Showing papers by "HEC Montréal published in 1996"
TL;DR: In this paper, the authors observed the complete development of 11 new technology adoption processes in the same number of small and medium-sized manufacturing firms with between 50 and 249 employees and found that in 10 out of the 11 cases observed, the manager behaved as an entrepreneur in the technology adoption process.
48 citations
TL;DR: This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models that can estimate relatively quickly a wide variety of switching models.
Abstract: This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are included. FRENCH VERSION La presente etude constitue un guide d'utilisation d'un ensemble de procedures de Gauss mises au point a la Banque du Canada en vue de l'estimation des modeles a changement de regime. Ces procedures permettent d'estimer de facon assez rapide une vaste gamme de modeles a changement de regime et devraient s'averer utiles pour la recherche appliquee. Des echantillons de programmes sont inclus dans l'etude.
32 citations
TL;DR: The results show that participation in support groups did not lower the caregivers' subjective burden, and indeed contributed to its increase, and Conversely, such participation appears to have had a stabilizing effect on their level of depressive symptoms.
Abstract: This paper reports on a project aimed at creating support groups for caregivers of the frail elderly and assessing their impact on participants. The effect evaluation was based on a quasi-experimental design with repeated measures (n = 120). The results show that participation in support groups did not lower the caregivers' subjective burden, and indeed contributed to its increase. Conversely, such participation appears to have had a stabilizing effect on their level of depressive symptoms. Both these effects, reported at the end of the support group experience, persisted three months later. Various possible explanations of these contradictory results are discussed.
23 citations
TL;DR: In this article, the authors show how the order of linear stochastic dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets and obtain the necessary and sufficient condition for a change in the joint distribution of returns to yield an unambiguous comparative statics result when the two assets are risky.
Abstract: In this article, we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets. This order was shown to be the least constrained necessary and sufficient condition to guarantee that all risk-averse agents reduce their risky position when an increase in risk is imposed. This was done in a model with only one source of risk, as in the standard portfolio problem with one safe asset and one risky asset. We obtain the necessary and sufficient condition for a change in the joint distribution of returns to yield an unambiguous comparative statics result when the two assets are risky. We show in particular that the concept of Linear Stochastic Dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one-safe-one-risky-asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They are also compared to those in models where restrictions are on the set of concave utility functions.
15 citations
01 Dec 1996
TL;DR: In this article, a multistage supergame model for the management of a downstream pollution dispute between two neighboring regions is constructed, which allows for renegotiation of the contractual terms agreed on up to the current date.
Abstract: A multistage supergame model for the management of a downstream pollution dispute between two neighboring regions is constructed. An important feature of this model is that it allows for renegotiation of the contractual terms agreed on up to the current date. The set of Nash equilibria is characterized. It is shown that the Nash bargaining outcomes are self-enforcing. A time-consistent procedure to share the cooperative outcome between the two players is devised.
15 citations
TL;DR: This article used regime switching econometrics to study stock market crashes and explore the ability of two very different economic explanations to account for historical crashes and find considerable support for this model's predictions.
Abstract: This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics." Its key features are that "overvaluation" increases the probability and expected size of a crash. Using U.S. data for 1926-89, we find considerable support for this model's predictions. The second explanation is based on switches in fundamentals. Simulations show that switching fundamentals can cause markets to mimic speculative behaviour. However, switches in fundamentals do not coincide with most stock market crashes.
12 citations
01 Jan 1996
TL;DR: In this paper, the authors analyse caracteristiques of the juste-a-temps (JAT) implantation in the PME, in order to cibler celles which sont favorables ou defavorables au JAT.
Abstract: L’implantation du juste-a-temps (JAT) dans les PME represente un defi important lie au management moderne. De plus en plus de PME subissent les pressions des grandes entreprises manufacturieres pour modifier leur mode traditionnel de gestion, tant sur le plan operationnel qu’organisationnel, en faveur du systeme favorisant les transactions en flux tendus qu’est le JAT. Dans la litterature, on discute abondamment de sujets tels que les facteurs de succes du JAT ou les conditions d’une implantation reussie ; mais il s’avere que la majorite des etudes abordent le JAT sous l’angle de la grande entreprise. Considerant l’importance de la PME dans l’economie des pays industrialises et constatant qu'un nombre sans cesse croissant de ces PME verront leur mode de gestion modifie au profit du JAT, il nous apparait pertinent d’analyser les caracteristiques de la PME afin de cibler celles qui sont favorables ou defavorables au JAT.
11 citations
TL;DR: In this article, the authors studied the effect of global uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread.
Abstract: In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty, but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk-neutral entrepreneur and, even more, that of the risk-averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk-neutral and the risk-averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff with a kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier, and Schlesinger [1991, 1995].
8 citations
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TL;DR: This paper explored the Canadian context of workers' compensation (WC) by replicating, with Canadian data, a study carried out by Butler and Worrall (1991), who were the first to develop a simple model to separate claims reporting and risk bearing moral hazard in WC.
Abstract: This paper explores the Canadian context of workers' compensation (WC) by replicating, with Canadian data, a study carried out by Butler and Worrall (1991). These authors were the first to develop a simple model to separate claims reporting and risk bearing moral hazard in WC. Risk bearing moral hazard reflects the workers' incentive to carry more risk and consequently experience more accidents when benefits rise, while claims reporting moral hazard mirrors workers' incentive to file a claim. The estimation of these two moral hazard effects leads to results quite different with Canadian data than with American data. Ce texte explore les mecanismes canadiens d'indemnisations pour accidents du travail en reproduisant avec des donnees canadiennes l'etude de Butler et Worrall (1991). Ces auteurs furent les premiers a developper un modele simple pour distinguer deux types de risque moral lies a l'indemnisation des accidents du travail : Le risque lie au comportement preventif et le risque lie a la declaration d'accidents. Le premier est associe a la tendance des travailleurs de prendre plus de risque lorsque la generosite des indemnisations augmente, alors que le second est associe a leur propension a faire une reclamation lorsqu'ils ont un accident. L'estimation de ces deux types de risque moral, avec des donnees canadiennes, donne des resultats tres differents de ceux presentes par Butler et Worrall.
8 citations
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TL;DR: This article investigated the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non separable preferences are subject to taste shocks.
Abstract: This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state- and time-non separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks as special cases. Empirically, the linearized Euler equations are estimated through Kalman filtering, allowing for conditional heteroscedasticity via a common factor GARCH process. With or without conditional heteroscedasticity, (i) the hypothesis that preferences are separable cannot be rejected, (ii) taste shocks influences are statistically significant, and (iii) taste shocks yield reasonable estimates of the coefficient of relative risk aversion. This last result occurs because taste shocks reproduce the large observed equity premium by shifting weight away from consumption risk in favor to taste risk.
7 citations
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TL;DR: In this article, the authors study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product and show that uncertainty can affect the decision making process of an entrepreneur.
Abstract: In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product.
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TL;DR: This article examined empirically how work sharing influences workers' productivity, using a unique data set from a large Canadian firm, and found that work sharing has led to a significant decrease in labor productivity.
Abstract: This paper is the first to examine empirically how work sharing influences workers' productivity, using a unique data set from a large Canadian firm. This firm has adopted a work sharing scheme for one year, which allows us to introduce a natural experiment approach of comparing workers' productivity before and after the implementation of work sharing. We find that work sharing has led to a significant decrease in labor productivity. Cet article examine empiriquement l'impact du partage du travail sur la productivite des travailleurs d'une grande firme canadienne. L'application de la semaine reduite de travail pendant un an au sein de cette entreprise nous permet de comparer analytiquement la productivite des employes avant et apres l'adoption de ce programme. Nos resultats revelent que l'experimentation de la semaine reduite de travail provoque une baisse significative de la productivite des travailleurs.
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TL;DR: In this article, the authors report on Monte Carlo experiments using Evans' data-generating process to gauge the performance of these two kinds of regime-switching tests, and find that for some (but not all) parameter values, they have a significant amount of power to detect periodically collapsing bubbles.
Abstract: Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles. Since Evans' note, new tests for rational speculative bubbles that rely on regime-switching have been proposed. Van Norden and Schaller (1993) and van Norden (1996) use a switching regression to look for a time-varying relationship between returns and deviations from an approximate fundamental price. Hall and Sola (1993) and Funke, Hall and Sola (1994) test whether asset prices seem to switch between explosive growth and stationary behaviour. Our paper reports on Monte Carlo experiments using Evans' data-generating process to gauge the performance of these two kinds of regime-switching tests. The experiments rely heavily on certain new, fast and robust programs developed at the Bank of Canada for the estimation of switching regression models that make Monte Carlo studies of such estimators practical. We find that for some (but not all) parameter values, regime-switching tests have a significant amount of power to detect periodically collapsing bubbles. We also compare and contrast the performance of the two different regime-switching tests. FRENCH VERSION La mise au point de tests de detection des bulles speculatives a occasionne bien des debats, principalement sur des points de methodologie. Evans (1991) a demontre, au moyen de simulations de Monte-Carlo, que la presence de bulles est frequemment rejetee par les tests standard de racine unitaire et de cointegration meme quand des bulles ont ete incorporees a la construction des donnees. Ce probleme constitue, a ses yeux, la pierre d'achoppement de ce type de tests de detection des bulles. Depuis la parution de l'article d'Evans, on a propose de nouveaux tests de detection des bulles speculatives rationnelles qui s'appuient sur un changement de regime. van Norden et Schaller (1993) et van Norden (1996) ont eu recours a une regression avec changement de regime afin d'etablir s'il existe une relation, variable dans le temps, entre les rendements et les ecarts observes par rapport a un prix fondamental approximatif. De leur cote, Hall et Sola (1993) et Funke, Hall et Sola (1994) ont cherche a determiner si le prix des actifs oscille entre une croissance explosive et un etat stationnaire. Dans la presente etude, les auteurs evaluent la puissance de ces deux types de tests au moyen de simulations de Monte-Carlo; ils emploient pour cela le processus generateur de donnees qu'utilise Evans. Leurs simulations font appel aux nouveaux programmes rapides et eprouves mis au point a la Banque du Canada pour l'estimation des modeles de regression avec changement de regime, lesquels rendent possible l'etude de tels estimateurs au moyen de simulations. Les auteurs constatent que pour certaines valeurs parametriques (mais pas pour toutes), les tests de regression avec changement de regime sont suffisamment puissants pour deceler les bulles qui s'effondrent periodiquement. Enfin, ils comparent la performance des deux tests afin d'en faire ressortir les similarites et les ifferences.