Dépouillements

Valuing the treasury's capital assistance program / Paul Glasserman in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1195-1211 Titre : Valuing the treasury's capital assistance program Type de document : texte imprimé Auteurs : Paul Glasserman, Auteur ; Zhenyu Wang, Auteur Année de publication : 2011 Article en page(s) : pp. 1195-1211 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Securities  Financial  institutions  Banks  Dynamic  programming  Applications Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank's common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures this strategic element of the joint valuation problem and clarifies the incentives it creates. We apply our method to the 18 publicly held bank holding companies that participated in the Supervisory Capital Assessment Program (the stress test) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net value of approximately 30% of the capital invested for a bank participating to the maximum extent allowed under the terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0.78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation aligns with shareholder perception of the value of the program, prompting questions about industry reactions and the overall impact of the program. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Valuing the treasury's capital assistance program [texte imprimé] / Paul Glasserman, Auteur ; Zhenyu Wang, Auteur . - 2011 . - pp. 1195-1211. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1195-1211 Mots-clés : Finance  Securities  Financial  institutions  Banks  Dynamic  programming  Applications Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The Capital Assistance Program (CAP) was created by the U.S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank's common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures this strategic element of the joint valuation problem and clarifies the incentives it creates. We apply our method to the 18 publicly held bank holding companies that participated in the Supervisory Capital Assessment Program (the stress test) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net value of approximately 30% of the capital invested for a bank participating to the maximum extent allowed under the terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0.78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation aligns with shareholder perception of the value of the program, prompting questions about industry reactions and the overall impact of the program. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Mixed source / Ramon Casadesus-Masanell in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1212-1230 Titre : Mixed source Type de document : texte imprimé Auteurs : Ramon Casadesus-Masanell, Auteur ; Gastón Llanes, Auteur Année de publication : 2011 Article en page(s) : pp. 1212-1230 Note générale : Management Langues : Anglais (eng) Mots-clés : Open  source  User  innovation  Business  models  Complementarity  Compatibility  Value  creation  Value  capture Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study competitive interaction between a profit-maximizing firm that sells software and complementary services, and a free open-source competitor. We examine the firm's choice of business model between the proprietary model (where all software modules are proprietary), the open-source model (where all modules are open source), and the mixed-source model (where some—but not all—modules are open). When a module is opened, users can access and improve the code, which increases quality and value creation. Opened modules, however, are available for others to use free of charge. We derive the set of possibly optimal business models when the modules of the firm and the open-source competitor are compatible (and thus can be combined) and incompatible, and show that (i) when the firm's modules are of high (low) quality, the firm is more open under incompatibility (compatibility) than under compatibility (incompatibility); (ii) firms are more likely to open substitute, rather than complementary, modules to existing open-source projects; and (iii) there may be no trade-off between value creation and value capture when comparing business models with different degrees of openness. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Mixed source [texte imprimé] / Ramon Casadesus-Masanell, Auteur ; Gastón Llanes, Auteur . - 2011 . - pp. 1212-1230. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1212-1230 Mots-clés : Open  source  User  innovation  Business  models  Complementarity  Compatibility  Value  creation  Value  capture Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We study competitive interaction between a profit-maximizing firm that sells software and complementary services, and a free open-source competitor. We examine the firm's choice of business model between the proprietary model (where all software modules are proprietary), the open-source model (where all modules are open source), and the mixed-source model (where some—but not all—modules are open). When a module is opened, users can access and improve the code, which increases quality and value creation. Opened modules, however, are available for others to use free of charge. We derive the set of possibly optimal business models when the modules of the firm and the open-source competitor are compatible (and thus can be combined) and incompatible, and show that (i) when the firm's modules are of high (low) quality, the firm is more open under incompatibility (compatibility) than under compatibility (incompatibility); (ii) firms are more likely to open substitute, rather than complementary, modules to existing open-source projects; and (iii) there may be no trade-off between value creation and value capture when comparing business models with different degrees of openness. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Market timing with option-implied distributions / Alexandros Kostakis in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1231-1249 Titre : Market timing with option-implied distributions Titre original : A forward-looking approach Type de document : texte imprimé Auteurs : Alexandros Kostakis, Auteur ; Nikolaos Panigirtzoglou, Auteur ; George Skiadopoulos, Auteur Année de publication : 2011 Article en page(s) : pp. 1231-1249 Note générale : Management Langues : Anglais (eng) Mots-clés : Asset  allocation  Option-implied  distributions  Market  timing  Performance  evaluation  Portfolio  choice  Risk  aversion Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted ones. Then we form optimal portfolios consisting of a risky and a risk-free asset and evaluate their out-of-sample performance. We find that the use of risk-adjusted implied distributions times the market and makes the investor better off than if she uses historical returns' distributions to calculate her optimal strategy. The results hold under a number of evaluation metrics and utility functions and carry through even when transaction costs are taken into account. Not surprisingly, the reported market timing ability deteriorated during the recent subprime crisis. An extension of the approach to a dynamic asset allocation setting is also presented. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Market timing with option-implied distributions = A forward-looking approach [texte imprimé] / Alexandros Kostakis, Auteur ; Nikolaos Panigirtzoglou, Auteur ; George Skiadopoulos, Auteur . - 2011 . - pp. 1231-1249. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1231-1249 Mots-clés : Asset  allocation  Option-implied  distributions  Market  timing  Performance  evaluation  Portfolio  choice  Risk  aversion Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted ones. Then we form optimal portfolios consisting of a risky and a risk-free asset and evaluate their out-of-sample performance. We find that the use of risk-adjusted implied distributions times the market and makes the investor better off than if she uses historical returns' distributions to calculate her optimal strategy. The results hold under a number of evaluation metrics and utility functions and carry through even when transaction costs are taken into account. Not surprisingly, the reported market timing ability deteriorated during the recent subprime crisis. An extension of the approach to a dynamic asset allocation setting is also presented. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Exclusive territories and manufacturers' collusion / Salvatore Piccolo in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1250-1266 Titre : Exclusive territories and manufacturers' collusion Type de document : texte imprimé Auteurs : Salvatore Piccolo, Auteur ; Markus Reisinger, Auteur Année de publication : 2011 Article en page(s) : pp. 1250-1266 Note générale : Management Langues : Anglais (eng) Mots-clés : Exclusive  territories  Supply  chains  Tacit  collusion  Information  sharing  Vertical  restraints Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper highlights the rationale for exclusive territories in a model of repeated interaction between competing supply chains. We show that with observable contracts exclusive territories have two countervailing effects on manufacturers' incentives to sustain tacit collusion. First, granting local monopolies to retailers softens competition in a one-shot game. Hence, punishment profits are larger, thereby rendering deviation more profitable. Second, exclusive territories stifle deviation profits because retailers of competing brands adjust their prices to the wholesale contract offered by a deviant manufacturer, whereas intrabrand competition prevents such “instantaneous reaction.” We show that the latter effect tends to dominate, thereby making exclusive territories a more suitable organizational mode to cooperate. These insights are robust to endogenous communication between manufacturers. We also consider retailers' service investments. Here, a novel effect emerges that softens the procollusive value of exclusive territories: Retailers of a deviant manufacturer increase investments, which renders deviation more profitable. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Exclusive territories and manufacturers' collusion [texte imprimé] / Salvatore Piccolo, Auteur ; Markus Reisinger, Auteur . - 2011 . - pp. 1250-1266. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1250-1266 Mots-clés : Exclusive  territories  Supply  chains  Tacit  collusion  Information  sharing  Vertical  restraints Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper highlights the rationale for exclusive territories in a model of repeated interaction between competing supply chains. We show that with observable contracts exclusive territories have two countervailing effects on manufacturers' incentives to sustain tacit collusion. First, granting local monopolies to retailers softens competition in a one-shot game. Hence, punishment profits are larger, thereby rendering deviation more profitable. Second, exclusive territories stifle deviation profits because retailers of competing brands adjust their prices to the wholesale contract offered by a deviant manufacturer, whereas intrabrand competition prevents such “instantaneous reaction.” We show that the latter effect tends to dominate, thereby making exclusive territories a more suitable organizational mode to cooperate. These insights are robust to endogenous communication between manufacturers. We also consider retailers' service investments. Here, a novel effect emerges that softens the procollusive value of exclusive territories: Retailers of a deviant manufacturer increase investments, which renders deviation more profitable. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Modeling the loss distribution / Sudheer Chava in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1267-1287 Titre : Modeling the loss distribution Type de document : texte imprimé Auteurs : Sudheer Chava, Auteur ; Catalina Stefanescu, Auteur ; Stuart Turnbull, Auteur Année de publication : 2011 Article en page(s) : pp. 1267-1287 Note générale : Management Langues : Anglais (eng) Mots-clés : Loss  distribution  Default  prediction  Recovery  rates  Basel  II Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : In this paper, we focus on modeling and predicting the loss distribution for credit risky assets such as bonds and loans. We model the probability of default and the recovery rate given default based on shared covariates. We develop a new class of default models that explicitly accounts for sector specific and regime dependent unobservable heterogeneity in firm characteristics. Based on the analysis of a large default and recovery data set over the horizon 1980–2008, we document that the specification of the default model has a major impact on the predicted loss distribution, whereas the specification of the recovery model is less important. In particular, we find evidence that industry factors and regime dynamics affect the performance of default models, implying that the appropriate choice of default models for loss prediction will depend on the credit cycle and on portfolio characteristics. Finally, we show that default probabilities and recovery rates predicted out of sample are negatively correlated and that the magnitude of the correlation varies with seniority class, industry, and credit cycle. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Modeling the loss distribution [texte imprimé] / Sudheer Chava, Auteur ; Catalina Stefanescu, Auteur ; Stuart Turnbull, Auteur . - 2011 . - pp. 1267-1287. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1267-1287 Mots-clés : Loss  distribution  Default  prediction  Recovery  rates  Basel  II Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : In this paper, we focus on modeling and predicting the loss distribution for credit risky assets such as bonds and loans. We model the probability of default and the recovery rate given default based on shared covariates. We develop a new class of default models that explicitly accounts for sector specific and regime dependent unobservable heterogeneity in firm characteristics. Based on the analysis of a large default and recovery data set over the horizon 1980–2008, we document that the specification of the default model has a major impact on the predicted loss distribution, whereas the specification of the recovery model is less important. In particular, we find evidence that industry factors and regime dynamics affect the performance of default models, implying that the appropriate choice of default models for loss prediction will depend on the credit cycle and on portfolio characteristics. Finally, we show that default probabilities and recovery rates predicted out of sample are negatively correlated and that the magnitude of the correlation varies with seniority class, industry, and credit cycle. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

When acquisition spoils retention / Yan Dong in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1288-1299 Titre : When acquisition spoils retention : Direct selling vs. delegation under CRM Type de document : texte imprimé Auteurs : Yan Dong, Auteur ; Yuliang Yao, Auteur ; Tony Haitao Cui, Auteur Année de publication : 2011 Article en page(s) : pp. 1288-1299 Note générale : Management Langues : Anglais (eng) Mots-clés : Customer  acquisition  Customer  retention  Customer  value  Customer  relationship  management  Incentive  mechanism Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The widespread implementation of customer relationship management technologies in business has allowed companies to increasingly focus on both acquiring and retaining customers. The challenge of designing incentive mechanisms that simultaneously focus on customer acquisition and customer retention comes from the fact that customer acquisition and customer retention are usually separate but intertwined tasks that make providing proper incentives more difficult. The present study develops incentive mechanisms that simultaneously address acquisition and retention of customers with an emphasis on the interactions between them. The main focus of this study is to examine the impact of the negative effect of acquisition on retention, i.e., the spoiling effect, on firm performance under direct selling and delegation of customer acquisition. Our main finding is that the negative effect of acquisition on retention has a significant impact on acquisition and retention efforts and firm profit. In particular, when the customer acquisition and retention are independent, the firm's profit is higher under direct selling than under delegation; however, when acquisition spoils retention, interestingly, the firm's profit may be higher under delegation. Our analysis also finds that the spoiling effect not only reduces the optimal acquisition effort but may also reduce retention effort under both direct selling and delegation. Comparing the optimal efforts under direct selling and delegation, the acquisition effort is always lower under delegation regardless of the spoiling effect, but the retention effort may be higher under delegation with the spoiling effect. Furthermore, when the customer antagonism effect from price promotions is considered, our main results hold regarding the firm's preferences between direct selling and delegation, which demonstrates the robustness of our model. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] When acquisition spoils retention : Direct selling vs. delegation under CRM [texte imprimé] / Yan Dong, Auteur ; Yuliang Yao, Auteur ; Tony Haitao Cui, Auteur . - 2011 . - pp. 1288-1299. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1288-1299 Mots-clés : Customer  acquisition  Customer  retention  Customer  value  Customer  relationship  management  Incentive  mechanism Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : The widespread implementation of customer relationship management technologies in business has allowed companies to increasingly focus on both acquiring and retaining customers. The challenge of designing incentive mechanisms that simultaneously focus on customer acquisition and customer retention comes from the fact that customer acquisition and customer retention are usually separate but intertwined tasks that make providing proper incentives more difficult. The present study develops incentive mechanisms that simultaneously address acquisition and retention of customers with an emphasis on the interactions between them. The main focus of this study is to examine the impact of the negative effect of acquisition on retention, i.e., the spoiling effect, on firm performance under direct selling and delegation of customer acquisition. Our main finding is that the negative effect of acquisition on retention has a significant impact on acquisition and retention efforts and firm profit. In particular, when the customer acquisition and retention are independent, the firm's profit is higher under direct selling than under delegation; however, when acquisition spoils retention, interestingly, the firm's profit may be higher under delegation. Our analysis also finds that the spoiling effect not only reduces the optimal acquisition effort but may also reduce retention effort under both direct selling and delegation. Comparing the optimal efforts under direct selling and delegation, the acquisition effort is always lower under delegation regardless of the spoiling effect, but the retention effort may be higher under delegation with the spoiling effect. Furthermore, when the customer antagonism effect from price promotions is considered, our main results hold regarding the firm's preferences between direct selling and delegation, which demonstrates the robustness of our model. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Centralized vs. decentralized ambulance diversion / Sarang Deo in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1300-1319 Titre : Centralized vs. decentralized ambulance diversion : A network perspective Type de document : texte imprimé Auteurs : Sarang Deo, Auteur ; Gurvich Itai, Auteur Année de publication : 2011 Article en page(s) : pp. 1300-1319 Note générale : Management Langues : Anglais (eng) Mots-clés : Emergency  department  Ambulance  diversion  Game  theory  Queueing  networks Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : One of the most important operational challenges faced by emergency departments (EDs) in the United States is patient overcrowding. In periods of overcrowding, an ED can request the emergency medical services (EMS) agency to divert incoming ambulances to neighboring hospitals, a phenomenon known as “ambulance diversion.” The EMS agency may accept this request provided that at least one of the neighboring EDs is not on diversion. From an operations perspective, properly executed ambulance diversion should result in resource pooling and reduce the overcrowding and delays in a network of EDs. Recent evidence indicates, however, that this potential benefit is not always realized. In this paper, we provide one potential explanation for this discrepancy and suggest potential remedies. Using a queueing game between two EDs that aim to minimize their own waiting time, we find that decentralized decisions regarding diversion explain the lack of pooling benefits. Specifically, we find the existence of a defensive equilibrium, wherein each ED does not accept diverted ambulances from the other ED. This defensiveness results in a depooling of the network and, subsequently, in delays that are significantly higher than when a social planner coordinates diversion. The social optimum is itself difficult to characterize analytically and has limited practical appeal because it depends on problem parameters such as arrival rates and length of stay. Instead, we identify an alternative solution that does not require the exact knowledge of the parameters and may be used by the EMS agencies to coordinate diversion decisions when defensive diversion is present. We show that this solution is approximately optimal for the social planner's problem. Moreover, it is Pareto improving over the defensive equilibrium whereas the social optimum, in general, might not be. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Centralized vs. decentralized ambulance diversion : A network perspective [texte imprimé] / Sarang Deo, Auteur ; Gurvich Itai, Auteur . - 2011 . - pp. 1300-1319. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1300-1319 Mots-clés : Emergency  department  Ambulance  diversion  Game  theory  Queueing  networks Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : One of the most important operational challenges faced by emergency departments (EDs) in the United States is patient overcrowding. In periods of overcrowding, an ED can request the emergency medical services (EMS) agency to divert incoming ambulances to neighboring hospitals, a phenomenon known as “ambulance diversion.” The EMS agency may accept this request provided that at least one of the neighboring EDs is not on diversion. From an operations perspective, properly executed ambulance diversion should result in resource pooling and reduce the overcrowding and delays in a network of EDs. Recent evidence indicates, however, that this potential benefit is not always realized. In this paper, we provide one potential explanation for this discrepancy and suggest potential remedies. Using a queueing game between two EDs that aim to minimize their own waiting time, we find that decentralized decisions regarding diversion explain the lack of pooling benefits. Specifically, we find the existence of a defensive equilibrium, wherein each ED does not accept diverted ambulances from the other ED. This defensiveness results in a depooling of the network and, subsequently, in delays that are significantly higher than when a social planner coordinates diversion. The social optimum is itself difficult to characterize analytically and has limited practical appeal because it depends on problem parameters such as arrival rates and length of stay. Instead, we identify an alternative solution that does not require the exact knowledge of the parameters and may be used by the EMS agencies to coordinate diversion decisions when defensive diversion is present. We show that this solution is approximately optimal for the social planner's problem. Moreover, it is Pareto improving over the defensive equilibrium whereas the social optimum, in general, might not be. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Preference reversals for ambiguity aversion / Stefan T. Trautmann in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1320-1333 Titre : Preference reversals for ambiguity aversion Type de document : texte imprimé Auteurs : Stefan T. Trautmann, Auteur ; Ferdinand M. Vieider, Auteur ; Peter P. Wakker, Auteur Année de publication : 2011 Article en page(s) : pp. 1320-1333 Note générale : Management Langues : Anglais (eng) Mots-clés : Ambiguity  aversion  Preference  reversal  Loss  aversion  Choice  versus  valuation Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper finds preference reversals in measurements of ambiguity aversion, even if psychological and informational circumstances are kept constant. The reversals are of a fundamentally different nature than the reversals found before because they cannot be explained by context-dependent weightings of attributes. We offer an explanation based on Sugden's random-reference theory, with different elicitation methods generating different random reference points. Then measurements of ambiguity aversion that use willingness to pay are confounded by loss aversion and hence overestimate ambiguity aversion. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Preference reversals for ambiguity aversion [texte imprimé] / Stefan T. Trautmann, Auteur ; Ferdinand M. Vieider, Auteur ; Peter P. Wakker, Auteur . - 2011 . - pp. 1320-1333. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1320-1333 Mots-clés : Ambiguity  aversion  Preference  reversal  Loss  aversion  Choice  versus  valuation Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper finds preference reversals in measurements of ambiguity aversion, even if psychological and informational circumstances are kept constant. The reversals are of a fundamentally different nature than the reversals found before because they cannot be explained by context-dependent weightings of attributes. We offer an explanation based on Sugden's random-reference theory, with different elicitation methods generating different random reference points. Then measurements of ambiguity aversion that use willingness to pay are confounded by loss aversion and hence overestimate ambiguity aversion. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

Testing for prudence and skewness seeking / Sebastian Ebert in Management science, Vol. 57 N° 7 (Juillet 2011) 

Public ISBD [article]  in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1334-1349 Titre : Testing for prudence and skewness seeking Type de document : texte imprimé Auteurs : Sebastian Ebert, Auteur ; Daniel Wiesen, Auteur Année de publication : 2011 Article en page(s) : pp. 1334-1349 Note générale : Management Langues : Anglais (eng) Mots-clés : Decision  making  under  risk  Precautionary  savings  Prudence  Downside  risk  Skewness  seeking  Laboratory  experiment Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Numerous theoretical predictions such as precautionary saving or preventive behavior have been derived for prudent decision makers. Further, prudence can be characterized as downside risk aversion and plays a key role in preference for skewness. We use a simple experimental method to test for prudence and skewness preference in the laboratory and compare the two. To this end, we introduce a novel graphical representation of compound lotteries that is easily accessible to subjects and test it for robustness, using a factorial design. Prudence is observed on the aggregate and individual level. We find that prudence does not boil down to skewness seeking. We further provide some theoretical explanations for this result. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc [article] Testing for prudence and skewness seeking [texte imprimé] / Sebastian Ebert, Auteur ; Daniel Wiesen, Auteur . - 2011 . - pp. 1334-1349. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 7 (Juillet 2011) . - pp. 1334-1349 Mots-clés : Decision  making  under  risk  Precautionary  savings  Prudence  Downside  risk  Skewness  seeking  Laboratory  experiment Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : Numerous theoretical predictions such as precautionary saving or preventive behavior have been derived for prudent decision makers. Further, prudence can be characterized as downside risk aversion and plays a key role in preference for skewness. We use a simple experimental method to test for prudence and skewness preference in the laboratory and compare the two. To this end, we introduce a novel graphical representation of compound lotteries that is easily accessible to subjects and test it for robustness, using a factorial design. Prudence is observed on the aggregate and individual level. We find that prudence does not boil down to skewness seeking. We further provide some theoretical explanations for this result. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/7.toc

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