What do women want? Female suffrage and the size of government

The economic literature has attributed part of the increase in government expenditure over the 20th century to female voting. This is puzzling, considering that the political science literature has documented that women tended to be more conservative than men over the first half of the 20th century. We argue that the current estimates of this relationship are afflicted by endogeneity bias. Using data for 46 countries and a novel set of instruments related to the diffusion of female suffrage across the globe, we find that, on average, the introduction of female suffrage did not increase either social expenditures or total government expenditure.     

Impact investing and sustainable market transformations: The role of venture capital funds

Impact investors often know their financial return on investments, but are less certain about their impact. This article frames impact as their contribution to sustainable market transformation. A sustainable market transformation consists of inception, first movers, critical mass, and institutionalization phases. Given the nature of such transformations, the impact is effectuated at different moments and toward various market actors. Based on an exploratory research design with semi-structured expert interviews, this article aims to create an overview of the roles of impact venture capital funds in sustainable market transformations. The results suggest that the view that the capitalization of start-ups is the only impact of impact investors is a misconception. The needs of companies with sustainability value propositions change over time and consequently impact investors perform various roles. For example, exiting an investment while upholding social and environmental objectives communicates to mainstream business that the start-up is ready to create a greater impact. Further, impact investors fulfill external roles that change the perspectives of institutional actors toward sustainable investments. Based on an overview of the different roles that impact investors fill, this article proposes a future research agenda to strengthen our knowledge about the impact return of investments.     

Collusion with intertemporal price dispersion

We develop a theory of optimal collusive intertemporal price dispersion. Dispersion clouds consumer price awareness, encouraging firms to coordinate on dispersed prices. Our theory generates a collusive rationale for price cycles and sales. Patient firms can support optimal collusion at the monopoly price. For less patient firms, monopoly prices must be punctuated with fleeting sales. The most robust structure involves price cycles that resemble Edgeworth cycles. Low consumer attentiveness enhances the effectiveness of price dispersion by reducing the payoff to deviations involving price reductions. However, for sufficiently low attentiveness, price rises are also a concern.     

Error Calculus and Path Sensitivity in Financial Models

In the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus that is an extension of the Malliavin calculus based on Dirichlet forms. Although useful also in physics, this error calculus is well adapted to stochastic analysis and seems to be the best practicable in finance. This tool is explained here intuitively and with some simple examples.     

Strategic formulation of high technology projects using the support graph

The life cycle of technology projects comprises 10 phases: identification, conception, formulation, feasibility, evaluation, decision, realization, control, termination and post-evaluation. One of the most important phases is formulation, foar which an interdisciplinary tool, the 'support graph', was conceived and used for more than 200 high technology projects in such areas as chemicals, biotechnology, electronics, software (artificial intelligence), telecommuniocation, energy and aerospace. This paper descrones how to build an effective support graph. The general objective, the partial objectives, the tasks and the means are the principal components. The management of change during the implementation of high technology projects is largely facilitated by the use of the support graph. It also creates a common language between the technologists and the managers and gives information on when to alter the goals of a high technology project. Support graphs for an expert system and for a telecommunication project are used to illustrate the proposed approach.     

Strategic evaluation and selection of R&D projects

The most important families of R&D project evaluation and selection methodologies and associated techniques are briefly reviewed. For each family, generally one or two methods were chosen to be analysed from the point of view of the integration with the strategy. But, first some definitions and some aspects of the new strategic role of the evaluation and selection of R&D projects, which were in mind during the interviews, are presented.
Finally, some empirical results of the use of these methodologies in France and Japan are presented. The strong and weak points of the most prevalent methods are described as they are considered by the users.     

Optimal contract design: For whom?

In designing a derivative contract, an exchange carefully considers how its attributes affect the expected profits of its members. On November 3, 1997, the Chicago Mercantile Exchange doubled its tick size of its S&P 500 futures contract and halved the denomination, providing a rare opportunity to examine empirically the search for an optimal contract design. This article measures changes in the trading environment that occurred in the days surrounding the contract redesign. We find a discernible change in the incidence of price clustering, an increase in the bid/ask spread, a reduction in trading volume, and no meaningful change in dollar trade size. These results suggest that the contract redesign did not increase accessibility but did increase market maker revenue. Despite the increase, however, the bid/ask spread of the S&P 500 futures contract remains low relative to the costs of market making and the spreads in markets for competing instruments. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:719–750, 2003     

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

We present a simulation-and-regression method for solving dynamic portfolio optimization problems in the presence of general transaction costs, liquidity costs and market impact. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding to transaction costs and transient liquidity costs, as well as multiple endogenous state variables, namely the portfolio value and the asset prices subject to permanent market impact. To handle endogenous state variables, we adapt a control randomization approach to portfolio optimization problems and further improve the numerical accuracy of this technique for the case of discrete controls. We validate our modified numerical method by solving a realistic cash-and-stock portfolio with a power-law liquidity model. We identify the certainty equivalent losses associated with ignoring liquidity effects, and illustrate how our dynamic optimization method protects the investor's capital under illiquid market conditions. Lastly, we analyze, under different liquidity conditions, the sensitivities of certainty equivalent returns and optimal allocations with respect to trading volume, stock price volatility, initial investment amount, risk aversion level and investment horizon.     

Manufacturers and retailers in the global economy

We develop a model with multi‐product retailers acting as intermediaries between manufacturers and consumers. We show that the rise in retailer product assortment, the rise of up‐front payments in many retail markets and the observed shift in employment from manufacturing to retailing may be the consequence of the global integration of product markets. We also identify a novel benefit from market integration consisting of efficiency gains in the vertical distribution chain.