A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

We develop a structural risk‐neutral model for energy market modifying along several directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities and electricity demand makes such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the richness of information included in the spot model, we obtain closed‐form formulae for futures prices and semiexplicit formulae for spread options and European options on electricity forward contracts. An analysis of the electricity price risk premium is provided showing the contribution of demand and capacity to the futures prices. We show that when far from delivery, electricity futures behave like a basket of futures on fuels.     

A simple model of brain circulation

This paper analyzes the allocation of two types of individuals differentiated by talent between two countries where they choose to be workers or entrepreneurs. An equilibrium with international migration exists when countries' talent endowments are sufficiently different. It is consistent with one-way or two-way migration whether individuals are entrepreneurs or workers. Although allowing migration increases domestic welfare in one country and decreases it in the other, it is always supported by majority voting in both countries.     

Corporate diversification and firm value: a survey of recent literature

We survey the recent literature on corporate diversification. How does corporate diversification influence firm value? Does it create or destroy value? Until the beginning of this century, the predominant thinking among researchers and practitioners was that corporate diversification leads to an average discount on firm value; however, several studies cast doubt on the diversification discount. In the last decade, there has been no clear consensus as to whether there is a discount or even a premium on firm value. Recent literature concludes that the effect on value differs from firm to firm and that corporate diversification alone does not drive the discount or premium; rather, the effect is heterogeneous across certain industry settings, economic conditions, and governance structures.     

Psychological Capital: Impacts on Asset Management

Drawing together the areas of behavioral finance and positive psychology, the present research sought to investigate whether the psychological capital of investment fund managers is associated with fund performance in a context of financial instability. The theoretical propositions were presented and evaluated empirically through primary data on investment fund manager profiles and secondary data on the cumulative stock fund returns. The results indicate that funds managed by managers with greater resilience and optimism obtained a higher return than the mean profitability in a period of market instability.     

Media richness and internet exploration

Previous research found that media richness is associated with positive evaluation of a web site. An experiment was carried out where participants were instructed to explore a web site presenting a popular town: Venice. According to a random distribution, participants were exposed (or not) to street‐sounds when exploring the web site and had the possibility to control (or not) the photography (using a 360° navigation with their mouse) displayed on the web site. Results shown that higher evaluation were associated with sounds and mouse‐control. Theory of media richness was used to explain our results and the managerial application for tourism was discussed. Copyright © 2010 John Wiley & Sons, Ltd.     

Managers’ Citizenship Behaviors for the Environment: A Developmental Perspective

The objective of this longitudinal study is to analyze the intrinsic drivers and values underlying managers’ organizational citizenship behaviors for the environment (OCBEs) from a developmental psychology perspective based on measuring the stages of consciousness that shape the meaning-making systems of individuals. At time 1, the stages of consciousness of 138 managers were qualitatively assessed using the Leader Development Profile test. At time 2, a quantitative survey measured the environmental beliefs and OCBEs of these managers. The links between stages of consciousness, environmental beliefs, and OCBEs were analyzed using hierarchical regressions. The main findings show that managers’ stages of consciousness positively influence two types of OCBEs, namely eco-initiatives and eco-helping, while environmental beliefs influence eco-helping and eco-civic engagement but do not appear to be connected with the stage of consciousness development. This paper first contributes to the literature on corporate greening by shedding more light on the aspects of behavioral and developmental psychology that underlie environmental leadership. Second, it bridges the gap between theories that have developed separately by showing the interconnectedness between the managers’ stage of consciousness and the more concrete environmental behaviors in the workplace that could have emulative effects throughout the organization.