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Social interaction at work

Stock market investment decisions of individuals are positively correlated with that of co-workers. Sorting of unobservably similar individuals to the same workplaces is unlikely to explain our results, as evidenced by the investment behavior of individuals that move between plants. Purchases made under stronger co-worker purchase activity are not associated with higher returns.…

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English / 01/09/2015

A Theory of the Stakeholder Corporation

There is a widely held view within the general public that large corporations should act in the interests of a broader group of agents than just their shareholders (the stake- holder view). This paper presents a framework where this idea can be justified. The point of departure is the observation that a large firm typically faces endogenous risks that may have a significant…

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English / 01/09/2015

Wie Medien und Informationsflut die Finanzmärkte beeinflussen

Die These, Finanzmärkte seien an sich effizient, gilt nur noch eingeschränkt. Grund ist auch die wachsende Datenmenge - und der Einfluss der Medien.

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Deutsch / 21/08/2015

What is beneath the surface? Option pricing with multifrequency latent states

We introduce a tractable class of non-ane price processes with multifrequency stochastic volatil- ity and jumps. The specications require few xed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and their dynamics with- out…

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English / 01/08/2015

COMFORT: A common market factor non-Gaussian returns model

A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry), and also dynamics in the dependency between assets over time. A fast EM-algorithm is…

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English / 01/08/2015

Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment

We study the risk-taking channel of monetary policy in Bolivia, a dollarized country where monetary changes are transmitted exogenously from the USA. We find that a lower policy rate spurs the granting of riskier loans, to borrowers with worse credit histories, lower ex-ante internal ratings, and weaker ex-post performance (acutely so when the rate subsequently increases). Effects…

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English / 01/08/2015

Qualifying “fit”: the performance dynamics of firms’ change tracks through organizational configurations

Organizational configurations, sets of firms with similarities in a number of essential characteristics, provide important insights into the synergies inherent to certain combinations of structural attributes and the performance effects of firms’ retention of, adaptation to, or decoupling from high-performing configurations. The fundamental assumption is that the better a firm’s “fit…

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English / 15/07/2015

Willingness to be financially informed and the benefits of nudging investors to do so

Bhattacharya et al. (2012) shows that many investors are reluctant to accept and follow financial advice. This study analyzes three possibilities which could cause this misbehavior: non-monetary costs, willingness to become informed and comprehensibility of financial information. As so many investors do not accept financial advice, the study further analyzes if it is beneficial to…

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English / 10/07/2015

Monetary conditions and banks' behaviour in the Czech Republic

This paper examines the impact of monetary conditions on the risk-taking behaviour of banks in the Czech Republic by analysing the comprehensive credit register of the Czech National Bank. Our duration analysis indicates that expansionary monetary conditions promote risk-taking among banks. At the same time, a lower interest rate during the life of a loan reduces its riskiness. While…

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English / 01/07/2015

Risk preferences are not time preferences: balancing on a budget line: comment

In a recent experimental study of intertemporal risky decision making, Andreoni and Sprenger (2012) find that subjects exhibit a preference for intertemporal diversification, which is inconsistent with discounted expected utility theory. It was claimed that their results are also at odds with models involving probability weighting, such as rank-dependent utility and cumulative…

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English / 01/07/2015

Diversification, protection of liability holders and regulatory arbitrage

Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives wederive two normative requirements for capital adequacy tests, called surplus and numeraire invariance, respectively. We characterize capital adequacy tests that…

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English / 29/06/2015

Agency problems, recapitalization costs and optimal resolution of financial distress

We introduce in a dynamic–contracting framework with moral hazard the possibility of recapitalization as an alternative to liquidation when a firm is in financial distress. This is achieved by considering a loss–averse agent and by allowing (but not requiring) the latter to inject additional capital into the firm when necessary. We show that firm recapitalization may arise in an…

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English / 01/06/2015

Die Banken in der Moralfalle

"Wer Moral hat, geht zur Bank." Wirtschaftsnobelpreisträger Robert Shiller meint dies ernst: Jede menschliche Tätigkeit von Bedeutung muss finanziert werden, und man kann wenig Gutes für die Welt im Alleingang erreichen.

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Deutsch / 01/06/2015

Framing effects and risk perception: testing graphical representations of risk for the KIID

In this paper we analyze which graphical representation of risk is most effective in supporting investors to assess the risk and return characteristics of a fund. Moreover, we test on which criteria the investors base their risk taking behavior. To this end we compare return bar charts and price line charts, combined with some additional information such as a risk scale or a gain and…

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English / 15/05/2015

Dynamics of innovation and risks

We study the dynamics of an innovative industry when agents learn about its strength, i.e., the likelihood that it gets hit by negative shocks. Managers can exert risk-prevention effort to mitigate the consequences of such shocks. As time goes by, if no shock occurs, confidence improves. This attracts managers to the innovative sector. But, when confidence becomes high, less managers…

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English / 05/05/2015

Fankurven als Schiedsrichter

Die Schweiz geht zu einer neuen Wirtschaftsform über. Weiss (freie Marktwirtschaft) oder Schwarz (reine Staatswirtschaft) war zwar nie, dem Bundesrat schwebt aber eine besondere Schattierung von Dunkelgrau vor. Er sieht die Unternehmen neu als verlängerten Arm des Staates. «Der Bund erwartet von den Wirtschaftsakteuren, dass sie ihre gesellschaftliche Verantwortung wahrnehmen»,…

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Deutsch / 20/04/2015

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