How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates

This paper develops a novel and highly efficient numerical algorithm for the gap risk-adjusted valuation of leveraged certificates. The existing literature relies on Monte Carlo simulations, which are not fast enough to be used in a market-making environment. This is because issuers need to compute thousands of price updates per second. By valuing leveraged certificates as multi-window barrier options, we explicitly model random jumps that occur at known times, such as between the exchange closing and re-opening. Our algorithm combines the one-day transition probability with Simpson’s numerical integration rule. This yields a backward induction scheme which requires a significantly coarser spatial and time grid than finite-difference methods. We confirm its robustness and accuracy through Monte Carlo simulations.     

Social Learning in Beauty‐Contest Games

We study the impact of social learning on the depth of reasoning in an experimental beauty‐contest game. Naive advice and observation of others' decisions as two forms of social learning trigger faster convergence to the equilibrium. We find that subjects who receive advice outperform uninformed subjects permanently, whereas subjects who observe others' past behavior before making their decision only have a temporary advantage over uninformed subjects. A series of control‐treatments and simulations indicate that the latter result is due to subjects failing to make the most out of observing others.     

A Typology of International New Ventures: Empirical Evidence from High‐Technology Industries

We examine determinants of different types of International New Ventures (INVs), namely Export Start‐up, Geographically Focused Start‐up, Multinational Trader, and Global Start‐up. Whereas this typology of INVs has been widely accepted in the literature, empirical testing of the determinants of INV types is largely missing. Our arguments build on the International New Venture Theory (INVT). Hypotheses generated from our framework are tested on 195 German high‐tech enterprises. Results show that growth orientation, prior international experience, knowledge intensity, product differentiation, and learning orientation distinguish significantly between the different INV types.     

Regulierung, Effizienz und das Anreizdilemma bei Investitionen in intelligente Netze

In this paper, we survey from a theoretical point of view to what extend cost-based and incentive-based regulatory regimes stimulate investments. For the purpose of this analysis, we furthermore differentiate by different efficiency measures, i.e. allocative efficiency, productive efficiency and dynamic efficiency and analyse to what extend each efficiency measure is stimulated by the regulatory regime. Eventually, we analyse to what extend regulatory incentives for network innovation in a smart grid context exist and to what extend different forms of regulation stimulate dynamic efficiency.     

Business cycle measurement with some theory

A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast sub-models. The approach has good properties, even in small samples, and when the class of models is misspecified. The method is used to sort out the relevance of a certain friction (the presence of rule-of-thumb consumers) in a standard class of models.     

Emerging economies' attraction of foreign direct investment

This paper uses a composite measure to examine why some countries attract more foreign direct investment (FDI) than others. The measure considers all identified, measurable, and comparable socioeconomic aspects that affect FDI decisions on an aggregated country level. As a result, we can rank 127 countries with respect to their FDI attraction. The measure allows detailed strength and weakness analyses and enhances the discussion of why FDI flows are concentrated in advanced economies. Additionally, the findings reveal the areas in which emerging countries should improve in order to narrow existing gaps. Our robustness checks indicate that the composite measure accurately tracks real FDI activity.