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Full-Text Articles in Business
Geography Of Firms And Propagation Of Local Economic Shocks, Gennaro Bernile, George Korniotis, Alok Kumar
Geography Of Firms And Propagation Of Local Economic Shocks, Gennaro Bernile, George Korniotis, Alok Kumar
Research Collection Lee Kong Chian School Of Business
This study shows that the geographical distribution of publicly-traded firms generates an economic network that links the economic environments of all U.S. states. Using a novel measure of economic linkages among publicly-traded firms, we build a state-level network of economic connections and show that local economic shocks propagate through this geographical network. Specifically, for each state, we identify U.S. states that are economically relevant for firms headquartered in that state and show that economic conditions in economically relevant states predict the economic environment in the headquarter state. These results do not merely reflect the impact of omitted common national shocks. …
Duopolistic Competition Under Risk Aversion And Uncertainty, Michail Chronopoulos, Bert De Reyck, Afzal Siddiqui
Duopolistic Competition Under Risk Aversion And Uncertainty, Michail Chronopoulos, Bert De Reyck, Afzal Siddiqui
Research Collection Lee Kong Chian School Of Business
A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine these two opposing effects in a duopoly setting. We demonstrate that the value of a firm and its entry decision behave differently with risk aversion and uncertainty depending on the type of competition. Interestingly, if the leader’s role is defined endogenously, then higher uncertainty makes her relatively better off, whereas with the roles exogenously defined, the impact of uncertainty is ambiguous.
Tracking-Error Models For Multiple Benchmarks: Theory And Empirical Performance, Yunchao Xu, Zhichao Zheng, Karthik Natarajan, Chung-Piaw Teo
Tracking-Error Models For Multiple Benchmarks: Theory And Empirical Performance, Yunchao Xu, Zhichao Zheng, Karthik Natarajan, Chung-Piaw Teo
Research Collection Lee Kong Chian School Of Business
We propose a new multiple-benchmark tracking-error model for portfolio selection problem. The tracking error of a portfolio from a set of benchmark portfolios is defined as the difference between its return and the highest return from the set of benchmarks. We derive closedform solution of our portfolio strategy, whose main component is the sum of the benchmark portfolios weighted by their respective probabilities of attaining the highest return among the portfolios in the benchmark. These probabilities, also known as the persistency values, are less sensitive to estimation errors in the means and covariances. These features help to stabilize the computational …