Cahiers de recherche

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Départements : Droit et fiscalité, GREGHEC (CNRS)

This chapter provides a detailed analysis of the economic, legal and public policy rationales for the application of taxes and other fiscal measures on health-related commodities. The motivation for such taxes has been more often linked to the fiscal revenues generated than to their potential public health benefits. However, especially in more recent times, an increased emphasis has been placed on the latter by many governments, as evidence emerged of the adverse public health, social and economic consequences of the consumption of certain commodities.An increasing number of governments are seeking to expand their use of fiscal measures to promote healthier behaviours, not only by increasing tax rates on commodities such as tobacco products and alcoholic beverages, but also by exploring the scope for taxing selected foods and non-alcoholic beverages as a way to make people’s diets healthier. A number of countries apply different tax rates to certain food categories, and some have specific taxes on foods high in salt, sugar or fat, and on sugary drinks. Only in the past two years, countries such as Denmark, Hungary, Finland and France introduced taxes on various foods and non-alcoholic beverages, and many more have been debating the possible use of similar measures. The key public health rationale for the use of taxes on health-related commodities lies in their ability to change people’s consumption behaviours. Additional health benefits may derive from the role possibly played by taxes as incentives to product reformulation. For instance, in 2012, many beer producers in the United Kingdom decreased the alcohol content of their brands sold in the United Kingdom by 0.2% to avoid an increase in duties. As with other attempts to use taxes to prevent some adverse outcome (e.g. environmental taxes), a key issue becomes the proximity of the tax point to the behaviour being targeted. The closer is the tax point to the behaviour, then (other things being equal) the more likely is the tax to have a beneficial impact. Excises introduced for public health purposes illustrate the dilemma clearly. Although for administrative reasons the tax may be levied earlier in the supply chain, the tax point is generally the purchase of the product by a consumer. Tobacco is always harmful, in whatever way and quantity it is consumed (although the harm will be even greater in an environment which results in secondary smoking). The relationship is less strong with alcohol, because the quantity consumed and the manner in which it is consumed (e.g. regular vs. binge drinking) determines the harm which may be caused. This relationship is even looser with diet-related taxes. This does not mean that taxation is an inappropriate instrument, but rather that, in addition to the harms discouraged by the tax, the welfare of a broader group of consumers will be affected.

Mots clés : Taxation, Public Health, Fat Tax, Risk Regulation, Lifestyle Risk, Non Communicable diseases, EU Law, WTO law, Paternalism, Nudge

Départements : Finance, GREGHEC (CNRS)

This paper presents a model of trading in unique durable assets that provide idiosyncratic payoffs, such as luxury real estate and collectibles. Individuals make purchase and sale decisions in an auction market based on their private use value of the asset and on the expected resale revenues. Two types of buyers emerge in equilibrium in the benchmark case of a stationary economy. Individuals with a relatively strong taste for the asset are willing to pay a high price and sell only when hit by a liquidity shock. By contrast, those who derive little pleasure from ownership try to resell quickly at a profit if winning an auction despite their low bids. As a result, holding periods and gross financial returns are negatively correlated. In an economy with business cycles, speculative activity increases in expansions, leading to a positive correlation between prices and voluntary sales volume. The empirical predictions of our model find support in historical art sales data. Our paper also highlights sample selection issues with return estimates for real assets with a private-value component

Mots clés : auctions, durable goods, endogenous trading, private value, speculation

Départements : Finance, GREGHEC (CNRS)

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false positive, or trading after processing the signal, at the risk that prices already reflect their information. The number of speculators who choose to trade fast increases with news reliability and decreases with the cost of fast trading technologies. We derive testable implications for the effects of these variables on (i) the value of information, (ii) patterns in returns and trades, (iii) the frequency of price reversals in a stock, and (iv) informational efficiency. Cheaper fast trading technologies simultaneously raise informational efficiency and the frequency of "mini-flash crashes": large price movements that revert quickly.

Mots clés : News, High-Frequency Trading, Price Reversals, Informational Efficiency, Mini-Flash Crashes

Départements : Comptabilité et Contrôle de Gestion, GREGHEC (CNRS)

Drawing on a framework of deinstitutionalization, this study explores the abandonment of budgeting through a multiple-case study of four companies. The findings illustrate how a number of antecedents to deinstitutionalization acted in each setting and show that abandonment was only achieved through skillful agency by dominant insiders to construct the need and manage for change. In addition, an interesting finding of the study is that two of the four companies reversed the deinstitutionalization and re-introduced traditional budgeting. This is explained by highlighting the role of remnants of formerly institutionalized practices and by demonstrating the importance of administrative and cultural controls which can support the abandonment of a central control practice in the first place. Overall, this research extends previous studies of deinstitutionalization by analyzing a taken-for-granted practice at the micro level and by giving a more agentic account of its processes.

Mots clés : deinstitutionalization; budgeting; budget abandonment; Beyond Budgeting

Départements : Comptabilité et Contrôle de Gestion, GREGHEC (CNRS), Finance

We examine the effect of dispersion in a firm's existing debt on the contract terms of newly issued loans. We find that new loans of firms whose existing debt is more dispersed among different types of lenders include more covenants and default clauses and are more likely to be collateralized. These findings provide evidence that new lenders seek protection from potential conflicts among different types of creditors by including additional contract terms in the loan agreements. Consistent with the notion that conflicts between different types of lenders matter most in case of default and are aggravated by information asymmetries, we further find that the effect of creditor dispersion is stronger for firms with high default risk and more pronounced for firms with low accounting quality. Finally, we provide evidence for a similar effect of creditor dispersion on the contract terms of newly issued bonds.

Mots clés : Creditor Dispersion, Debt Contract Terms, Debt Capital Structure

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

We study portfolio allocation in the international financial market when investors exhibit ambiguity aversion towards assets issued in foreign locations. Entrepreneurs located in each country have access to a risky technology and want to attract capital. We characterize contracts issued by firms in such an environment. Increases in the variance of the risky production process causes firms to increase the variable payment (equity) offered to investors. On the other hand, increases in investor ambiguity lead to less risk-sharing. Entrepreneurs located in countries with low levels of domestic wealth issue assets with a higher fixed payment and a lower risky payment. As a result, they are exposed to higher volatility per unit of consumption as they finance themselves relatively more through debt than equity. An increase in ambiguity or ambiguity aversion that characterizes crises may explain flight of capital to capital-abundant countries – dubbed sometimes as “flight to quality”.

Mots clés : ambiguity aversion, risk aversion, debt/equity choice, international capital flows, international insurance, home bias

Départements : Stratégie et Politique d’Entreprise, GREGHEC (CNRS)

A central theme of economic sociology has been to highlight the complexity and diversity of real-world markets, but many network models of economic social structure ignore this feature and rely instead on stylized one-dimensional characterizations. Here, we return to the basic insight of structural diversity in economic sociology. Using the Indian interorganizational ownership network as our case, we discover a composite – or “hybrid” – model of economic networks that combines elements of prior stylized models. The network contains a disconnected periphery conforming closely to a “transactional” model; a semi-periphery characterized by small, dense clusters with sporadic links, as predicted in “small world” models; and finally a nested core composed of clusters connected via multiple independent paths. We then show how a firm’s position within the meso-level structure is associated with demographic features such as age and industry, and differences in the extent to which firms engage in multiplex and high value exchanges

Mots clés : Network, Organization, Structure

Départements : Finance, GREGHEC (CNRS)

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.

Mots clés : Banking Regulation, Systemically Important Financial Firms, Marginal Expected Shortfall, SRISK, CoVaR, Systemic vs. Systematic Risk

Départements : Marketing, GREGHEC (CNRS)

This web appendix has three main purposes. First, we provide a more or less 'stand-alone' technical appendix that describes the estimation algorithm for the proposed attribute model using Markov Chain Monte Carlo techniques (sections A1 and A2). The reversible jump (RJ) algorithm (Green, 1995) is also described in detail for the (vector) finite mixture regression model. We first give a discussion of priors and a general description of the reversible jump algorithm; then we present details of the estimation schema for the standard finite mixture regression model. We subsequently extend these details for the attribute model. As we will show, the algorithms and equations for the attribute model are similar to the results for the vector model due to a simple transformation. This similarity makes the coding of the attribute model straightforward once computer code for the vector model (with reversible jump steps) is developed. Furthermore, we discuss how the algorithms should be modified to estimate a standard choice model (e.g. a probit model). Second, we briefly discuss in section A3 the benchmark models for heterogeneity considered in the main document and their implementation, including the mixture of normals model (Allenby et al. 1998, Lenk and DeSarbo 2000) and the Dirichlet Process Priors (Ansari and Mela 2003, Kim et al. 2004). Third, we present the results of an additional simulation experiment where the traditional (vector) finite mixture model is used to generate the data in section A4, which augments the Monte Carlo experiment in the main document.

Mots clés : heterogeneity, mixture models, hierarchical Bayes, conjoint analysis, reversible jump MCMC, segmentation

Départements : Marketing, GREGHEC (CNRS)

Modeling consumer heterogeneity helps practitioners understand market structures and devise effective marketing strategies. In this research we study finite mixture specifications for modeling consumer heterogeneity where each regression coefficient has its own finite mixture, that is, an attribute finite mixture model. An important challenge of such an approach to modeling heterogeneity lies in its estimation. A proposed Bayesian estimation approach, based on recent advances in reversible jump Markov Chain Monte Carlo (MCMC) methods, can estimate parameters for the attribute-based finite mixture model, assuming that the number of components for each finite mixture is a discrete random variable. An attribute specification has several advantages over traditional, vector-based, finite mixture specifications; specifically, the attribute mixture model offers a more appropriate aggregation of information than the vector specification facilitating estimation. In an extensive simulation study and an empirical application, we show that the attribute model can recover complex heterogeneity structures, making it dominant over traditional (vector) finite mixture regression models and a strong contender compared with mixture-of-normals models for modeling heterogeneity.

Mots clés : Segmentation, Mixture Models, Hierarchical Bayes, Conjoint Analysis, Reversible Jump MCMC