DEE - Working Papers. Business Economics. WB

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http://dspace.uc3m.es/handle/10016/8

Esta serie finaliza en el año 2014. Es continuada por la serie "UC3M Working papers. Business", ISSN: 2387-175X, del Departamento de Economía de la Empresa de la Universidad Carlos III de Madrid.

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Now showing 1 - 20 of 271

A first approximation to the SPOCs-FC in the context of the Supply Chain Management
(2017-05-01) Álvarez, María José; Montes-Sancho, María J.; Mendonça Tachizawa, Elcio; Universidad Politecnica De Valencia
This study provides a first overview of how to combine some of the elements of the blended teaching models, such as SPOCs, with new teaching approaches, like the Flipped Classroom, in the domains of the Supply Chain Management education. Its main goal is to raise the learning rate in a heterogeneous students’ group. The proposal takes into account both classic curricular concerns on the teaching of Supply Chain Management, as in Visich and Khumawala (2006), and its pedagogical new trends, like in Wisner (2017).
Dissecting interbank risk
(2017-05-01) Petit, Nuria; Serrano, Pedro; Lafuente Luengo, Juan Ángel; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating-to-floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. We propose an empirical model to decompose BS quotes into expected and unexpected components. To estimate both unobservable constituents of BS spreads, we solve a signal extraction problem using a particle filter. Our empirical findings show that unexpected changes of BS spreads are linked to systemic risk. Shocks to aggregate liquidity are also important to explain regime shifts. Sovereign risk and risk aversion are relevant factors explaining expected fluctuations.
How does easing liquidity constraints affect aggregate employment?
(2015-07-01) Bermejo, Vicente J.; Campos, Rodolfo G.; Abad, José M.; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
We measure the impact of removing liquidity constraints on aggregate employment by focusing on a sudden and unexpected large liquidity injection to Spanish firms in early 2012, when the Spanish central government paid all invoices of firms to regional and municipal governments that were in arrears. We identify the effect on employment from the cross-sectional variation in the size of the liquidity injection received by Spanish municipalities. Our preliminary finding sindicate that labor market responses can be detected both in the municipality where the liquidity injection occurs and in the municipality where firms are headquartered. We find evidence that the effect on unemployment is stronger where the liquidity injection originates whereas the effect on employment is stronger where the firms are located.
On the compensation for illiquidity in sovereign credit markets
(2014-10) Groba, Jonatan; Serrano, Pedro; Lafuente Luengo, Juan Ángel; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This article analyzes the role of liquidity in the sovereign credit default swap (CDS) market. We employ a continuous-time specification to incorporate illiquidity as an additional pricing factor of default swap contracts for the most developed economies. The illiquidity discount process is identified as compensation to investors for the risk of unwinding their positions when trading in the less liquid part of the curve, and the information about illiquidity is directly extracted from the term structure of sovereign CDS spreads. Our empirical findings reveal that a positive time-varying illiquidity premium is embedded in sovereign default swaps. These risk premia exhibit substantial comovement across countries. Only unidirectional causality from default toliquidity is detected for the overall market
Loan officers' screening with credit scores
(2014-10-01) Vicente, Sergio; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper analyzes the effects of informational asymmetries on screening borrowers. Lenders with access to accurate credit scores offer the most valuable borrowers lower interest rates than lenders with an advantage in costly screening. This cream-skimming induces a negative externality, which reduces the value of investing in screening. This distortion translates into excessive lending with credit scores, too little screening, higher default rates than optimal and credit rationing. The model explains some patterns of loan pricing and defaults, as well as of firm selection by types of lenders, which are consistent with the received empirical evidence.
Expropriation risk, investment decisions and economic sectors
(2014-09) Restrepo Ochoa, Diana Constanza; Vaz Antunes Pereira Correia, José Ricardo; Peña, Juan Ignacio; Población, Javier; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
We build a Real Options model to assess the importance of private provisionand the impact of expropriation risk on investment timing, investmentvolumes, governmental costs and social welfare. We consider two types ofbusinesses (essential and non essential businesses) and two stages (operatingand investment opportunities), and answer questions regarding three maintopics: the firm's reaction to expropriation risk, the government drivers toexpropriate, and the costs this generates in terms of welfare. We find thatthe firm makes suboptimal investment decisions. When we endogenize thereputational costs of expropriation, results show that the decision of the governmentregarding the level of political risk will largely depend on the typeof business. However, in terms of welfare it is never optimal to expropriate
Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013
(2014-02) Figuerola-Ferretti Garrigues, Isabel; Gilbert, Chris L.; Yan, Jieqin; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
Over the past two decades, China has come to dominate international commerce in copper. The importance of the Shanghai Futures Exchange(SHFE) has increased in response to this development. We look at the distribution of price discovery between the SHFE and the two historically important copper futures exchanges, Comex and the LME. The resultsindicate that it is Comex, followed by the SHFE, not the LME which plays the most important role in copper price discovery. We also highlighta number of problems associated with both the calculation and interpretation of the standard IS and PT price discovery measures when used to look at overlapping price change on non-synchronous markets.The results offer a clearer interpretation in terms of trading slots (European, North American and Asian trading days) than in terms of exchanges.
Board Independence, CEO Pay, and Camouflaged Compensation
(2014-03) Ruiz-Verdú, Pablo; Singh, Ravi; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
We study how directors' reputational concerns influence executive compensation and the use ofcamouflaged forms of pay. We show that, in order to signal their independence to investors,boards lower managers' pay, but may also pay managers in hidden ways or structure compensationinefficiently. We also show that independent boards are more likely to make use of hiddencompensation than manager-friendly boards. We apply our model to study the costs and benefitsof greater pay transparency and of measures, such as say-on-pay initiatives, that increase boards'accountability to shareholders
Information disclosure in optimal auctions
(2014-03) Ganuza, Juan-José; Penalva, José; Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial (INDEM)
A celebrated result in auction theory is that the optimal reserve price in the standard private value setting does not depend on the number of bidders. We modify the framework by considering that the seller controls the accuracy with which bidders learn their valuations, and show that in such a case, the greater the number of bidders the more restrictive the reserve price. We also show that the auctioneer provides more information when using an optimal auction mechanism than when the object is always sold.
A resource pool for environmental innovation
(2014-02) Kunapatarawong, Rasi; Martínez-Ros, Ester; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper reports research on the relationship between sourcing strategy of a firm and its environmental innovation propensity. The data is taken from the Spanish TechnologicalInnovation Panel (PITEC) survey during the period of 2007-2011. The uniqueness of the Spanish innovation structure and the increasing relevance of environmental issues for the Spanish economy make it a proper setting to investigate environmental innovation dynamics. The results from 5,352 firms indicate that large firms are more likely to undertake environmental innovation than small- and medium-sized firms (SMEs). These firms rely quite equally on all four sources of knowledge &- internal, market, institutional and freely-available sources &- when deciding to develop environmental innovation. The broad horizons with respect to knowledge sources are likely to increase firms' propensity to introduce environmental innovation. In addition, weprovide the evolutionary nature of firm's innovation search as firms grow in size. Small firmsrely on both internal and freely-available sources rather equally, while internal source is the most relevant for medium firms, and market is the most important source used by large firms indriving environmental innovation. Particularly important is how firms who are already innovators and who receive local funding from the Spanish government are more likely to introduce environmental innovation.
Expenditure trends in US advertising : long-term effects and structural changes with new media introductions
(2012-06) Esteban-Bravo, Mercedes; Vidal-Sanz, Jose M.; Yildirim, Gökhan; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
Historically US Media channels have competed to attract advertising expenditure from marketing. This has been a fierce battle, where, every few years, incumbents have been shattered by the introduction of a new media such as TV, Yellow Pages, Cable and the Internet. In this paper we will analyze and discuss the dynamic trend in advertising expenditure for ten different advertising media channels in the U.S., by estimating the long-term equilibrium between these time series, and their equilibrium cross-elasticities. We will also analyze how they are related to the business cycle, both at the aggregated level and specifically for each media. To this end, it is crucial to consider simultaneously the impact of new media introductions over the incumbents, estimating the potential effects of structural changes. Both, the introduction effects and the long-term equilibrium relationship between two media can be very different. In particular, we will study the influence of the Internet
A nonlinear product differentiation model à la Cournot: a new look to the newspapers industry
(2013-07) Esteban-Bravo, Mercedes; Vidal-Sanz, Jose M.; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
In this work, we develop a new model for competition in markets with differentiated products. In addition, we present a consumer model designed to produce a flexible nonlinear inverse demand system that resembles the classical Multinomial Logit model, and discuss several extensions. We characterize firms competition in quantities based on the inverse demand system. The model is applied to the Spanish newspaper industry. This is a highly competitive two-sided market whose revenues are generated from sales and to a larger extent from advertising driven by its circulation. We then characterize the Perfect Equilibrium by conditional moment conditions, and estimate the parameters using the Generalized Method of Moments
A framework for analyzing performance in higher education
(2013-07) Duque, Lola C.; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
Drawing on Tinto’s dropout intentions model (1975), Bean’s socialization model (1985), Astin’s involvement theory (1999), and the service marketing literature, this research presents a conceptual framework for analyzing students’ satisfaction, perceived learning outcomes, and dropout intentions. This framework allows for a better understanding of how students assess the university experience and how these perceptions affect future intentions. This article presents four studies testing fragments of the framework using data sets come from three countries and various undergraduate programs (business, economics, geography, and nursing). The models are tested using structural equation modeling with data collected using a questionnaire adapted to the specific contexts. The models have the ability to explain the studies’ dependent variables and offer practical utility for decision making. Applicability of the conceptual framework is evaluated in various contexts and with different student populations. One important finding is that student co-creation can be as important as perceived service quality in explaining students’ cognitive learning outcomes, which in turn explain a high percentage of satisfaction and affective learning outcomes. The studies also shed light on the roles of variables such as emotional exhaustion and dropout intentions
Influences of institutional pressures on corporate social responsibility attitude and corporate social responsibility outcomes
(2013-01) Kunapatarawong, Rasi; Martínez-Ros, Ester; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
We study the antecedents that help explaining how firms should deal with CSR in this modern economy where there is a heightened demand for firms to behave in a socially responsible manner, and also why some firms succeed with their CSR initiatives while others fail. We believe (1) different types of demands from various stakeholder groups, (2) managers‟ attitude, and (3) disaggregation of CSR dimensions to be three important issues playing a role in creating robust CSR. Our results unveil that external and internal institutional pressures alone do not have significant relationships with both types of CSR: firm-benefit CSR and mutually-benefiting CSR. Instead these forces affect CSR attitude of managers, which successively, influences the kinds of CSR they consider and engage in
Reconsidering optimal experimental design for conjoint analysis
(2012-11) Esteban-Bravo, Mercedes; Leszkiewicz, Agata; Vidal-Sanz, Jose M.; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
The quality of Conjoint Analysis estimations heavily depends on the alternatives presented in the experiment. An efficient selection of the experiment design matrix allows more information to be elicited about consumer preferences from a small number of questions, thus reducing experimental cost and respondent's fatigue. The statistical literature considers optimal design algorithms (Kiefer, 1959), and typically selects the same combination of stimuli more than once. However in the context of conjoint analysis, replications do not make sense for individual respondents. In this paper we present a general approach to compute optimal designs for conjoint experiments in a variety of scenarios and methodologies: continuous, discrete and mixed attributes types, customer panels with random effects, and quantile regression models. We do not compute good designs, but the best ones according to the size (determinant or trace) of the information matrix of the associated estimators without repeating profiles as in Kiefer's methodology. We handle efficient optimization algorithms to achieve our goal, avoiding the use of widespread ad-hoc intuitive rules.
Modelling and Measuring Price Discovery in Commodity Markets
(2008) Figuerola-Ferretti, Isabel; Gonzalo, Jesús; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modelling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-futures equilibrium relationship, st = β2ƒt + β3 When the slope of the cointegrating vector β2 > 1(β2 < 1) the market is under long run backwardation (contango). It is the first time in this literature in which the theoretical possibility of finding a cointegrating vector different from the standard β2 = 1 is formally considered. Independent of the value of β2 this paper shows that the equilibrium model admits an economically meaningful Error Correction Representation, where the linear combination of (st) and (ƒt) characterizing the price discovery process in the framework of Garbade and Silber (1983). coincides exactly with the permanent component of the Gonzalo and Granger (1995) Permanent Transitory decomposition. This linear combination depends on the elasticity of arbitrage seIVices and is determined by the relative liquidity traded in the spot and futures markets. Such outcome not only provides a theoretical justification for this Permanent-Transitory decomposition; but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results are testable. as can be seen in the application to spot and futures non-ferrous metals prices (Al, Co, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and futures prices are "information dominant" in highly liquid futures markets (Al, Cu, Ni, Zn).
Pairing market risk with credit risk
(2011-02) Figuerola-Ferretti, Isabel; Paraskevopoulos, Ioannis; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of 5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic literature. This allows us to establish cointegration in the VIX and iTraxx/CDS markets in a framework where arbitrageurs exploit temporary equilibrium mispricing following pairs strategies. Expected profits, defined in terms of VECM parameters, are positive for all VIX-iTraxx pairs strategies considered. Markets are integrated in that price discovery on both sides of the Atlantic reflect the same underlying information with predominant price leadership of the VIX market over the European CDS market.
Valuing customer portfolios with endogenous mass-and-direct-marketing interventions using a stochastic dynamic programming decomposition
(2012-06) Esteban-Bravo, Mercedes; Vidal-Sanz, Jose M.; Yildirim, Gökhan; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
Customer Relationship Management generally uses the value of customers to allocate marketing budget. But marketing interventions generally change the customer behavior, turning upside-down the customers ranking based on their initial valuations and making the budget allocation suboptimal. Rational Managers should allocate the marketing budget to maximize the expected net present value of future profits drawn from each customer, simultaneously planning mass marketing interventions and direct marketing effort on each individual. This is a large dimensional Stochastic Dynamic Program, which cannot be easily solved due to the curse of dimensionality. This paper propose a new decomposition algorithm to alleviate the curse of dimensionality in SDP problems, which allows forward-looking firms to allocate the marketing budget optimizing the CLV of their customer base, simultaneously using customized and mass marketing interventions
A theoretical analysis of the stages and events experienced by financially distressed firms
(2012-01) Hamoto, Azad; Correia, Ricardo; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper analyses the events that start with financial distress and may eventually lead to the liquidation and/or abandonment of the assets of the firm. It develops a scheme describing the sequence of possible outcomes starting with financial distress based on the existing literature and taking into account the legal environment in terms of liability and priority rules and bankruptcy law. An analysis of the treatment of financial distress in the theoretical financial literature is also performed, showing that there is no consensus in the treatment of financial distress. The common case of assuming simultaneous default and bankruptcy is shown to lead to suboptimal bankruptcy. Other theoretical approaches are shown to address this problem in different ways such as separating default from bankruptcy or by including protective covenants. The case of separation between default from bankruptcy or liquidation highlights the importance of the interaction between the different options present in financial distress. The general case of exogenously determined default is shown to represent a special case that implies the existence of financial and credit constraints
Political risk and corporate investment decisions
(2012-01) Restrepo, Diana; Correia, Ricardo; Población, Javier; Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper analyzes the different definitions and expressions of political risk and proposes a broad and more inclusive definition regarding its origins and effects. Regarding the effects of political risk on corporate investment decisions, this paper shows the multitude of ways by which the different expressions of political risk may influence both positively and negatively the value of investment opportunities and the decisions of firms to invest. Finally, it proposes different lines of research addressing some of the weaknesses identified in the existing literature

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