Diversity and arbitrage in a regulatory breakup model

In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We explore a method of imposing diversity on market models by a type of antitrust regulation that is compatible with EMMs. The regulatory procedure breaks up companies that become too large, while holding the total number of companies constant by imposing a simultaneous merge of other companies. The regulatory events are assumed to have no impact on portfolio values. As an example, regulation is imposed on a market model in which diversity is maintained via a log-pole in the drift of the largest company. The result is the removal of arbitrage opportunities from this market while maintaining the market’s diversity.     

The influence of transformational leadership and organizational identification on intrapreneurship

Managers play a vital role in encouraging and supporting the initiatives of individual employees to explore new opportunities, to develop new products or to improve work procedures for the benefit of the organization. This study examines the influence of manager leadership styles on employee intrapreneurial behavior and the mediating role of organizational identification. Partial Least Squares modeling was used to analyze the data from 186 employees belonging to several Spanish public and private organizations. The results show that transformational leadership has a positive impact on employee intrapreneurial behavior, whereas transactional leadership negatively influences it. Furthermore, these effects are found to be partially mediated by organizational identification.     

Regularization of nonparametric frontier estimators

In production theory and efficiency analysis, we estimate the production frontier, the locus of the maximal attainable level of an output (the production), given a set of inputs (the production factors). In other setups, we estimate rather an input (or cost) frontier, the minimal level of the input (cost) attainable for a given set of outputs (goods or services produced). In both cases the problem can be viewed as estimating a surface under shape constraints (monotonicity, …). In this paper we derive the theory of an estimator of the frontier having an asymptotic normal distribution. It is based on the order-m$m$ partial frontier where we let the order m$m$ to converge to infinity when n→∞$n\to \infty$ but at a slow rate. The final estimator is then corrected for its inherent bias. We thus can view our estimator as a regularized frontier. In addition, the estimator is more robust to extreme values and outliers than the usual nonparametric frontier estimators, like FDH and than the unregularized order-_mn$m_n$ estimator of Cazals et al. (2002) converging to the frontier with a Weibull distribution if _mn→∞$m_n\to \infty$ fast enough when n→∞$n\to \infty$. The performances of our estimators are evaluated in finite samples and compared to other estimators through some Monte-Carlo experiments, showing a better behavior (in terms of robustness, bias, MSE and achieved coverage of the resulting confidence intervals). The practical implementation and the robustness properties are illustrated through simulated data sets but also with a real data set.     

Iterative algorithm for non parametric estimation of the instrumental variables quantiles

This paper proposes a simple algorithm for the numerical computation of the non parametric IV quantile estimation. This algorithm is based on the Landweber iterations for solving a nonlinear integral equation. The paper is illustrated by numerical simulations.     

Do Store Image and Price Perception Matter to Store Brand Equity?

Store brands account for 41% of the Spanish market share in 2011, and a further increase is expected in the next year due to the economic crisis, which makes up an increasingly competitive market. Previous literature suggests that price and store image are antecedents with a relevant influence on store brand equity. Our study aims to analyze if the store image and price perception matter to store brand equity. A quantitative study was carried out obtaining a total of 362 valid responses. Results show that both variables have a positive influence on store brand equity, store image being the more relevant factor. The study is of great interest for retailers who wish to increase the value proposition.