In this paper we experimentally test skewness preferences at the individual level. Several prospects that can be ordered with respect to the third-degree stochastic dominance (3SD) criterion are ranked by the participants of the experiment. We find that the skewness of a distribution has a...

This paper presents the first empirical test with German establishment level data of a hypothesis derived by Helpman, Melitz and Yeaple in a model that explains the decision of heterogeneous firms to serve foreign markets either trough exports or foreign direct investment: only the more...

Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...

This paper provides a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value. We investigate if diversification benefits can be achieved by style investing in FX markets...

In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic dominance criterion introduced by ROTHSCHILD AND STIGLITZ...

This paper proposes a multidimensional procedure for jointly assessing the absolute and relative pro-poorness of growth. It is also a procedure for testing whether poverty comparisons can be made over classes of indices that incorporate both absolute and relative views of poverty. Besides being...

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been identified with using VaR for determining regulatory capital...

This paper explores the link between exports and total factor productivity (TFP) in Brazilian manufacturing firms over the period 2000-2008. The Brazilian experience is instructive as it is a case of an economy that expanded aggregate exports significantly, but with stagnant aggregate TFP...

We examine the cardinal gap between wage distributions of the incumbents and newly hired workers based on entropic distances that are well-defined welfare theoretic measures. Decomposition of several effects is achieved by identifying several counterfactual distributions of different groups....

We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the "winner's curse" arises only in common values auctions. The tests build on recently developed...