Business Administration - Research Publications
Now showing items 1-12 of 81
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
(Taylor & Francis, 2020)
This article introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on a large-scale panel data model with factor structures. The proposed method attempts to capture the unobservable heterogeneity of each of the financial time series based on sensitivity to explanatory variables and to the unobservable factor structure. In our model, the dimension of the common factor structure varies across quantiles, and the explanatory variables is allowed to depend on the factor structure. The proposed method allows for both cross-sectional and serial dependence, and heteroscedasticity, which are common in financial markets. We propose new estimation procedures for both frequentist and Bayesian frameworks. Consistency and asymptotic normality of the proposed estimator are established. We also propose a new model selection criterion for determining the number of common factors together with theoretical support. We apply the method to analyze the returns for over 6000 international stocks from over 60 countries during the subprime crisis, European sovereign debt crisis, and subsequent period. The empirical analysis indicates that the common factor structure varies across quantiles. We find that the common factors for the quantiles and the common factors for the mean are different. Supplementary materials for this article are available online.
The effect of CEO incentives on deviations from institutional norms in foreign market expansion decisions: Behavioral agency and cross-border acquisitions
CEO incentives have been the subject of great interest for human resource scholars. We explore the institutional context within which the CEO makes sense of their incentives. Our theory suggests that CEO equity incentives interact with institutional norms to influence foreign market entry choices. Specifically, we argue that CEOs will weigh the risk bearing created by equity incentives, along with the consequences of legitimacy loss, when deciding whether to deviate from institutional norms when internationalizing. In doing so, we advance human resource literature by demonstrating that CEO responses to incentives are influenced by institutional norms and that CEOs' decisions to deviate from institutional norms are shaped by their incentives. We find support for our framework in the analysis of the stake taken by acquirers in 4,184 cross‐border acquisitions.
Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
(Taylor & Francis, 2018-01-01)
This article considers panel data models in the presence of a large number of potential predictors and unobservable common factors. The model is estimated by the regularization method together with the principal components procedure. We propose a panel information criterion for selecting the regularization parameter and the number of common factors under a diverging number of predictors. Under the correct model specification, we show that the proposed criterion consistently identifies the true model. If the model is instead misspecified, the proposed criterion achieves asymptotically efficient model selection. Simulation results confirm these theoretical arguments.
Reporting requirements, targets, and quotas for women in leadership
Reporting requirements, targets, and quotas have been implemented in several countries to increase female representation in leadership. In three studies, we analyze the effectiveness of these strategies from a goal-setting perspective. Study 1 evaluates the relationship between reporting requirements and female representation on boards of directors with data from Fortune 500 companies from 1996 to 2015. Study 2 analyzes the association of reporting requirements, targets, and quotas with the representation of women on boards of directors of public companies across 91 countries. Study 3 evaluates the impact of targets and quotas for women in parliaments across 190 nations. The board diversity reporting directive introduced in the US was followed by an acceleration in the increase of female representation on boards of directors of Fortune 500 companies. Higher goals for women on boards of directors were related to higher female representation. Similarly, higher gender goals and strong enforcement mechanisms in parliaments were related to higher female representation.
The rich get richer, the poor get even: Perceived socioeconomic position influences micro-social distributions of wealth
Economic inequality has a robust negative effect on a range of important societal outcomes, including health, wellbeing, and education. Yet, it remains insufficiently understood why, how, and by whom unequal systems tend to be perpetuated. In two studies we examine whether psychological mindsets adopted by the wealthy and the poor in their micro-social transactions act to perpetuate or challenge inequality. We hypothesized that occupying a wealthier socioeconomic position promotes the pursuit of self-interest and contributes to inequality maintenance; poorer socioeconomic position, on the other hand, should promote the pursuit of fairness and equality restoration. In Study 1, participants completed an ultimatum game as proposers after being primed to believe they are wealthier or poorer, offering money to either poor or wealthy responders. As expected, the wealthy pursued their self-interest and the net effect of this behavior contributes to the maintenance of inequality. Conversely, the poor pursued fairness and the net effect of this behavior challenges inequality. In Study 2, participants were responders deciding whether to accept or reject unfair distributions. Compared to the wealthier, the poorer challenged inequality by rejecting unequal offers. The links between micro-social processes and macro-societal inequality are discussed.
The Benefits of Social Influence in Optimized Cultural Markets
(PUBLIC LIBRARY SCIENCE, 2015-04-01)
Social influence has been shown to create significant unpredictability in cultural markets, providing one potential explanation why experts routinely fail at predicting commercial success of cultural products. As a result, social influence is often presented in a negative light. Here, we show the benefits of social influence for cultural markets. We present a policy that uses product quality, appeal, position bias and social influence to maximize expected profits in the market. Our computational experiments show that our profit-maximizing policy leverages social influence to produce significant performance benefits for the market, while our theoretical analysis proves that our policy outperforms in expectation any policy not displaying social signals. Our results contrast with earlier work which focused on showing the unpredictability and inequalities created by social influence. Not only do we show for the first time that, under our policy, dynamically showing consumers positive social signals increases the expected profit of the seller in cultural markets. We also show that, in reasonable settings, our profit-maximizing policy does not introduce significant unpredictability and identifies "blockbusters". Overall, these results shed new light on the nature of social influence and how it can be leveraged for the benefits of the market.