Linking environmental management practices and organizational citizenship behaviour for the environment: a social exchange perspective

This paper reports a field study on the relationship between environmental management practices and organizational citizenship behaviour for the environment via exchange process (i.e. perceived superior support, perceived organizational support and employee commitment). Results from a survey conducted with 407 employees from several organizations suggest that employee is more likely to make extra environmental efforts if he/she perceives that the organization supports his/her supervisor by granting him/her the decision-making latitude and necessary resources to engage in pro-environmental behaviour.     

The core-periphery model: A note on the existence and uniqueness of short-run equilibrium

We consider the core-periphery model [P. Krugman, Increasing returns and economic geography, Journal of Political Economy 199 (1) (1991) 483–499]. The nature and stability of the possible steady states of the model have been made progressively precise; [M. Fujita, P. Krugman, A. Venables, The Spatial Economy. Cities, Regions and International Trade, MIT Press, Cambridge, 1999; R. Baldwin, R. Forslid, Ph. Martin, G. Ottaviano, F. Robert-Nicoud, Economic Geography and Public Policy, Princeton Univ. Press, 2003]. In that model as well as in all the new economic geography models that have been derived from it, the short-run (instantaneous) equilibrium is implicitly determined by the current labor distribution across regions. The numerical computations used so far to determine the short-run equilibrium, tend to suggest its existence. In this paper, an existence and uniqueness proof of short-run equilibrium is provided.     

Curbing cream-skimming: Evidence on enrolment incentives

Using data from a large, U.S. federal job training program, we investigate whether enrolment incentives that exogenously vary the ‘shadow prices’ for serving different demographic subgroups of clients influence case workers' intake decisions. We show that case workers enroll more clients from subgroups whose shadow prices increase but select at the margin weaker-performing members from those subgroups. We conclude that enrolment incentives curb cream-skimming across subgroups leaving a residual potential for cream-skimming within a subgroup.     

Conditional moment models under semi-strong identification

We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong identification, and does not rely on the choice of a user-chosen parameter, such as the number of instruments or some smoothing parameter. Heteroskedasticity-robust inference is possible through Wald testing without prior knowledge of the identification pattern. Simulations show that our estimator is competitive with alternative estimators based on many instruments, being well-centered with better coverage rates for confidence intervals.     

Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

I analyze the optimal intertemporal portfolio problem of an investor who worries about model misspecification and insists on robust decision rules when facing a mean-reverting risk premium. The desire for robustness lowers the total equity share, but increases the proportion of the intertemporal hedging demand. I present a methodology for calculation of detection-error probabilities, which is based on Fourier inversion of the conditional characteristic functions of the Radon-Nikodym derivatives. The quantitative effect of robustness is more modest than in i.i.d. settings, because model discrimination between the benchmark and the worst-case alternative model is easier, as indicated by the detection-error probabilities.     

DNA：解开埃及古文明的密钥

<正>今年,埃及官方宣布用DNA技术确认了古时最著名的女法老——哈特谢普苏特的木乃伊。消息一出,立即震惊了西方考古界。从一具木乃伊身上获取合用的DNA信息非常困难,埃及科研小组花了将近一年的时间来整合木乃伊信息。最终具有决定性的"物证"——牙齿,暴露了哈特谢普苏特的身份。DNA技术开始彰显威力,与此同时,开罗南部的福斯塔特     

Refining the least squares Monte Carlo method by imposing structure

The least squares Monte Carlo method of Longstaff and Schwartz has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too many regressors leads to biased results. This is so particularly when considering multiple risk factors or when simulation is computationally expensive and hence relatively few paths can be used. In this paper we show that by imposing structure in the regression problem we can improve the method by reducing the bias. This holds across different maturities, for different categories of moneyness and for different types of option payoffs and often leads to significantly increased efficiency.     

The valuation of R&D expenditures in Japan

The difficulty to measure the long‐term benefits of R&D expenditures and the distortions induced by R&D accounting suggest that R&D‐intensive firms could be undervalued. Using several methods commonly applied to detect the abnormal returns associated with mispricing, we find little evidence that the value of R&D investments has been underestimated in the Japanese stock market. Given that R&D accounting rules in Japan are similar to those in United States, the results appear to reject the hypothesis that accounting biases are the cause of the undervaluation of R&D investments observed in the United States.     

Individual stock-option prices and credit spreads

This paper introduces measures of volatility and jump risk that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain useful information for credit spreads and improve on historical volatilities when explaining the cross-sectional and time-series variation in a panel of corporate bond spreads. Both the level of individual implied volatilities and (to a lesser extent) the implied-volatility skew matter for credit spreads. Detailed principal component analysis shows that a large part of the time-series variation in credit spreads can be explained in this way.     

Solving Singular Control from Optimal Switching

This report summarizes some of our recent work (Guo and Tomecek, SIAM J Control Optim 47(1):421–443, 2008; A class of singular control problems and smooth fit principle, 2008) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.