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Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Persistent link: https://www.econbiz.de/10005124110

Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …

Persistent link: https://www.econbiz.de/10005504611

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Governance and Comovement Under Common Ownership

Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

Persistent link: https://www.econbiz.de/10011084086

Import Competition and Exit in Business Services Sectors

Bombarda, Pamela; McCann, Fergal; Toubal, Farid - C.E.P.R. Discussion Papers - 2010

Business services firms are increasingly under pressure from foreign competition. We develop an oligopolistic competition model that studies the effect of trade liberalization on exit and sectoral restructuring in the business services sector. We assume that firms are heterogeneous in their...

Persistent link: https://www.econbiz.de/10008692315

Are Markets More Competitive if Commodities are Closer Substitutes?

Schulz, Norbert - C.E.P.R. Discussion Papers - 1995

Equilibrium prices of the variants of a differentiated commodity are shown to increase if the variants become closer substitutes, under a set of circumstances, which is by no means pathological. Rather, the underlying argument has a bearing on market prices, whenever a potential buyer does not...

Persistent link: https://www.econbiz.de/10005123586

Why Do Market Shares Matter?: An Information-Based Theory

Caminal, Ramon; Vives, Xavier - C.E.P.R. Discussion Papers - 1992

We analyse the informational content of market shares and prices in a dynamic duopoly model in which consumers have heterogenous information on the quality differential (q) of two goods. It is shown that when firms are poorly informed about q, and therefore the ability of prices to reveal...

Persistent link: https://www.econbiz.de/10005124015

Trade Effects of Minimum Quality Standards with and without Deterred Entry

Lutz, Stefan - C.E.P.R. Discussion Papers - 1996

In a model of vertical product differentiation, duopolistic firms face quality-dependent costs and compete on quality and price in two segmented markets. Minimum quality standards, set uniformly or according to the principle of mutual recognition, can be used to increase welfare. The analysis...

Persistent link: https://www.econbiz.de/10005124268

The Effects of Globalization on Worker Training

Gersbach, Hans; Schmutzler, Armin - C.E.P.R. Discussion Papers - 2005

We examine how globalization affects firms’ incentives to provide general worker training. We consider a three-stage game. In stage 1, firms invest in productivity-enhancing training. In stage 2, they can make wage offers for each others’ workers. Finally, Cournot competition takes place....

Persistent link: https://www.econbiz.de/10005124275

The Incentives for Takeover in Oligopoly

Inderst, Roman; Wey, Christian - C.E.P.R. Discussion Papers - 2002

application is to compare takeover incentives in a differentiated Cournot and Bertrand oligopoly model with linear demand and …

Persistent link: https://www.econbiz.de/10005136493