A remark on the measurability of large games

A game with a continuum of players is described by a function assigning payoff functions to players and satisfying some measurability properties. In this note we establish the equivalence between several measurability assumptions that have been made in the literature. I thank an anonymous referee for very helpful comments and John Huffstot for editorial assistance. Financial support from a Nova Fórum grant is gratefully acknowledged.     

Resources and market definition: Rethinking the “hypothetical monopolist” from a resource‐based perspective

We reassess the concept of the hypothetical monopolist as a device for relevant market definition. The hypothetical monopolist test (also known as the Small but Significant Non‐transitory Increase in Price test) is a clever, intuitive way of thinking the relevant market in antitrust, and is gaining ground in strategic management. The test, however, implicitly disregards resource characteristics in relevant market delineation, focusing exclusively on demand side substitutability. In reassessing the hypothetical monopolist, we make 2 general contributions to the strategy literature. First, using cooperative game theory, we advance a precise resource‐based definition of the hypothetical monopolist. Second, we demonstrate how this definition broadens our conventional understanding on 2 important topics: resource complementarities and disruptive innovations. In doing so, we complement and strengthen the hypothetical monopolist test as a device for management (strategic) and public policy (antitrust) analysis.     

The self-financing equation in limit order book markets

The goal of this paper is to present a mathematical framework for trading on a limit order book, including its associated transaction costs, and to propose continuous-time equations which generalise the self-financing relationships of frictionless markets. These equations naturally differentiate between trading via limit and via market orders, as they include a price impact or adverse selection constraint. We briefly mention several possible applications, including hedging European options with limit orders, to illustrate their impact and how they can be used to the benefit of low-frequency traders. Two appendices include empirical evidence for facts which are not universally recognised in the current literature on the subject.

     

Environmental Impact,Export Intensity,and Productivity Interactions: An Empirical Index Analysis of the Agri‐Food Industry in Spain

Recent studies have focused on how exports affect environmental performance or vice versa, while others have concentrated on the productivity of export‐oriented firms. The objective of the present paper is to provide a simultaneous analysis on the aforementioned relationships. The approach followed is a composite equation model in which export performance and productivity components, including an environmental indicator, are endogenously determined, taking as reference exporting firms of the food industry in Southeast Spain, for the period 1994–2006. The results show positive interactions among export intensity, firm efficiency, and environmental productivity, also suggesting that the consideration of endogeneity may enhance the findings of analyses on these issues. Des études récentes se sont concentrées sur les effets des exportations sur la performance environnementale ou vice‐versa, tandis que d’autres se sont concentrées sur la productivité des entreprises à vocation exportatrice. Le présent article vise à fournir une analyse simultanée des liens précités. Nous avons utilisé un modèle àéquations multiples dans lequel les éléments liés à la performance des exportations et à la productivité, y compris un indicateur environnemental, sont déterminés de façon endogène, en prenant comme référence des entreprises agroalimentaires à vocation exportatrice situées dans le sud‐est de l’Espagne, durant la période de 1994 à 2006. Les résultats montrent des interactions positives entre l’intensité des exportations, l’efficacité des entreprises et la productivité environnementale, ce qui autorise à penser que l’endogénéité pourrait améliorer les résultats des analyses sur ces points.     

Tangent Lévy market models

In this paper, we introduce a new class of models for the time evolution of the prices of call options of all strikes and maturities. We capture the information contained in the option prices in the density of some time-inhomogeneous Lévy measure (an alternative to the implied volatility surface), and we set this static code-book in motion by means of stochastic dynamics of It?’s type in a function space, creating what we call a tangent Lévy model. We then provide the consistency conditions, namely, we show that the call prices produced by a given dynamic code-book (dynamic Lévy density) coincide with the conditional expectations of the respective payoffs if and only if certain restrictions on the dynamics of the code-book are satisfied (including a drift condition à la HJM). We then provide an existence result, which allows us to construct a large class of tangent Lévy models, and describe a specific example for the sake of illustration.     

Gender,the state and the audit profession: evidence from Spain (194288)

Extant knowledge on gender and auditing overwhelmingly relies on evidence gathered from a limited group of Anglo-Saxon countries. It is widely admitted, however, that gender issues are affected by the institutional contexts of the investigation. The Anglo-Saxon settings, we contend, embrace a number of idiosyncratic, institutional characteristics that advise caution in the generalizability of results. Our study addresses the role of gender in Spanish audit practice during the period 1942 to 1988. The environment of the Spanish audit profession witnessed the peaceful transition from a dictatorship to a full-fledged democracy as well as the emergence of a free market economy from a system characterized by stiff economic autarchy and an overriding intervention of the state in the economy. We found that the dominant role of the state in Spanish society affected the structure of the audit profession and made impossible the emergence of an autonomous project. In particular, our findings reveal that the audit profession did not have an independent strategy about the role of women at work, but mimicked the attitudes deployed by the state during our observation period.     

Interdisciplinarity and tax law: The case of legal autopoiesis

This paper critically evaluates interdisciplinary research in tax law. The strategy I follow runs at two levels of abstraction.First, I examine a concrete example of interdisciplinary research in taxation. More precisely, I examine Hikaka and Prebble's (2010) recent paper where, applying Luhmannian autopoietic theory to tax law, they make a series of claims about the productivity of their research strategy as well as the consistency and coherence of Luhmann's interdisciplinary framework. Whereas my analytical and conceptual critique of Hikaka and Prebble's paper stands on its own, it should also be read as revealing the obstacles that lurk behind interdisciplinary research in using such a complex and idiosyncratic theory as Luhmann's autopoietic account of law and society. Accordingly, my analysis shows how autopoietic theory can indeed prove useful for tax and accounting reform as well as to connect tax theory and notions of public interest.Second, I extrapolate from the analysis of Hikaka and Prebble's paper some general problems that current interdisciplinary tax research needs to give further consideration: (i) how to identify productive research questions and uses of interdisciplinary resources; (ii) the dubious added value of interdisciplinary research, given its tendency to adopt complex theoretical apparatuses in a cursory way with little comparison being made to existing research achievements; and (iii) the risk of using interdisciplinary research as an exercise of confirmatory investigation and/or an exercise of mere translation of one discipline's problems into another discipline's language.     

Determinants of corporate debt maturity in South America: Do institutional quality and financial development matter?

We test whether a country's level of financial development or institutional quality (or both) has a first‐order effect on corporate debt maturity decisions on a sample of 359 non-financial firms from five South American countries over a 12‐year period. We find that there is a substantial dynamic component in the determination of a firm's debt maturity, and firms face moderate adjustment frictions toward their optimal maturities. More importantly, the level of financial development does not influence debt maturity, whereas the institutional quality of a country has a significant positive effect on the level of long-term debt in a firm's financial structure. Our results support the hypothesis that the quality of national institutions is an important determinant of corporate financing in general and of debt maturity in particular.