Exploring the Curvature of the Relationship Between HRM–CSR and Corporate Financial Performance

Journal of Business Ethics - This article contributes to the general literature on the relationship between corporate social performance and corporate financial performance, as well as to the...     

Diversified minimum-variance portfolios

We build on a one parameter family of weighting schemes arising from \(L^2\)-constrained portfolio optimization problems. The parameter allows to fine tune the trade-off between the volatility and the diversification of the portfolio. We propose two criteria in order to determine two unique portfolios: the first criterion requires that no weights be negative while the second one imposes a target diversification which is median between full concentration and full diversification. Both portfolios are empirically compared to classical benchmarks. The first one behaves very much like other popular Long-Only weighting schemes while the second displays a more aggressive profile, while generating moderate turnover. We also discuss implementation issues, as well as estimation related problems.     

Fiscal sustainability in the presence of systemic banks: the case of EU countries

We provide a first attempt to include an off-balance sheet, implicit insurance to SIFIs into a consistent assessment of fiscal sustainability, for 27 countries of the European Union. We first calculate tax gaps à la Blanchard (OECD Economics Department Working Papers, No 79, 1990) and Blanchard et al. (Revue économique de l’OCDE, 1990). We then introduce two alternative measures of implicit off-balance sheet liabilities related to the risk of a systemic bank crisis. The first one relies on microeconomic data at the bank level. The second one is based on econometric estimations of the probability and the cost of a systemic banking crisis. The former approach provides an upper evaluation of the fiscal cost of systemic banking crises, whereas the latter one provides a lower one. Hence, we believe that the combined use of these two methodologies helps to gauge the range of fiscal risk.     

The geography of the Spanish airport system: spatial concentration and deconcentration patterns in seat capacity distribution, 2001-2008

This paper analyzes the geography of seat capacity at Spanish airports between 2001 and 2008. Concentration and deconcentration patterns for different markets have been identified. For this purpose, we use the Herfindahl-Hirschman Index (HHI), the Concentration Ratio (CR) and the Lorenz curve. From our analysis, we conclude that seat capacity follows a deconcentration pattern due to the growth of low-cost carriers at small- and medium-sized Spanish airports. This is in line with earlier studies for Europe as a whole. Intercontinental seat capacity still remains very much concentrated in Madrid and, to a lesser extent, in Barcelona. However, new strategies by long-haul airlines bypassing the primary European hubs foster the deconcentration of seat capacity in the Asian and North American markets. In the case of Spain, the recent liberalization of the EU-US market may become an important enabler of such network strategies, e.g., Delta has operated a route from Valencia to New York-JFK since 2009. In other intercontinental markets, capacity is more and more concentrated in Madrid. We highlight the restructuring of Iberia’s network as an important factor behind the increasing dominance of Madrid in intercontinental markets.     

Rewarding carbon sequestration in South-Western French forests: A costly operation?

The extension of rotation lengths in forests has been proposed as an option for increasing carbon storage and contributing to climate change mitigation. This paper presents the results of a case study conducted on forests located in the southwest of France. The aim of this research was to assess the cost effectiveness of a subsidy/tax system on carbon fluxes. First, it is shown that such a mechanism leads forest owners to extend rotation lengths. However, cost effectiveness analysis shows that: (1) marginal social costs are more expensive than the private marginal costs of carbon sequestration; (2) marginal costs are higher when carbon stocks are discounted, ranging from 170.1 €/tC to 719.8 €/tC with discounted carbon stocks; and from 38.8 €/tC to 78.4 €/tC with undiscounted carbon stocks; (3) marginal costs are in the range of measures of the social value of carbon for France; (4) marginal costs increase with timber prices and increase with discount rate.     

The αVG model for multivariate asset pricing: calibration and extension

Luciano and Semeraro proposed a class of multivariate asset pricing models where the asset log-returns are modeled by a multivariate Brownian motion time-changed by a multivariate subordinator which consists of the weighted sum of a common and an idiosyncratic subordinator. In the original setting, Luciano and Semeraro imposed some constraints on the subordinator parameters such that the multivariate subordinator is of the same subordinator sub-class as its components, leading to asset log-returns of a particular Lévy type. This restriction leads to marginal characteristic functions which are independent on the common subordinator setting. In this paper, we propose to extend the original model by relaxing the constraints on the subordinator parameters, leading to marginal characteristic functions which become a function of the whole parameter set. Under this generalized version, the volatility of the log-returns depends on both the common and idiosyncratic subordinator settings, and not only on the idiosyncratic one, which makes the generalized model more in line with the empirical evidence of the presence of both an idiosyncratic and a common component in the business clock. For the numerical study, we compare the calibration fit of both univariate option surfaces and market implied correlations for a period extending from the 2nd of June 2008 until the 30th of October 2009 under the two model settings and assess the calibration risk arising from different calibration procedures by pricing traditional multivariate exotic options. In particular we show that the decoupling calibration procedure fails to accurately replicate the market dependence structure under the original model for highly correlated asset returns and we propose an alternative methodology which rests on a joint calibration of the univariate and the dependence structure and which leads to an accurate fit of the market reality under both the generalized and original models.     

COMPETITIVE POSITION OF PRIMARY AIRPORTS IN THE ASIA‐PACIFIC RIM

This paper measures and compares the network performance and hub competitive position of primary airports in the Asia‐Pacific rim, taking into account the quantity and quality of both direct and indirect connections. The results reveal that Tokyo has the best network performance and hub competitive position. The most striking growth of network development is found at Chinese airports, while network performance deteriorates at Oceanian airports. Finally, the results show that the position of Oneworld and Star Alliance is stronger in this region, whereas SkyTeam has an innegligible position especially at Japanese airports, owing to the fifth and sixth freedom rights.     

Session-effects in the laboratory

In experimental economics, where subjects participate in different sessions, observations across subjects of a given session might exhibit more correlation than observations across subjects in different sessions. The main goal of this paper is to clarify what are session-effects: what can cause them, what forms they can take, and what are the potential problems. It will be shown that standard solutions are at times inadequate, and that their properties are sometimes misunderstood.     

Implications of nanotechnology growth in food and agriculture in OECD countries

This article provides an analysis of the implications of the growth of nanotechnology in the agriculture and food sector in OECD countries. Three main policy challenges are identified related to funding and investment, risk governance, and public acceptance. Each of these interconnected challenges underlines a number of ethical questions that need to be addressed. Several recommendations are laid out to move forward and adapt to these emerging policy issues.