The Lorenz curve as an archetype: A historico-epistemological study

In 1905, Max O. Lorenz suggested a simple method of measuring the concentration of wealth, based on the visual representation of income distribution. The Lorenz curve is now very popular and can be considered as canonical. However, the path leading from Lorenz's original work to contemporary interpretations of his graph has been anything but simple. We thus propose to trace the origin, the evolution and the various subsequent interpretations of the Lorenz graph. We argue that the original Lorenz curve has been shifted in epistemological status as well as inverted in graphic appearance.     

The αVG model for multivariate asset pricing: calibration and extension

Luciano and Semeraro proposed a class of multivariate asset pricing models where the asset log-returns are modeled by a multivariate Brownian motion time-changed by a multivariate subordinator which consists of the weighted sum of a common and an idiosyncratic subordinator. In the original setting, Luciano and Semeraro imposed some constraints on the subordinator parameters such that the multivariate subordinator is of the same subordinator sub-class as its components, leading to asset log-returns of a particular Lévy type. This restriction leads to marginal characteristic functions which are independent on the common subordinator setting. In this paper, we propose to extend the original model by relaxing the constraints on the subordinator parameters, leading to marginal characteristic functions which become a function of the whole parameter set. Under this generalized version, the volatility of the log-returns depends on both the common and idiosyncratic subordinator settings, and not only on the idiosyncratic one, which makes the generalized model more in line with the empirical evidence of the presence of both an idiosyncratic and a common component in the business clock. For the numerical study, we compare the calibration fit of both univariate option surfaces and market implied correlations for a period extending from the 2nd of June 2008 until the 30th of October 2009 under the two model settings and assess the calibration risk arising from different calibration procedures by pricing traditional multivariate exotic options. In particular we show that the decoupling calibration procedure fails to accurately replicate the market dependence structure under the original model for highly correlated asset returns and we propose an alternative methodology which rests on a joint calibration of the univariate and the dependence structure and which leads to an accurate fit of the market reality under both the generalized and original models.     

Evaluation in nonprofit organizations: A defense of perception as a managerial and scientific tool

Nonprofit organizations (NPOs) are subject to multiple pressures from their stakeholders. Stakeholders are at the same time the target of the organization's mission, the evaluators, the providers of resources and the demanders. This article is an essay that defends reciprocal perception as a managerial tool. The proposed intellectual path leads to the revalorization of stakeholder perception as a very useful practical and scientific tool for the management and study of NPOs. However, perception has limitations that the introduction of the concept of reciprocity can address.     

Exploring the Curvature of the Relationship Between HRM–CSR and Corporate Financial Performance

Journal of Business Ethics - This article contributes to the general literature on the relationship between corporate social performance and corporate financial performance, as well as to the...     

Towards a $$Delta $$Δ-Gamma Sato multivariate model

Review of Derivatives Research - The increased trading in multi-name financial products has paved the way for the use of multivariate models that are at once computationally tractable and flexible...     

How Robust is Laboratory Gift Exchange?

The gift-exchange game is a form of sequential prisoner's dilemma, developed by Fehr et al. (1993), and popularized in a series of papers by Ernst Fehr and co-authors. While the European studies typically feature a high degree of gift exchange, the few U.S. studies provide some conflicting results. We find that the degree of gift exchange is surprisingly sensitive to an apparently innocuous change—whether or not a comprehensive payoff table is provided in the instructions. We also find significant and substantial time trends in responder behavior.     

A preliminary comparison of the retail level effects of genetically modified food labelling policies in Canada and France

Most developed countries have adopted labelling policies for genetically modified (GM) food. In April 2004, Canada implemented a voluntary labelling policy for GM and non-GM food, while France adopted the European Union’s new extended mandatory labelling of GM food. I present the result of a qualitative survey of GM and non-GM food labels in supermarkets in Canada and France, five months after the introduction of the new policies. I find that there are almost no GM labelled products in France and non-GM labelled products in Canada. Each policy tends to crowd out the targeted label attribute. However, Canadian consumers can choose between GM and non-GM organic products, whereas there are only non-GM products in French supermarkets. Recent political developments in Quebec suggest that the labelling landscape may change in Canada, either with an increase in the number of non-GM products at the retail level or a transition towards a mandatory labelling policy like in France.     

Stochastic modelling of herd behaviour indices

This paper proposes different diffusion processes to model herd behaviour indices such as the Herd Behaviour Index (HIX). These models arise by combining popular mean-reverting processes with simple algebraic functions mapping the definition domain of the underlying mean-reverting process to the unit interval. The so obtained Itô processes preserve, to some extent, the mean-reverting trend of the underlying process while satisfying the fundamental properties of the so-called herd behaviour indices. In a numerical study, we calibrate the different model settings to time series data for a period spanning from January 2000 until October 2009 and investigate their ability to predict the future behaviour of herd behaviour indices.     

Banking crises,labor reforms,and unemployment

Using a sample of 97 countries spanning the period 1980–2008, we estimate that banking crises have, on average, a large negative impact on unemployment. This effect, however, largely depends on the flexibility of labor market institutions: while in countries with more flexible labor markets the impact of banking crises is sharper but short-lived, in countries with more rigid labor markets the effect is initially more subdued but highly persistent. These effects are even larger for youth unemployment in the short term, and long-term unemployment in the medium term. Conversely, large upfront, or gradual but significant, comprehensive market reforms have a positive impact on unemployment, albeit only in the medium term.