Articles scientifiques

An Optimal IPO Mechanism


Review of Economic Studies

janvier 2002, vol. 69, n°1, pp.117-146

Départements : Finance

We analyse the optimal Initial Public Offering (IPO) mechanism in a multidimensional adverse selection setting where institutional investors have private information about the market valuation of the shares, the intermediary has private information about the demand, and the institutional investors and intermediary collude. Theorem 1 states that uniform pricing is optimal (all agents pay the same price) and characterizes the IPO price in terms of conditional expectations. Theorem 2 states that the optimal mechanism can be implemented by a non-linear price schedule decreasing in the quantity allocated to retail investors. This is similar to IPO procedures used in the U.K. and France. Relying on French IPO data we perform a GMM structural estimation and test of the model. The price schedule is estimated and the conditions characterizing the optimal mechanism are not rejected

Bank Performance Around the Introduction of a Section 20 Subsidiary

M. Comett, E. ÖRS, H. Tehranian

The Journal of Finance

février 2002, vol. 57, n°1, pp.501-521

Départements : Finance, GREGHEC (CNRS)

As of 1987, commercial banks in the United States were allowed to establish Section 20 subsidiaries to conduct investment-banking activities. A concern of regulators was that these activities would result in a decrease in performance of commercial banks relative to the risk being undertaken. This paper examines the performance of commercial banks around the establishment of a Section 20 subsidiary. We find that Section 20 activities undertaken by banks result in increased industry-adjusted operating cash flow return on assets, due mainly to revenues from noncommercial-banking activities. Further, risk measures for the sample banks do not change significantly.

Employment protection, international specialization, and innovation


European Economic Review

2002, vol. 46, n°2, pp.375-395

Départements : Finance

We develop a model to analyze the implications of firing costs on incentives for R&D and international specialization. The key idea is that countries with a rigid labor market will tend to produce relatively secure goods, at a late stage of their product life cycle. Consequently, their researchers tend to specialize in 'secondary innovation' which improves existing products, rather than 'primary innovation' which introduces new products. This is roughly consistent with the observed pattern of R&D in Europe versus the U.S. Employment protection does not necessarily harm the country where it prevails, but typically reduces world welfare and the world number of goods

Entropy Densities With an Application to Autoregressive Conditional Skewness and Kurtosis

M. ROCKINGER, E. Jondeau

Journal of Econometrics

janvier 2002, vol. 106, n°1, pp.119-142

Départements : Finance

Mots clés : Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are given, we characterize the skewness–kurtosis domain for which densities are defined. This domain is found to be much larger than for Hermite or Edgeworth expansions. Last, we show how this technique can be used to estimate a GARCH model where skewness and kurtosis are time varying. We find that there is little predictability of skewness and kurtosis for weekly data

Equilibrium and welfare in markets with financially constrained arbitrageurs


Journal of Financial Economics

novembre-décembre 2002, vol. 66, n°2-3, pp.361-407

Départements : Finance, GREGHEC (CNRS)