Abstract
In the context of green finance, minibonds play a crucial role. This financial instrument was introduced in 2012 as a valid alternative to bank credit for corporate financing, aimed mainly ...at small and medium‐sized enterprises. Minibonds also represent useful support for implementing the ecological transaction agreed upon in COP 21, held in 2015 in Paris. Indeed, as of 2017, this instrument has been expanded from an environmental perspective by allowing the issuance of green minibonds. This article contributes to the debate on minibonds and the companies issuing them. Specifically, it proposes a cluster analysis approach for comparing the issuance level of minibonds in 2016 and the subsequent performances of the issuing companies in the triennium 2017–2019. Performance is divided into three macrocategories: profitability, productivity, and growth opportunities. The results suggest a nonlinear connection between the variables of interest, showing heterogeneous effects of minibonds on performance. However, the statistical data analysis seems to establish a positive relationship between minibonds' issuance level and companies' performance.
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BFBNIB, FZAB, GIS, IJS, KILJ, NLZOH, NUK, OILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
This study aims to evaluate the impact of an experimental healthcare policy on hospital use among elderly patients. From 2015 to 2017, French public authorities implemented an integrated care model, ...the Digital Health Territories (Territoire de Soins Numérique (TSN)) programme designed to improve healthcare coordination and sustain the use of health information (HI) technologies. The TSN programme was expected to reduce hospital healthcare utilization. In the Aquitaine region, the TSN programme was implemented in part of the Landes district and primarily consisted of the creation of a support platform (PTA). Part of the Lot-et-Garonne district was chosen as a “control area” due to its similarities to the experimental district in terms of the population structure and healthcare supply characteristics. In the control area, no integrated care model innovation was implemented over the study period. Using claims data from the French National Health Insurance (Système National d'Information Inter-Régimes de l'Assurance Maladie (SNIIRAM)), the healthcare utilization of the populations living in the experimental and control areas was tracked from 2012 to 2017. To estimate the impact of the TSN programme on three hospitalization outcomes, we used a combination of matching and difference-in-differences (DiD) approaches. The TSN programme shows a significant but weak negative impact on emergency department (ED) visits and no significant impact on 30-day re-hospitalizations (R30) or potentially avoidable hospitalizations (PAHs).
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Several studies have emphasized the potential role of oil price volatility as a leading macroeconomic indicator, since it provides prominent information to energy traders, market participants and ...policymakers. In an effort to shed fresh insights on the underlying factors of wide oil price changes, the objective of this paper is twofold. First to capture large oil price changes caused by the arrival of surprising news (i.e., jumps); second to distinguish between short-, medium-and long-term determinants of jumps in oil prices due to changes in oil supply and demand fundamentals, factors associated with the market power of oil producers, speculation, geopolitical risks and OPEC's spare capacity. Using an Empirical Mode Decomposition (EMD), we find that oil supply and demand forces are the most prevalent in determining oil price changes in the long run, which is quite predictable. OPEC gains increasing importance in the medium-and long-terms. Our method also allows us to show that OPEC's use of spare capacity moderately reduces oil price volatility in the short-term, thus suggesting a limited stabilizing influence on the oil market. We consider broader policy implications for our results.
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FZAB, GIS, IJS, IZUM, KILJ, NLZOH, NUK, ODKLJ, OILJ, PILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
Startup-valuation is a critical area of research within entrepreneurial finance, but research on this topic is less consistent and thorough than overall valuation research. Peer-reviewed studies ...express a range of divergent views and approaches, and the focus varies widely. To bring clarity to this fragmented field, we conduct a systematic literature review, examining 87 peer-reviewed studies published between 1985 and 2020. We analyze these publications in detail and identify 36 startupvaluation drivers and cluster them into five macro-themes: Entrepreneur Characteristics; Firm Characteristics; Investor Characteristics; Market Conditions; and Deal Conditions. We then describe the valuation-impact of these drivers on startups. The range of drivers identified in the literature gives rise to construction of an integrative meta-model based on the macro-themes, placed into appropriate chronological position in the valuation process Our study also identifies key research-gaps and highlights promising directions for exploring the startup-valuation field.
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BFBNIB, NUK, PILJ, SAZU, UL, UM, UPUK
Demand response programs in retail electricity markets are very popular. However, despite their success in reducing average consumption, the random responsiveness of consumers to price events makes ...their efficiency questionable to achieve the flexibility needed for electric systems with a large share of renewable energy. This paper aims at designing demand response contracts that allow to act on both the average consumption and its variance. The interaction between a risk-averse producer and a risk-averse consumer is modelled as a principal–agent problem, thus accounting for the moral hazard underlying demand response contracts. The producer, facing the limited flexibility of production, pays an appropriate incentive compensation to encourage the consumer to reduce his average consumption and to enhance his responsiveness. We provide a closed-form solution for the optimal contract in the linear case. We show that the optimal contract has a rebate form where the initial condition of the consumption serves as a baseline and where the consumer is charged a price for energy and a price for volatility. The first-best price for energy is a convex combination of the marginal cost and the marginal value of energy, where the weights are given by the risk-aversion ratios, and the first-best price for volatility is the risk-aversion ratio times the marginal cost of volatility. The second-best price, for energy and volatility, is a decreasing nonlinear function of time inducing decreasing effort. The price for energy is lower (respectively, higher) than the marginal cost of energy during peak-load (respectively, off-peak) periods. We illustrate the potential benefits issued from the implementation of an incentive mechanism on the responsiveness of the consumer by calibrating our model with publicly available data.
The EWMA Heston model Parent, Léo
Quantitative finance,
11/2022, Volume:
23, Issue:
1
Journal Article
Peer reviewed
Open access
This paper introduces the exponentially weighted moving average (EWMA) Heston model, a Markovian stochastic volatility model able to capture a wide range of empirical features related to volatility ...dynamics while being more tractable for simulations than rough volatility models based on fractional processes. After presenting the model and its principal characteristics, our analysis focuses on the use of its associated Euler-discretization scheme as a time-series generator for Monte-Carlo simulations. Using this discretization scheme, and on the basis of S&P500 empirical time series, we show that the EWMA Heston model is overall consistent with market data, making it a credible alternative to other existing stochastic volatility models. Keywords: tohsti voltility modelD reston modelD qudrti rough reston modelD umh e'etD timeEreversl symmetryD voltility distriutionD returns distriutionF JEL classication: gISD gQPD qIHD qIRD qIUF
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BFBNIB, NUK, PILJ, SAZU, UL, UM, UPUK
Abstract Even among themselves, criminals are not seen as trustworthy. Consequently, a criminal organization needs to incentivize its members, either by threats of violence or by rewarding good ...behavior. The cost of using violence depends on the resources police allocate to investigating intraorganizational violence. This means that the police may affect the choice of an incentive scheme by the criminal organization. The design of the optimal strategy for crime control has to take this into account. We develop a model of an infinitely repeated criminal labor market where (i) a criminal organization hires and incentivizes members, and (ii) peripheral crime (crime outside the criminal organization) is a stepping stone to a career in organized crime. We establish that there are two possible optimal strategies for the police. (i) There are situations in which the optimal strategy for the police is to use all of their resources to decrease the efficiency of criminals. (ii) In other situations, the optimal strategy for the police is to spend the minimum amount of resources to ensure that the criminal organization cannot punish disloyal criminals, and spend the rest of their resources to decrease the efficiency of criminals.
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FZAB, GIS, IJS, KILJ, NLZOH, NUK, OILJ, SAZU, SBCE, SBMB, UL, UM, UPUK
When confronted with choices involving the public good, individuals do not always choose the collective interest. If the ethical choice is a social issue, it is above all a social dilemma. T hrough ...an experiment in which we study the behavior of 114 subjects, we evaluate the degree of cooperation and explain the factors underlying ethical choices. T he implementation of the prisoners' dilemma and public good games reveals correlation between the amount of the ethical premium and the degree of cooperation. We identify factors that increase this cooperation, such as the frequency ofinteractions with individuals. T he more cooperative individuals are, the greater the ethical premium. Moreover, individuals naturally seek to cooperate. T he more the game is repeated, the greater the degree of cooperation. Finally, the degree of contribution is lower when individuals anticipate the dilution of the responsibility. So, if we want togeneralize ethical choices, we need to pay attention to individual interest in order to increase collective interest.
