Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum

Abstract.  In this study, we investigate the short run effect of the 30 October 1995 Quebec referendum on the common stock returns of Quebec firms. Our results show that the uncertainty surrounding the referendum outcome had an impact on stock returns of Quebec firms. We also find that the effect of the referendum varied with the political risk exposure of Quebec firms, that is, the structure of assets and principally the degree of foreign involvement. JEL classification: G14, G15     

Balanced Bayesian mechanisms

In the transferable utility case, a number of authors have identified conditions on beliefs that guarantee the existence of Bayesian incentive compatible mechanisms with balanced transfers. We present a new, easy to interpret, condition and we show that it is (strictly) more general than all the other conditions found in the literature. We also study conditions guaranteeing the Bayesian implementability of all social decision rules with balanced budget mechanisms.     

How many karats is gold: Welfare effects of easing a denomination standard

Most consumers benefit from a lowering of the required amount of aurous metal which jewellers must include in products sold as gold. However, profits of producers of gold-plated adornments fall. The net welfare effect depends on whether the principal difference between consumers is their appreciation of the gold content, or their valuation of designation gold or gold-plate.     

On VIX futures in the rough Bergomi model

The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1–18] has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen et al. [Finance Stoch., forthcoming].     

Family Firms’ Corporate Social Performance: A Calculated Quest for Socioemotional Wealth

This study investigates the engagement of family firms in corporate social responsibility. We first compare their corporate social performance (CSP) to non-family firms. Then, following recent evidence on the heterogeneity of family firms, we examine two factors that may influence CSP within family firms: the level of family control and the governance orientation of the country in which they operate. This research is based on a theoretical framework which considers both agency and socioemotional wealth (SEW) influences on family firms CSR engagements. Overall, we find that family firms exhibit lower CSP than non-family firms. But when focusing on family firms, our analyses show a curvilinear relationship between family control and CSP. At lower levels of control, family owners invest more in social initiatives to protect their SEW. Beyond a threshold level of control that we estimate at 36 % in our sample, economic considerations prevail over SEW and social performance starts decreasing. We also find that family firms operating in stakeholder-oriented countries are more attentive to social concerns than those operating in more shareholder-oriented countries.     

Rules of proof,courts, and incentives

We analyze the design of legal principles and procedures for court decision making in civil litigation. The objective is the provision of incentives for potential tort‐feasors to exert care when evidence is imperfect and may be distorted by the parties. Efficiency is consistent with courts adjudicating on the basis of the preponderance of evidence standard together with common law exclusionary rules. Inefficient equilibria may nevertheless also arise under these rules. Burden of proof guidelines are then useful as a coordination device. Alternatively, guidelines are unnecessary if courts are allowed a more active or inquisitorial role in contrast to that of passive adjudicator.     

R&D personnel and human resource management in multinational companies: between homogenization and differentiation

This paper discusses the impact of globalization processes on models of R&D personnel management in multinational companies operating in Europe. Existing literature focuses on the globalization of R&D activity, on the one hand, and on national systems of innovation, on the other. By contrast, there are few studies of the linkage between the globalization of R&D and its impact on HRM. Drawing on the practices of multinationals in four sectors (pharmaceuticals, chemicals, computer hardware and software), the paper examines whether the hold of national differences in the area of HRM has been significantly weakened in the face of new models of competitiveness and management in multinationals. It focuses on two dimensions: recruitment and mobility. The studies highlight two major trends. The ‘internationalization’ of R&D clearly has effects on HRM models but not as great as might be expected. HRM policies such as recruitment and pay systems continue to be nationally based, reflecting legal and institutional differences. At the same time, in conjunction with new forms of R&D organization such as projects, the standardization of HRM tools may be observed. But this is partial and affects only a limited number of tools, notably individual evaluation.