Archive ouverte de l'ESSEC Business School
Not a member yet
1344 research outputs found
Sort by
The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio
No full textInternational audiencePurpose The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio Methodology / approach We use a Monte Carlo simulation framework to simulate a real estate assets cash-flows in which lease structures (rents indexation patterns overall lease duration and break options) are explicitly taken into account. We assume that a tenant exercises his/her option to break a lease if the rent paid as higher than the market rental value of similar properties. We also model vacancy duration stochastically using Poisson's law. Finally capital values and market rental values are simulated using specific stochastic processes. and are also assumed to be correlated. We derive the optimal holding period for the asset as the value that maximises its discounted value. which is the sum of the discounted free cash flows and the discounted terminal Findings We demonstrate that. consistent with existing capital markets literature and real estate business practice. break-options in leases can dramatically alter optimal holding periods for real estate assets and portfolios by extension. We show that. everything else being equal. shorter lease durations. higher market rental value volatility. increasing negative rental reversion. higher vacancy duration. more break options. all tend to decrease the optimal holding period of a real estate asset. The converse is also true. Practical implications Practitioners are insights as well as a practical methodology for determining the ex-ame optimal holding period for an asset or a portfolio based on a number of market and asset specific parameters including the lease structure. Originality / value The originality of the paper derives from taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify
Inverse chromatic number problems in interval and permutation graphs
No full textInternational audienceGiven a graph G and a positive integer K, the inverse chromatic number problem consists in modifying the graph as little as possible so that it admits a chromatic number not greater than K. In this paper, we focus on the inverse chromatic number problem for certain classes of graphs. First, we discuss diverse possible versions and then focus on two application frameworks which motivate this problem in interval and permutation graphs: the inverse booking problem and the inverse track assignment problem. The inverse booking problem is closely related to some previously known scheduling problems; we propose new hardness results and polynomial cases. The inverse track assignment problem motivates our study of the inverse chromatic number problem in permutation graphs; we show how to solve in polynomial time a generalization of the problem with a bounded number of colors
Un indice de mesure du collaboratif client-fournisseur
No full textInternational audienceCet article présente un outil de mesure du collaboratif dans les relations client-fournisseur : le PEAK Collaborative Index © (PCI). Fondé sur les bases théoriques des normes transactionnelles collaboratives et des approches philosophiques sur les vertus cardinales de justice, de courage, de prudence et de tempérance, le PCI a été testé auprès de près de 300 entreprises engagées dans des relations collaboratives. Il révèle l'importance de vertus propédeutiques comme le respect et la courtoisie des personnes mais aussi des comportements inter-organisationnels non-opportunistes ancrés dans la recherche de justice et la générosité. 1 Les travaux présentés dans le présent article sont issus du programme de recherche du projet PEAK (Purchasing European Alliance for Knowledge) destiné à développer les relations collaboratives clients-fournisseurs. Les auteurs remercient Thésame, les entreprises adhérentes et les financeurs institutionnels du projet PEAK : le Fonds pour l'Innovation et l'Industrie (F2I), l'UDIMERA, le Conseil Régional Rhône-Alpes, le Conseil Général de la Haute-Savoie et le Pôle de compétitivité Mont-Blanc Industries
Leadership beyond the Tipping Point: toward the Discovery of Inversions and Complementary Hypotheses
No full textLeadership theories often include a contingency effect where the relationship between two or more variables is normally theorized to be monotonic, i.e., that it has a generally accepted direction—positive or negative—across the full range of the contingency variable. Most examinations of contingencies estimate how the monotonic relationship changes at mean, or near mean, levels of the moderator variable. We push the logic of moderation further to explore whether, for extra-ordinary values of the moderator, the effect may actually become non-monotonic, e.g., invert by moving from positive to negative in slope (or vice versa). Discovering such inversion effects in models of leadership would provide a deeper understanding of the operation and boundaries of theories, thereby calling for refinements of underlying theoretical assumptions. Using an innovative inductive approach, we search the leadership literature and find studies where extra-ordinary moderator values signal a potential inversion effect. We narrow onto two example leader-member exchange (LMX) studies to inductively theorize the mechanisms creating the inversion. We then generalize the logic of this mechanism to propose new theory for why such inversions might be occurring in a wider range of phenomenon beyond LMX, and discuss the associated implications for leadership and organizational theory
Ritualization and the Process of Knowledge Transfer
No full textWe analyze interactions among members of rural communities in Ghana and agriculture development specialists. We find that these participants in the knowledge transfer process are separated by deep knowledge boundaries, as well as by diverging worldviews (one centered on community relations, the other on market relationships). In this context, knowledge transfer is enabled through ritualized interactions and in particular by the use of two types of ritualization strategies: marking strategies (visiting dignitaries and events, praying, gift-giving) and recurring strategies (performing, fabletelling, affirming community values). These findings show that ritualization – understood as a way of acting that distinguishes particular situations from other, usually more mundane, activities – allows encounters between opposing orders and thus enables knowledge transfer. We suggest that this is the case because ritualization speaks to people’s aspirations to change; it is morally redemptive; and it bridges across groups. Ritualized interactions facilitate knowledge transfer by creating a context for learning during mundane interactions, by fostering mechanisms for peer-learning and teaching and by triggering reverse learning on behalf of knowledge workers from rural communities. Our study contributes to the literature on organizational rituals, learning in strong culture contexts, and economic sociology
La mesure des émotions par la complémentarité des outils : perspectives nouvelles
No full textInternational audienc
New results for tails of probability distributions according to their asymptotic decay
No full textThis paper provides new properties for tails of probability distributions belonging to a class defined according to the asymptotic decay of the tails. This class contains the one of regularly varying tails of distributions. The main results concern the relation between this larger class and the maximum domains of attraction of Fréchet and Gumbel
Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales
No full textThe paper explains how stock price of oil companies depends on oil futures market price. The model is applied to major oil company stocks: Shell, Exxon Mobil, BP, Total and Chevron. The topic is original because it focuses on short‐ and long‐term relationships with vector error correction models (VECM) with changing regimes.To get structural model between stock price of oil companies and oil futures market price, investigation is oriented to cointegration link with autoregressive vector (VAR). Research is conducted in using monthly data from November 1989 to June 2011. The stationarity of times series is tested with Dickey‐Fuller unit root test, Philips‐Perron and KPSS. The approaches of Engle‐Granger and Johansen do not enable to find long‐term relationship over the overall period.However, cointegration with 5 changing regimes is found. The Bai and Perron approach enables to find 5 breakpoints. In order to identify cointegration relationships with changing regimes, the Gregory and Hansen method is used and results show cointegration with changing regimes. Vector error correction (VEC) models associated to cointegration with changing regimes are estimated. VEC looks at the dynamics on the short‐term.Then economic and financial analysis is done and choc analysis is implemented with impulse response function. Furthermore, ARCH‐LM test shows the existence of an ARCH vectorial model.The paper shows how recent cointegration techniques are useful in including endogenous structural breaks leading to changing regimes.Further investigations could be done to estimate whether one could be able to hedge commodity price fluctuations in using stocks whose markets are a lot more liquid.This modeling will be extended by short‐term construction of models incorporating changing regimes with Markovian approach MS‐VAR and MS‐VECM.La recherche explique comment le cours des actions des compagnies pétrolières dépend du prix à terme du pétrole. La modélisation est appliquée aux principales compagnies pétrolières Shell: Exxon Mobil, BP, Total et Chevron. La recherche est originale car elle porte sur les relations à court et long terme à partir de modèles à correction d'erreur vectorielle (VECM) avec changements de régime.La modélisation structurelle, entre le cours des actions des compagnies pétrolières et le prix à terme du pétrole, est menée à partir de modèles de d’autorégression vectorielle (VAR) en lien avec la cointégration. La recherche est conduite en utilisant des données mensuelles de novembre 1989 à juin 2011. La stationnarité des séries temporelles est testée avec les tests de Dickey‐Fuller, Philips‐Perron et KPSS. Les approches d’Engle‐Granger et Johansen ne permettent pas de trouver une relation de long terme sur toute la période.Cependant, l’approche de Bai et Perron permet d’identifier 5 changements de régime et de modéliser des relations de cointégration différentes sur ces sous‐périodes. Afin d'identifier les relations de cointégration à changements de régime, la méthode Gregory et Hansen est utilisée et les résultats montrent une cointégration avec des changements de régime. Les VECM associés à la cointégration avec changements de régime sont estimés. Le VECM permet de comprendre la dynamique sur le court terme. Puis l'analyse économique et financière est faite. L’analyse de choc est mise en oeuvre avec la fonction de réponse impulsionnelle. De plus, le test ARCH‐LM montre l'existence d'un modèle ARCH vectoriel.La recherche indique comment les dernières techniques de cointégration sont utiles notamment en incluant des ruptures structurelles endogènes menant à des évolutions de régimes.D'autres recherches seront effectuées pour estimer si l'on peut couvrir les risques de fluctuations des prix des matières premières en utilisant les cours boursiers des entreprises cotées dans des marchés beaucoup plus liquides.Cette modélisation sera complétée par la construction de modèles de court terme incorporant des changements de régime avec l’approche markovienne MS‐VAR et MS‐VECM
