Research Seminar 2016-2017
Titles, abstracts and documents :
- June 2017, Monday 12 (02:00 pm): The External Financing of Investment
by Patrick Verwijmeren (Erasmus School of Economics and the University of Melbourne)
N1 – 1701
Abstract :Controlling for a firm’s existing assets, capital structure and valuation, we document a strong link between an investment’s characteristics and the type of security issued when the investment is externally financed. Investments with more volatile and distant cash flows tend to be equity-financed. Investments in assets that are both tangible and non-unique tend to be debt-financed. The likelihood of debt financing increases with the need for monitoring and convertibles are relatively more common when an investment’s life is uncertain. Factor analysis indicates that the principal dimension determining the form of financing is the R&D-like nature of an investment.
- May 2017, Friday 12 (01:30 pm): Estimating university-educated workers: Contribution to firms’ efficiency using endogeneity-corrected stochastic frontier models
by Vincent Vandenberghe (Université catholique de Louvain)
B33 – Trifac 2
Abstract :In this paper, following Vandenbussche et al (2006) and Aghion et al. (2009),we posit that close to the technological frontier,efficiency growth rests on the presence of workers with advanced educational attainment. And we assess this assumption using a rich panel of Belgian firm -level data, covering the 2008-14 period. We first concentrate on estimating each firm’s technical efficiency (i.e. its distance to the efficiency frontier).The main originality of the paper is to combine proxy-variable methods à-la-Ackerberg et al. (2015) with stochastic frontier methods. The latter have been a standard for measuring firms’ technical efficiency; but they ignore the risk of endogeneity. We remedy this problem by combining the Ackerberg et al. proxy-approach to endogeneity control, with a stochastic production frontier estimator We then regress each firm’s efficiency growth rate on the share of university -educated workers, its (initial) distance to the efficiency frontier and (the main variable of interest here) the interaction between these two variables, whose sign provides a direct test of the Vandenbussche/Aghion assumption. Results are essentially twofold. First, controling for endogeneity matters when measuring firm-level (in)efficiency. Second, we verify that the closer firms are from the technological frontier, the more university-educated workers contribute to efficiency growth.
- May 2017, Friday 5 (01:30 pm): Electromobility: Taking Stock, looking ahead
by Yannick Perez (Université Paris-Sud)
B31 – Marx
Abstract :Electromobility is a major innovation in the field of transportation systems, but not only. In fact, electromobility is the convergence of technical innovations in battery technologies and charging systems, on Internet of things and finally on new business model developed by classical OEMs and innovative new comers. This new phenomenon is challenging both for car manufacturers, for electrical grid operators and for local and national public policies. In this article, we review theses challenges and highlight the most promising way of future researches in each of these dimensions.
- April 2017, Friday 28 (12:30 pm): Hybrid Systems for Practical Artificial Intelligence
by Adrian Hopgood (HEC Liège)
Abstract :A wide range of techniques has emerged from the field of artificial intelligence including rules, frames, model-based reasoning, case-based reasoning, Bayesian updating, fuzzy logic, multiagent systems, swarm intelligence, genetic algorithms, and neural networks. They are all ingenious and useful in narrow contexts. It will be argued in this presentation that a truly intelligent system needs to draw on a variety of these approaches within a hybrid system. Five distinct ways to enhance or complement one technique with another will be identified. The blackboard model, in particular, will be highlighted as a viable mechanism to achieve these benefits. Several practical examples of hybrids will be presented, ranging from medical diagnosis to the control of specialised manufacturing processes.
- April 2017, Monday 24 (2:00 pm): The Private Production of Safe Assets
by Christophe Pérignon (HEC Paris)
N1 – 1701
Abstract :Can claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CD) issued by European banks, and commercial paper (CP) issued by European non-financial institutions. We show that, in a sample of assets with maturities of up to one year, only very short-term debt securities benefit from a premium for safety. Furthermore, the issuance of the short-term CDs (but not CPs) increases at times when issuance of Treasury bills goes down. This relationship is stronger for issuers with the highest credit quality and during low market stress, and cannot be explained by selection on credit quality or maturity. We conclude that only very short-term private assets can be considered as safe, but even those are sensitive to changes in the information environment and should not be treated as equally safe at all times.
- March 2017, Friday 31 (12:30 pm): Testing Theories of Choice Behaviour
by Bart Smeulders (HEC Liège)
320 – N1
Abstract :How people make decisions is an important topic in the Social Sciences. Many different theories exist, and as with all theories, they must be tested. Given a theory of choice behaviour and number of observed choices, we want to know whether these choices are consistent with the theory or not. Depending on the theory and the kind of choice data, these problems can be very challenging. In this talk, I will look at two problems related to testing theories of choice behaviour. First, a problem related to random utility models and second a problem related to geometrically structured preferences.
- March 2017, Tuesday 14 (12:00 pm): Implications of Possible Information Asymmetries in Buybacks
by Theodoros Evgeniou (INSEAD)
1701 – N1
Abstract :Share buybacks are corporate events that may be driven by the market timing ability of company insiders supported by potential information advantage. As such, they can also provide a unique experimental setting to answer different types of research questions. In this talk I will first discuss evidence that previously reported post buyback authorisation announcement abnormal returns are consistent with the market timing hypothesis: the option to take advantage of undervalued stock is more valuable when firm value is more uncertain or is more driven by company-specific information. Based on this information advantage hypothesis, I will then discuss how buybacks can be used to answer questions about board gender diversity. For example, do women have less information e.g., because they are not part of the (larger) male information network? Are women more risk averse than men? Are men more overconfident than women? We examine these questions by testing whether board composition, in particular the presence or percentage of women on the board (hereafter also called »diversity »), influences the likelihood that a firm announces a buyback, as well as the consequences of the buyback for shareholder value.
Links: https://tevgeniou.github.io/BuybacksIssuers/ and https://tevgeniou.github.io/BoardDiversityBuybacks/
- February 2017, Thursday 9 (10:00 am): European economic integration and the organization of national public policies: empirical insights from selected sectors
by Giovanni Esposito, Tobias Kaloud, Mauto Pinto (WU Vienna, HEC Liège, University of Naples « L’Orientale »)
Room S30 – B5b
Talk 1 : New Public Management across the European Railway Sectors: empirical insightsAccording to NPM’s (New Public Management) normative foundations the use of market institutions and private-sector tools in public sector management allows public organizations to deliver more with less by providing more efficient and effective public services. Nevertheless, the findings of this study reveal that, after about 30 years of EU-driven liberalization policies in national railway sectors, European companies’ investments in infrastructure have increased without having positive impact on prices paid by railway services users. The paper provides empirical evidence that lower tariffs of railway services in Europe are not correlated with the adoption of competition-friendly regulation but rather with a greater presence of state structures in the management of the sector. The study goes through this paradox and sheds light on the way how railway infrastructure investments have been planned and managed in the EU over the last 30 years. This is done through a longitudinal case-study research of the Lyon-Turin project, a planned high-speed railway infrastructure financed by Italian and French governments in collaboration with the European Commission. By studying the governance system of this complex transnational project, the study provides a comparative picture of infrastructure investments decisionmaking by highlighting differences not only across national contexts (France and Italy) but also across levels of governments (nation states and supranational organizations).
By Giovanni Esposito (LENTIC, HEC Liège-ULg), Tobias Kaloud (Vienna University of Economics and Business)
Talk 2 : Modelling Activation in Europe – A multidimensional analysis from 1991 to 2010Over recent decades, a wide literature has been devoted to the analysis of the evolution of welfare states in industrialized countries. Existing contributions are mainly based on casestudies of the transformation of social policies in the European Union/OECD countries, or on cross-country empirical analyses aimed at investigating convergence/divergence among national social protection systems. With the purpose of extending the latter branch of the literature, this article aims to specifically investigate the varieties of Activation policies through an analysis of the evolution of national public expenditure for labour markets among 14 European countries from 1991 to 2010. Based on multidimensional statistical techniques – such as Principal Component Analysis and Cluster Analysis – our results reveal relevant transformations in countries’ expenditure behaviours over the analysed period.
By Mauro Pinto (Département des Sciences Humaines et Sociales de l’Université de Naples « L’Orientale »)
- February 2017, Tuesday 7 (01:00 pm): Integrated Shift Scheduling and Load Assignment Optimization for Attended Home Delivery
by Maria-Isabel Restrepo (INRIA Centre de recherche Lille-Nord Europe)
220 – N1
Abstract :In this work, we study an integrated shift scheduling and load assignment optimization problem for attended home delivery. The proposed approach is divided into two phases, each one corresponding to a different planning level: tactical and operational. In the tactical planning, a daily master plan is generated for each courier. This master plan defines the working shifts, the origin-destination pairs to visit, and the number of packages to deliver. In the operational planning, delivery orders are allocated to couriers in real-time. The stochastic and dynamic nature of customer orders is included in the tactical and operational decision levels, respectively. Results on real-world based instances from a delivery company, demonstrate that our approach provides robust tactical solutions that easily accommodate to fluctuations in customer orders, preventing additional costs related to the underutilization of couriers and the use of external couriers to satisfy all delivery requests.
- January 2017, Tuesday 31 (11:00 am): Litigation risk: Measurement and impact on M&A transaction terms
by Hubert De La Bruslerie (Paris Dauphine)
1701 – N1
Abstract :The purpose of the paper is to propose an original proprietary proxy of a firm’s litigation risk. We extend the scope of litigation risk outside of the conflicts with shareholders and the domain of security litigation. We demonstrate that the source of the risk of litigation can be found in the firm’s policies and in its management’s operational or strategic decisions, even if a sector conditioning effect exists. Based on a sample of 1051 M&A transactions between 2000 and 2013, we provide evidence that the level of litigation risk, at the acquirer’s level, has a positive and significant impact on the takeover premium. We also provide evidence that a significant relationship exists between the acquirer’s litigation risk and the means of payment.
Keywords: litigation risk, litigation proxy, acquisition premium, means of payment, idiosyncratic risk
- January 2017, Tuesday 10 (12:30 am): Robust Toll Pricing
by Trivikram Dokka (Lancaster University Management School)
220 – N1
Abstract :We study the toll pricing problem when the non-toll costs on the network are not fixed and can vary over time. We assume that users who take their decisions, after the tolls are fixed, have full information of all costs before making their decision. Toll-setters, on the other hand, do not have any information of the future costs on the network. The only information toll-setters have is historical information (sample) of the network costs. In this work, we study this problem on parallel networks and networks with few number of paths in the single origin-destination setting. We formulate the toll pricing problem in this setting as a distributionally robust optimization problem and propose a method to solve to it. We illustrate the usefulness of our approach by numerical experiments using a parallel network.
- December 2016, Friday 16 (12:30 am): Laws and Norms: Experimental Evidence with Liability Rules
by Romain Espinosa (Université Paris 2)
Séminaire 6 – B31
Abstract :Subjects facing varying circumstances choose between actions which provide private benefits but may impose losses on strangers. We compare legal environments (no law, strict liability and an efficiently designed negligence rule) when liability rules are either perfectly enforced (Strong Law) or only weakly so (non-deterrent Mild Law). Under Strong Law, for circumstances where self and group interest conflict, strict liability and the negligence rule efficiently regulate behavior and do much better than no law; for circumstances without conflict, no law and the negligence rule are equally efficient but strict liability does less well because it over-deters. Under nondeterrent Mild Law, for circumstances with conflict, both liability rules still regulate behavior better than no law but strict liability does better than the negligence rule; for circumstances without conflict, strict liability again over-deters while no law and the negligence rule are equally efficient. We investigate how legal sanctions and social preferences interact to yield this pattern.
- December 2016, Friday 09 (01:30 pm): Platform Price Parity Clauses with Direct Sales
by Thibaud Vergé (CREST, ENSAE)
Séminaire 6 – B31
Abstract :In the context of vertical contractual relationships, where competing sellers distribute their products directly as well as through competing intermediation platforms, we analyze the welfare effects of price parity clauses. These contractual clauses prevent a seller from offering its product at a lower price on other platforms or through its own direct sales channel. Recently, they have been the subject of several antitrust investigations. Contrary to the theories of harm developed by competition agencies and in some of the recent literature, we show that when we account for the sellers’ participation constraints, price parity clauses do not always lead to higher commissions and final prices. Instead, we find that they may simultaneously benefit all the actors (platforms, sellers and consumers), even in the absence of traditional efficiency arguments.
- November 2016, Wednesday 30 (10:30 am): The response of Euro-area sovereign spreads to the ECB unconventional monetary policies
by Leonardo Iania (UCL)
1701 – N1
Abstract :We analyse variations in sovereign bond yields and spreads follow- ing unconventional monetary policy announcements by the European Central Bank. Using a two-country, arbitrage-free, shadow-rate dy- namic term structure model (SR-DTSM), we decompose countries’ yields into expectation and risk premium components. By means of an event study analysis, we show that the ECB’s announcements re- duced both the average expected instantaneous spread and risk repric- ing components of Italian and Spanish spreads. For countries such as Belgium and France, the ECB announcements impacted primarily the risk repricing component of the spread.
- November 2016, Friday 25 (01:30 pm): Targeted advertising and consumer information
by S. Broos (HEC-Liège)
Seminaire 6 – B31
Abstract :Using ever-increasing amounts of data, firms are able to link the valuations of consumers with the information they possess about a product. We analyse the impact of that new ability on the advertising strategy of a monopolist. If there is a positive correlation between consumers’ valuations and their information then, in contrast to the literature, better targeting often reduces prices. A lower price does not necessarily lead to a higher consumer surplus: some high-valuation/high-information consumers may stop purchasing because they stop receiving ads. Because of the interplay between the targeting and the pricing strategies, consumer surplus and welfare may be increasing in the advertising cost. Finally, we highlight that the link between valuation and information poses new problems for the estimation of returns to advertising.
- November 2016, Wednesday 23 (02:30 pm): Applied Research in OR at the Center for Mathematical Modeling, University of Chile
by Jorge Amaya (Universidad de Chile)
1711 – N1
Abstract :We address three optimization problems arising from the industry:
- Production Scheduling for the Mining Industry (sequence of ore extraction);
- Crew Scheduling for Train Transportation (drivers assignment); and
- Optimal Resource Allocation in Public Education Systems (school location).
In this talk we will briefly describe the main concepts associated to these problems and the corresponding mathematical models. These projects are being developed in collaboration with industrial companies.
- November 2016, Friday 18 (02:00 pm): Impact of competition and regulation on prices of mobile services: Evidence from France
by Nicolle Ambre (Lameta)
Seminaire 6 – B31
Abstract :In this paper, we estimate hedonic price regressions using an extensive database of tariffs offered by the main mobile telecommunications operator in France on monthly basis between May 2011 and December 2014. We divide the tariffs into two groups: classic contract tariffs and low cost contract tariffs. Low cost tariffs were introduced by Orange in October 2011 before the entry of fourth low cost mobile operator. We regress the cost of tariffs on a set of characteristics including monthly dummy variables, which are interpreted as quality adjusted price index. We find that overall quality adjusted prices decreased by about 20% in this time period. Next, we regress the quality adjusted prices on a set of competition and regulation variables and find that the launch of 4G networks by competitors was the main driver of price reductions for classic tariffs. At the same time, low cost tariffs were introduced to preempt entry of low cost competitor and declined at the time of entry. However, we do not find that regulation, which is reflected in the level of mobile termination charges and international voice roaming charges, has significant impact on quality adjusted prices. We can therefore conclude that competition with established operators and new entrant was the main driver of quality adjusted price reductions in the last years.
- October 2016, Thursday 6 (12:00 pm): Multifactor Models and the APT: Evidence from a Broad Cross-Section of Stock Returns
by Paulo Maio (Hanken School of Economics, Helsinki)
1701 – N1
Abstract :In a market where information asymmetries dominate, a firm’s best strategy is often to pool resources from different firms in the form of an alliance with the purpose to mitigate such informational disadvantages. When firms form alliances, they may choose between firms with whom they have previously collaborated or new partner firms. Such a decision is influenced by the extent to which there is a need for new and complementary information since new partner firms possess non-redundant information and experience (Burt, 1992; Podolny, 1994; Ahuja, 2000; Baum et al., 2005; Li et al., 2008). But which market conditions lead firms to form alliances with new partners as opposed to previous partners? In particular, how do firms’ strategic alliance formation decisions change when the market they operate in suffers from large information asymmetries? Using the syndicated project finance loan market as an example, we discuss a firm strategy that has been partly overlooked by the literature, namely, that firms’ decisions to make new partnerships vis- à-vis resorting to previous partnerships depend on the information asymmetries present in the market. In particular, we find that banks are more likely to create new partnerships when information asymmetries are present in the market and when banks are directly affected by them; however, the rate at which the market becomes more opaque has a decreasing effect on the number of new partnerships formed.
Joint work with : Ilan Cooper (BI Norwegian Business School), Dennis Philip (Durham University Business School)