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Size Matters: The Impact of Capital Market Liberalization on Individual Firms

Christoffersen, Peter; Chung, Hyunchul; Errunza, Vihang - Centre Interuniversitaire de Recherche en Analyse des … - 2003

, volatility, and return correlation from stock market liberalization in emerging markets? These questions have been studied … declines in volatility, and insignificant change in correlation from liberalization. Small firms show small revaluation effects …, improved performance, smaller decline in volatility and decreases in correlation after liberalization. These results hold after …

Persistent link: https://www.econbiz.de/10005100936

Competitive Private Supply of Public Goods / Provision privée des biens publics en compétition

Dragicevic, Arnaud; Meunier, Guy - Centre Interuniversitaire de Recherche en Analyse des … - 2010

This paper compares guilt alleviation and competition for social status in the private provision of a public good. When agents are intrinsically impulsed, that is, they mostly provide the public good in order to alleviate their guilt, they tend to free-ride. In contrast, when agents are...

Persistent link: https://www.econbiz.de/10008543322

Using Innovation Surveys for Econometric Analysis

Mairesse, Jacques; Mohnen, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 2010

After presenting the history, the evolution and the content of innovation surveys, we discuss the characteristics of the data they contain and the challenge they pose to the analyst and the econometrician. We document the two uses that have been made of these data: the construction of...

Persistent link: https://www.econbiz.de/10008552854

Redesigning Teams and Incentives in a Merger: An Experiment with Managers and Students

Montmarquette, Claude; Rullière, Jean-Louis; Villeval, … - Centre Interuniversitaire de Recherche en Analyse des … - 2003

After a merger, company officials face the challenge of making compensation schemes uniform and of redesigning teams with managers from companies with different incentives, work habits and recruiting methods. In this paper, we investigate the relationship between executive pay and performance...

Persistent link: https://www.econbiz.de/10005100880

Redesigning Teams and Incentives: A Real Effort Experiment with Managers of a Merged Company

Montmarquette, Claude; Rullière, Jean-Louis; Villeval, … - Centre Interuniversitaire de Recherche en Analyse des … - 2002

After a merger, company officials face the challenge of making compensation schemes uniform and of redesigning teams with managers originating from companies with different incentives and working habits. In this paper, we offer a new way to investigate the relationship between executive pay and...

Persistent link: https://www.econbiz.de/10005101013

Individual Survival Curves Comparing Subjective and Observed Mortality Risk

Bissonnette, Luc; Hurd, Michael; Michaud, Pierre-Carl - Centre Interuniversitaire de Recherche en Analyse des … - 2015

In this paper, we compare individual survival curves constructed from objective (actual mortality) and elicited subjective information (probability of survival to a given target age). We develop a methodology to estimate jointly subjective and objective individualsurvival curves accounting for...

Persistent link: https://www.econbiz.de/10011185607

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012

set 248 multivariate models that differ in their specification of the conditional variance, conditional correlation, and … innovation distribution. All models belong to the dynamic conditional correlation class which is particularly suited because it … correlation models, and relaxing a Gaussian innovation for a Laplace innovation assumption improves the pricing in a smaller way …

Persistent link: https://www.econbiz.de/10009652126

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005100536

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions

Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000

Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We …

Persistent link: https://www.econbiz.de/10005100560

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...

Persistent link: https://www.econbiz.de/10005100561