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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

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

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

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

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

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

Identification-robust inference for endogeneity parameters in linear structural models

Tchatoka, Firmin Doko; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2014

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

Persistent link: https://www.econbiz.de/10011183777

Selection of the number of factors in presence of structural instability: a Monte Carlo study

Stevanovic, Dalibor; Takongmo, Charles Olivier Mao - Centre Interuniversitaire de Recherche en Analyse des … - 2014

In this paper we study the selection of the number of primitive shocks in exact and approximate factor models in the presence of structural instability. The empirical analysis shows that the estimated number of factors varies substantially across several selection methods and over the last 30...

Persistent link: https://www.econbiz.de/10011242140

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