Publications des institutions partenaires
Financial markets, innovation, and acquisitions
Institution partenaire
English / 01/01/2016
Market quality and price impact of high-frequency trading and its regulation
Institution partenaire
English / 01/01/2016
Essays on banking, governance and sustainability
Institution partenaire
English / 01/01/2016
The Impact of Cointegration on Commodity Spread Options
In this work we explore the implications of cointegration in a system of commodity prices on the premiums of options written on various spreads on the futures prices of these commodities. We employ a parsimonious, yet comprehensive model for cointegration in a system of commodity prices. The model has an exponential affine structure and is flexible enough to allow for an arbitrary...
Institution partenaire
English / 01/01/2016
Protected values and economic decision-making
This chapter starts by reflecting on the notion of "value" in economics. It then describes how economic decision-making models are framed and examines their moral dimension. The foundations of traditional economic decision-making models contrast with the emphasis of psychological research on the role of deontological considerations in decision-making. The focus is on a...
Institution partenaire
English / 01/01/2016
Lipschitz and Hölder stability of optimization problems and generalized equations
This paper studies stability aspects of solutions of parametric mathematical programs and generalized equations, respectively, with disjunctive constraints. We present sufficient conditions that, under some constraint qualifications ensuring metric subregularity of the constraint mapping, continuity results of upper Lipschitz and upper Hölder type, respectively, hold. Furthermore, we...
Institution partenaire
English / 01/01/2016
Human resource management and radical innovation: a fuzzy-set QCA of US multinationals in Germany, Switzerland, and the UK
This paper explores, based on the varieties-of-capitalism approach, configurations of key human resource management practices that explain radical innovation in subsidiaries. A fuzzy-set qualitative comparative analysis is conducted with data for 69 subsidiaries of US-based MNEs in Germany, Switzerland, and the UK. Contrary to the implications of the varieties-of-capitalism...
Institution partenaire
English / 01/01/2016
Effectiveness of Social Media Communication - An Empirical Analysis of Key Performance Drivers
Despite the fact that most companies have embraced social media as part of the mar-keting mix, there still remains a significant lack of knowledge as to what drives com-munication effectiveness in this new kind of peer-to-peer environment where tradi-tional, well-settled marketing communication paradigms like domination and control do show their limits. Accordingly, corporate...
Institution partenaire
English / 01/01/2016
Stochastic Integrated Assessment of Ecosystem Tipping Risk
One of the major potential consequences of climate change is damage to earth’s ecosystems, damage which could manifest itself in the form of tipping risks. We establish an economic growth model of ecosystem tipping risks, set in the context of possible forest dieback. We consider different specifications of impacts arising from the forest dieback tipping point, specifications such as...
Institution partenaire
English / 01/01/2016
Business statesman or shareholder advocate? CEO responsible leadership styles and the micro-foundations of Political CSR
In this article we pursue two objectives. First, we refine the concept of responsible leadership from an upper echelon perspective by exploring two distinct styles (instrumental and integrative) and thereby further developing the understanding of the newly emerging integrative style. Second, we propose a framework that examines the micro-foundations of political corporate social...
Institution partenaire
English / 01/01/2016
Corporate social responsibility and human resource management: A systematic review and conceptual analysis
Institution partenaire
English / 01/01/2016
Decomposing the effects of online customer reviews on brand, price, and product attributes
Online customer reviews (OCRs) have become a major source of information for customers in the Internet. Understanding the impact of OCRs on customers' decisions is an important challenge for academics and practitioners. We apply a choice-based conjoint experiment that combines all relevant levels of the OCR dimensions (valence, volume, and variance) and that estimates the effect...
Institution partenaire
English / 01/01/2016
The interplay of human resource management and job boredom: a behavioural perspective
Institution partenaire
English / 01/01/2016
Computing equilibria in dynamic stochastic macromodels with heterogeneous agents
Institution partenaire
English / 29/12/2015
Simple ε-equilibria in stochastic economies with overlapping generations
Institution partenaire
English / 29/12/2015
Do casinos pay their customers to become risk-averse? Revising the house money effect in a natural experiment
In order to promote risky behavior, it is a common practice that casinos incentivize their customers through the provision of free financial means, i.e., free play. Thereby, casino operators try to exploit what is known as the house money effect. However, evidence from the field is scarce and prior research provides explanations that predict different behavioral outcomes. This...
Institution partenaire
English / 07/12/2015
A Generalized Bachelier Formula for Pricing Basket and Spread Options
In this paper we propose a closed-form pricing formula for European basket and spread options. Our approach is based on approximating the risk-neutral probability density function of the terminal value of the basket using a Gauss-Hermite series expansion around the Gaussian density. The new method is quite general as it can be applied for a basket with a large number of assets and...
Institution partenaire
English / 04/12/2015
A review of empirical resarch on the design and impact of regulation in the banking sector
We review existing empirical research on the design and impact of regulation in the banking sector. The impact of each individual piece of regulation may inexorably depend on the set of regulations already in place, the characteristics of the banks involved (from their size or ownership structure to operational idiosyncrasies in terms of capitalization levels or risk taking behavior...
Institution partenaire
English / 01/12/2015
The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and designation events. We observe that the new regulation negatively affects the value of the newly...
Institution partenaire
English / 01/12/2015
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