Showing papers by "HEC Montréal published in 1999"

The Unreliability of Output Gap Estimates in Real Time

Abstract: We examine the reliability of alternative output detrending methods, with special attention to the accuracy of real-time estimates of the output gap. We show that ex post revisions of the estimated gap are of the same order of magnitude as the estimated gap itself and that these revisions are highly persistent. Although important, the revision of published data is not the primary source of revisions in measured output gaps; the bulk of the problem is due to the pervasive unreliability of end-of-sample estimates of the trend in output. Multivariate methods that incorporate information from inflation to estimate the output gap are not more reliable than their univariate counterparts.

The VRP with Time Windows

Abstract: This paper presents a survey of the research on the Vehicle Routing Problem with Time Windows (VRPTW), an extension of the Capacitated Vehicle Routing Problem. In the VRPTW, the service at each customer must start within an associated time window and the vehicle must remain at the customer location during service. Soft time windows can be violated at a cost while hard time windows do not allow for a vehicle to arrive at a customer after the latest time to begin service. We first present a multi-commodity network flow formulation with time and capacity constraints for the VRPTW. Approximation methods proposed in the literature to derive upper bounds are then reviewed. Then we explain how lower bounds can be obtained using optimal approaches, namely, Lagrangean relaxation and column generation. Next, we provide branching and cutting strategies that can be embedded within these optimal approaches to produce integer solutions. Special cases and extensions to the VRPTW follow as well as our conclusions.

Electronic Brainstorming: the Illusion of Productivity

Abstract: Electronic brainstorming (EBS) has been proposed as a superior approach to both nominal brainstorming (working alone) and face-to-face brainstorming (verbal). However, existing empirical evidence regarding EBS's superiority over nominal brainstorming is weak. Through a comprehensive examination of the process gains and process losses inherent to different brainstorming approaches, this paper explains past results. The paper also suggests that the process gain versus process loss advantages of EBS technologies may not be large enough to enable EBS groups to outperform nominal groups. In an effort to find alternate ways of using EBS more productively, three conditions thought to increase EBS's process gains and decrease its process losses (thus improving its productivity) are identified. A laboratory experiment designed to compare the productivity of ad hoc and established groups using four brainstorming technologies (nominal, EBS-anonymous, EBS-nonanonymous, verbal), generating ideas on socially sensitive and less sensitive topics, in the presence and absence of contextual cues, is then described. The results of the experiment showed that overall, groups using nominal brainstorming significantly outperformed groups using the other three brainstorming approaches. Further, even under conditions thought to be favorable to EBS, nominal brainstorming groups were at least as productive as EBS groups. The paper explains these results by suggesting that the process gains of EBS may not be as large as expected and that the presence of four additional process losses inherent to EBS technologies impair its productivity. It is also argued that the prevailing popularity of group brainstorming (verbal or electronic) in organizations may be explained by the perceived productivity of those approaches. These perceptions, which are at odds with reality, create the illusion of productivity. A similar misperception may also cause an illusion of EBS productivity in the research community, especially when perceptual measures of group performance are used.

Consumer reactions to product placement strategies in television sponsorship

Abstract: Reports the results of an experimental study that examines the impact of different strategies of product placement on consumer reactions in the context of television sponsorship. Four factors were manipulated: type of placement, sponsor’s image, type of television program and sponsor‐program congruity. Uses a factorial design comprising these four factors, which was operationalised by means of 12 brief written vignettes. Indicates that strategies of product placement impact differently on consumers’ evaluative and ethical judgements and that their effects interact with the type of television program. Suggests that evaluations of product placement are most negative in the context of mini‐series/drama television programs. Furthermore, product placements that play a passive role and are not clearly expressed within the program are generally perceived as less ethical, especially when they appear in information/services magazines. Also determines that sponsor‐program congruity leads to better ethical and evaluative consumer reactions for all types of television program considered except mini‐series/dramas. Implications for research and practice are derived from these results.

Consumer evaluations of movies on the basis of critics' judgments

Abstract: Moviegoers commonly use film critics as information sources. This article proposes that consumers engage in a causal analysis of the reasons behind critics' judgments and recommendations about new movies before making their own evaluations. An experimental study was conducted where critic's style, critic's predisposition toward the film director, degree of agreement between the critic's judgment and that of other critics, reputation of the critic, reputation of the film director, and critic's judgment direction were manipulated in a mixed within-subjects factorial design. A summary movie review was constructed for each condition of the factorial design. Viewer's movie evaluations were assessed with the use of four evaluative bipolar scales. Three of the five research hypotheses were fully supported. Consistent with the predictions of attribution theory, it was found that consumers' evaluations of a new movie are more likely to follow the judgment of a film critic when this judgment does not conform to the critic's style (H1), when the judgment is inconsistent with the critic's predisposition toward the film director (H2) and when other critics' judgments show favorable consensus (H3). The other two research hypotheses were partially supported. The impact of the film director's reputation on consumer evaluations (H5) was significant only when the movie reviews were positive, whereas the impact of the critic's reputation (H4) was significant only in the case of negative reviews. The results are interpreted within the framework of attribution theory. © 1999 John Wiley & Sons, Inc.

The Fed's Conduct of Monetary Policy: Has it Changed and Does it Matter?

Abstract: This paper investigates changes in the conduct of US monetary policy Monetary policy is modeled in the context of the Bernanke-Mihov (1998) structural VAR (SVAR) extended to allow explicitly for the Fed's forward looking behavior This is achieved by including its real-time forecasts on inflation and unemployment (the "Greenbook" forecasts) Stability tests that exploit the SVAR identifying restriction indicate significant time variation Since a central goal is to characterize the economic relevance of the identified changes, the paper shows how the estimation of a flexible time varying parameter model can be implemented in a SVAR using the median-unbiased estimation procedure developed by Stock and Watson (1998) The results suggest an important shift towards a greater response to inflation relative to unemployment, which might have been accompanied by an increase in its targeted level While the bulk of these changes were brought about under Volcker, they fail to explain the high interest rates and the recession of the early 80's Together with the results obtained for the period around the 1990 recession, changes in monetary policy, defined in the strict context of the identified policy rule, do not appear to be important in the explanation of business cycle fluctuations

Physicians acceptance of clinical information systems: an empirical look at attitudes, expectations and skills

Abstract: Attitudes of physicians towards actual and future clinical applications were assessed by distributing a seven-page questionnaire to all active attending physicians at the University of Miami/Jackson Memorial Medical Center. A total of 219 questionnaires were returned, for a response rate of 26%. From the results of this study, we can paint an interesting portrait of attending physicians attitudes and expectations towards computer applications in health care. Suggestions for successful implementation of clinical information systems are provided for healthcare administrators and medical informatics professionals.

First vs. Best Improvement: An Empirical Study

Abstract: When applying the 2-opt heuristic to the travelling salesman problem, selecting the best improvement at each iteration gives worse results on average than selecting the first improvement, if the initial solution is chosen at random. However, starting with 'greedy' or 'nearest neighbor' constructive heuristics, the best improvement is better and faster on average. Reasons for this behavior are investigated. It appears to be better to use exchanges introducing into the solution a very small edge and fairly large one, which can easily be removed later, than two small ones which are much harder to remove.

Logistique à rebours : Un portrait Nord-Américain

Abstract: This article presents the history of the backward logistics concept and provides a definition and its associated profits, profits that exceed the only environmental benefits. In the background, the authors wish to demonstrate that the concept of reverse logistics is not only a response to environmental pressures from legislators and consumers but it is a way of improving the competitiveness of business by cutting costs or improving its customer service (Meyer, 1999) for example, by returning defective or unsold products (Rogers and Tibben-Lembke, 1998).

Adjustment Costs, Irreversibility and Investment Patterns in African Manufacturing

Abstract: This paper examines dynamic patterns of investment in Cameroon, Ghana, Kenya, Zambia and Zimbabwe, assessing the consistency of those patterns with different adjustment cost structures. Using survey data on manufactured firms, we document the importance of zero investment episodes and lumpy investment. The proportion of firms experiencing large investment spikes is significant in explaining aggregate manufacturing investment. Taken together, evidence from descriptive statistics, average investment regressions modeling the response to capital imbalance, and transition data analysis indicate that irreversibility is an important factor considered by firms when making investment plans. The picture is not unanimous however, and some explanations for the mixed results are proposed.

Dynamic Evaluation of Contingent Claim Models (An Analysis of Model Error)

Abstract: A Monte Carlo based Bayesian estimator of contingent claim models formally incorporating model error and parameter uncertainty is introduced. Estimate and prediction on the basis of a model extended by a regression of (functions of) variables and parameters or a non parametric expansion of the model is also proposed. For these models, we show how to make draws from the exact posterior distributions of the parameters or any function of interest such as hedge ratios or option values. It is crucial to obtain exact posterior or predictive densities in a Bayesian setup because (1) typical applications may involve small sample situations, (2) in an updating setup one will want to incorporate specific prior information, and (3) parameters and on linear functions thereof will be shown to be non-normal thus rendering standard asymptotic inference ineffective. The Bayesian Monte Carlo estimators derived allow the simulation of the exact posterior densities of parameters and deterministic functions of parameters, e.g., Delta, Gamma, Vega, Theta, model value, and the exact predictive densities of the contingent claim prices. We provide both within sample (residual analysis), and out of sample (predictive) specification tests which can be used in a dynamic trading system. Finally, the model is extended by allowing for the (small) probability of observation with a larger model error. This produces the posterior probability of each observation being an outlier, and may help distinguish market from model error.

Project manager's influence tactics and authority: a comparison across project structures

Abstract: Ever since firms started using computers for processing their business data, researchers and practitioners have been preoccupied by the successful implementation of information systems (IS). Over the years, researchers have studied several aspects of IS implementation, be it measuring success or developing and testing models that explain IS project success or failure. However, up to now, few IS implementation studies have focused on the role played by the project leader. This paper presents the results of a study of 139 IS project managers. The study examined both the tactics adopted by these project managers to influence people, and their level of decision authority. It then attempted to determine if these two characteristics varied along with the project's organizational structure. The findings of the study point to the mediating role played by project managers' level of decision authority in linking organization structures to influence tactics. While influence tactics used do not vary across project structures, they do so across various levels of decision authority. In turn, the level of authority of project leaders varies across structures and steadily increases on the functional-project continuum. Three influence profiles emerged from the study, namely, the humanist, the political and the authoritarian project manager, providing further interpretation to influence tactics and behavior in an IS development context.

L'impact de l'utilisation des technologies de l'information sur la fonction finance-contrôle : une étude empirique

Abstract: Au cours des dernieres annees, la fonction finance-controle (FFC) au sein des organisations a subi de profondes mutations. L'evolution rapide des technologies de l'information (TI) n'est pas etrangere a ces changements. Cet article presente les resultats d'une etude empirique, qui a permis de recueillir les perceptions de 128 professionnels de la fonction finance-controle (FFC) sur l'impact de l'utilisation des technologies de l'information (TI) sur leur travail. Les resultats nous demontrent que l'utilisation des TI dans le cadre de la FFC est relativement importante. Elle a permis d'ameliorer la qualite de l'information interne de gestion ainsi que le rendement des professionnels. Toutefois, dans la mesure ou les TI ont principalement ete utilisees pour automatiser le travail effectue au sein de la FFC, on assiste a une bureaucratisation (deskilling) du travail de certains professionnels. Enfin, les resultats ont montre que l'utilite des TI depend du contexte organisationnel et de la nature du travail confie a la FFC.

Determinants of Earnings Announcement Timeliness and of Audit Lag: A Two-Stage Estimation Approach

Abstract: This study examines the behaviour of firms with respect to their choice of the date when their preliminary earnings are announced; as well, this study attempts to determine the factors that influence the timeliness of earnings announcements. Factors that are assumed to influence the earnings announcement timeliness include the nature of the news, the magnitude of the demand for information, regulation and audit technology. The results of our study suggest that firms are fairly regular and typically announce their earnings within an average seven day period. However, it seems that the nature of their announcement could alter this regularity. Canadian firms tend to delay the announcement of bad news and to announce good news early. As for determining the announcement delay, firm specific variables ? size, cross-listing on more than one stock exchanges, the nature of the firm?s auditor, the fiscal year end, and operating in the financial sector ? all seem to reduce the earnings announcement delay. Two-stage lest squares regressions confirm the robustness of our results.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Abstract: We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework for pricing discretely monitored barrier options because the discrete time step of the Markov chain can be easily matched with the monitoring frequency of the barrier. Furthermore the underlying asset price can also be partitioned to have the barrier suitably placed. Our method is fast, flexible and easy to implement as it reduces the pricing of American and European barrier options to simple matrix operations. Our method can efficiently handle the difficult cases where the barrier is close to the initial asset price. We study both knock-in and knock-out barrier options. Different types of barriers such as single, double and moving barriers are also analyzed. Cette etude propose l'utilisation de chaines de Markov pour l'evaluation de prix d'options a barriere avec verification a temps discrets dans des contextes de volatilite constante ou variable. La methode utilise une chaine de Markov homogene afin d'approcher le processus stochastique postule pour l'actif sous-jacent. Cette methode procure un environnement naturel pour evaluer ce type d'option puisque le pas discret de la chaine de Markov peut etre adapte a la longueur de temps entre les verifications de la barriere. Le prix du sous-jacent peut aussi etre discretise de facon optimale par rapport a la barriere. La methode est rapide, flexible et simple a implanter puisque le calcul de prix d'options europeennes et americaines est realise a l'aide de multiplications matricielles. De plus, la methode proposee est precise pour les cas difficiles ou la barriere est situee pres de la valeur du sous-jacent. Les options knock-in et knock-out sont examinees. Differents types de barrieres telles les barrieres doubles ainsi que les barrieres mobiles sont aussi examines.

Comparaison France - Canada - Allemagne - OCDÉ en matière de Gouvernement d'entreprise

Abstract: Le cadre juridique et reglementaire, le role de l'Etat et du marche, la proeminence d'investisseurs institutionnels dans le systeme de financement etc. sont autant de facteurs qui, jusqu'a maintenant, ont caracterise les modeles nationaux en matiere de gouvernement d'entreprise (cf. Bash 1995, Gadhoum 1995). L'intuition a l'origine de notre recherche exegetique est qu'a partir du moment ou les marches financiers sont de plus en plus integres sur le plan international, les particularites locales en matiere de gouvernement d'entreprise devraient s'estomper au profit d'un modele quasi sans frontieres. Cet article compare les modeles canadiens, francais et allemands ainsi que les principes promulgues par l'OCDE en matiere de gouvernement d'entreprise dans le but de verifier cette hypothese ou du moins de faire le point sur cette question. Le choix de ces pays n'est pas neutre car ils representent trois traditions differentes (anglo-saxonne, francaise et germanique) sur le plan des facteurs pouvant influencer les modeles de gouvernement d'entreprise. Pour aborder cette comparaison, nous adoptons la demarche suivante. Sans parametres, une comparaison internationale en matiere de gouvernement d'entreprise peut s'averer risquee etant donne l'etendue du sujet et les multiples caracteristiques sur lesquelles elle peut porter. C'est pourquoi nous rappelons d'abord les principaux elements du modele integrateur de Zhara et Pierce 1989. Ceux-ci ont utilise leur modele pour faire un revue des courants de recherche et des etudes empiriques qui ont porte sur le gouvernement d'entreprise et, du meme coup, pour realiser un inventaire assez exhaustif des variables dont on a etudie la relation avec la performance des entreprises. De notre cote, nous utilisons des elements de ce modele pour construire une typologie qui nous permet de juxtaposer et de classifier les directives, recommandations ou principes proposes afin d'evaluer si les organismes de normalisation qui se sont interesses au processus de gouvernement ont tenu compte des variables que la theorie associe a la performance des entreprises. L'une des principales differences que nous avons constatees tient a ce qu'on exige des entreprises canadiennes qu'elles divulguent leurs pratiques en matiere de gouvernement soit dans leur circulaire d'information soit dans leur rapport annuel. Autrement, nous n'avons pu refuter notre hypothese de depart tant les pratiques observees sont semblables. De plus, nous constatons que les pratiques adoptees par les entreprises des trois pays touchent la plupart des aspects du modele utilise. Ce constat preliminaire nous amene a proposer comme avenue de recherche de confronter le resultat de notre recherche exegetique a une recension des pratiques suivies par les entreprises au Canada, en France et en Allemagne selon l'information divulguee dans les rapports annuels.

La comptabilit e environnementale : un outil de prise de d ecision

Abstract: Nous presentons dans les pages qui suivent, un modele de la comptabilite environnementale qui, nous l'esperons, aidera le dirigeant d'entreprise a gerer de facon plus eclairee les questions environnementales. Ce modele regroupe trois composantes : l'identification des besoins d'information decoulant de la gestion environnementale, le cycle de vie et la reddition de comptes. Le modele propose de la comptabilite environnementale vise a donner a l'entite des outils d'aide a la prise de decision et a l'amelioration de la performance facilitant ainsi la reddition de comptes en matiere de gestion environnementale.

Le contrôle de gestion dans les musées canadiens

Abstract: Sous l'angle de l'efficacite comme de l'efficience, le controle de gestion s'avere un outil essentiel a la realisation des objectifs organisationnels et au suivi des actions strategiques. Etant donne son apport a une saine gestion, une etude exploratoire a ete menee aupres de gestionnaires de musees canadiens afin de connaitre leurs attitudes face au controle et de recenser les systemes mis en place et les pratiques en usage dans ces entreprises. Malgre une attitude en general plutot favorable a l'endroit du controle, les resultats de cette recherche revelent un faible deploiement des outils de controle de gestion et des lacunes au niveau du controle interne.