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.     

Effects of songs with prosocial lyrics on tipping behavior in a restaurant

Recent research has shown that exposure to songs with prosocial lyrics was associated with prosocial behavior and accessibility of prosocial thoughts. However theses studies were performed in a laboratory setting where participants were instructed to listening songs alone in a room. So the effect of prosocial songs in a natural setting, with several people in a room and with various ambient noises still remained in question. An experiment was carried out in a restaurant in order to test if listening or not, prosocial songs by patrons, was associated with variation in their tipping behavior. Results showed that prosocial songs were associated with a significant increase in tipping behavior.     

Cementing the case for collusion under the National Recovery Administration

Macroeconomists have long debated the aggregate effects of anti-competitive provisions under the “Codes of Fair Conduct” promulgated by the National Industrial Recovery Act (NIRA). Despite the emphasis on these provisions, there is only limited evidence documenting any actual effects at the micro-level. We use a combination of narrative evidence and a novel plant-level dataset from 1929, 1931, 1933, and 1935 to study the effects of the NIRA in the cement industry. We develop a test for collusion specific to this particular industry. We find strong evidence that before the NIRA, the costs of a plant's nearest neighbor had a positive effect on a plant's own price, suggesting competition. After the NIRA, this effect is completely eliminated, with no correlation between a plant's own price and its neighbor's cost.     

Managing Abundance to Avoid A Bust in Latin America

Latin American (LA) economies today are at a challenging juncture as key global conditions have aligned in very exceptional ways, representing a double tailwind for many countries of the region.These countries must figure out how to best respond to a sustained period of unusually easy foreign financing conditions and large capital inflows.At the same time, they face high world prices for their commodity exports, another source of abundance that is likely to be persistent but not permanent.Such conditions are, of course, in many ways favorable, creating opportunities with important upsides.But such conditions can also lead to an accumulation of important vulnerabilities for the future.There are challenges both while these conditions persist and during the transition after they end because severe dislocations and crises may arise if the good times are improperly managed.Indeed, some of Latin America's own past experiences with the "problems of plenty" have illustrated that good times can be followed by bad endings.     

A natural experiment on sick pay cuts,sickness absence,and labor costs

This study estimates the reform effects of a reduction in statutory sick pay levels on sickness absence behavior and labor costs. German federal law reduced the legal obligation of German employers to provide 100% continued wage pay for up to six weeks per sickness episode. In 1996 statutory sick pay was decreased to 80% of foregone gross wages. Within the reform's target group – private sector employees – this measure increased the proportion of employees having zero days of absence between 6 and 8%. Quantile regression estimates indicate that employees with up to 5.5 annual absence days reduced their days of absence by about 12%. Extended analyses suggest that in industries that enforced the cut, behavioral effects were about twice as large. We show that the direct labor cost savings effect stemming from the cut in replacement levels clearly exceeds the indirect effect due to the decrease in absenteeism. Our calculations about the total decrease in labor costs are very much in line with official data which suggest that total employer-provided sick pay decreased by 6.7% or €1.7 billion per year.     

Linking multiple layers of innovation-oriented corporate culture, product program innovativeness, and business performance: a contingency approach

In recent years, firms have invested considerably in programs to raise their innovativeness by inspiring employees with an innovation-oriented corporate culture. However, extant literature is inconclusive on how an innovation-oriented culture leads to increases in product program innovativeness (PPI). This study investigates this question by analyzing a multilayer model of innovation-oriented corporate culture, using data from three different informants: marketing managers, R&D managers, and customers. The effects of innovation-oriented values and norms on PPI are fully mediated by cultural artifacts. Therefore, values and norms must be transformed into specific artifacts to exert an influence on innovativeness. Furthermore, market dynamism and technological turbulence have opposite moderating effects on the relationship between innovation-oriented artifacts and PPI. Market dynamism weakens this relationship, whereas technological turbulence strengthens it.     

Militant and moderate trade union orientations: what are the effects on workplace trade unionism,union-management relations and employee gains?

This paper presents survey findings exploring the claim that trade union militancy will deliver more advantages for unions than moderation (Kelly, 1996). Responses from representatives in two unions reveal militancy is associated with stronger union workplace activity and greater engagement with management in solving operational problems and long-term business strategies. However, there was no evidence that militancy significantly affects many terms and conditions. Moderate trade unionists in this sample were no more likely to hold a unitarist frame of reference. A further factor analysis of the militancy-moderation scale revealed two separate dimensions of militancy - a 'bargaining' and a 'mobilizing' approach. Although finding some expected benefits linked with militancy, different benefits appear to be associated with a bargaining approach and a mobilizing approach. It is suggested the approach taken in collective bargaining may be at least as important as mobilizing union members in securing gains from a militant union strategy.     

Convergence and multidisciplinarity in nanotechnology: Laboratories as technological hubs

This article argues that research groups dedicated to nanoscience and nanotechnology are considered as technological hubs where scientists with multiple backgrounds converge in order to conduct research at the nanoscale (a billionth of a metre). Scientific production is therefore challenged as multiple ways of thinking, practices and knowledge participate in the creation of new outcomes. Through an exploratory and inductive study, I show that these technological hubs develop a specialisation based on internal competencies and stock of knowledge. The specialisation enables laboratories to position themselves as an expert among other laboratories as well as making them more visible in order to attract funding. However, multidisciplinary research is hindered by knowledge and practices that are inherited from established scientific disciplines. The lack of standards and clear definition of the area of nanoscience and nanotechnology leads young scientists, PhD students particularly, to experience a misalignment between their research, their supervision, and the outcomes they have to produce.