Childhood adversity and the propensity for entrepreneurship: A quasi-experimental study of the Great Chinese Famine

Studies on the determinants of entrepreneurship emphasize that challenged adults tend to become entrepreneurs. However, research has not addressed the childhood origins surrounding the propensity for entrepreneurship. This article links childhood adversity to the propensity of individuals to become migrant entrepreneurs later in life. We test hypotheses derived from this theory in the context of whether, and when, children who survived the Great Chinese Famine of 1959–1961 became migrant entrepreneurs. Results strongly indicate that those who survived greater hardship during the Famine are more likely to become entrepreneurs, especially when they were younger during the famine years. We also find that being younger at the time of migration increased the likelihood of becoming entrepreneurs in their new locale. Overall, this study casts light on why, how and when childhood adversity shapes the propensity for entrepreneurship.     

A new take on voice: the influence of BlackRock’s ‘Dear CEO’ letters

Review of Accounting Studies - Abstract We examine whether broad-based public engagement by institutional investors influences the behavior of portfolio firms. We investigate this question in the...     

Analytical approximations of local‐Heston volatility model and error analysis

This paper studies the expansion of an option price (with bounded Lipschitz payoff) in a stochastic volatility model including a local volatility component. The stochastic volatility is a square root process, which is widely used for modeling the behavior of the variance process (Heston model). The local volatility part is of general form, requiring only appropriate growth and boundedness assumptions. We rigorously establish tight error estimates of our expansions, using Malliavin calculus. The error analysis, which requires a careful treatment because of the lack of weak differentiability of the model, is interesting on its own. Moreover, in the particular case of call–put options, we also provide expansions of the Black–Scholes implied volatility that allow to obtain very simple formulas that are fast to compute compared to the Monte Carlo approach and maintain a very competitive accuracy.     

Who do you care about? Scientists’ personality traits and perceived impact on beneficiaries

We investigate the roots of scientists' perceptions of the impact of their work by examining stable psychological characteristics such as personality traits. An analysis of personality traits highlights the effects of policies related to gender equality, allocation of research time and skills acquisition. It improves our understanding of the conflicts related to scientists’ perceptions of the impact of their research on beneficiaries. For example, conscientiousness increases the perceived impact on clinical beneficiaries, but reduces the perceived impact on industrial beneficiaries. Organizational scientific freedom increases the effects of personality traits on perceived impact on beneficiaries such that scientists affiliated to a university are less likely than colleagues working in other research settings to perceive the simultaneous impact of their work on both industrial and clinical beneficiaries.     

Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

Time series copulas for heteroskedastic data

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first‐order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co‐movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate generalized autoregressive conditional heteroskedasticity models, and produce more accurate value‐at‐risk forecasts.     

Varieties of paternalism and the heterogeneity of utility structures

A principal source of interest in behavioral economics has been its advertised contributions to policies aimed at ‘nudging’ people away from allegedly natural but self-defeating behavior toward patterns of response thought more likely to improve their welfare. This has occasioned controversies among economists and philosophers around the normative limits of paternalism, especially by technical policy advisors. One recent suggestion has been that ‘boosting,’ in which interventions aim to enhance people’s general cognitive skills and representational repertoires instead of manipulating their choice environments behind their backs, avoids the main normative challenges. A limitation in most of this literature is that it has focused on relatively sweeping policy recommendations and consequently on strong polar alternatives of general paternalism and strict laissez faire. We review a real instance, drawn from a consulting project we conducted for an investment bank, of a proposed intervention that is more typical of the kind that economists are more often actually called upon to offer. In this example, the sophistication of current tools for preference attribution, combined with philosophical externalism about the semantics of preferences that makes it less plausible to attribute their literal self-conscious representation to people as propositional attitude content becomes more tightly refined, blocks applicability of the distinction between nudging and boosting. This seems to call for irreducible, context-specific ethical judgment in assessing the appropriateness of the forms of paternalism that economists must actually wrestle with in going about their everyday business.     

Advertising and brand attitudes: Evidence from 575 brands over five years

Quantitative Marketing and Economics - Little is known about how different types of advertising affect brand attitudes. We investigate the relationships between three brand attitude variables...     

The Impact of Automated Reminders on Credit Outcomes: Results from an Experimental Pilot Program

This study evaluates the impact of an automated reminder program designed to help credit counseling consumers manage their payment obligations and financial goals. Credit counseling consumers were randomly assigned to receive reminders linked to their financial goals and payment obligations for one year after an initial credit counseling session. We find that consumers offered reminders were 21% less likely than the control to experience severe (60+ day) payment delinquencies and were 12% less likely to experience a 30+ day delinquency. At the same time, these consumers saw a 10.5 point increase in credit scores relative to the control group. There were no significant impacts on total credit card balances or installment debt levels. This analysis provides promising evidence that automated reminders can provide an important complement to traditional credit counseling when it comes to improving consumers' credit profiles and does so at a fairly low cost.