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A model for interest rates with clustering effects
No full textInternational audienceWe propose a model for short-term rates driven by a self-exciting jump process to reproduce the clustering of shocks on the Euro overnight index average (EONIA). The key element of the model is the feedback eect between the absolute value of jumps and the intensity of their arrival process. In this setting, we obtain a closed-form solution for the characteristic function for interest rates and their integral. We introduce a class of equivalent measures under which the features of the process are preserved. We infer the prices of bonds and their dynamics under a risk-neutral measure. The question of derivatives pricing is developed under a forward measure, and a numerical algorithm is proposed to evaluate caplets and oorlets. The model is tted to EONIA rates from 2004 to 2014 using a peaks-over-threshold procedure. From observation of swap curves over the same period, we lter the evolution of risk premiums for Brownian and jump components. Finally, we analyze the sensitivity of implied caplet volatility to parameters dening the level of self-excitation
The direct and indirect effects of core and peripheral social capital on organizational performance
No full textThe attached pre-print version is slightly different from the published article. The article was previously entitled: "Where and How Much Does Social Capital Matter? Core and Peripheral Relational Stability as Determinants of Organizational Performance".International audienceIn this paper we adopt a core-periphery approach to specify the direct and indirect effects of social capital on organizational performance. We suggest that social capital deriving from stable task relationships between organizational members has a direct positive effect on organizational performance. Said effect depends, in both strength and functional form, on whether actors involved in stable dyads are located at the core or at the periphery of the organization. We also argue that core and peripheral social capital affect performance indirectly by moderating the organization’s ability to leverage its human capital to improve performance. Results from a 48-year study of the National Basketball Association support our arguments and bear important implications for strategic human resource practices and organizational performance in competitive settings
Corporate financial reporting in Qatar: a study of individual investors' assessment of annual reports
No full textInternational audienceIn this paper, an attempt is made to investigate a particular group of investors – namely individual investors' perceptions of corporate annual reports in Qatar. A total of 400 surveys were distributed to individual investors based in Qatar. Surveys were distributed over a period of two months. The response rate was 89% (356 returned surveys), with 313 usable questionnaires (78.25%). Findings show that annual reports represent a very important source of information for investors. Almost 67% of the respondents see annual reports as a very important source of information to assess company's performance and for investment decisions. Compared to other company's sources of information annual reports rank first. Similar to Al-Attar and Al-Khater (2008), investors rank the set of financial statements on the top. The balance sheet is ranked first. Income statement and cash flow statement are also important and ranked receptively third and second. Auditor's report comes in the fourth position. The results of this study comfort well the idea that the financial reporting environment in Qatar is evolving at the image of the country
Analyst recommendations and volatility in a rising, falling, and crisis equity market
No full textInternational audienceThe impact of analyst recommendations on equity market volatility is examined for the Greek market. Building on prior research showing an asymmetric impact of recommendations in rising and falling markets, this study extends the investigation to three market states, through including a crisis market period for Greece. Sell recommendations are shown to increase volatility, while the influence of buy recommendations depends on market state. Importantly, the crisis market period shows a marked decrease in the explanatory power of the model. A comparison with the German market is provided
Bank Deregulation, Consolidation and Stability: Evidence on U.S. M&A Centric Activity
No full textInternational audienceWe analyze whether and how bank deregulation relates to the M&A centric consolidation of U.S. banking industry. Using difference-in-difference approach on M&A activity of banks over a time span of 1990-2009, we find a positive and statistically significant effect of deregulation on bank consolidation in overall and functionally diverse M&A terms. However, geographically diverse M&A activity remains largely unaffected by bank deregulation. Importantly, these results are predominantly observed in a pre-crisis period analysis. We also confirm negative implications of deregulation and consolidation over the bank stability, thus supporting the popular narrative that holds bank deregulation partly responsible for the 2007 financial calamity
The Ludic Drive as Innovation Driver: Introduction to the Gamification of Innovation
No full textInternational audienceGamification has recently been receiving increased attention in corporate innovation and business research alike. In this article, we first outline the main streams of research on gamification in the creativity and innovation literature. We then introduce the selection of contributions to this special section by theoretically embedding them in their application contexts. Thus, referring to research fields as different as business model innovation, design thinking and crowdsourcing, we indicate theoretical challenges for future research on gamification, among the most important of which we count theoretical approaches to the question of whether and how organizations actually can play with persons
The Tour de France: corporate sponsorships and doping accusations
No full textInternational audiencePurpose – The purpose of this paper is show how sponsors in a major sponsored event may react when facing a potential doping affair. The Tour de France cycling competition is a premier global sporting event – broadcast worldwide – and thus attracts very significant sponsorship. Cycling teams are named after their team sponsors. Recent global news has, however, shown that there are doping scandals involved in this event which impact both teams and team sponsors. When a doping scandal occurs in a team, the sponsors have to react rapidly and expeditiously to protect their brand reputation. Design/methodology/approach – To ascertain potential reactions, team sponsors are interviewed in depth and their reactions to a doping affair assessed. The sponsors represent different brands and their commitment as team sponsors also varies. Findings – Research shows that sponsors react similarly when a doping scandal occurs in their team and adopt similar communication strategies in that situation. While best practice is apparent, doping policies put into place by sponsors nevertheless differ. These practices are more than just preventative in nature, i.e. they anticipate and try to prevent doping affairs. Practical implications – The teams and sponsors are engaged in a long-term relationship to build brand heritage. Undoubtedly, doping is taken very seriously, as consequences can be severe. In this sense, the sport, the teams and the sponsors share the same vision and objectives. Originality/value – Team sponsors reactions while facing a potential doping affair have not yet been assessed. Best practices become visible which might serve as guidelines in other global sporting events, also generating significant sponsorships
Behavioral influences in non-ferrous metals prices
No full textInternational audienceRecent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders would drive any influence and these traders were mainly absent from the professionally traded markets. This paper extends this research to the non-ferrous metals markets and demonstrates similar influences on prices. It is shown that psychological price barriers, where there is predictable trading patterns around psychologically important price points, are important
The cash is in the medium, not in the machine: Toward the golden moments of 3D printing
No full text"Abstract: Since 3D printing technology has been available as early as in the early 19th century, the present article start from the question why this radical and probably disruptive technology has been observed as only incremental innovation for so long time. In answering this question, we assume that this incrementalization of the supposed key to the next industrial revolution occurred due to circumstances that complicated and complexed the observation, with the most important of which being that 3D printers do not print on the medium, but rather print the medium, which emerges as form. In this article, this paradox is unfolded in the form of a form-theoretical theory statement on the inherently paradox nature of observation, subsequent to which 3D printing can be observed as both form and medium. In exploring this paradox, we will show that suppliers of 3D printing solutions currently try to sell 3D printing as form, whereas demanders observe 3D printing as medium. In focussing the latter side of the distinction, we finally suggest that the key to successful 3D printing business models will be in solutions that relate observations of the technological multifunctionality of 3D printing to a social multifunctionality lens. [...]" Steffen Rot