Cahiers de recherche

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Départements : Finance, GREGHEC (CNRS)

How do resolution frameworks affect the private restructuring of distressed banks? We model a distressed bank’s shareholders and creditors negotiating a restructuring given asymmetric information about asset quality and externalities onto the government. This yields negotiation delays used to signal asset quality. We find that strict bail-in rules increase delays by worsening informational frictions and reducing bargaining surplus. We characterize optimal bail-in rules for the government. We then consider the government’s possible involvement in negotiations. We find this can lead to shorter or longer delays. Notably, the government may gin from committing not to partake in negotiations.

Mots clés : Bank resolution, bail-out, bail-in, debt restructuring


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

Decision theory offers a formal approach to decision making, which is often viewed and taught as the rational way to approach managerial decisions. Half a century ago it generated high hopes of capturing and perhaps replacing intuition, and providing the “right” answer in practically all managerial situations. Today it seems fair to say that decision theory has not lived up to these expectations. Behavioral science provides ample evidence that managers fail to follow the dicta of decision theory, even when these are explained to them. As a result, executives often find decision theory frustrating and useless and prefer to rely on their intuition. This paper suggests that this extreme conclusion is unwarranted and calls for a re-appraisal of decision theory. We propose that it should not always be regarded as a mathematical tool that produces the answer; rather, it can be viewed as a framework for a dialog between the decision maker and the decision theorist. In one extreme, the decision theorist studies the problem and provides the “correct’’ answer. But in another, the decision theorist only challenges the decision maker’s intuition and logic. In between, a whole gamut of possible dialogs exists, in which decision theory doesn’t replace intuition, but supports and refines it.


Départements : Finance, GREGHEC (CNRS)

We measure demand for information prior to nonfarm payroll announcements using a novel dataset consisting of clicks on news articles. We find that when information demand is high shortly before the release of the nonfarm payroll announcement, the price response of U.S. Treasury note futures to nonfarm payroll news surprises doubles. We argue that this relationship stems from the fact that market participants have more incentive to collect information when uncertainty about asset payoffs is higher, as implied by Bayesian learning models. Thus, high information demand about macroeconomic news is a proxy for high macroeconomic uncertainty.

Mots clés : Public information, Macroeconomic News, Uncertainty, U.S. Treasury futures, Investors' Attention, Information Demand, Bitly, Media Coverage


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

The objective of this study is to investigate how non-financial reporting (NFR) is defined and has expanded in recent years. First, we explore the heterogeneity in definitions and current NFR practices. We find a lack of convergence between regulators and standard-setters, as well as leading sustainable firms. Second, we examine the changes in the extent and type of NFR reported by firms over the period 2006-2016. Based on a sample of firms in South Africa, a leading country in NFR, we document a significant increase in the amount of NFR, particularly between 2006 and 2011. This change appears to be driven by new environmental, human capital, performance and strategic disclosures. The relative importance of financial information in corporate reporting decreased substantially over the same period. Third, we compare reporting practices for corporate social responsibility (CSR)/sustainability information between constituents of the S&P 500 index and the EuroStoxx 600 index. We find that overall, the percentage of firms issuing CSR/sustainability reports increased dramatically between 2002 and 2015 for both stock indices. Constituents of the U.S. stock index and growth firms are less likely to report CSR/sustainability information, whereas firms in the European stock index in environmentally sensitive industries, have high capital intensity and good CSR performance, are larger with better financial performance, are more likely to report CSR/sustainability information.

Mots clés : Non-Financial Reporting (NFR), Non-Financial Information (NFI), Integrated Reporting, Corporate Social Responsibility (CSR) Reporting, Sustainability Reporting, Environmental Reporting, Social Reporting


Départements : Marketing, GREGHEC (CNRS)

People—be they politicians, marketers, job candidates, product reviewers, bloggers, or romantic interests—often use linguistic devices to persuade others, and there is a sizeable literature that has documented the effects of numerous linguistic devices. However, understanding the implications of these effects is difficult without an organizing framework. To this end, we introduce a Language Complexity × Processing Mode Framework for classifying linguistic devices based on two continuous dimensions: language complexity, ranging from simple to complex, and processing mode, ranging from automatic to controlled. We then use the framework as a basis for reviewing and synthesizing extant research on the effects of the linguistic devices on persuasion, determining the conditions under which the effectiveness of the linguistic devices can be maximized, and reconciling inconsistencies in prior research.

Mots clés : Linguistics, Attitudes and Persuasion, Automatic and Controlled Processes, Language


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

We study the interaction between multiple information designers who try to influence the behavior of a set of agents. When the set of messages available to each designer is finite, such games always admit subgame perfect equilibria. When designers produce public information about independent pieces of information, every equilibrium of the direct game (in which the set of messages coincides with the set of states) is an equilibrium with larger (possibly infinite) message sets. The converse is true for a class of Markovian equilibria only. When designers produce information for their own corporation of agents, pure strategy equilibria exist and are characterized via an auxiliary normal form game. In an infinite-horizon multi-period extension of information design games, a feasible outcome which Pareto dominates a more informative equilibrium of the one-period game is supported by an equilibrium of the multi-period game.

Mots clés : Bayesian persuasion , information design , sharing rules , splitting games , statistical experiments.


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

Les économistes ont coutume de distinguer entre une composante positive et une composante normative de leurs travaux, ce qui est une singularité de leur discipline, car cette distinction n'a pas de répondant exact dans les autres sciences sociales. Elle a fortement évolué au cours du temps et les différentes manières de la concevoir aujourd'hui en reflètent l'histoire. On se propose ici d'en retracer les origines et les premières formes, de l'économie politique classique anglaise de la première moitié du XIXe siècle jusqu'à l'apparition de l'économie du bien-être dans la première moitié du XXe siècle. Ce parcours séquentiel vise aussi à identifier les positions les plus représentatives et les arguments invoqués pour les soutenir, en préparant ainsi une discussion qui serait moins historique et plus strictement conceptuelle.

Mots clés : économie positive et économie normative, jugements de valeur, thèse de Hume, objectivité au sens de Weber, économie du bien-être, John Stuart Mill, John Neville Keynes, Lionel Robbins, positive economics and normative economics, value judgments, Hume's thesis, objectivity in


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

The standard, Bayesian account of rational belief and decision is often argued to be unable to cope properly with severe uncertainty, of the sort ubiquitous in some areas of policy making. This paper tackles the question of what should replace it as a guide for rational decision making. It defends a recent proposal, which reserves a role for the decision maker’s confidence in beliefs. Beyond being able to cope with severe uncertainty, the account has strong normative credentials on the main fronts typically evoked as relevant for rational belief and decision. It fares particularly well, we argue, in comparison to other prominent non-Bayesian models in the literature.

Mots clés : Confidence, Decision Under Uncertainty, Belief, Rationality


Départements : Droit et fiscalité, GREGHEC (CNRS)

Fake news is a symptom of deeper structural problems in our societies and media environments. To counter it, policymakers need to take into account the underlying, self-reinforcing mechanisms that make this old phenomenon so pervasive today. Only by taking a step back can we examine the vulnerabilities these fake news narratives exploit. This article provides a first taxonomy of anti-fake news approaches. It argues that proposed anti-fake news laws focus on the trees rather than the forest. As such, they will not only remain irrelevant but also aggravate the root causes fueling the fake news phenomenon.

Mots clés : Fake new, disinformation, misinformation, media, behavioural, better regulation, digital agenda


Départements : Finance, GREGHEC (CNRS)

We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness in explaining expected stock returns. Forming a risk factor that captures systematic skewness risk and forming idiosyncratic skewness sorted portfolios only require the ordering of stocks with respect to each skewness measure. Accordingly, we use a large number of predictors to forecast the cross-sectional ranks of systematic and idiosyncratic skewness which are considerably easier to predict than their actual values. Compared to other measures of ex ante systematic skewness, our forecasts create a significant spread in ex post systematic skewness. A predicted systematic skewness risk factor carries a significant risk premium that ranges from 7% to 12% per year and is robust to the inclusion of downside beta, size, value, momentum, profitability, and investment factors. In contrast to systematic skewness, the role of idiosyncratic skewness in pricing stocks is less robust. Finally, we document how the determinants of systematic skewness differ from those of idiosyncratic skewness.

Mots clés : Systematic skewness, coskewness, idiosyncratic skewness, large panel regression, forecasting


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