No arbitrage conditions and liquidity

We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our results generalize, when the probability space is finite, those obtained by Kabanov et al. [Kabanov, Y., Stricker, C., 2001. The Harrison-Pliska arbitrage pricing theorem under transaction costs. Journal of Mathematical Economics 35, 185–196; Kabanov, Y., Rásonyi, M., Stricker, C., 2002. No-arbitrage criteria for financial markets with efficient friction. Finance and Stochastics 6, 371–382; Kabanov, Y., Rásonyi, M., Stricker, C., 2003. On the closedness of sums of convex cones in L⁰$L^0$ and the robust no-arbitrage property. Finance and Stochastics] and by Schachermayer [Schachermayer, W., 2004. The fundamental theorem of asset pricing under poportional transaction costs in finite discrete time. Mathematical Finance 14 (1), 19–48] for markets with proportional transaction costs. More precisely, we restate the notions of consistent and strictly consistent price systems and prove their equivalence to corresponding no arbitrage conditions. We express these results in an analytical form in terms of the subdifferential of the so-called liquidation function. We conclude the paper with a hedging theorem.     

The Heckscher–Ohlin model and the network structure of international trade

This paper estimates for 28 product groups a characteristic parameter that reflects the topological structure of its trading network. Using these estimates, it describes how the structure of international trade has evolved during the 1980–2000 period. Thereafter, it demonstrates the importance of networks in international trade by explicitly accounting for their scaling properties when testing the prediction of the “Heckscher–Ohlin” model that factor endowment differentials determine bilateral trade flows. The results suggest that factor endowment differentials increase bilateral trade in goods that are traded in “dispersed” networks. For goods traded in “concentrated” networks, factor endowment differentials are less important.     

Survey-based forecast distributions for Euro Area growth and inflation: ensembles versus histograms

Ensemble methods can be used to construct a forecast distribution from a collection of point forecasts. They are used extensively in meteorology, but have received little direct attention in economics. In a real-time analysis of the ECB’s Survey of Professional Forecasters, we compare ensemble methods to histogram-based forecast distributions of GDP growth and inflation in the Euro Area. We find that ensembles perform very similarly to histograms, while being simpler to handle in practice. Given the wide availability of surveys that collect point forecasts but not histograms, these results suggest that ensembles deserve further investigation in economics.     

The law and economics of sycophancy

Tullock (in: Rowley (ed) The selected works of Gordon Tullock, Liberty Fund, Indianapolis, pp 399–455, 2005) was skeptical of the presumed economic efficiency of the common law, as adversarialism, apparently inherent to common law procedures, allowed for and was prone to litigiousness. Common law litigations accord to patterns of rent-seeking, as litigants invest ever more resources to assure victory. This paper asks if viable institutional solutions can emerge to resolve the problem Tullock identified. I survey the historical development of the term sycophancy within ancient Greek law as a revealing case study. Though a relatively innocuous pejorative in contemporary parlance, the term’s etymological roots stem from a formative process of ancient legal and institutional change within Athenian Greece. In the wake of specific legal reforms that expanded the scope of governmental authority under Solon (born 638–558 BCE), citizens were given explicit financial incentive to report violators of newly implemented public laws. Thereafter, social stigma surrounding third party legal representation leveraged the term sycophancy in reference to prosecutors motivated by private interests over the public welfare. Forgone social status and eventually formal criminal sanction emerged as offsetting differentials against the incentives of sycophancy.     

Integrated bio-economic models as tools to support land-use decision making: a review of potential and limitations

Bio-economic modelling has become a useful tool for anticipating the outcomes of policies and technologies before their implementation. Advances in mathematical programming have made it possible to build more comprehensive models. In an overview of recent studies about bio-economic models applied to land-use problems in agriculture and forestry, we evaluated how aspects such as uncertainty, multiple objective functions, system dynamics and time have been incorporated into models. We found that single objective models were more frequently applied at the farm level, while multiple objective modelling has been applied to meet concerns at the landscape level. Among the objectives, social aspects are seldom represented in all models, when being compared to economic and environmental aspects. The integration of uncertainty is occasionally a topic, while stochastic approaches are more frequently applied than non-stochastic robust methods. Most multiple-objective models do not integrate uncertainty or sequential decision making. Static approaches continue to be more recurrent than truly dynamic models. Even though integrating multiple aspects may enhance our understanding of a system; it involves a tradeoff between complexity and robustness of the results obtained. Land-use models have to address this balance between complexity and robustness in order to evolve towards robust multiple-objective spatial optimization as a prerequisite to achieve sustainability goals.     

Entrepreneurial branding: measuring consumer preferences through choice-based conjoint analysis

Start-ups face branding challenges. Not only are they confronted with the task of building brands from scratch, their newness also leads to a particularly high amount of customer uncertainty. This paper contributes to the emerging field of entrepreneurial branding by investigating start-up characteristics that signal trustworthy information to potential customers. An extended choice-based conjoint approach for modeling brand equity is used to explore the impact of different signals as initiated by established and new firms in the field of tablet computers. An empirical study reveals brand signals that have significant effects on purchase probabilities and are appropriate to overcome information asymmetries between start-ups and prospective customers.     

Organizational expatriates and self-initiated expatriates: who adjusts better to work and life in Japan?

Expatriates are often presented in the cross-cultural adjustment literature as a homogeneous, broad population. However, recent research that makes a distinction between organizational expatriates (OEs), those who are dispatched by their home companies to international posts, and self-initiated expatriates (SIEs), those who themselves make the decision to live and work abroad, has identified differences between the two groups. The present study compares the cross-cultural adjustment of these two groups of expatriates. Survey results of 179 expatriates in Japan show that SIEs are better adjusted to general aspects of their host country and interactions with host-country nationals than OEs. Suggestions for practice are provided.