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21.
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this paper, we consider a limit order book model that allows for time‐dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propose a trading‐dependent spread that increases when market orders are matched against the order book. In this model, no price manipulation occurs and the optimal strategy is of the wait region/buy region type often encountered in singular control problems. In a second model, we assume that there is no spread in the order book. Under this assumption, we find that price manipulation can occur, depending on the model parameters. Even in the absence of classical price manipulation, there may be transaction triggered price manipulation. In specific cases, we can state the optimal strategy in closed form. 相似文献
22.
Antje Mahayni John G.M. Schoenmakers 《Journal of Economic Dynamics and Control》2011,35(11):1880-1897
Recently, there is a growing trend to offer guaranteed products where the investor is allowed to shift her account/investment value between multiple funds. The switching right is granted a finite number of times per year, i.e. it is American style with multiple exercise possibilities. In consequence, the pricing and the risk management is based on the switching strategy which maximizes the value of the guarantee put-option. We analyze the optimal stopping problem in the case of one switching right within different model classes and compare the exact price with the lower price bound implied by the optimal deterministic switching time. We show that, within the class of log-price processes with independent increments, the stopping problem is solved by a deterministic stopping time if (and only if) the price process is in addition continuous. Thus, in a sense, the Black and Scholes model is the only (meaningful) pricing model where the lower price bound gives the exact price. It turns out that even moderate deviations from the Black and Scholes model assumptions give a lower price bound which is really below the exact price. This is illustrated by means of a stylized stochastic volatility model setup. 相似文献
23.
Based on an improved and extended database, the Establishment History Panel, we extend the analysis of Fritsch and Weyh [Small
Business Economics 27(2), 245–260 (2006)] by investigating the development of employment in German start-up cohorts for the
period 1976 to 2004. We confirm the typical pattern found in start-up cohorts: an initial increasing number of employees that
is soon followed by a decreasing number. We also provide some of the first evidence for the “liability of aging” phenomena
in Germany. Older firms face a relatively high risk of exit. We find that most entries with relatively large initial employment
grow substantially in the first two decades. However, these businesses suffer from a considerable employment decline after
25 years. 相似文献
24.
In an uncertain volatility model where only the stock and the money market account are traded, the upper price bound of a
European claim is given by the solution of a Black-Scholes-Barenblatt equation. If an additional hedge instrument is available,
the price bound can be tightened. This is also true if the set of admissible strategies is restricted to tractable strategies,
which are defined as sums of Black-Scholes strategies. We study the structure of both strategies, the general strategies and
the tractable strategies, when an additional convex instrument is available. For a call and a bullish vertical spread, we
give closed-form solutions for the optimal tractable hedge when the additional instrument is a call option. We show that the
position in the additional convex claim as well as the reduction in the price bounds allow to capture the amount of convexity
risk a claim is exposed to. 相似文献
25.
Institutional change at supranational, European Union level affects national and firm level institutions in various ways. This article traces effects of liberalisation measures in the airport industry enacted in two airport firms in Germany. The study, based on qualitative empirical research, found that EU liberalisation facilitated company creation of subsidiaries (subsidiarisation) and elevated shareholder interest in corporate governance. These factors affected institutional practices and cultural norms within the German industrial context that in turn influenced significant alterations in employment and workplace relations. Considerable disruption of the German social partnership model of corporate governance and industrial relations was observed. However, in addition to patterns of convergence towards neoliberal practices and outcomes frequently observed in Anglo‐Saxon systems, the study found some elements of effective retention of cultural institutional resources of the German model. Both ‘path departure’ and social embeddedness appear to coexist. 相似文献
26.
Contrary to understandings that treat ethical considerations and economic thinking as separate if not antagonistic issues, we advocate a holistic view that links business ethics to consequentialist economic concepts and their concern about how scarce means should be used for the attainment of (given) ends. We believe that business ethics students will profit from a development of business ethics theory that facilitates an outcome-based evaluation of business strategies anchored in the economic concepts of externalities, game theory, equilibria, efficiency, transaction costs, and diminishing marginal utility. We outline how moral judgments about (socially irresponsible) business behaviors, which often lack theoretical grounding and self-critical examination, can be made both more consistent and transparent through a systematic application of these theoretical concepts. We furthermore point out that, in this evaluative exercise, business ethics analysts should make all assumptions explicit to meet their task of facilitating informed public debates and informed moral choices. 相似文献
27.
Robert J. Breitenecker Rainer Harms Antje Weyh Daniela Maresch Sascha Kraus 《Entrepreneurship & Regional Development》2017,29(1-2):71-93
AbstractRegional determinants of new firm formation are of interest to researchers and policymakers. In the analysis of new firm formation, most studies use econometric approaches that mask intra-unit variations, not recognizing counterbalancing and dilution effects as a result. Recent advances in spatial statistics such as Geographically Weighted Regression (GWR) take local variations into account. However, these approaches operate only on a bivariate level, making it impossible to detect the homogenous parts of the area under examination with regard to a number of relationships between new firm formation and its determinants. Based on a sample of 412 German regions, we apply GWR and subsequent graph-partitioning clustering to identify multi-relationally homogeneous sub-areas. Being that the results suggest a four-cluster solution, ‘one size fits all’ policies and premature unit zoning can be called into question. 相似文献
28.
We develop an equilibrium model for origination fees charged by mortgage brokers and show how the equilibrium fee distribution depends on borrowers' valuation for their loans and their information about fees. We use noncrossing quantile regressions and data from a large subprime lender to estimate conditional fee distributions. Given the fee distribution, we identify the distributions of borrower valuations and informedness. The level of informedness is higher for larger loans and in better educated neighborhoods. We quantify the fraction of the surplus from the mortgage that goes to the broker, and how it decreases as the borrower becomes more informed. 相似文献
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How Small Business Managers’ Age and Focus on Opportunities Affect Business Growth: A Mediated Moderation Growth Model
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Research on business growth has been criticized for methodological weaknesses. We present a mediated moderation growth model as a new methodological approach. We hypothesized that small business managers’ age negatively affects business growth through focus on opportunities. We sampled 201 small business managers and obtained firm performance data over 5 years, resulting in 836 observations. Growth modeling showed systematic differences in firm performance trajectories. These differences could be explained by modeling focus on opportunities as a mediator of the relationship between small business managers’ age and business growth. The study illustrates how mediation models can be tested using growth modeling. 相似文献