HEC Montréal

About: HEC Montréal is a education organization based out in Montreal, Quebec, Canada. It is known for research contribution in the topics: Vehicle routing problem & Corporate governance. The organization has 1221 authors who have published 5708 publications receiving 196862 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales de Montreal & HEC Montreal.

Factors Influencing Corporate Environmental Disclosures

Abstract: We investigate the effectiveness of the Carbon Disclosure Project (CDP), a not-for-profit organization that facilitates environmental disclosures of firms with institutional investors, thereby serving as a corporate governance mechanism for shareholders to influence the firm's environmental disclosures. We examine firm characteristics associated with firms' decisions to disclose carbon-related information via the CDP for a sample of 319 Canadian firms over a four-year period. In particular, we examine how firms' decisions to disclose via CDP are associated with shareholder activism, litigation risk, and the opportunity for low-cost positive publicity once requested by the firms' “signatory” investors. Our results also show that management's decision to release climate change data is associated with domestic, but not foreign, signatory investors. We also find that disclosing firms tend to be those from lower polluting industries with less exposure to litigation risk. This suggests that this new form of coordinated shareholder activism may not be successful at altering the behavior of firms that are heavier polluters. Facteurs influant sur la communication d'information environnementale par les societes Resume Les auteurs se penchent sur l'efficacite du Carbon Disclosure Project (CDP), organisme sans but lucratif qui s'emploie a promouvoir la communication d'information environnementale par les entreprises ayant des investisseurs institutionnels, un mecanisme de gouvernance grâce auquel les actionnaires peuvent exercer une influence sur l'information environnementale publiee par les societes. Ils etudient les caracteristiques de l'entreprise associees a la decision de communiquer l'information relative aux emissions de carbone par l'intermediaire du CDP, pour un echantillon de 319 societes canadiennes sur une periode de quatre ans. Ils se demandent en particulier en quoi la decision des societes de communiquer des donnees par l'intermediaire du CDP est liee a l'activisme des actionnaires, aux risques de litiges et a la perspective d'une publicite positive a faible cout une fois l'information demandee par les investisseurs « signataires » des societes. Les resultats de l'etude indiquent que la decision de la direction de publier des donnees sur les changements climatiques est associee aux investisseurs signataires nationaux, mais non aux investisseurs signataires etrangers. Les auteurs constatent egalement que les societes qui publient cette information sont generalement celles qui appartiennent a des secteurs d'activite moins polluants, moins exposes aux risques de litiges. Ces observations portent a croire que cette nouvelle forme d'activisme conjugue des actionnaires pourrait ne pas parvenir a modifier le comportement des societes qui sont d'importants pollueurs.

Nonlinear Kalman Filtering in Affine Term Structure Models

Abstract: The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, the unscented Kalman filter significantly outperforms its extended counterpart. The unscented Kalman filter also performs well when compared with the much more computationally intensive particle filter. These findings suggest that the unscented Kalman filter may be a good approach for a variety of problems in fixed-income pricing. This paper was accepted by Wei Xiong, finance.