Search,learning, and tracking

In many search markets, some consumers search to learn both the price and their willingness-to-pay whereas others search only to learn prices. When a seller can track indicators of the likelihood that consumers already know their willingness-to-pay, I show that price discrimination reduces profits and welfare relative to uniform pricing if search costs are small, but may increase both if search costs are large. The analysis also applies to sequential search if learning causes the likelihood that consumers know their willingness-to-pay to depend on the search history.     

Limits of semistatic trading strategies

We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multiperiod, multistock models. Our result contrasts with a counterexample of Acciaio, Larsson, and Schachermayer, and shows that their observation is due to a failure of integrability rather than instability of the semistatic form. Mathematically, our results relate to the decomposability of functions as studied in the context of Schrödinger bridges.     

Commodity tail risks

In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.     

Too transparent for signalling? A global analysis of bond issues by property companies

Bond issues often result in negative revaluations of the market value of equity. These market reactions are usually explained by negative signals and asymmetric information about the use of the proceeds. In industries with rather transparent investment opportunities these arguments are not applicable and we expect to find no negative revaluations. Consequently, analysing the stock price reactions to 2299 bond issues by real estate companies between 1996 and 2019, we observe none to positive reactions on the announcement of an upcoming bond issue. The findings underpin the necessity for controlling of industry effects in empirical studies on capital structure decisions.     

Focus on cash transfer programs: assessing the eligibility of the Bolsa Família program in Brazil

Quality & Quantity - Income transfer programs are important public policies in fighting poverty and reducing inequality. However, such a strategy is often criticised as being ineffective, as...     

The role of family firm specific resources in innovation: an integrative literature review and framework

Management Review Quarterly - Family firms are the prevalent form of entrepreneurial organizations worldwide. While even long-lasting and successful family firms are said to invest less in...     

Martingale Schrödinger bridges and optimal semistatic portfolios

Finance and Stochastics - In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale...     

Minimum wages in an automating economy

We explore the suitability of the minimum wage as a policy instrument for reducing emerging income inequality created by new technologies. For this, we implement a binding minimum wage in a task-based framework, in which tasks are conducted by machines, low-skill, and high-skill workers. In this framework, an increasing minimum wage reduces the inequality between the low-skill wage and the other factor prices, whereas the share of income of low-skill workers in the national income is nonincreasing. Then, we analyze the impact of an automating economy along the extensive and intensive margins. In a setting with a minimum wage, it can be shown that automation at the extensive margin and the creation of new, labor-intensive tasks do not increase the aggregate output in general, as the displacement of low-skill workers counteracts the positive effects of cost-savings. Finally, we highlight a potential trade-off between less inequality of the factor prices and greater inequality of the income distribution when a minimum wage is introduced into an automating economy.     

Intermittent exporting: unusual business or business as usual?

Review of World Economics - We construct an empirically supported definition of incidental and perennial exporting and investigate to what extent incidental exporting is a steady-state of firms, to...     

Pro-cyclicality beyond business cycle

We show that pro-cyclicality is inherent in risk measure estimates based on historical data. Taking the example of VaR, we show that the empirical VaR measure is mean-reverting over a 1-year horizon when the portfolio is held fixed. It means that a capital requirement rule based on historical measurements of VaR tends in calm times to understate future required capital and tends in volatile times to overstate it. To quantify this pro-cyclicality, we develop a simple and efficient methodology, which we apply to major equity market indices. We make the interesting point that the pro-cyclicality property holds true even in a world with constant volatility, though the empirical magnitude of the mean-reversion is greater than what would be observed in that special case.