Institutional investors and stock returns volatility: Empirical evidence from a natural experiment

In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique institutional characteristic. Performing a Markov-switching-GARCH analysis we find empirical evidence that the increase of institutional ownership has temporarily changed the volatility structure of aggregate stock returns. The results are interpretable in favor of a stabilizing effect on index stock returns induced by institutional investors.     

Umsetzungsbarrieren bei Produktinnovationen: Führt der „Weg des geringsten Widerstands“ zum Innovationserfolg?

Welche Innovationsbarrieren gef?hrden die Umsetzung kreativer Ideen in neue Produkte? Was bedeuten Umsetzungsbarrieren für den Erfolg eines Innovationsprozesses? Welche Strategien des Innovationsmanagements bew?hren sich? Mit Daten von 408 Produktinnovationsprozessen aus Technologiebranchen werden diese Zusammenh?nge für vier Innovationstypen vergleichend analysiert: Umsetzungsbarrieren in den Phasen Forschung & Entwicklung, Produktion und Markteinführung treten, insbesondere bei hohem Neuheitsgrad, nahezu immer auf. Der Intensit?t dieser Barrieren kommt jedoch nur geringe Erkl?rungskraft für den Innovationserfolg zu. Offensichtlich führen nicht nur „Wege des geringsten Widerstands“ zum Erfolg. Die Befunde zeigen, dass eine frühzeitige Integration von Akteuren und Funktionen dazu beitragen kann, Innovationserfolge auch „über Barrieren“ zu erreichen.     

Efectos de la negociación colectiva e individual en el rendimiento empresarial. Análisis exhaustivo de la incidencia de diversos sistemas de negociación en la productividad laboral

Sobre un conjunto de datos empresariales representativos de todos los Estados miembros de la Unión Europea se analiza la relación entre diferentes procesos y estructuras institucionales de negociación colectiva y la evolución de la productividad laboral. Los resultados muestran efectos de amplio alcance. Algunos procesos y estructuras, en particular los sistemas sin coordinación entre unidades, parecen menoscabar el rendimiento empresarial, mientras que los sistemas coordinados lo mejoran. En consecuencia, lo importante son los procesos y estructuras institucionales en que se inscribe la negociación colectiva y no la cuestión de si la negociación debe ser colectiva o individual.     

Eliza in the uncanny valley: anthropomorphizing consumer robots increases their perceived warmth but decreases liking

Marketing Letters - Consumer robots are predicted to be employed in a variety of customer-facing situations. As these robots are designed to look and behave like humans, consumers attribute human...     

Group interaction, heterogeneity, rules, and co-operative behaviour: Evidence from a common-pool resource experiment in South Africa and Namibia

We present econometric evidence of how sociodemographic characteristics, economic background, group effects, and dynamic personal and group interactions influence the co-operative behaviour of individuals in a social dilemma situation. The data are from a framed common-pool resource experiment conducted in Namibian and South African farming communities. Our estimates suggest complex but stable social dynamics within groups over the course of the game. We conclude that group interactions may be significantly influenced by the degree of sociodemographic heterogeneity. Our study shows that the introduction of rules matters, as it improves co-operation, but that the concrete shape of such rules may be less important than the underlying social interaction.     

Modeling Financial Sector Joint Tail Risk in the Euro Area

We develop a novel high‐dimensional non‐Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is based on a dynamic generalized hyperbolic skewed‐t block equicorrelation copula with time‐varying volatility and dependence parameters that naturally accommodates asymmetries and heavy tails, as well as nonlinear and time‐varying default dependence. We apply a conditional law of large numbers in this setting to define joint and conditional risk measures that can be evaluated quickly and reliably. We apply the modeling framework to assess the joint risk from multiple defaults in the euro area during the 2008–2012 financial and sovereign debt crisis. We document unprecedented tail risks between 2011 and 2012, as well as their steep decline following subsequent policy actions. Copyright © 2016 John Wiley & Sons, Ltd.     

Publication bias in the German social sciences: an application of the caliper test to three top-tier German social science journals

Systematic research reviews have become essential in all empirical sciences. However, the validity of research syntheses is threatened if the preparation, submission or publication of research findings depends on the statistical significance of these findings. The present study investigates publication bias in three top-tier journals in the German social sciences, utilizing the caliper test. For the period between 2001 and 2010, we have collected 156 articles that appeared in the Kölner Zeitschrift für Soziologie und Sozialpsychologie (KZfSS), the Zeitschrift für Soziologie (ZfS) and the Politische Vierteljahresschrift (PVS). In all three journals, we found empirical evidence for the existence of publication bias at the 10 % significance level. We also investigated possible causes linked to this bias, including single versus multiple authorship as well as academic degree. We found only weak support for the relationships between individual author characteristics and publication bias.     

GRAPHICAL MODELS FOR CORRELATED DEFAULTS

A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given marginal distribution for single firms and pairwise correlation matrix. These techniques also provide a calibration algorithm based on maximum likelihood estimation. Finally, the model is compared with standard normal copula model in terms of tails of the loss distribution and implied correlation smile.