Amalia R Miller, Carmit Segal, Melissa K Spencer, Effects of the COVID-19 pandemic on domestic violence in Los Angeles, In: NBER Working Paper Series, No. 28068, 2020. (Working Paper)
Around the world, policymakers and news reports have warned that domestic violence (DV) could increase as a result of the COVID-19 pandemic and the attendant restrictions on individual mobility and commercial activity. However, both anecdotal accounts and academic research have found inconsistent effects of the pandemic on DV across measures and cities. We use high-frequency, real-time data from Los Angeles on 911 calls, crime incidents, arrests, and calls to a DV hotline to study the effects ofCOVID-19 shutdowns on DV. We find conflicting effects within that single city and even across measures from the same source. We also find varying effects between the initial shutdown period and the onefollowing the initial re-opening. DV calls to police and to the hotline increased during the initial shutdown, but DV crimes decreased, as did arrests for those crimes. The period following re-opening showeda continued decrease in DV crimes and arrests, as well as decreases in calls to the police and to the hotline. Our results highlight the heterogeneous effects of the pandemic across DV measures and caution against relying on a single data type or source. |
|
Philipp Horsch, Philip Longoni, David Oesch, Intangible Capital and Leverage, In: SSRN, No. 2906283, 2019. (Working Paper)
We investigate the causal effect of intangible capital on leverage. To address endogeneity, we exploit patent invalidations by the US Court of Appeals for the Federal Circuit, where judges are randomly assigned to cases. Differences in judge leniency provide exogenous variation in the probability that firms’ patents are invalidated. Using this probability as an instrument for exogenous losses in intangible capital, we find a patent invalidation leads to a 14.1% reduction in leverage, suggesting that intangible capital causally supports leverage. This local average treatment effect is stronger in firms who use patents as loan collateral, in less creditworthy and in smaller firms. The deleveraging after patent invalidation is mainly driven by firms reducing short-term debt. |
|
Luzi Hail, Maximilian Muhn, David Oesch, Do Risk Disclosures Matter When it Counts? Evidence from the Swiss Franc Shock, In: SSRN, No. 2939935, 2020. (Working Paper)
We examine the relation between disclosure quality and information asymmetry among market participants following an exogenous shock to macroeconomic risk. In 2015 the Swiss National Bank abruptly announced that it would abandon the longstanding minimum euro-Swiss franc exchange rate. We find evidence suggesting that firms with more transparent disclosures regarding their foreign exchange risk exposure ex ante exhibit significantly lower information asymmetry ex post. The information gap in bid-ask spreads appears within 30 minutes of the announcement and persists for two weeks, during which new information gradually substitutes for past disclosures. We validate the information dynamics of past risk disclosures with three field surveys: (1) Sell-side analysts emphasize the importance of existing (risk) disclosures in evaluating the translational and transactional effects of the currency shock. (2) Lending banks’ credit officers rely on past disclosures as the primary information source available for smaller (unlisted) firms in the immediate aftermath of the shock. (3) Investor-relations managers use existing financial filings as a key resource when communicating with external stakeholders. The results suggest that historical disclosures help investors attenuate information asymmetry in light of unexpected news. |
|
Vincent Lars Wolff, Enzo Rossi, Spillovers to exchange rates from monetary and macroeconomic communications events, In: SNB Working Paper Series, No. 18, 2020. (Working Paper)
We study the tightness of the link between U.S. monetary and macroeconomic communication events and the exchange rate movements against the USD of four major currencies - the euro, the Swiss franc, the Brazilian real and the Mexican peso - since the global financial crisis (GFC). We find three main results. Approximately 20 percent of the U.S. communications events were associated with statistically significant exchange rate effects. Unconventional and conventional monetary policy announcements had equal impacts. The reactions of the advanced countries' currencies were more in line with each another than with those of the emerging markets' currencies. |
|
Felix Kübler, Simon Scheidegger, Uniformly self-justified equilibria, In: SSRN, No. 3995209, 2023. (Working Paper)
We consider dynamic stochastic economies with heterogeneous agents and introduce the concept of uniformly self-justified equilibria (USJE) - temporary equilibria for which expectations satisfy the following rationality requirements: i) individuals' forecasting functions for the next period's endogenous variables are assumed to lie in a compact, finite-dimensional set of functions, and ii) the forecasts constitute the best uniform approximation to a selection of the equilibrium correspondence. We show that in contrast to rational expectations equilibria, USJE always exist, and we develop a simple algorithm to compute them. As an application, we discuss a stochastic overlapping generations exchange economy. We give an example where recursive (rational expectations) equilibria fail to exist and explain how to construct USJE for that example. In addition, we provide numerical examples to illustrate our computational method. |
|
Felix Kübler, R Malhotra, H Polemarchakis, Identification of preferences, demand and equilibrium with finite data, In: CRETA Discussion Paper Series, No. 60, 2020. (Working Paper)
We give conditions under which an individual's preferences can be identified with finite data. First, we derive conditions that guarantee that a finite number of observations of an individual's binary choices identify preferences over an arbitrarily large subset of the choice space and allow one to predict how the individual shall decide when faced with choices not previously encountered. Second, we extend the argument to observations of individual demand. Finally, we show that finitely many observations of Walrasian equilibrium prices and profiles of individual endowments suffice to identify individual preferences and, as a consequence, equilibrium comparative statics. |
|
Felix Kübler, Larry Selden, Xiao Wei, Time consistency, temporal resolution indifference and the separation of time and risk, In: Columbia Business School Working Paper, No. -, 2019. (Working Paper)
No existing dynamic preference model can simultaneously satisfy time consistency, temporal resolution of risk indifference and the separation of time and risk preferences. In the context of the consumption-portfolio optimization problem, we derive necessary and sufficient conditions such that all three of these properties are satisfied by the dynamic ordinal certainty equivalent (DOCE) preference structure axiomatized in Selden and Stux (1978). These conditions ensure that DOCE resolute, naive and sophisticated consumption and asset demands are (i) identical and (ii) the same as the demands generated by Kreps and Porteus (1978) (KP) preferences. When the conditions are violated, the elasticity of intertemporal substitution can play a key role in determining whether the differences between resolute, naive and sophisticated demands are material and the axiomatic differences between the DOCE and KP preference models are important. |
|
Suzanne Tolmeijer, Markus Kneer, Cristina Sarasua, Markus Christen, Abraham Bernstein, Implementations in Machine Ethics: A Survey, In: ArXiv.org, No. 07573, 2020. (Working Paper)
Increasingly complex and autonomous systems require machine ethics to maximize the benefits and minimize the risks to society arising from the new technology. It is challenging to decide which type of ethical theory to employ and how to implement it effectively. This survey provides a threefold contribution. First, it introduces a trimorphic taxonomy to analyze machine ethics implementations with respect to their object (ethical theories), as well as their nontechnical and technical aspects. Second, an exhaustive selection and description of relevant works is presented. Third, applying the new taxonomy to the selected works, dominant research patterns, and lessons for the field are identified, and future directions for research are suggested. |
|
Vitor Bosshard, Sven Seuken, The Cost of Simple Bidding in Combinatorial Auctions, In: ArXiv.org, No. 12237, 2020. (Working Paper)
We study the complexity of bidding optimally in one-shot combinatorial auction mechanisms. Specifically, we consider the two most-commonly used payment rules: first-price and VCG-nearest. Prior work has largely assumed that bidders only submit bids on their bundles of interest. However, we show the surprising result that a single-minded bidder may lose an exponential amount of utility by playing his optimal simple strategy (only bidding on his bundle of interest) compared to playing his optimal complex strategy (which involves bidding on an exponential number of bundles). Our work suggests that it is important for future research on combinatorial auctions to fully take these effects into account. |
|
Kjell G. Nyborg, Zexi Wang, The effect of stock liquidity on cash holdings: The repurchase motiv, In: Swiss Finance Institute Research Paper, No. 19-30, 2019. (Working Paper)
We show that enhanced stock liquidity increases a firm’s propensity to hold cash using tick-size decimalization for identification. Our finding is surprising in light of the view that improved stock liquidity reduces financial constraints. As an explanation, we propose that there is a repurchase motive for holding cash. Higher stock liquidity strengthens this incentive. Consistent with this perspective, we show that firms with more liquid stock increase cash holdings relatively more around the introduction of safe harbor rules for repurchases. With respect to the effect of stock liquidity on cash holdings, therefore, our
findings suggest that the repurchase motive dominates the real investments motive. We also show that this effect is not influenced by a firm’s relative ability to access to credit markets. |
|
Stefan Linder, Matthias Sohn, Carmen Tanner, Moral commitment and corruption: Who is more likely to resist corrupt behavior?, In: SSRN, No. 3530305, 2020. (Working Paper)
Corruption is ubiquitous in practice and has severe negative consequences for businesses and societies at large. This paper focuses on an issue largely neglected in research on corruption: why individuals differ in their susceptibility to engage in corruption. Drawing on a laboratory experiment, we propose that individuals high in moral commitment are less likely to engage in corruptive behaviors and hence forego financial benefits. Specifically, we posit that individuals refrain from corruption (i) the more they hold integrity as a protected value, (ii) the more they experience compromising their integrity for monetary gains as unacceptable, and (iii) the higher their level of Honesty-Humility. The results of our two-step experiment largely support the hypotheses: people who treat compromises to integrity as unacceptable were less willing to accept bribes, and Honesty-Humility decreased bribe-giving. The findings are robust to demographic variables (e.g., age, gender, cultural background) and additional personal characteristics (e.g., risk tolerance, dispositional greed) and have important implications for ongoing theory-building efforts and business practice. |
|
Silvia Maier, Marcus Grüschow, Pupil dilation predicts individual success in emotion regulation and dietary self-control, In: bioRxiv, No. 376202, 2020. (Working Paper)
Multiple theories have proposed that increasing central arousal through the brain’s locus coeruleus – norepinephrine system may facilitate cognitive control and memory. However, for emotion research this hypothesis poses a puzzle, because conventionally, successful emotion regulation is associated with a decrease in arousal.
Pupil diameter is a proxy to infer upon the central arousal state. We employed an emotion regulation paradigm with a combination of design features that allowed us to dissociate regulation- from stimulus-associated arousal in the pupil diameter time course of healthy adults. A pupil diameter increase during regulation predicted individual differences in emotion regulation success beyond task difficulty. Moreover, the extent of this individual arousal boost predicted performance in another self-control task, dietary health challenges. Participants who harnessed more regulation-associated arousal during emotion regulation were also more successful in choosing healthier foods. These results suggest that a common arousal-based facilitation mechanism may support an individual’s self-control across domains. |
|
Delia Coculescu, Aditi Dandapani, Insiders and their Free Lunches: the Role of Short Positions, In: ArXiv.org, No. 2012.00359, 2020. (Working Paper)
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the minimal martingale measure. In particular, we establish conditions when both fail to exist. These correspond to the case when the insider's information set includes some non null events that are perceived as having null probabilities by the uninformed market investors. These results may have different applications, such as in problems related to the local risk-minimisation for insiders whenever strategies are implemented without short selling. |
|
Christoph Basten, Mike Mariathasan, Interest Rate Pass-Through and Bank Risk-Taking Under Negative-Rate Policies with Tiered Remuneration of Central Bank Reserves, In: SFI Discussion Papers, No. 20-98, 2020. (Working Paper)
|
|
Daniel Fasnacht, Open Innovation Ecosystem: The Winner Takes It All, In: SSRN, No. 3311236, 2019. (Working Paper)
Recent research and practical implementations in the area of open innovation and business ecosystems have found that ecosystem theory can play an important part in strategic management. The term Open Innovation Ecosystem stands for an ill-defined concept. In both theory and practice, the term is used in different combinations and with different meanings. The attempt of this paper is to briefly define the open innovation ecosystem, including the derivation of its two theories, i.e. open innovation and (business) ecosystem. We explain the conceptual analogy between the biological ecosystem, as observed in nature, and our understanding of the open innovation ecosystem that we adopted from manufacturing and technology. By examining the financial sector, we found some generally valid definitions. The focus of our research is the value of creating open innovation ecosystems and the forces and processes that cause them to evolve over time. Based on a case study of Alibaba’s cross-sector ecosystem, we show that in today’s sharing economy, the winner takes it all. We conclude by suggesting strategy development through the lens of the ecosystem theory, as this approach clearly drives innovation and growth in an increasingly connected digital world. |
|
Daniel Fasnacht, The Ecosystem Strategy: Disruptive Business Model Innovation, In: SSRN, No. 3635363, 2020. (Working Paper)
The fourth industrial revolution has long since begun and is leading to an economic reorganization with significant changes for organizations, leadership, and society. With increasing global competition, established companies would be forced out of the market if they do not collaborate with agile innovators from outside their industries. This article contains instructions on how existing and disruptive business models can be combined with an ecosystem strategy and used as an opportunity. Case examples and practical models guide managers to identify and evaluate ecosystem strategies to generate new added value for the next generation of customers.
Note: This paper is an enhanced and translated version of an article originally published under the title "Die Oekosystemstrategie" in Zeitschrift Führung und Organisation (zfo), Vol. 89, No. 3, June 2020, pp. 168-173. The publication is a highly respected peer-review journal, focusing on leadership and organization./ |
|
Daniel Fasnacht, Open Innovation in the Financial Services - The Magic Bullet, In: SSRN, No. 3684517, 2020. (Working Paper)
Rapid and unpredictable events as we have experienced with the financial crisis or recently with COVID-19 together with macro trends that change societies and businesses over ten years have become recurring themes in the global competitive landscape. The open innovation concept helps firms to reconfigure their resources across company boundaries and in turn, nurtures organisational agility and entrepreneurial flexibility. Collaboration and co-creation are the core elements of a new management mindset to serve specific client demands fast, precisely, and effectively. A long-term study, exploring the impacts of emerging open business models in financial services, found that digital convergence accelerates the disruption of established banking businesses. Based on a literature review, complemented with information from case studies of notable banks, this abstract shows what affects markets and society most and provides insights into a sector that is in transformation. It broadens the understanding of scholars as well as practitioners that acknowledge open innovation to develop opportunities by creating and capturing value in business ecosystems. |
|
Jill Jones, Steven Ongena, Vasileios Pappas, Mike Tsionas, Marwan Izzeldin, Efficiency Convergence in Islamic and Conventional Banks, In: SSRN, No. n/a, 2018. (Working Paper)
This paper examines how efficiency dynamics of Islamic and conventional banks compare and how they are converging across different countries. We employ both parametric and non-parametric methods to analyse a panel of Islamic and conventional banks from 23 countries during the period 1999 to 2014. Parametric methods (stochastic frontiers methods) shows that both steady state efficiency and the speed of convergence of Islamic and conventional banks are similar. A non-parametric framework (classification trees) identifies a varying degree of alignment between the Islamic and conventional banking model across countries, which could explain the plurality in conclusions in the Islamic/conventional bank efficiency debate. We find that the alignment between the two bank types is positively related to the country’s financial depth, transparency, economic stability and banking concentration. At the bank level, the alignment in the two banking systems is associated with higher income diversification, liquidity, profitability and financial stability. |
|
Diana Bonfim, Gil Nogueira, Steven Ongena, “Sorry, We're Closed" Bank Branch Closures, Loan Pricing, and Information Asymmetries, In: SSRN, No. 2749155, 2020. (Working Paper)
We study local loan conditions when, under external pressure, banks close branches. After the closure of nearby branches of their credit granting banks, firms that locally and hurriedly transfer to other banks receive an equivalent interest rate. However, and in stark contrast, where branch closures do not take place firms that purposely switch banks receive a 63 basis points discount. At the same time, the loan default rate for the (more expensive) transfer loans is on average a full percentage point lower than that for the (cheaper) switching loans. This suggests that firms that establish new relationships after their bank branch closes are “better” than regular switchers in terms of unobservable characteristics. Taken together, these findings provide evidence of losses for firms when banks close branches, even if local markets remain competitive. |
|
Delia Coculescu, Freddy DELBAEN, Group cohesion under individual regulatory constraints, In: ArXiv.org, No. 2010.0142, 2020. (Working Paper)
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex cone. Because of these requirements, there are less incentives to operate under a group structure, as creating one single business unit, or altering the liability repartition among units, may allow to reduce the required capital. We analyse the possibilities for the group to benefit from a diversification effect and economise on the cost of capital. We define and study the risk measures that allow for any group to achieve the minimal capital, as if it were a single unit, without altering the liability of business units, and despite the individual admissibility constraints. We call these risk measures cohesive risk measures, we prove cohesive risk measures are tail expectations but calculated under a different probability. |
|