This paper analyses the pricing behaviour of Luxembourg firms based on survey evidence. Luxembourg firms typically have low market share, many competitors and longstanding customer relationships. Price discrimination is frequently applied. A majority of firms use price review rules that include...

In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...

This paper investigates the properties of the decomposition of a time series presented in a companion paper (Lacroix, (2008)). The procedure relies upon an extension of Beveridge-Nelson methodology. We focus on its empirical implementation and show the need for additional steps in order to...

Short-term analysis is generally performed with seasonally adjusted data from which further estimation of the business cycle is performed through well-known filters (HP, Baxter-King). However, the whole procedure is not fully consistent, because seasonal adjustment and trend-cycle estimation do...

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...

In the last decades, Corporate Social Responsibility (CSR) has been deeply studied. Many researchers focused on the best social report form underlining advantages, and they shown that these documents follow more and more often balance-sheets. This work analyses the relation between the writing...

This paper investigates the effects of home country banking regulations on the performance of foreign banks in Luxembourg?s financial center. We control for the main regulatory indicators, such as capital requirements, private monitoring, official disciplinary power and restrictions on bank...

Presumably, foreign banks open subsidiaries and branches in Luxembourg to perform different tasks. This paper studies the balance sheet structure of banks in Luxembourg, testing for differences across groups and across periods. Non-parametric methods yield several findings. First, specialisation...