http://hdl.handle.net/10016/6577 Sun, 19 May 2013 08:20:44 GMT 2013-05-19T08:20:44Z http://e-archivo.uc3m.es:80/retrieve/27352/instituto-carmen-vidal.png http://hdl.handle.net/10016/6577 http://hdl.handle.net/10016/16705 Title: On the inefficiency of Brownian motions and heavier tailed price processes Author(s): Balbás, Alejandro [balbas]; Balbás, Beatriz; Balbás, Raquel Abstract: Recent literature has shown the existence of pathologies if one combines the most important models for pricing and hedging derivatives and coherent risk measures. There may exist portfolios (good deals) whose (return; risk) is as close as desired to (1; 􀀀1). This paper goes beyond existence properties and looks for explicit constructions and empirical tests. It will be shown that the good deal above may be a combination of European and digital options, very easy to replicate in practice. This theoretical nding will enable us to implement empirical experiments involving three international stock indices (S&P_500, Eurostoxx_50 and DAX) and three commodity futures (Gold, Brent and DJ 􀀀 UBSCI). According to the empirical results, the good deal always outperforms the underlying index/commodity. The good deal is built in full compliance with the standard Derivative Pricing Theory. Properties of classical pricing models totally inspire and lead the good deal construction. This is a very interesting di¤erence with respect to previous literature attempting to outperform a benchmark. Besides, the selected pricing models satisfy the existence of risk neutral probabilities such that self- nancing price processes become martingales. According to recent results, while local martin- gales characterize the absence of arbitrage, martingales characterize the existence of equilibrium. However, this equilibrium is di¢ cult to imagine, because for every portfolio traders can build a new one with identical price, higher return and lower risk. Perhaps dynamic arbitrage free pricing models contradict other important achievements of Financial Economics related to e¢ ciency and equilibrium, and further research is required to recover consistency. Mon, 31 Dec 2012 23:00:00 GMT http://hdl.handle.net/10016/16705 2012-12-31T23:00:00Z http://hdl.handle.net/10016/15311 Title: The Role of Connections in Academic Promotions Author(s): Zinovyeva, Natalia; Bagues, Manuel Abstract: This paper analyzes the role of connections in academic promotions. We exploit evidence from centralized evaluations in Spain, where evaluators are randomly as- signed to promotion committees. We nd that prior connections between candidates and evaluators have a dramatic impact on candidates' success. For instance, the presence of a co-author or an advisor in the committee is equivalent to a standard deviation increase in candidates' research output. The e ect of a weaker link, such as a member of candidate's doctoral thesis committee, is one fourth as large. The source of the premium enjoyed by connected candidates depends on the nature of their relationship with committee members. In the case of weak links, informa- tional gains tend to dominate evaluation biases. Candidates promoted by a weak link turn out to be more productive in the future relative to other promoted candi- dates. However, consistently with the potential existence of favoritism, candidates promoted by a strong connection exhibit a signi cantly worse research record both before and after the evaluation. Thu, 06 Sep 2012 22:00:00 GMT http://hdl.handle.net/10016/15311 2012-09-06T22:00:00Z http://hdl.handle.net/10016/14057 Title: The renaissance of the "renaissance man"? : specialists vs. generalists in teams of inventors Author(s): Melero, Eduardo; Palomeras, Neus Abstract: Is there a role for the multifaceted Renaissance Man in modern team-intensive innovation activities? This paper argues that researchers with broad knowledge, also known as generalists, make an especially valuable contribution to innovation teams. Given the re-combinative nature of technological progress, innovation results depend crucially on the skilful matching of different pieces of knowledge. The presence of generalists in innovation teams makes the knowledge recombination process more effective, even if this comes at the cost of reduced knowledge depth. Moreover, typical barriers in team processes become less acute with the presence of generalists. We analyze the role of generalists versus specialists in innovation teams by tracking the trajectories of inventors in the electrical and electronics industry through their patenting activity. Our findings suggest that innovation teams with the contribution of generalists outperform those that rely on a diverse set of specialists Sat, 31 Dec 2011 23:00:00 GMT http://hdl.handle.net/10016/14057 2011-12-31T23:00:00Z http://hdl.handle.net/10016/12636 Title: CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure Author(s): Balbás, Alejandro [balbas]; Balbás, Beatriz [bbalbas]; Balbás, Raquel Abstract: Risk measures beyond the variance have shown theoretical advantages when addressing some classical problems of Financial Economics, at least if asymmetries and/or heavy tails are involved. Nevertheless, in portfolio selection they have provoked several caveats such as the existence of good deals in most of the arbitrage free pricing models. In other words, models such as Black and Scholes or Heston allow investors to build sequences of strategies whose expected return tends to in nite and whose risk remains bounded or tends to minus in nite. This paper studies whether this drawback still holds if the investor is facing the presence of multiple priors, as well as the properties of optimal portfolios in a good deal free ambiguous framework. With respect to the rst objective, we show that there are four possible results. If the investor uncertainty is too high he/she has no incentives to buy risky assets. As the uncertainty (set of priors) decreases the interest in risky securities increases. If her/his uncertainty becomes too low then two types of good deal may arise. Consequently, there is a very important di¤erence between the ambiguous and the non ambiguous setting. Under ambiguity the investor uncertainty may increase in such a manner that the model becomes good deal free and presents a market price of risk as close as possible to that re ected by the investor empirical evidence. Hence, ambiguity may help to overcome some meaningless ndings in asset pricing. With respect to our second objective, good deal free ambiguous models imply the existence of a benchmark generating a robust capital market line. The robust (worst-case) risk of every strategy may be divided into systemic and speci c, and no robust return is paid by the speci c robust risk. A couple of betas may be associated with every strategy, and extensions of the CAPM most important formulas will be proved. Wed, 31 Dec 2003 23:00:00 GMT http://hdl.handle.net/10016/12636 2003-12-31T23:00:00Z