Dépouillements

Impossible frontiers / Thomas J. Brennan in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 905-923 Titre : Impossible frontiers Type de document : texte imprimé Auteurs : Thomas J. Brennan, Auteur ; Andrew W. Lo, Auteur Année de publication : 2010 Article en page(s) : pp. 905-923 Note générale : Management Langues : Anglais (eng) Mots-clés : Short  selling  Long/short  Portfolio  optimization  Mean-variance  analysis  CAPM Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : A key result of the capital asset pricing model (CAPM) is that the market portfolio—the portfolio of all assets in which each asset's weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for which every frontier portfolio has at least one negative weight or short position. We call such efficient frontiers “impossible,” and show that impossible frontiers are difficult to avoid. In particular, as the number of assets, n, grows, we prove that the probability that a generically chosen frontier is impossible tends to one at a geometric rate. In fact, for one natural class of distributions, nearly one-eighth of all assets on a frontier is expected to have negative weights for every portfolio on the frontier. We also show that the expected minimum amount of short selling across frontier portfolios grows linearly with n, and even when short sales are constrained to some finite level, an impossible frontier remains impossible. Using daily and monthly U.S. stock returns, we document the impossibility of efficient frontiers in the data. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Impossible frontiers [texte imprimé] / Thomas J. Brennan, Auteur ; Andrew W. Lo, Auteur . - 2010 . - pp. 905-923. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 905-923 Mots-clés : Short  selling  Long/short  Portfolio  optimization  Mean-variance  analysis  CAPM Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : A key result of the capital asset pricing model (CAPM) is that the market portfolio—the portfolio of all assets in which each asset's weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for which every frontier portfolio has at least one negative weight or short position. We call such efficient frontiers “impossible,” and show that impossible frontiers are difficult to avoid. In particular, as the number of assets, n, grows, we prove that the probability that a generically chosen frontier is impossible tends to one at a geometric rate. In fact, for one natural class of distributions, nearly one-eighth of all assets on a frontier is expected to have negative weights for every portfolio on the frontier. We also show that the expected minimum amount of short selling across frontier portfolios grows linearly with n, and even when short sales are constrained to some finite level, an impossible frontier remains impossible. Using daily and monthly U.S. stock returns, we document the impossibility of efficient frontiers in the data. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

The auditor's slippery slope / Carlos Corona in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 924-937 Titre : The auditor's slippery slope : An analysis of reputational incentives Type de document : texte imprimé Auteurs : Carlos Corona, Auteur ; Ramandeep S. Randhawa, Auteur Année de publication : 2010 Article en page(s) : pp. 924-937 Note générale : Management Langues : Anglais (eng) Mots-clés : Reputation  Auditing  Game  theory  Sequential  equilibrium Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Reputational concerns have commonly been perceived to have a positive effect on auditing firms' execution of their monitoring and attesting functions. This paper demonstrates that this need not always be the case by studying a two-period game of repeated interaction between a manager and an auditor under the assessment of the market for audit services. Regarding reputation as the sole motivator for the auditor, we illustrate how reputational concerns induce an auditing firm to misreport. We investigate the reasons and circumstances under which such misreporting takes place. In particular, a strategic manager can induce the audit firm down a slippery slope, wherein the managerial fraud increases as the tenure of the audit firm progresses, whereas the auditor's fraud reporting probability decreases. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] The auditor's slippery slope : An analysis of reputational incentives [texte imprimé] / Carlos Corona, Auteur ; Ramandeep S. Randhawa, Auteur . - 2010 . - pp. 924-937. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 924-937 Mots-clés : Reputation  Auditing  Game  theory  Sequential  equilibrium Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Reputational concerns have commonly been perceived to have a positive effect on auditing firms' execution of their monitoring and attesting functions. This paper demonstrates that this need not always be the case by studying a two-period game of repeated interaction between a manager and an auditor under the assessment of the market for audit services. Regarding reputation as the sole motivator for the auditor, we illustrate how reputational concerns induce an auditing firm to misreport. We investigate the reasons and circumstances under which such misreporting takes place. In particular, a strategic manager can induce the audit firm down a slippery slope, wherein the managerial fraud increases as the tenure of the audit firm progresses, whereas the auditor's fraud reporting probability decreases. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Effects of litigation risk on board oversight and CEO incentive pay / Volker Laux in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 938-948 Titre : Effects of litigation risk on board oversight and CEO incentive pay Type de document : texte imprimé Auteurs : Volker Laux, Auteur Année de publication : 2010 Article en page(s) : pp. 938-948 Note générale : Management Langues : Anglais (eng) Mots-clés : Corporate  governance  Director  liability  Board  oversight  CEO  incentive  pay  Earnings  management Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Various commentators have praised the WorldCom and Enron settlements for holding outside directors personally liable, arguing that heightened director liability will induce greater board oversight. This paper shows that the connection between director liability and board behavior is more subtle, because directors have multiple means to respond to an increase in liability exposure: They can increase oversight to prevent accounting manipulation and/or reduce performance-based CEO pay to mitigate the CEO's ex ante incentive to engage in manipulation. These two decisions are interrelated, implying that the effects of director liability on board oversight and CEO incentive pay are ambiguous. In particular, the model predicts that, for firms in which board oversight is difficult and costly (e.g., large firms with complex business operations), a stricter legal environment for directors leads to a lower level of board oversight, lower CEO incentive pay, and lower shareholder value. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Effects of litigation risk on board oversight and CEO incentive pay [texte imprimé] / Volker Laux, Auteur . - 2010 . - pp. 938-948. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 938-948 Mots-clés : Corporate  governance  Director  liability  Board  oversight  CEO  incentive  pay  Earnings  management Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Various commentators have praised the WorldCom and Enron settlements for holding outside directors personally liable, arguing that heightened director liability will induce greater board oversight. This paper shows that the connection between director liability and board behavior is more subtle, because directors have multiple means to respond to an increase in liability exposure: They can increase oversight to prevent accounting manipulation and/or reduce performance-based CEO pay to mitigate the CEO's ex ante incentive to engage in manipulation. These two decisions are interrelated, implying that the effects of director liability on board oversight and CEO incentive pay are ambiguous. In particular, the model predicts that, for firms in which board oversight is difficult and costly (e.g., large firms with complex business operations), a stricter legal environment for directors leads to a lower level of board oversight, lower CEO incentive pay, and lower shareholder value. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Positioning and pricing in a variety seeking market / S. Sajeesh in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 949-961 Titre : Positioning and pricing in a variety seeking market Type de document : texte imprimé Auteurs : S. Sajeesh, Auteur ; Jagmohan S. Raju, Auteur Année de publication : 2010 Article en page(s) : pp. 949-961 Note générale : Management Langues : Anglais (eng) Mots-clés : Variety  seeking  Positioning  Pricing  Differentiation  Hotelling  models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study competitive positioning and pricing strategies in markets where consumers seek variety. Variety seeking behavior is modeled as a decrease in the willingness to pay for the product purchased on the previous purchase occasion. Using a three-stage Hotelling-type model, we show that the presence of variety seeking consumers reduces product differentiation offered in equilibrium, thereby explaining some otherwise counterintuitive findings in empirical research. We find that firms charge higher prices in Period 1 and lower prices in Period 2. The lower price in Period 2 represents the price incentive that firms need to offer to prevent the variety seeking consumers from switching. Furthermore, we find that the observed switching in a market may not fully capture the true magnitude of the underlying variety seeking tendencies among consumers. Finally, we show that the presence of variety seeking consumers leads to lower firm profits and a higher consumer surplus. Surplus increases for variety seeking consumers as well as regular consumers. Therefore, the presence of variety seeking consumers benefits everyone in the market. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Positioning and pricing in a variety seeking market [texte imprimé] / S. Sajeesh, Auteur ; Jagmohan S. Raju, Auteur . - 2010 . - pp. 949-961. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 949-961 Mots-clés : Variety  seeking  Positioning  Pricing  Differentiation  Hotelling  models Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study competitive positioning and pricing strategies in markets where consumers seek variety. Variety seeking behavior is modeled as a decrease in the willingness to pay for the product purchased on the previous purchase occasion. Using a three-stage Hotelling-type model, we show that the presence of variety seeking consumers reduces product differentiation offered in equilibrium, thereby explaining some otherwise counterintuitive findings in empirical research. We find that firms charge higher prices in Period 1 and lower prices in Period 2. The lower price in Period 2 represents the price incentive that firms need to offer to prevent the variety seeking consumers from switching. Furthermore, we find that the observed switching in a market may not fully capture the true magnitude of the underlying variety seeking tendencies among consumers. Finally, we show that the presence of variety seeking consumers leads to lower firm profits and a higher consumer surplus. Surplus increases for variety seeking consumers as well as regular consumers. Therefore, the presence of variety seeking consumers benefits everyone in the market. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Quick response and retailer effort / Harish Krishnan in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 962-977 Titre : Quick response and retailer effort Type de document : texte imprimé Auteurs : Harish Krishnan, Auteur ; Roman Kapuscinski, Auteur ; David A. Butz, Auteur Année de publication : 2010 Article en page(s) : pp. 962-977 Note générale : Management Langues : Anglais (eng) Mots-clés : Quick  response  Sales  effort  Supply  chain  incentives  Supply  chain  contracts  Exclusive  dealing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The benefits of supply chain innovations such as quick response (QR) have been extensively investigated. This paper highlights a potentially damaging impact of QR on retailer effort. By lowering downstream inventories, QR may compromise retailer incentives to exert sales effort on a manufacturer's product and may lead instead to greater sales effort on a competing product. Manufacturer-initiated quick response can therefore backfire, leading to lower sales of the manufacturer's product and, in some cases, to higher sales of a competing product. Evidence from case studies and interviews shows that some manufacturers view high retailer inventory as a means of increasing retailer commitment (“a loaded customer is a loyal customer”). By implication, manufacturers should recognize the effect we highlight in this paper: the potential of QR to lessen retailer sales effort. We show that relatively simple distribution contracts such as minimum-take contracts, advance-purchase discounts, and exclusive dealing, when adopted in conjunction with QR, can remedy the distortionary impact of QR on retailers' incentives. In two recent antitrust cases we find evidence that, consistent with our theory, manufacturers adopted exclusive dealing at almost the same time that they were making QR-type supply chain improvements. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Quick response and retailer effort [texte imprimé] / Harish Krishnan, Auteur ; Roman Kapuscinski, Auteur ; David A. Butz, Auteur . - 2010 . - pp. 962-977. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 962-977 Mots-clés : Quick  response  Sales  effort  Supply  chain  incentives  Supply  chain  contracts  Exclusive  dealing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The benefits of supply chain innovations such as quick response (QR) have been extensively investigated. This paper highlights a potentially damaging impact of QR on retailer effort. By lowering downstream inventories, QR may compromise retailer incentives to exert sales effort on a manufacturer's product and may lead instead to greater sales effort on a competing product. Manufacturer-initiated quick response can therefore backfire, leading to lower sales of the manufacturer's product and, in some cases, to higher sales of a competing product. Evidence from case studies and interviews shows that some manufacturers view high retailer inventory as a means of increasing retailer commitment (“a loaded customer is a loyal customer”). By implication, manufacturers should recognize the effect we highlight in this paper: the potential of QR to lessen retailer sales effort. We show that relatively simple distribution contracts such as minimum-take contracts, advance-purchase discounts, and exclusive dealing, when adopted in conjunction with QR, can remedy the distortionary impact of QR on retailers' incentives. In two recent antitrust cases we find evidence that, consistent with our theory, manufacturers adopted exclusive dealing at almost the same time that they were making QR-type supply chain improvements. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Quality management and job quality / David I. Levine in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 978-996 Titre : Quality management and job quality : How the ISO 9001 standard for quality management systems affects employees and employers Type de document : texte imprimé Auteurs : David I. Levine, Auteur ; Michael W. Toffel, Auteur Année de publication : 2010 Article en page(s) : pp. 978-996 Note générale : Management Langues : Anglais (eng) Mots-clés : ISO  9001  Quality  management  Standards  Occupational  health  and  safety  Wages  Labor  Empirical  California Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Several studies have examined how the ISO 9001 quality management systems standard predicts changes in organizational outcomes such as profits. This is the first large-scale study to explore how employee outcomes such as employment, earnings, and health and safety change when employers adopt ISO 9001. We analyzed a matched sample of nearly 1,000 companies in California. ISO 9001 adopters subsequently had far lower organizational death rates than a matched control group of nonadopters. Among surviving employers, ISO adopters had higher growth rates for sales, employment, payroll, and average annual earnings. Injury rates declined slightly for ISO 9001 adopters, although total injury costs did not. These results have implications for organizational theory, managers, and public policy. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Quality management and job quality : How the ISO 9001 standard for quality management systems affects employees and employers [texte imprimé] / David I. Levine, Auteur ; Michael W. Toffel, Auteur . - 2010 . - pp. 978-996. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 978-996 Mots-clés : ISO  9001  Quality  management  Standards  Occupational  health  and  safety  Wages  Labor  Empirical  California Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Several studies have examined how the ISO 9001 quality management systems standard predicts changes in organizational outcomes such as profits. This is the first large-scale study to explore how employee outcomes such as employment, earnings, and health and safety change when employers adopt ISO 9001. We analyzed a matched sample of nearly 1,000 companies in California. ISO 9001 adopters subsequently had far lower organizational death rates than a matched control group of nonadopters. Among surviving employers, ISO adopters had higher growth rates for sales, employment, payroll, and average annual earnings. Injury rates declined slightly for ISO 9001 adopters, although total injury costs did not. These results have implications for organizational theory, managers, and public policy. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Assessing joint distributions with isoprobability contours / Ali E. Abbas in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 997-1011 Titre : Assessing joint distributions with isoprobability contours Type de document : texte imprimé Auteurs : Ali E. Abbas, Auteur ; David V. Budescu, Auteur ; Yuhong (Rola) Gu, Auteur Année de publication : 2010 Article en page(s) : pp. 997-1011 Note générale : Management Langues : Anglais (eng) Mots-clés : Isoprobability  contours  Joint  probability  elicitation  Probability  encoding  Correlation  Dependence Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We present a new method for constructing joint probability distributions of continuous random variables using isoprobability contours—sets of points with the same joint cumulative probability. This approach reduces the joint probability assessment into a one-dimensional cumulative probability assessment using a sequence of binary choices between various combinations of the variables of interest. The approach eliminates the need to assess directly the dependence, or association, between the variables. We discuss properties of isoprobability contours and methods for their assessment in practice. We also report results of a study in which subjects assessed the 50th percentile isoprobability contour of the joint distribution of weight and height. We use the data to show how to use the assessed contours to construct the joint distribution and to infer (indirectly) the dependence between the variables. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Assessing joint distributions with isoprobability contours [texte imprimé] / Ali E. Abbas, Auteur ; David V. Budescu, Auteur ; Yuhong (Rola) Gu, Auteur . - 2010 . - pp. 997-1011. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 997-1011 Mots-clés : Isoprobability  contours  Joint  probability  elicitation  Probability  encoding  Correlation  Dependence Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We present a new method for constructing joint probability distributions of continuous random variables using isoprobability contours—sets of points with the same joint cumulative probability. This approach reduces the joint probability assessment into a one-dimensional cumulative probability assessment using a sequence of binary choices between various combinations of the variables of interest. The approach eliminates the need to assess directly the dependence, or association, between the variables. We discuss properties of isoprobability contours and methods for their assessment in practice. We also report results of a study in which subjects assessed the 50th percentile isoprobability contour of the joint distribution of weight and height. We use the data to show how to use the assessed contours to construct the joint distribution and to infer (indirectly) the dependence between the variables. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Contingent effects of quality signaling / Guodong (Gordon) Gao in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 1012-1029 Titre : Contingent effects of quality signaling : Evidence from the indian offshore IT services industry Type de document : texte imprimé Auteurs : Guodong (Gordon) Gao, Auteur ; Anandasivam Gopal, Auteur ; Ritu Agarwal, Auteur Année de publication : 2010 Article en page(s) : pp. 1012-1029 Note générale : Management Langues : Anglais (eng) Mots-clés : Signaling  Certification  CMM  Outsourcing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine the heterogeneous returns to third-party quality signals in the context of the Indian software services industry. Prior theory has argued that quality certification is important in markets characterized by information asymmetry. However, there is limited understanding of the contingent factors that influence the efficacy of the quality signal. We focus on capability maturity model (CMM) certification, which is granted on the basis of a rigorous audit of software vendor's internal quality-oriented software construction practices, as a signal of unobservable quality. Drawing upon prior research in strategy and economics, we theorize that the impacts of CMM certification on a vendor's export performance are conditional on factors reflecting the vendor's strategy (diversification and location) and its competitive environment (the extent of CMM penetration in the vendor's competition). Analysis of panel data supports our predictions related to the contingent value of CMM certification, and shows that a software service provider gains more from certification in terms of its software exports when its service offerings are diversified, when it chooses to locate away from a cluster of other software service firms, and when the extent of CMM penetration in the competition is low. This study extends prior research in the information value of a quality signal on a firm's demand side that has, for the most part, focused solely on direct effects. We discuss the implications of our findings for the strategic trade-offs that managers of software service firms need to make. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Contingent effects of quality signaling : Evidence from the indian offshore IT services industry [texte imprimé] / Guodong (Gordon) Gao, Auteur ; Anandasivam Gopal, Auteur ; Ritu Agarwal, Auteur . - 2010 . - pp. 1012-1029. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 1012-1029 Mots-clés : Signaling  Certification  CMM  Outsourcing Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We examine the heterogeneous returns to third-party quality signals in the context of the Indian software services industry. Prior theory has argued that quality certification is important in markets characterized by information asymmetry. However, there is limited understanding of the contingent factors that influence the efficacy of the quality signal. We focus on capability maturity model (CMM) certification, which is granted on the basis of a rigorous audit of software vendor's internal quality-oriented software construction practices, as a signal of unobservable quality. Drawing upon prior research in strategy and economics, we theorize that the impacts of CMM certification on a vendor's export performance are conditional on factors reflecting the vendor's strategy (diversification and location) and its competitive environment (the extent of CMM penetration in the vendor's competition). Analysis of panel data supports our predictions related to the contingent value of CMM certification, and shows that a software service provider gains more from certification in terms of its software exports when its service offerings are diversified, when it chooses to locate away from a cluster of other software service firms, and when the extent of CMM penetration in the competition is low. This study extends prior research in the information value of a quality signal on a firm's demand side that has, for the most part, focused solely on direct effects. We discuss the implications of our findings for the strategic trade-offs that managers of software service firms need to make. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

Operational flexibility and financial hedging / Jiri Chod in Management science, Vol. 56 N° 6 (Juin 2010) 

Public ISBD [article]  in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 1030-1045 Titre : Operational flexibility and financial hedging : Complements or substitutes? Type de document : texte imprimé Auteurs : Jiri Chod, Auteur ; Nils Rudi, Auteur ; Jan A. Van Mieghem, Auteur Année de publication : 2010 Article en page(s) : pp. 1030-1045 Note générale : Management Langues : Anglais (eng) Mots-clés : Financial  hedging  Postponement  Flexibility  Risk  management Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider a firm that invests in capacity under demand uncertainty and thus faces two related but distinct types of risk: mismatch between capacity and demand and profit variability. Whereas mismatch risk can be mitigated with greater operational flexibility, profit variability can be reduced through financial hedging. We show that the relationship between these two risk mitigating strategies depends on the type of flexibility: Product flexibility and financial hedging tend to be complements (substitutes)—i.e., product flexibility tends to increase (decrease) the value of financial hedging, and, vice versa, financial hedging tends to increase (decrease) the value of product flexibility—when product demands are positively (negatively) correlated. In contrast to product flexibility, postponement flexibility is a substitute to financial hedging as intuitively expected. Although our analytical results assume perfect flexibility and perfect hedging and rely on a linear approximation of the value of hedging, we validate their robustness in an extensive numerical study. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc [article] Operational flexibility and financial hedging : Complements or substitutes? [texte imprimé] / Jiri Chod, Auteur ; Nils Rudi, Auteur ; Jan A. Van Mieghem, Auteur . - 2010 . - pp. 1030-1045. Management Langues : Anglais (eng) in Management science > Vol. 56 N° 6 (Juin 2010) . - pp. 1030-1045 Mots-clés : Financial  hedging  Postponement  Flexibility  Risk  management Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We consider a firm that invests in capacity under demand uncertainty and thus faces two related but distinct types of risk: mismatch between capacity and demand and profit variability. Whereas mismatch risk can be mitigated with greater operational flexibility, profit variability can be reduced through financial hedging. We show that the relationship between these two risk mitigating strategies depends on the type of flexibility: Product flexibility and financial hedging tend to be complements (substitutes)—i.e., product flexibility tends to increase (decrease) the value of financial hedging, and, vice versa, financial hedging tends to increase (decrease) the value of product flexibility—when product demands are positively (negatively) correlated. In contrast to product flexibility, postponement flexibility is a substitute to financial hedging as intuitively expected. Although our analytical results assume perfect flexibility and perfect hedging and rely on a linear approximation of the value of hedging, we validate their robustness in an extensive numerical study. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/56/6.toc

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