Cahiers de recherche

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Départements : Finance, GREGHEC (CNRS)

The regulatory use of banks' internal models makes capital requirements more risk-sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage arbitrage by auditing risk models, and implements capital ratios less risk-sensitive than in the first-best to reduce auditing costs. The optimal capital ratios of a national supervisor can be different from those set by supranational authorities, in which case the supervisor optimally tolerates biased models. I discuss the empirical implications of this "hidden model" problem, and policy answers such as leverage ratios and more reliance on backtesting mechanisms.

Mots clés : basel risk-weights, internal risk models, leverage ratio, supervisory audits


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

Stochastic independence has a complex status in probability theory. It is not part of the definition of a probability measure, but it is nonetheless an essential property for the mathematical development of this theory. Bayesian decision theorists such as Savage can be criticized for being silent about stochastic independence. From their current preference axioms, they can derive no more than the definitional properties of a probability measure. In a new framework of twofold uncertainty, we introduce preference axioms that entail not only these definitional properties, but also the stochastic independence of the two sources of uncertainty. This goes some way towards filling a curious lacuna in Bayesian decision theory.

Mots clés : Stochastic Independence, Probabilistic Independence, Bayesian Decision Theory, Savage


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

This paper has three objectives: (1) To introduce a theoretical solution to the issue of non-additivity between assets in place, relying on an accounting-based valuation approach; (2) To explain how such an approach can be implemented empirically by measuring synergies between assets; (3) To present the properties of this non-additive valuation technique. We use Choquet capacities, i.e., non-additive aggregation operators, to measure the interactions between assets and apply our methodology to a sample of U.S. firms from the Capital Goods industry. To operationalize our approach we examine the relationships between synergies – captured by Choquet capacities – and the market-to-book ratio (proxying for growth options), and show how interactions between assets are consistently linked to a firm’s market-to-book ratio. We also measure firm-specific productive efficiency relative to the industry and firm size. For large firms, efficiency, as defined by our approach, is positively associated with higher future operating cash flows. For small firms, efficiency is positively associated with higher future sales growth. We document that the non-additive approach appears to be better to identify expected relationships between efficiency and future performance than a simpler approach based on the market-to-book ratio.

Mots clés : Goodwill, Non-additive accounting-based valuation, Synergies, Choquet capacities, Growth options, Productive efficiency


Départements : Droit et fiscalité, GREGHEC (CNRS)

The purpose of this legal memorandum is to provide advice to organisations and individuals interested in submitting a request for public access to documents under Regulation (EC) No 1049/01 (“Regulation 1049/01”) to the European Parliament for documents related to the spending of political groups covered by Budget Item 400 appropriations under Chapter 7.Requests for those documents may face rejection on grounds related to exceptions provided for in Regulation 1049/01, specifically those found in Articles 4(1)b, 4(2), and 4(3) pertaining to privacy and integrity of the individual, commercial interests, and institution’s decision-making process respectively.This legal memorandum addresses the applicability of those exceptions to the documents requested for potential use in a confirmatory request to be submitted to the European Parliament subsequent to the initial rejection in line with Article 7 of Regulation 1049/01. The memo also provides arguments for overcoming these exceptions in light of:1) recent developments in the case law of the Court of Justice of the European Union (“CJEU”) relating to the privacy exception; and2) the strict legal requirements for triggering the commercial interests and institutional decision-making exceptions.The last section of the memo is structured to provide draft responses to the denial of requests for documents and should be tailored to the specific situation in question.

Mots clés : Open Government, Transparency, Participation, Civic Empowerment, Legitimacy, Accountability, Civil Society, European Union, Good Governance


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

This article theorizes about and tests the conditions under which firms’ commitment to an industry is influenced by social movement organizations (SMOs) that favor the industry. We argue that the more prominent SMOs are within an industry, the more a firm increases its commitment to that industry by expanding its operations; yet, this main effect should be moderated substantially by a firm’s idiosyncratic characteristics. The current research predicts that a firm’s location, its sensitivity to information about the industry’s potential, and its history of associations with activists determine the magnitude of the effect of SMO prominence on its strategic commitment to the industry. We test and find support for these hypotheses using a longitudinal data set of European manufacturers of solar photovoltaic cells between 1990 and 2011. The findings offer new insights for literature on social movements and organizations, as well as strategic management research.

Mots clés : Organization and Management Theory, Strategy and Policy, Sustainability/Corporate Environmentalism, Economic Sociology, Nonmarket/Political Environment


Départements : Marketing, GREGHEC (CNRS)

Empirical demand functions (based on experimental studies, such as Choice Based Conjoint) are critical to many aspects of marketing, such as targeting and segmentation, setting prices and evaluating the potential of new products. While considerable work has been done on developing approaches for ensuring that research subjects are both honest and engaged, the reduced cost associated with collecting data in an online setting has driven many studies to be collected under conditions which leave researchers unsure of the value of the information content provided by each subject. Objective measures related to how the subject completes the study, such as latency (how quickly answers are given), can only be tied to other objective measures (such as the fit of the model or consistency of the answer) and ultimately have questionable relationship to the subject's utility function.In response to this problem, we introduce a mixture modeling framework which clusters subjects based on variances in a choice based setting (multinomial logit models). This model naturally groups subjects based on the internal consistency of their answers, where we argue that a higher level of internal consistence (hence lower variance) reflects more engaged consumers who have sufficient experience with the product category and choice task, to have well-formed utilities. This approach provides an automated way of determining which consumers are relevant. We discuss both the modeling framework and illustrate the methods using data from several commercial conjoint studies.

Mots clés : Multinomial Logit, Conjoint Analysis, Data Quality, Finite Mixture Models


Départements : Finance, GREGHEC (CNRS)

Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA) that banned soft money contributions, (b) the Federal Election Commission decision to interpret the BCRA less strictly, (c) the partial reversal of the BCRA and, (d) the McConnell v. FEC Supreme Court decision, which upheld the BCRA. Overall, the evidence suggests that political contributions are valued by credit market participants.

Mots clés : Political Contributions, Credit Risk, CDS, Moral Hazard, Financial Crisis


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

Agents make predictions based on similar past cases. The notion of similarity is itself learnt from experience by "second-order induction": past cases inform agents also about the relative importance of various attributes in judging similarity. However, there may be multiple "optimal" similarity functions for explaining past data. Moreover, the computation of the optimal similarity function is NP-Hard. We offer conditions under which rational agents who have access to the same observations are likely to converge on the same predictions, and conditions under which they may entertain different probabilistic beliefs.


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

We argue that a precedent is important not only because it changes the relative frequency of a certain event, making it positive rather than zero, but also because it changes the way that relative frequencies are weighed. Specifically, agents assess probabilities of future events based on past occurrences, where not all of these occurrences are deemed equally relevant. More similar cases are weighed more heavily than less similar ones. Importantly, the similarity function is also learnt from experience by "second-order induction". The model can explain why a single precedent affects beliefs above and beyond its effect on relative frequencies, as well as why it is easier to establish reputation at the outset than to re-establish it after having lost it. Finally, we discuss more sophisticated forms of learning, by which similarity is defined not only on cases but also on attributes, and the importance of some attributes, learnt from the data by second-order induction, can also affect the perceived importance of other attributes.


Départements : Droit et fiscalité, GREGHEC (CNRS)

This paper discusses the legal implications deriving from the choice of an interinstitutional agreement to regulate interest representation activities in the European Union. In particular, it focuses on whether this instrument may validly allow the European Parliament to impose a set of requirements on its Members (in relation to their free and independent mandate), the political groups, the intergroups and other informal groupings of Members, and on the accredited parliamentary assistants (APAs). It concludes that, given its legal status, the proposed IIA operationalises rather than extending the existing transparency obligations stemming from the Treaty and its requirements are proportionate to the aims pursued. As such it does not affect the free and independent mandate of Members as it is defined in the Members’ Statute nor it conflicts with the prerogatives of other internal actors. The proposed IIA intends to develop and complement obligations of primary law, such as the duty of openness and transparency that already govern the Statute and its interpretation, without compromising the substantive rights and obligations provided by the former. These obligations of primary law already put limits on the freedom and the independence of the Members enshrined in Article 2 (1) of the Statute as well as that of other internal actors. Additionally, the proposed mandatory Transparency Register also allows Members to easily identify the identity of interest representatives they meet, thus enhancing the Member’s ability to inform themselves.

Mots clés : Open government, Transparency, Participation, Civic empowerment, Legitimacy, Accountability, Civil society, European Union, Good governance


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