Research Seminar 2017-2018

 

Agenda :

Titles, abstracts and documents :

 

    • November 2018,  Wednesday 14 (2:00 pm):  On the syndication between the private and public venture capitalists
      by Yan Alperovych (EM Lyon)
      N1 – Room 1701

Abstract : TBA

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    • October 2018,  Wednesday 3 (1:00 pm):  Time-varying dependencies in exchange rate markets : a distributional approach
      by Julien Hambuckers (HEC Liège)
      N1 – Room 1701

Abstract :  In this paper, we take a new look at the relationship between interest rate differentials and exchange rates.
To do so, we introduce a forecasting approach that accounts for high-order dependencies in daily exchange rates.
Our model relies on a GARCH-in-mean specification where the innovations are assumed to follow a sinh-arcsinh (SH) ditribution with a time-varying asymmetry parameter, depending on interest rates. This model is used to predict the direction of change of three major currency pairs (USD/EUR, USD/GBP and USD/CHF) over the period 1999-2016. We find a dynamic asymmetry specification to be significant and driven by the interest rates. Economically speaking, we show that, notwithstanding a better in-sample performance compared to benchmark models for all pairs, weare able to obtain a positive out-of-sample performance for the USD/CHF pair.

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    • September 2018, Tuesday 11 (10:00 am-6:00 pm): Symposium in Honour of Yves Crama’s birthday – Several speakers will give presentations in the field of Supply Chain Management and Business Analytics
      N1 – Room 138

Abstract : not available

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    • June 2018, Monday 18 (10:30 am): Measuring and Determining Efficiency in Long-Term Care: Non-Parametric, Semi-Parametric and Parametric Approaches 
      by Declan Dineen (University of Limerick, Ireland)
      B31 – Ricardo

Abstract :In particular, this paper explores different two-stage semi-parametric methods to determine technical efficiency in long-term care provision in Ireland.  Technical efficiency (TE) scores in the health sector literature are often estimated using either a non-parametric conventional Data Envelopment Analysis (DEA) or the fully parametric Stochastic Frontier Analysis (SFA) approach.  While the SFA technique accounts for noise in the data and also allows for an unbiased estimation of the factors affecting efficiency, this method requires specification of the functional form of a production or cost function.  On the other hand, DEA does not impose these restrictions.  However, the estimation of the efficiency determinants using the conventional DEA scores in the second stage may lead to biased estimates of both the TE scores and the efficiency determining variables.  This paper tries to fill the gap between the conventional DEA and SFA approaches and applies alternative semi-parametric methods.  The methods considered do not impose any functional form restrictions on the data, and they also account for random sampling variability and reduce the bias in both the estimated TE scores and the estimated efficiency determinants.  In this paper, we model TE in terms of an input distance function which allows us to estimate input-oriented technical efficiencies by investigating how much the input vector can be proportionally reduced while holding the output vector fixed.  Output is measured as total patient days, while inputs are measured as medical staff, non-medical staff and the number of beds in long-term care units. Furthermore, we use several efficiency determining variables which are divided into objective quality characteristics and conventional determinants such as size, ownership, location, chain, case mix and the age of the nursing home facilities.  Additionally, we split the sample into different groups: private and public nursing homes; chain and non-chain private units; and nursing homes located in rural and urban areas.  We find notable differences in the results between the conventional DEA and the semi-parametric methods.  We also derive some conclusive findings with respect to the estimated TE scores and the efficiency determining variables for the long-term care sector in Ireland.

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    • June 2018, Tuesday 5 (11:15 am): Time-Varying Risk Premia in Large International Equity Markets 
      by Hugues Langlois (HEC Paris)
      N1 – 1701

Abstract :We estimate international factor models with time-varying factor exposures and risk premia at the individual stock level using a large unbalanced panel of 58,674 stocks in 46 countries over the 1985-2017 period. We consider market, size, value, momentum, profitability, and investment factors aggregated at the country, regional, and world level. The country market in excess of the world or regional market is required in addition to world or regional factors to capture the factor structure for both developed and emerging markets. We do not reject mixed CAPM models with regional and excess country market factors for 76% of the countries. We do not reject mixed multi-factor models in 80% to 94% of countries. Value and momentum premia show more variability over time and across countries than profitability and investment premia. The excess country market premium is statistically significant in many developed and emerging markets but economically larger in emerging markets.

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    • June 2018, Monday 4 (02:00 pm): Securing Livelihoods: Technology, Inequality, and the Future of Work and Employment 
      by Chris Benner (UC Santa Cruz)
      N1 – 126

Abstract :The U.S. is experiencing unprecedented economic, social and ideological stratification linked in part to rapid technological change, economic restructuring, and the growth of « narrowcast » media. All of these contributes to a fragmentation of the very knowledge base of society. We can learn how to address growing inequality and insecurity from certain metropolitan regions that have overcome fragmentation by building diverse knowledge communities and embracing a common regional destiny. Recognizing the importance of collectively produced information and knowledge serves as a basis for rethinking the future of work and employment. This can help us develop a range of new income strategies  and policies—including perhaps a universal technology dividend—to address the high levels of inequality and insecurity we currently face.  

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    •  May 2018, Thursday 31 (03:30 pm): Beyond Physical Accessibility: Challenging inclusive design definitions & dimensions
      by Farnaz Nickpour (University of Liverpool)
      N1 – 1701

Abstract :Moving beyond initial notions of ‘disability’, ‘ageing’ and ‘physical accessibility’, inclusive design needs to embrace wider contemporary contexts and explore the full spectrum of ‘human diversity’. Thus, moving from ‘physicality’ to overall ‘quality’ of live and exploring non-physical and ‘psycho-social’ elements of inclusivity. This talk explores this concept and its dimensions, exploringthe way forward.

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    • May 2018, Friday 25 (11:00 am): Transformational Technologies and Innovative Services for Smart Mobility in Smart Cities 
      by Katie Turnbull (Texas A&M Transportation Institute (TTI))
      N1 – 120

Abstract :This presentation examines the use of transformational technologies and innovative services to enhance mobility and accessibility in Smart Cities. It explores current examples and possible future opportunities to provide improved services to all segments of society and addressing environmental concerns.

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  • April 2018, Wednesday 25 (03:00 pm): What Drives Corporate Asset prices: Short- or Long-Run Risk? 
    by Biley-Adelphe Ekponon (HEC Montréal, HEC Liège)
    N1 – 1701

    Abstract :This paper investigates the relative impact of various types of systematic risk on corporate asset prices. Equity risk premium and credit spreads are priced in a consumption-based corporate finance model with time-varying macroeconomic conditions. We decompose the risk premia into different sources of systematic risk compensation and show that long-run risk commands most of the risk premium (about 70%), for both equities and bonds. The role of long-run risk in the equity risk premium is amplified in recessions but remains stable over the business cycle for credit spreads. The relative importance of short- vs. long-run risk also varies at the cross-section. An empirical analysis over the period 1952-2016 provides support for the main predictions of the model.

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  • April 2018, Monday 23 (11:30 am): Unconstrained 0-1 polynomial optimization through convex quadratic reformulation 
    by Sourour Elloumi and Arnaud Lazare (UMA-CEDRIC, ENSTA, Palaiseau, France)
    N1 – 220

    Abstract :This paper addresses the resolution of unconstrained binary polynomial programs(P). Wepropose a new 3-phases algorithm to solve(P). The first phase consists in reformulating(P)into a quadratic program (QP)using standard linearization inequalities. In the second phase, we reformulate(P) into a convex quadratic program (QPC). This convexification is computed thanks to a semidefinite relaxation. We compute the optimal value of the continuous relaxationof (QPC) using the binary identity. Moreover, in order to start the third phase (Branchand Bound phase) with a tight bound, we use new valid equalities depending on the chosenquadratization. These equalities highly increase the quality of the bound as it will be shown by testing our method on several benchmark instances and comparing it to other polynomial solvers.

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  • April 2018, Monday 23 (10:00 am): Was it worth it? Ph.D. holders’ career propsects and overeducation in Italy 
    by Giuseppe Lucio Gaeta (University of Naples, Italy)
    N1 – 224

    Abstract :From 2002 until 2012 the annual number of new Ph.D. holders in Italy approximately moved from 4,000 to 12,000. By using recently released Italian cross-sectional data, the seminar will provide an in-depth examination of Italian Ph.D. holders career prospects. The seminar will be focused on the issue of vertical mismatch (i.e. overeducation and overskilling) whose incidence and detrimental consequences on wage will be inspected.

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  • April 2018, Friday 20 (03:00 pm): Probabilistic Reliability Management of the European Electric Power System 
    by Louis Wehenkel (Montefiore Institute, ULiège)
    N1 – 115

    Abstract :The talk introduces the topic of electric power systems reliability management and explains the needs to evolve its algorithmictools in order to comply with the European targets for cleaner and more efficient electric energy supply. It then reports on a research effort of 4 years carried out within the European FP7 project GARPUR (http://www.garpur-project.eu), in order to develop consistent probabilistic reliability management approaches for electric power system planning, asset management, and operation. The resulting tools will be based on recent progresses in the context of large-scale optimization and machine learning methods.

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  • April 2018, Monday 16 (11:00 am): Time Variation in Cash Flows and Discount Rates 
    by Denada Ibrushi (HEC Montréal, HEC Liège)
    N1 – 1701

    Abstract :The relative contributions of cash flow and discount rate news to the conditional variance of market returns exhibit significant variation over time. We identify lagged changes in PPI inflation as the main macroeconomic determinant of this time variation. We analyze the economic importance of these results by allowing for time variation in cash flow and discount rate betas in Campbell and Vuolteenaho (2004) asset pricing framework. A conditional version of their twobeta framework not only provides reasonable estimates of risk prices and relative risk aversion coefficients but also outperforms other models in accounting for the cross-sectional variation in expected returns.

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  • March 2018, Friday 23 (02:00 pm): Improving the humanitarian aid network design in East Africa 
    by Gilbert Laporte (HEC Montréal)
    N1 – 030

    Abstract :The United Nations Humanitarian Response Depot (UNHRD) is a logistics service provider for the United Nations. In its 2014-2017 strategic plan, it targeted the reduction of operational costs on its network. We have analyzed the potential cost benefits of adding a regional distribution center in Kampala, Uganda, to the existing network in order to better respond to humanitarian crises in East Africa. To this end we have used fieldwork, network optimization, simulation and statistical analyses to assess the benefits of prepositioning high-demand non-food items in Kampala and to propose a robust stocking solution. The study is based on an actual case and uses real data. The UNHRD has already implemented the proposed solution for an estimated expected annual cost reduction of 21% with respect to the previous network configuration. This work was done jointly with Émilie Dufour, Julie Paquette and Marie-Ève Rancourt.

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  • March 2018, Friday 23 (10:00 am): Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study 
    by David Ardia (Université de Neuchâtel (Suisse))
    N1- 1701

    Abstract :We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left-tail distribution forecasts than their single-regime counterpart. Also, our results indicate that accounting for parameter uncertainty improves left-tail predictions, independently of the inclusion of the Markov-switching mechanism.

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  • March 2018, Friday 16 (02:00 pm): Exponential-type GARCH models with linear-in-variance risk premium 
    by Dimitra Kyriakopoulou (UCL, CORE)
    B33 – TriFac2

    Abstract :One of the implications of the intertemporal capital asset pricing model (CAPM) is that the risk premium of the market portfolio is a linear function of its variance. Yet, estimation theory of classical GARCH-in-mean models with linear-in-variance risk premium requires strong assumptions and is incomplete. We show that exponential-type GARCH models such as EGARCH or Log-GARCH are more natural in dealing with linear-in-variance risk premia. For the popular and more difficult case of EGARCH-in-mean, we derive conditions for the existence of a unique stationary and ergodic solution and invertibility following a stochastic recurrence equation approach. We then show consistency and asymptotic normality of the quasi maximum likelihood estimator under weak moment assumptions. An empirical application estimates the dynamic risk premia of a variety of stock indices using both EGARCH-M and Log-GARCH-M models.

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  • March 2018, Friday 9 (02:00 pm): Patents, Data Exclusivity, and the Development of New Drugs 
    by Fabian Gaessler (Max Planck Institute)
    B31 – Domat

    Abstract :Firms in the pharmaceutical industry typically rely on a period of market exclusivity derived from patent protection and data exclusivity to recoup their investments in R&D. The invalidation of patent rights during drug development renders data exclusivity the sole source of protection and shifts the period of market exclusivity on the R&D project level. Invalidation therefore constitutes a natural experiment that allows us to identify how the duration of market exclusivity affects firms’ incentives to innovate. Our analysis is based on a novel data set that links the development histories of drug candidates with underlying patent data. We identify causal effects relying on an instrument for the potentially endogenous patent invalidation. Our findings highlight that shorter durations of market exclusivity reduce the likelihood of successful drug commercialization.

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  • February 2018, Friday 23 (02:00 pm): The Price of Anti-Competitive Behaviour: Evidence from the U.S. Airline Industry 
    by Iannis Kerkemezos (University of Rotterdam)
    B31 – Sem.Comte

    Abstract :This paper presents a novel strategy to empirically identify engagement in anti-competitive behaviour by firms in monopoly and duopoly markets. Moreover, it provides an estimate of the resulting price premium that consumers pay. This is done by examining transitions across market structures that take place because of firm entry or exit and classifying different types of markets within a given structure based on their structural history. Using panel data from the U.S. airline industry between 1993 and 2014, we find that a ”quiet-life” duopoly prices significantly higher compared to a duopoly that comes about by entry in monopoly, and that a ”quiet-life” monopoly prices significantly lower compared to a monopoly that comes about by exit in duopoly, but still significantly higher than both types of duopoly. These effects, both economically and statistically significant, suggest that collusion is likely to occur in duopoly markets and that entry deterring strategies, such as limit pricing, are likely to be deployed in monopoly markets.

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  • February 2018, Thursday 22 (11:00 am): The environmental impact of liberalization: the case of European railways 
    by Lorenzo Cicatiello (University of Naples « L’Orientale »)
    N1-1701

    Abstract :Since the 1990s, revitalizing the railways has become a key objective of the EU’s transport policy. EU’s efforts have focused on the liberalization of these services and the creation of a single European railway area. The declared goal has been to shift the balance between transport modes, from private to public modes, and specifically from car and plane to rail. One of the most strategic implications of this modal shift is its positive impact on the environment as rail is usually considered to be a ‘green’ mode of transport, at least ‘greener’ than cars and planes in terms CO2 emissions. This research seminar seeks to answer the following research question: Has railway liberalization corresponded to lower CO2 emissions? Drawing on a panel approach on a large set of countries, we developed a preliminary econometric model where per capita CO2 emissions for transport were used as dependent variable and the OECD’s Energy, Transport and Communications Regulation (ETCR) indicator on railway liberalization was used as independent variable.

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  • February 2018, Wednesday 21 (02:00 pm): Portfolio allocation and the cost of capital of entrepreneurial projects: Theory and policy implications 
    by Thomas Bonesire (HEC Liège)
    N1-1701

    Abstract :This paper studies the investment and financing choices of an entrepreneur willing to fund her own business. Her project is characterized by its non-tradability on the market, low divisibility and high risk. We adopt a portfolio approach to identify the entrepreneur’s optimal portfolio allocation and her cost of capital (the project’s hurdle rate) given her specific investment and financing constraints. The entrepreneur’s optimal portfolio is related to the one of an unconstrained investor with similar risk aversion. We derive the entrepreneur’s optimal investment curve and show that it is related to the Capital Market Line. The entrepreneur’s cost of capital is positively influenced by her risk aversion and the project’s (co)variances and size. We show that the cost of capital can be decreased when combining the project with other assets and increasingly so when optimizing the allocation. After that, a numerical analysis on realistic cases provides estimates of the entrepreneur’s cost of capital and optimal diversification. Finally, we build on our portfolio approach to investigate how public authorities may relax the entrepreneur’s constraints. To conclude, our portfolio approach contributes to explaining the entrepreneur’s cost of capital puzzle – why the cost of capital of entrepreneurs is not that high relatively to the risk taken.

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  • January 2018, Tuesday 9 (02:00 pm): Market manipulation and suspicious stock recommendations on social media 
    by Thomas Renault (Université Paris I Panthéon-Sorbonne – Laboratoire PRISM; Catholic University of Lille – IESEG School of Management)
    TBA

    Abstract :Social media can help investors gather and share information about stock markets. However, it also presents opportunities for fraudsters to spread false or misleading statements in the marketplace. Analyzing millions of messages sent on the social media platform Twitter about small capitalization firms, we find that an abnormally high message activity on social media is associated with a large price increase on the event day and followed by a sharp price reversal over the next week. Examining users’ characteristics, we find that the price reversal pattern is stronger when the events are generated by the tweeting activity of deleted/deactivated Twitter accounts, by the tweeting activity of suspicious accounts, or by the tweeting activity of accounts dedicated to tracking pump-and-dump schemes. Overall, our findings are consistent with the patterns of a pump-and-dump scheme, where fraudsters/promoters use social media to temporarily inflate the price of small capitalization stocks.

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  • December 2017, Thursday 14 (01:30 pm): Neo-liberalism and ‘Active’ Labor Market Policies: Dilemmas and Debates 
    by Steven Vallas (Northeastern University, Boston)
    N1 1711 – 1715

    Abstract :Active labor market policies have assumed growing importance since the end of the nineties.The concept of flexicurity (Wilthagen and Tross, 2004) has been particularly influential. Although under the financial crisis and austerity measures flexicurity has received severe criticisms (Burroni and Keune, 2011), the concrete impact of such policy orientations, presumed to reduce the risks of precariousness and job insecurity for nonstandard workers, strongly varies from country to country. The result has generated a host of dilemmas concerning policy responses to long term unemployment, labor market subsidies for older, disabled, or minority workers, as well as how best to combine security for workers facing transitions with the flexibility that firms need to compete on the global stage. Moreover, the search for new trade-offs between flexibility and security does not only emanate from public labor policies: it also results from experimental initiatives, emerging at a micro level either in the private or non-profit sectors (Pulignano, Doerflinger, and DeFranceschi, 2016; Lorquet, Pichault and Orianne, 2015). The papers in this workshop confront these issues, addressing theoretical and empirical questions regarding how labor market uncertainties might best be managed in an era of rapid economic change.

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  • December 2017, Friday 8 (02:00 pm): What Drives the Expansion of the Peer-to-Peer Lending? 
    by Marianne Verdier (CRED, Paris 2)
    B31 – Sem.3

    Abstract :To be defined

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  • December 2017, Friday 8 (09:00 am): Entre recherche académique et recherche intervention 
    by François Pichault (LENTIC – HEC Liège), Giseline Rondeaux (LENTIC – HEC Liège), Fanny Fox (LENTIC – HEC Liège), Frédéric Naedenoen (LENTIC – HEC Liège), Christophe Dubois (CRIS – FaSS – Uliege), Jean-François Orianne (CRIS – FaSS – Uliege), Julie Gérard (CRIS – FaSS – Uliege), Sophie Thunus (FSP – UCL)
    B31 – Sem.6

    Abstract :L’objectif de ce séminaire est d’inviter les participants à s’interroger sur leur pratique de chercheur au travers d’un échange d’expériences et de bonnes pratiques. La rencontre vise à dévoiler les particularités des terrains, démarches et postures de divers praticiens de la recherche en sciences sociales et de mettre en relief plusieurs façons de faire de la recherche. Au-travers de témoignages, de récits empiriques et de réflexions méthodologiques proposés par des chercheurs du CRIS et du LENTIC, nous appréhenderons les différences et les ressemblances entre recherche dite « académique » et recherche dite « intervention ».

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  • December 2017, Friday 1 (02:00 pm): Browsing versus Studying Offers 
    by Johannes Johnen (CORE, UCL)
    B33 – TriFac2

    Abstract :We introduce a simple model of a market in which consumers must make tradeoffs between “browsing” more products superficially, and “studying” fewer products in detail. Each firm chooses two price components, a headline price and an additional price, and specifies conditions under which a consumer can avoid the additional price. Each consumer can either fully understand the offer of one firm (studying), or look at only the headline prices of two firms (browsing). In equilibrium, high-value consumers browse and pay the additional price, but low-value consumers study to avoid the additional price. Although high-value consumers pay higher total prices, the average price consumers pay is decreasing in the share of high-value consumers. This result is consistent with evidence that a number of essential products are more expensive in lower-income neighborhoods, and our model also helps explain why entry into such neighborhoods does not solve the problem. More importantly, our framework generates a novel and powerful competition-policy-based argument for regulating the additional price or other secondary product features. In contrast to existing arguments that such regulations may be ineffective or even distortionary, we show that they have a multiplier effect: because consumers do not need to worry about the regulated feature, they do more browsing, enhancing competition. In many situations, the increase in competition also increases efficiency, but we identify a class of situations in which there is a tradeoff between competition and efficiency.

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  • November 2017, Friday 24 (02:00 pm): Zero-rating, social welfare and net neutrality 
    by Robert Somogyi (CORE, UCL)
    B31 – Sem.3

    Abstract :This paper studies zero-rating, an emerging business practice consisting in a mobile internet service provider (ISP) excluding the data generated by certain content providers (CPs) from its consumers’ monthly data cap. Being at odds with the principle of net neutrality, these arrangements have recently attracted regulatory scrutiny all over the word. I analyze zero-rating incentives of a monopolistic ISP facing a capacity constraint in a two-sided market where consumption provides utility for homogeneous consumers as well as advertising revenue for CPs. Focusing on a market with two CPs competing with each other and all other content which is never zero-rated, I identify parameter regions in which zero, one or two CPs are zero-rated. Surprisingly, the ISP may zero rate content when content is either very unattractive or very attractive for consumers, but not in the intermediary region. I show that zero-rating benefits consumers if content is attractive, whereas it may decrease social welfare in the case of unattractive content.

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  • November 2017, Friday 17 (02:00 pm): The effects of high school curriculum. A model of program and effort choice.
    by Olivier Degroote (KU Leuven)
    B31 – Sem.3

    Abstract :This paper addresses the impact of study programs in secondary education on long run educational and labor market outcomes. I estimate a dynamic model of educational decisions that allows for observed and unobserved differences in initial ability. It is novel in that it adds unobserved e¤ort as a choice variable, along with the choice of study program. This replaces traditional approaches, which assume end-ofyear performance follows an exogenous law of motion. I use the model to calculate how each study program contributes to di¤erent outcomes and I investigate policies that aim to match students to the right program. I find that academically rigorous programs are important to improve higher education outcomes, while vocational programs preventdrop out, grade retention and unemployment. At the same time, policies that encourage underperforming students to switch to less academic programs do not have a negative impact on higher education outcomes and they substantially reduce grade retention and drop out. I also find that ignoring the fact that students choose their effort level generates biases in counterfactual predictions.

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  • November 2017, Friday 17 (01:30 pm): Recent advances in the branch-price-and-cut solver GCG 
    by Marco Lübbecke (RWTH Aachen University)
    N1 – 1701

    Abstract :Many practical optimization problems can be formulated as models with an enormous number of variables. These variables typically represent combinatorial objects like subsets, configurations, or permutations. We are able to solve such models, even to optimality, because variables can be dynamically generated via column generation. Embedded in branch-and-bound we obtain branch-and-price. Formally, one may arrive at such models via a Dantzig-Wolfe refomulation of some integer program. One benefit of the reformulation is a potentially stronger relaxation. We describe efforts to develop a generic solver that is able to automatically perform the reformulation, and solve the latter by branch-and-price. An important part of this is to detect exploitable model structure, where we present our state of knowledge and identify blind spots where more research is needed.

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  • November 2017, Friday 10 (02:00 pm): Building an Online Reputation with Free Content: Evidence from the E-Book Market 
    by Dainis Zegers (U Cologne)
    B31 – Sem.3

    Abstract :An important strategy for sellers to build a reputation is to practice introductory pricing. By selling at a lower introductory price, sellers increase demand, induce more buyers to provide feedback, and thus build a reputation more quickly. I examine a form of introductory pricing that is particularly popular in digital markets: offering digital content for free. I argue that offering free content to build a reputation can be a double-edged strategy. It does not only attract buyers with a high preference, but also buyers with a low preference. Low-preference buyers give worse feedback than high-preference buyers, inducing a negative selection effect on a seller’s reputation. I estimate the strength of this effect using data from an online self-publishing platform where I observe authors either selling their e-books at a price or giving them away as free content. By exploiting the fact that I observe ratings for free and purchased versions of the same e-book, I show that those buyers who obtain an e-book as free content rate it worse than those buyers purchasing the e-book at a positive price, consistent with a negative selection effect on reputation.

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  • November 2017, Wednesday 8 (02:00 pm): Spanning tests for assets with option-like payo s: the case of hedge funds 
    by Paul Karehnke (UNSW Business School (Sydney))
    N1 – 1701

    Abstract :We draw on the skewness literature to propose performance evaluation tests which extend the linear factor regression approach and are designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean- variance-skewness investors and are more exible and better able to account for non- linearities in returns than option-based factor models. Applied to mutual funds and hedge funds, our tests usually suggest selecting di erent funds than standard tests, and nd that a signi cant fraction, 11%, of hedge funds add value to investors, whereas this is an insigni cant 4% for mutual funds. We also analyze the economic signi – cance of these option-like returns, their out-of-sample persistence, and their relation to subsequent fund ows.

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  • October 2017, Thursday 26 (06:30 pm): Les nouveaux défis de la gestion en Afrique en contexte de croissance économique 
    by Emmanuel Kamdem (Professeur des Universités, ESSEC, Université de Douala, Cameroun)
    N1 – 035

    Abstract :To be defined

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  • October 2017, Thursday 26 (09:30 am): Short Selling and Price Discovery in Corporate Bonds 
    by Roman Kozhan (Warwick Business School)
    N1 – 1701

    Abstract :We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman’s collapse. Short selling predicts returns following both high and low past bond returns. This, together with short selling increasing following past buying order imbalances, suggests short sellers trade against price pressures as well as trade on information. Short selling predicts bond returns both in the individual bonds that are shorted and in other bonds by the same issuer. Past stock returns and short selling in stocks predict bond returns, but do not eliminate bond short selling predicting bond returns. Bond short selling does not predict the issuer’s stock returns. These results show bond short sellers contribute to efficient bond prices and that short sellers’ information flows from stocks to bonds, but not from bonds to stocks.

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  • October 2017, Thursday 25 (12:30 pm): La recherche en sciences sociales et en gestion en Afrique Subsharienne 
    by Emmanuel Kamdem (Professeur des Universités, ESSEC, Université de Douala, Cameroun)
    B31 – Salle du conseil

    Abstract :To be defined

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  • October 2017, Friday 20 (02:00 pm): Testing the Lawyer-induced Litigation Hypothesis in Europe 
    by Wim Marneffe (UHasselt)
    B31 – Sem.3

    Abstract :Notwithstanding the benefits of competition within the lawyer profession, economic theory supports the existence of a lawyer-induced litigation effect. Given concerns about the growing litigiousness in many European countries and the growing awareness that observed increases in lawyers might further induce litigation rates, policymakers require a thorough understanding of the relationship between the number of lawyers and litigation rates. Utilizing a European crosscountry dataset, we contribute to the scant empirical literature on the lawyer-induced litigation hypothesis. To address endogeneity problems that arise when estimating the effect of the number of lawyers on litigation, we use two strategies. Following existing literature, we first estimate our model by means of the 2SLS procedure. Second, we exploit the instrumental variable approach based on the linear GMM estimator of Arellano and Bond (1991). To date, the Arellano-Bond estimator has not yet been used to address the endogeneity concerns between lawyers and litigation rates despite its advantages and popularity in other research areas. The estimations result in a positive and significant effect of lawyers that is robust across regressions. We discuss the policy implications of our findings.

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  • October 2017, Friday 6 (02:00 pm): Credit Value Adjustment with Market-implied Recovery
    by Pascal François (HEC Montréal)
    N1 – 1701

    Abstract :We present a model for CVA calculation in which the recovery rate is inferred from the term structure of CDS spreads. We show that the assumption of constant recovery is inconsistent with observed CDS spreads and leads to substantial underestimation of the CVA. We further document that the degree of misspecification induced by the constant recovery assumption is affected by the ratings of the two counterparties and the phase of the business cycle. Assuming constant recovery biases CVA calculations through two channels: estimating the default probability and measuring the impact of correlation and the associated wrong-way risk.

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  • September 2017, Friday 29 (02:00 pm): A heuristic approach to solve an integrated warehouse order picking problem
    by Maxime Ogier (Centrale Lille)
    N1 – 220

    Abstract :In this presentation we address an integrated warehouse order picking problem. The aim is to solve industrial instances given by a partner specialized in ready-to-wear. The warehouse is divided in the picking and the storage areas. We focus on the picking area. It contains a set of aisles, each composed by a set of storage positions. For each period of the working day each position contains several pieces of a unique product, defined by its reference. The warehouse is not automated, and the order pickers can prepare up to K parcels in a given picking route. For each period of the working day a set of customer orders has to be prepared. An order is a set of product references, each associated with a quantity, i.e. the number of pieces required. The problem consists in jointly deciding: (1) the assignment of references to storage positions in the aisles which need to be filled up; (2) the division of orders into several parcels, respecting weight and size constraints; (3) the batching of parcels into groups of size K, that implicitly define the routing into the picking area. The routing is assumed to follow a return policy, i.e. an order picker enters and leaves each aisle from the same end. The objective function is to minimize the total routing cost. In order to deal with industrial instances of large size (considering hundreds of clients, thousands of positions and product references) in a short computation time, a heuristic method based on the split and dynamic programming paradigms is proposed.

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  • September 2017, Thursday 21 (11:30 am): Media content for value and growth stocks
    by Nicolas Moreno (HEC-Liège)
    N1 – 1701

    Abstract :The research aims at providing new insights on the risk drivers underlying the value premium documented by Fama and French (1993). By using news stories supplied by Thomson Reuters, we seek to explain comovement in value and growth stock returns from common information factors embedded in news. We also distinguish between information coming from common news stories and idiosyncratic shocks concerning a smaller subset of firms. This framework allows us to answer three questions: 1) Is there a common risk factor in the news which explains the value anomaly? 2) Is idiosyncratic news information priced? and 3) Does the amount of media attention to an information prime over the polarity of this information?

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