Articles

'Paradigms Regained': Humanities Theory and Empirical Research

C. A. RUSSELL, B. Stern

Advances in Consumer Research

2001, vol. 28, n°1, pp.177-181

Departments: Marketing


Analyzes the role of humanities as a source of theory and testable hypotheses. Analysis of consumer responses to product placement in a television sitcom; Demonstration of hypothesis testing on words embedded in modern day scripture; Role of marketing research in relationships marketing

A Comparison of Standard Multi-Unit Auctions With Synergies

G. Albano, F. Germano, S. LOVO

Economics Letters

2001, n°71, pp.55-60

Departments: Finance, GREGHEC (CNRS)


In an example where some bidders have superadditive values, we characterize the equilibria of a simultaneous ascending auction and compare the revenue and efficiency generated with ones generated by the sequential, the one-shot simultaneous, and the Vickrey-Clarke-Groves auctions.

A Note on Mixture Sets in Decision Theory

P. MONGIN

Decisions in Economics and Finance

2001, vol. 24, pp.59-69

Departments: Economics & Decision Sciences, GREGHEC (CNRS)


A Time Varying Parameter Model to Test For Predictability and Integration in Stock Markets of Transition Economies

M. ROCKINGER, G. Urga

Journal of Business and Economic Statistics

January 2001, vol. 19, n°1, pp.73-84

Departments: Finance

Keywords: Central and Eastern Europe, Kalman filter, Market integration, Stock indexes, Volatility transmission

http://ssrn.com/abstract=146705


This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized autoregressive conditional heteroscedasticity (GARCH) structure for the residuals. With this extension of the Bekaert and Harvey model, it is possible to test if an emerging stock market becomes more efficient over time and more integrated with other already established markets in situations in which no macroeconomic conditioning variables are available. We apply this model to the Czech, Polish, Hungarian, and Russian stock markets. We use data at daily frequency running from April 7, 1994, to July 10, 1997. A latent factor captures macroeconomic expectations. Concerning predictability, measured with time-varying autocorrelations, Hungary reached efficiency before 1994. Russia shows signs of ongoing convergence toward efficiency. For Poland and the Czech Republic, we find no improvements. With regard to market integration, there is evidence that the importance of Germany has changed over time for all markets. Shocks in the United Kingdom are positively related to the Czech and Polish markets but not to the Russian or the Hungarian markets. Shocks in the United States have no impact on these markets with the exception of Russia. A strong negative correlation between Russia and the United States and Germany tends to disappear over the time span studied. We also show that these markets exhibit significant asymmetric GARCH effects where bad news generates greater volatility. In Hungary, good news, instead, generates greater volatility, which leads us to formulate a liquidity hypothesis

Accounting for Brands in France and Germany Compared with IAS 38 (Intangible Assets): An Illustration of the Difficulty of International Harmonization

H. STOLOWY, A. Haller, V. Klockhaus

International Journal of Accounting

2001, n°36, pp.147-167

Departments: Accounting & Management Control, GREGHEC (CNRS)



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