Cahiers de recherche

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Départements : Stratégie et Politique d’Entreprise

Although Strategy research aims to understand how firm actions have differential effects on performance, most empirical research estimates the average effects of these actions across firms. This paper promotes Random Coefficients Models (RCMs) as an ideal empirical methodology to study firm heterogeneity in Strategy research. Specifically, we highlight and illustrate three main benefits that RCMs offer to Strategy researchers—testing firm heterogeneity, predicting firm-specific effects, and estimating trade-offs in strategy—using both synthetic and actual datasets. These examples showcase the potential uses of RCMs to test and build theory in Strategy, as well as to perform exploratory and definitive analyses of firm heterogeneity


Départements : Finance

Consistent with salience theories of choice, we find that managers overreact to salient risks. We study how managers respond to the occurrence of a hurricane event when their firms are located in the neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity risk leads managers to increase the amount of corporate cash holdings, even though the real liquidity risk remains unchanged. Such an increase in cash holdings is only temporary. Over time, the perceived risk decreases, and the bias disappears. This bias is costly for shareholders because it leads to higher retained earnings and negatively impacts firm value by reducing the value of cash. We examine alternative explanations for our findings. In particular, we find only weak evidence that the possibility of risk learning or regional spillover effects may influence our results.


Départements : Finance, GREGHEC (CNRS)

Decades of accumulated knowledge empowers our quest to de-bias human cognition. However, I propose that improvement methods aimed at certain biases may introduce new biases due to cognitive and situational limitations: Such limitations give rise to simplifying and protecting processes (SPPs), the unthorough nature of which results in biases. De-biasing may target these processes but ultimately cannot always resolve the underlying cognitive and situational limitations. Consequently, de-biasing runs the risk of forcing either a switch in SPPs or an introduction of new SPPs, thereby exposing us to the threats of new biases. In this paper, I analyse the model of simplifying and protecting processes and discuss promising directions of de-biasing. The model of SPPs stands in line with extant literature on the underlying causes of cognitive bias as well as on the methods of de-biasing, but extends them by synthesizing a coherent theory. It contributes to the judgement and decision making literature that seeks to answer four questions: (a) What mechanism underlies biases? (b) How to de-bias? (c) Why does de-biasing have limitations? (d) Where to channel de-biasing efforts so as to reduce the unbeneficial effects of biases?

Mots clés : cognitive bias, de-bias, simplifying and protecting processes


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

While it is generally maintained that earnings management can occur to inform as well as to mislead, evidence that earnings management informs has been scarce, and evidence that credibility increases with signal costliness inexistent. We provide evidence that firms use discretion over financial reporting and real activities to report higher earnings on lower sales from continuing operations. Although these firms defy gravity artificially, we show that the upwards earnings management informs rather than misleads investors. We find that firms that defy gravity (1) report higher future earnings and cash flows, (2) earn higher one-year-ahead abnormal returns, (3) have a positive market reaction to the defying gravity earnings announcement, and (4) their CEOs are more likely to be net buyers in the year preceding the defying gravity event. We also show that the upwards earnings management signal is more credible when it is more costly to achieve: Defying gravity firms perform better when they bear the opportunity loss of not taking a big bath in times of crisis — years where poorer performance can be blamed on economy-wide shocks, and when they have fewer degrees of freedom to report higher earnings.

Mots clés : Earnings Management, Signaling, Informativeness, Opportunism, Credibility


Départements : Finance, GREGHEC (CNRS)

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and document that house price growth correlation is strongly related to this measure of financial integration. Our IV estimates suggest that banking integration can explain up to one third of the rise in house price correlation over the period.

Mots clés : Banks; House price comovement; Financial Integration


Départements : Comptabilité et Contrôle de Gestion

L’Investissement Socialement Responsable (ISR) en France reste peu développé pour les investisseurs particuliers, en dépit d’une croissance forte des fonds ISR et du lancement de labels à leur intention. L’objectif de cet article est de mieux comprendre le rôle limité des labels. Notre analyse s’appuie sur l’interaction entre trois éléments: label et asymétrie d’information, choix des attributs informationnels des labels et objectifs des organismes porteurs de labellisation, concurrence induite entre labels. Deux facteurs expliquent l’impact limité des labels. D’une part, les attributs informationnels mis en évidence par les labels reflètent plus le point de vue des sociétés de gestion que celui des investisseurs particuliers. D’autre part, la distribution de l’ISR auprès des particuliers passe majoritairement par les réseaux des banques et assurances, réseaux pour lesquels il ne constitue pas un véritable axe de différenciation concurrentielle.

Mots clés : Investissement Socialement Responsable (ISR), Investisseurs particuliers, Labels, Socially Responsible Investment (SRI), Retail Investors, Labels


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

De tous les problèmes conçus par la théorie de la décision, le paradoxe d'Allais est peut-être celui qui aura suscité l'intérêt le plus persistant. La théorie y a consacré assez de travaux techniques remarquables pour qu'il soit désormais possible à l'histoire et à la philosophie des sciences de l'examiner réflexivement.Dans sa partie historique, l'article restitue le contexte d'apparition du paradoxe - le colloque de Paris, en 1952, auquel assistaient les principaux théoriciens de la décision du moment. L'axiomatique de von Neumann et Morgenstern en 1947 leur avait donné des raisons nouvelles d'approuver l'hypothèse de l'utilité attendue, et le contre-exemple d'Allais visait précisément à ébranler leur conviction. Les questions de la controverse étaient de type normatif, mais elles se perdirent quand le "paradoxe d'Allais" gagna tardivement la célébrité dans des travaux des années 1980 qui le traitaient comme une simple réfutation empirique. Ils en firent l'enjeu de "théories de l'utilité non-espérée" qu'ils développaient de même sous le seul angle empirique.Dans sa partie philosophique, l'article cherche à évaluer ce déplacement d'interprétation. D'un certain côté, les théoriciens de la décision firent bien de libérer leur travail expérimental des complications du normatif, car ils parvinrent ainsi à des résultats éclairants : l'hypothèse de l'utilité espérée était empiriquement réfutée, la responsabilité principale en revenait à l'axiome d'indépendance de von Neumann-Morgenstern, et l'étape suivante était de transformer adéquatement cet axiome. D'un autre côté, ils eurent tort de négliger un trait fondamental de leur domaine : les comportements observés ne sont informatifs que si les agents sont prêts à les assumer de manière réfléchie, c'est-à-dire à leur prêter une certaine valeur normative. D'après la reconstruction proposée ici, Allais ne voulait faire porter les expériences de choix que sur des sujets rationnels, ou bien sélectionnés au départ, ou bien révélés comme tels par l'expérience. L'article développe ces intuitions en revenant aux travaux des années 1970, aujourd'hui très peu connus, qui, sous l'influence d'Allais, proposèrent des traductions expérimentales de la rationalité, et il invite finalement la théorie de la décision à diversifier ses méthodes en s'inspirant de ces tentatives originales.

Mots clés : Allais Paradox, expected utility theory, von Neumann-Morgenstern, positive vs normative, experimental economics of decision, rationality


Départements : Finance, GREGHEC (CNRS)

We investigate how a large-scale French reform to reduce the risk from small business creation for unemployed workers, affects the composition of people who are drawn into entrepreneurship. New firms started in response to the reform are, on average, smaller, but have similar growth expectations and education levels compared to start-ups before the reform. They are also as likely to survive or to hire. However, there are large crowd-out effects: Employment in incumbent firms decreases by a similar magnitude as the number of new jobs created in start-ups. These results point to the importance of Schumpeterian dynamics when facilitating entry

Mots clés : Entrepreneurship; Unemployment insurance; Crowding out


Départements : Finance, GREGHEC (CNRS)

We examine the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing the vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest rates of appreciation for young high-quality wines that are still maturing. The findings suggest that the non-financial “psychic return” to holding wines that are substantially beyond maturity is at least 1%. Using an arithmetic repeat-sales regression, we estimate an annualized return to wine investments (net of insurance and storage costs) of 4.1%, in real GBP terms, between 1900 and 2012. Wine underperforms equities over this period, but outperforms government bonds, art, and stamps. Wine and equity returns are positively correlated.

Mots clés : alternative investments, luxury goods, price indexes, psychic return, consumption, storage


Départements : Finance, GREGHEC (CNRS)

How does underlying knowledge support market development? Our research shows how a knowledge community may be necessary to support the emergence of new categories in markets where products are evaluated before purchase. Using epistemic cultures to frame field growth, we review the development of artwork as a recognizable financial investment category, highlighting institutionalized expectations about evaluation and monitoring of financial assets. We provide a longitudinal study of art investment lexicon (i.e. language) using Google Books data, showing an increasing interest in art investment and the art market. Despite sustained interest, art investments often failed. To explain this we provide a grounded process study of historical data. We find the growth of an epistemic culture around art investing, facilitated by new market actors who met the needs of professional investors for transparency and accountability. Technical knowledge about art investment flowed from economists, art price services, art market analysts, and others, developing alongside practical knowledge about how to structure ventures and profit from art investment. Because empirical investment properties underlie financial market categories, we argue that growth of art investment knowledge — despite venture failures — was just as important for the market development as entrepreneurs and investors willing to enter the area.

Mots clés : new field creation; legitimacy; epistemic cultures; institutionalized expectations; investment management; art market


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