How does Internationalisation affect the productivity of R&D activities in large innovative firms? A conditional nonparametric investigation

Quality & Quantity - This work explores the relationship between multinational R&D and innovation productivity among top corporate knowledge and R&D producers by adopting a...     

The log-moment formula for implied volatility

We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that in the absence of arbitrage, if the underlying stock price at time T admits finite log-moments $\mathbb{E}[|\log S_T{|}^q]$ for some positive q, the arbitrage-free growth in the left wing of the implied volatility smile for T is less constrained than Lee's bound. The result is rationalized by a market trading discretely monitored variance swaps wherein the payoff is a function of squared log-returns, and requires no assumption for the underlying price to admit any negative moment. In this respect, the result can be derived from a model-independent setup. As a byproduct, we relax the moment assumptions on the stock price to provide a new proof of the notorious Gatheral–Fukasawa formula expressing variance swaps in terms of the implied volatility.     

Imported carbon emissions: Evidence from French manufacturing companies

This paper analyzes imported carbon emission at the firm level. To do so, we combine information on emissions, imports, imported emissions and energy prices for French manufacturing firms between 1997 and 2014. We document a significant increase of the carbon emissions embedded in imports of French manufacturing companies over the period 1997 to 2014 that is attributable mainly to a shift towards more carbon-intensive products and countries. We then estimate the impact of imported emissions on domestic emissions and emission intensity using a shift-share instrumental variable strategy based on third countries supply shocks. We do not find compelling evidence of an impact of carbon imports on total emissions, but emission efficiency improves significantly in companies offshoring emissions abroad. A 10% increase in carbon offshoring causes a 4% decline in emission intensity. In addition, we find that the elasticity of domestic emission intensity to imported emissions is stronger in energy-intensive sectors, on high-productivity companies and among exporters. Reassuringly, the relationship between imported emissions and emission intensity does not seem to be driven by a pollution haven motive.