
English / 01/11/2014
Are Bankers Worth Their Pay? Evidence from a Talent Measure
We empirically test the hypothesis that relatively high returns to talent explain the wage premium for working in finance. We exploit a specificity of the French educational system to build a precise measure of talent that we match with compensation data obtained from an educational elite. Using this measure, we show wage returns to talent to be three times higher in the finance…
Institution partenaire
English / 17/09/2014
Unbanked Households: Evidence of Supply-Side Factors
This paper provides evidence that supply-side factors significantly drive the high share of unbanked households. Using interstate branching deregulation in the U.S. after 1994 as an exogenous shock, we show that an increase in bank competition is associated with a large drop in the share of unbanked households. The effect is even stronger for populations that are more likely to be…
Institution partenaire
English / 15/09/2014
Law-invariant risk measures: extension properties and qualitative robustness
We characterize when a convex risk measure associated to a law-invariant acceptance set in L$^∞$ can be extended to L$^p$, 1≤p<∞, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation…
Institution partenaire
English / 06/09/2014
Beware of black swans: Taking stock of the description-experience gap in decision under uncertainty
Uncertainty pervades most aspects of life. From selecting a new technology to choosing a career, decision makers rarely know in advance the exact outcomes of their decisions. Whereas the consequences of decisions in standard decision theory are explicitly described (the decision from description (DFD) paradigm), the consequences of decisions in the recent decision from experience (…
Institution partenaire
English / 01/09/2014
Fast methods for large-scale non-elliptical portfolio optimization
Simple, fast methods for modeling the portfolio distribution corresponding to a non-elliptical, leptokurtic, asymmetric, and conditionally heteroskedastic set of asset returns are entertained. Portfolio optimization via simulation is demonstrated, and its benefits are discussed. An augmented mixture of normals model is shown to be superior to both standard (no short selling)…
Institution partenaire
English / 01/09/2014
The executive turnover risk premium
CEO compensation has increased substantially over the past 15 years, but so has forced turnover. Motivated by this observation, we investigate whether part of the development of CEO pay can be explained by a premium which compensates CEOs for increased job risk. We find that for the CEOs of the largest US corporations, a one percentage point increase in turnover risk is, on average,…
Institution partenaire
English / 01/08/2014
Experimental comparison between markets on dynamic permit trading and investment in irreversible abatement with and without non-regulated companies
Institution partenaire
English / 01/08/2014
When is a Risky Asset "Urgently Needed"?
The demand for commodities in standard applications typically is increasing in in- come, whereas the demand for the risk free asset in the classic portfolio problem often decreases with income. The latter is shown to occur if and only if the consumer is uncertainty preferences over assets satisfy the condition that the risk free asset is more readily substituted for the risky asset…
Institution partenaire
English / 01/07/2014
Informal ties in organizations : a case study
Network techniques are applied to a case study. The results show that using a joint approach can help in giving further insight into the analysis of informal ties in an organization. Special emphasis is given to centrality. The concept of mutual awareness, both on an individual and a global levels, is introduced and illustrated.
Institution partenaire
English / 01/07/2014
Le sponsoring universitaire au centre des tensions
Institution partenaire
Français / 25/06/2014
A fast, accurate method for value-at-risk and expected shortfall
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use of several shortcuts for speed, it performs admirably in terms of accuracy and actually…
Institution partenaire
English / 25/06/2014
Expected utility preferences for contingent claims and lotteries
In Arrow’s seminal analysis of optimal risk bearing in which he introduced contingent claim securities, he assumed preferences were representable by a state independent Expected Utility function. Although the classic contingent claim setting assumes agents choose over contingent consumption vectors conditioned on a fixed set of probabilities, later work on information economics…
Institution partenaire
English / 22/06/2014
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