HEC Paris

About: HEC Paris is a education organization based out in Jouy-en-Josas, France. It is known for research contribution in the topics: Investment (macroeconomics) & Market liquidity. The organization has 584 authors who have published 2756 publications receiving 104467 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales & HEC School of Management Paris.

Subjective Life Horizon and Portfolio Choice

Abstract: Using data from a U.S. household survey, we examine the empirical relation between subjective life horizon (i.e., the self-reported expectation of remaining life span) and portfolio choice. We find that equity portfolio shares are higher for investors with longer horizons, controlling for gender-specific age effects, socio-economic characteristics, health, and optimism. Our result is robust to accounting for the endogeneity of equity market participation or instrumenting subjective life horizon with parental survival. Finally, we show that the effect of a shortening horizon on portfolio allocation is stronger for households without bequest motives.

Ripple Effects of Noise on Corporate Investment

Abstract: We show that firms reduce their investment in response to non-fundamental drops in the stock price of their product-market peers. This spillover is economically significant and consistent with the hypothesis that managers rely on stock prices as a source of information but cannot perfectly filter out the noise in these prices (the faulty informant hypothesis). As predicted by this hypothesis, the influence of the noise in peers' stock prices on a firm's investment is stronger when peers’ prices are more informative, and weaker when managers are better informed. Our findings suggest a new channel through which local non-fundamental shocks to the market valuation of a group of firms have real effects for other firms.

Market Structure and Transaction Costs of Index CDSs

Abstract: Despite regulatory efforts to promote all‐to‐all trading, the post–Dodd‐Frank index credit default swap market remains two‐tiered. Transaction costs are higher for dealer‐to‐client than interdealer trades, but the difference is explained by the higher, largely permanent, price impact of client trades. Most interdealer trades are liquidity motivated and executed via low‐cost, low‐immediacy trading protocols. Dealer‐to‐client trades are nonanonymous; they almost always improve upon contemporaneous executable interdealer quotes, and dealers appear to price discriminate based on the perceived price impact of trades. Our results suggest that the market structure is a consequence of the characteristics of client trades: relatively infrequent, large, and differentially informed.

Commonality in Liquidity: A Global Perspective

Abstract: We conduct a comprehensive study of commonality in liquidity using intraday spread and depth data from 47 stock exchanges. We find that firm-level changes in liquidity are significantly influenced by exchange-level changes across most of the world's stock exchanges. Emerging Asian exchanges have exceptionally strong commonality, while those of Latin America exhibit little if any commonality. After documenting the pervasive role of commonality within individual exchanges, we examine commonality across exchanges. We find evidence of a distinct, global component in bid-ask spreads and depths. Local (exchange-level) sources of commonality represent roughly 39% of the firm's total commonality in liquidity, while global sources contribute an additional 19%. We also investigate potential sources of exchange-level and global commonality. We show that commonality is driven by both domestic and U.S. macroeconomic announcements.

Person-organization fit and incentives: A causal test

Abstract: We investigate the effects of organizational culture and personal values on performance under individual and team contest incentives. We develop a model of regard for others and in-group favoritism that predicts interaction effects between organizational values and personal values in contest games. These predictions are tested in a computerized lab experiment with exogenous control of both organizational values and incentives. In line with our theoretical model we find that prosocial (proself) orientated subjects exert more (less) effort in team contests in the primed prosocial organizational values condition, relative to the neutrally primed baseline condition. Further, when the prosocial organizational values are combined with individual contest incentives, prosocial subjects no longer outperform their proself counterparts. These findings provide a first, affirmative, causal test of person-organization fit theory. They also suggest the importance of a 'triple-fit' between personal preferences, organizational values and incentive mechanisms for prosocially orientated individuals.