This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured by their de- fault probabilities, recovery rates and credit spreads. Each combina- tion offers protection against default to its affiliates, and issues debt to optimize the...

We empirically model individual utility from pay as function of worker’s own wage and the earnings of all other workers within the same establishment. The aims of this paper are twofold: first, to study the mechanisms underlying the importance of relative wages in determining worker...

In this paper we investigate the existence of negative jobless duration dependence and the impact of jobless spells on future wages. Our findings are relatively out of line compared to analogous explorations. We find evidence of very long unemployment duration of the young male labor force, much...

This report is one of the outputs resulting from Workpackage 4, "Social and professional integration" of the WALQING project, SSH-CT-2009-244597 (www.walqing.eu).

Household portfolios include risky bonds, beyond stocks, and respond to permanent labour income shocks. This paper brings these features into a life-cycle setting, and shows that optimal stock investment is constant or increasing in age before retirement for realistic parameter combinations. The...

This paper analyzes the implications of unobserved heterogeneity in discrete-time, discrete-choice microsimulation models. We compare the predictions coming from simple pooled probit estimates with those obtained using random effect dynamic probit models, in a dynamic microsimulation of...

Dynamic microsimulation modeling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We show...

Dynamic microsimulation modeling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting, beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We show...

This paper examines the ex-post performance of optimal portfolios with predictable returns, when the investor horizon ranges from one month to ten years. Due to the investor's ability to anticipate shifts from bull to bear markets, predictability involves the risk premium, volatility and...

Recent research [e.g., DeMiguel, Garlappi and Uppal, (2009a), Rev. Fin. Studies] has cast doubts on the out-of-sample performance of optimizing portfolio strategies relative to a naive, equally-weighted ones. However, most of the existing results concern the simple case in which an investor has...