Articles

Variance Risk Premia in Energy Commodities

A. TROLLE, E. S. SCHWARTZ

Journal of Derivatives

2010, vol. 17, n°3, pp.15-32

Départements : Finance

http://www.iijournals.com/doi/abs/10.3905/jod.2010.17.3.015


This article investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However, it is difficult to explain the level and variation in energy variance risk premia with systematic or commodity-specific factors. The return profile of a natural gas variance swap resembles that of a call option, while the return profile of a crude oil variance swap, if anything, resembles the return profile of a put option. The annualized Sharpe ratios from shorting energy variance are sizable; although not nearly as high as the annualized Sharpe ratio of shorting S&P 500 Index variance, they are comparable to those of shorting interest rate volatility or variance on individual stocks

Wall Street 2 vers la fin de la présomption de l'extraterritorialité du droit boursier américain

L. RAPP, W. MASTOR

Constitutions: Revue de droit constitutionnel appliqué

2010, vol. 4, pp.475-504

Départements : Droit et fiscalité

http://www.dalloz-revues.fr/revues/Constitutions-103.htm


Wer die wahre Macht hat

M. SEGALLA

Harvard Business Manager

2010, n°201008014

Départements : Management et Ressources Humaines, GREGHEC (CNRS)


What is the best way to trade using the January barometer?

M. Cooper, A. V. OVTCHINNIKOV, J J. McConnell

Journal of Investment Management

4e trimestre 2010, pp.58-72

Départements : Finance, GREGHEC (CNRS)


When the Glass is Half Full and Half Empty: CEO's Ambivalent Interpretations of Strategic Issues

K. Weber, N. PLAMBECK

Strategic Management Journal

juillet 2010, vol. 31, n°7, pp.689-710

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

Mots clés : Ambivalence, Sensemaking, Strategic issue diagnosis, Organizational mindfulness, Managerial cognition, Organizational context


Organizational scholars have highlighted the importance of interpretive ambivalence for mindfulness, creativity, and strategic change. Ambivalence occurs when an issue is seen simultaneously as positive and negative. We examine organizational factors that influence the propensity of organizational leaders to evaluate a new strategic issue ambivalently. Data come from a survey of 220 German CEOs confronted with the enlargement of the European Union. We find that CEOs of firms with a more ambidextrous strategic orientation and a moderate sense of organizational control over their environment are most likely to be ambivalent about this issue. Our findings affirm the prevalence of interpretive ambivalence at the executive level and suggest ways for organizations to promote or prevent ambivalence in strategic sensemaking

Why Do Older Consumers Buy Older Brands? The Role of Attachment and Declining Innovativeness

G. LAURENT, R. Lambert-Pandraud

Journal of Marketing

septembre 2010, vol. 74, n°5, pp.104-121

Départements : Marketing


conditionally accepté le 10/02/2010The authors compare three mechanisms that may explain why older consumers tend to prefer older brands. Data are from the French perfume market, in which some market leaders are decades old while hundreds of new entrants launch yearly. The authors reveal monotonically increasing differences across age ranges. Younger consumers have a greater propensity to change their preferred brand, a form of innovativeness that benefits relatively recent entrants, whereas older consumers exhibit a propensity to remain attached for a longer duration to the same preferred brand. Nostalgia for options encountered during an early 'formative period' has only a limited impact. Furthermore, strong heterogeneity emerges: At all ages, some consumers frequently change their preferred brand, whereas others remain attached to it for long periods. It is the proportion of these two behaviors that varies across age ranges. The resultant managerial implications indicate that mature consumers are attractive targets because they likely remain attached to a brand longer, that long-established products may still attract new consumers, and that the success of a new brand among young consumers may be ephemeral.ageattachmentheterogeneityinnovativenessnostalgiaolder consumersperfumeproduct choice

Why do you speak English (in your financial statements)

T. JEANJEAN, C. LESAGE, H. STOLOWY

International Journal of Accounting

2010, vol. 45, n°2, pp.200-223

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


The dominance of English as a lingua franca in international business exchanges is so commonly accepted that there has been no investigation into the use of English as an external financial reporting language in non-English speaking countries. In this study we analyze the factors associated with the publication of an English-language annual report in non-English-speaking countries. Using a sample of 3,994 firms from 27 countries in 2003, we find that about 50% of the sample firms issue annual reports in English. Our findings suggest that the decision to publish an English annual report is related to the internationalization process (via foreign sales), language barriers (via language distance and language importance), governance (via ownership structure) and financial concerns (via the need for external financing, capital market size and cross-listing).

Why Mumbai at 1 pm is the Center of the Business World

M. SEGALLA

Harvard Business Review

octobre 2010, pp.38-39

Départements : Management et Ressources Humaines, GREGHEC (CNRS)



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