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)

Evaluation d'une politique éducative: la montée de la scolarisation en France 1982-1993

D. THESMAR, T. Magnac

Annales d'Economie et de Statistique

mars 2002, n°65, pp.1-33

Départements : Finance

Nous analysons dans cet article l'augmentation du niveau d'éducation des jeunes générations en France entre 1980 et 1993. Nous isolons trois facteurs économiques principaux qui pourraient être responsables de cette hausse: i) la hausse des rendements de l'éducation sur le marché du travail en incluant son rôle de protection contre le chômage; ii) une baisse des coûts objectifs et subjectifs d'éducation payés par les étudiants et les familles; iii) une baisse de la sélectivité du système éducatif. En utilisant les données de l'enquête FQP en 1993, les enquêtes Emploi entre 1982 et 1993 et en développant un modèle structurel de choix éducatif que nous estimons, nous montrons que c'est le troisième facteur qui porte la responsabilité principale de l'augmentation du niveau d'éducation. Nous ne savons, toutefois, pas distinguer dans l'influence de ce facteur le rôle de l'ouverture de nouvelles filières éducatives de la moindre prévalence des redoublements

Identifying Dynamic Discrete Choice Models

T. Magnac, D. THESMAR


mars 2002

Départements : Finance

Incentive-Compatible Contracts for the Sale of Information: Table 1


Review of Financial Studies

juillet 2002, vol. 15, n°4, pp.987-1003

Départements : Finance

An informed financial institution can trade on private information and also sell it to clients through a managed fund. To provide an incentive for the informed agent to trade in the interest of her client, the optimal contract requires that she be compensated as an increasing function of the profits of the fund. The optimal contract is also designed to limit the aggressiveness of the sum of the fund’s trade and the proprietary trade. This reduces information revelation and thus leads to greater overall trading profits than if the informed agent only conducted proprietary trades

IPO Auctions: English, Dutch, … French, and Internet


Journal of Financial Intermediation

2002, vol. 11, n°1, pp.9-36

Départements : Finance

Unseasoned shares are sold through the Book Building process in the United States and the United Kingdom, fi ed price offerings in several countries, uniform price auctions in Israel or the new internet-based Open IPO mechanism, and an auction-like mechanism called the Mise en Vente in France. We analyze and compare the performance of these various IPO mechanisms within the context of a unifie theoretical model. Fixed price offerings lead to inefficien pricing and winner’s curse. Dutch auctions can also lead to inefficiencies to the extent that they are conducive to tacit collusion by investors. The Book Building and Mise en Vente can lead to optimal information elicitation and price discovery. We document empirically the similarity between the Book Building and the Mise en Vente. We discussthe implications of our analysis for the design of optimal Internet IPO auctions

Learning by Doing, Trade in Capital Goods and Growth


Journal of International Economics

mars 2002, vol. 56, n°2, pp.411-444

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

Mots clés : International trade, Capital accumulation, Endogenous growth, Learning by doing

This paper aims at reconciling theoretical models of endogenous growth with the empirical evidence on trade and growth. In particular, we show that the conventional wisdom according to which trade is growth-impairing for a country with comparative advantage in goods with limited opportunities for learning fails to hold when the imported good is a capital good. The intuition is that the country gains access to cheaper capital goods, which raises investment, output per worker and learning by doing