Hospitalization due to stroke and myocardial infarction in self-employed individuals and small business owners compared with paid employees in Sweden—a 5-year study

Small Business Economics - Analysing Swedish population register data, the aim of the present study is to investigate differences in acute cardiovascular disease (CVD) in terms of stroke and...     

Collateral affects return risk: evidence from the euro bond market

Covered bonds and senior bonds are prominent securities in the euro bond market. Senior bonds are unsecured, while covered bonds are secured—backed by collateral. Our results show that the presence of collateral reduces the total risk in individual bonds by more than 70%. Compared to diversified portfolios of senior bonds, diversified portfolios of covered bonds have a significantly lower level of systematic risk. However, the fraction of systematic risk to total risk is higher for covered bonds. By decomposing the variance of bond returns, we find that around 33% of the risk in senior bonds is systematic, versus 53% in covered bonds. Both types of bonds contain instrument-specific risk.

     

Habit formation,surplus consumption and return predictability: International evidence

On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999, By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205–251.) habit formation model with a time-varying risk-free rate. In addition, we analyze the predictive power of the surplus consumption ratio for future stock and bond returns. We find that, although there are important cross-country differences and economically significant pricing errors, for the majority of countries in our sample the model gets empirical support in a variety of different dimensions, including reasonable estimates of risk-free rates. Further, for the majority of countries the surplus consumption ratio captures time-variation in expected returns. Together with the price-dividend ratio, the surplus consumption ratio contains significant information about future stock returns, also during the 1990s. In addition, in most countries the surplus consumption ratio is also a powerful predictor of future bond returns. Thus, the surplus consumption ratio captures time-varying expected returns in both stock and bond markets.     

Inference in multiplicative pricing

In multiplicative pricing of non-life insurance, we report a simulation study of mean square errors (MSEs) of point estimates by (1) the marginal totals method and (2) the Standard Generalized Linear Model (GLM) method of Poisson claim numbers and gamma distributed claim severities with constant coefficient of variation. MSEs per tariff cell are summed with insurance exposures as weights to give a total MSE. This is smallest for Standard GLM under the multiplicative assumption. But with moderate deviations from parameter multiplicativity, the study indicates that the marginal totals method is typically better in the MSE sense when there are many arguments and many claims, i.e. for mass consumer insurance. A method called MVW for confidence intervals, using only the compound Poisson model, is given for the marginal totals method. These confidence intervals are compared with the ones of Standard GLM and the Tweedie method for risk premiums in a simulation study and are found to be mostly the best. The study reports both cover probabilities, which should be close to 0.95 for 95% confidence intervals, and interval lengths, which should be small. The Tweedie method is found to be never better than Standard GLM.     

Discrete and Continuous Representations of Unobserved Heterogeneity in Choice Modeling

We attempt to provide insights into how heterogeneity has been and can be addressed in choice modeling. In doing so, we deal with three topics: Models of heterogeneity, Methods of estimation and Substantive issues. In describing models we focus on discrete versus continuous representations of heterogeneity. With respect to estimation we contrast Markov Chain Monte Carlo methods and (simulated) likelihood methods. The substantive issues discussed deal with empirical tests of heterogeneity assumptions, the formation of empirical generalisations, the confounding of heterogeneity with state dependence and consideration sets, and normative segmentation.     

Credibility pseudo-estimators

We treat a model with independent claim numbers and claim amounts, conditional on stochastic parameters. Groups are categorized into a smaller number of classes, which likely differ in risk premium. The collective claim frequency and mean claim for a group are modeled as those of the class the group belongs to. For each group we find the Best Linear Predictor, also known as Credibility Estimator, in a generic model covering claim frequency and mean claim, as a weighted mean of the group’s individual estimate and the collective estimate. Assuming Poisson distributed claim numbers and some distributional properties of claim amounts, we find estimators of variance components, estimation errors of the collective claim frequency and mean claim, and covariances between observations, estimators, and stochastic parameters. Pseudo-estimators, i.e. estimators which are defined by expressions that contain them and which must be solved numerically, are given for between-groups variance components. Simulation results, where some of the assumptions are violated, indicate when they are preferable over non-pseudo-estimators.     

Habit-based asset pricing with limited participation consumption

We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard aggregate consumption series commonly used in the CCAPM literature. We show that assetholder consumption outperforms non-assetholder and aggregate consumption data in explaining bond returns, bond yields, and the volatility of bond yields. We further show that the high volatility of assetholder consumption enables the model to explain the equity premium puzzle and the risk-free rate puzzle simultaneously for a reasonable value of relative risk aversion.     

Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns

This paper uses an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane [Campbell, J.Y., Cochrane, J.H., 1999. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205–251] on the US stock market. The empirical evidence shows that the model is able to explain the size premium, but fails to explain the value premium. Further, the state variable of the model – the surplus consumption ratio – explains counter-cyclical time-varying expected returns on stocks. The model also produces plausible low real risk-free rates despite high relative risk aversion.     

Complaining: A function of attitude,personality, and situation

The random nature of situations where an acquired product or service contains a defect or deficiency means that consumers usually have no experience of seeking redress (i.e., complaining), or their experience may be from totally different situations. Because of this, most people have not formed a clear attitude about how to behave in the specific situation and they may also be uncertain about social norms for proper behavior. Hence, their behavior is guided by more general traits and dispositions as well as by situation‐specific factors, which are bound to exert a relatively strong influence on behavior. This study confirms that the likelihood that consumers will complain over defects and deficiencies depends a lot on the situation and specifically on the size of the loss due to the defect and deficiency. However, some individuals refrain from complaining even in serious cases. This study shows that the propensity to complain depends on the person's attitude toward complaining and on personality traits (inclination to become dissatisfied). The two latter variables reinforce one another. © 2009 Wiley Periodicals, Inc.     

'Between Business and Community': A Rural Co-op and Its Accounting Practice

A rural co-op in the north of Sweden has grown from a tiny development-group to a small business venture with houses, a shop and an old-age home. This progress is here described focusing on the accounting practice. Field-studies, including participatory methods and interviews, depict a co-op torn between their founding ideas on shaping a good life in the area, and an increasing focus on business. This tension is also reflected in their usage of accounting. The conclusion of the study is that identity and accounting are shown to be mutually inter-linked. It is further argued, drawing on ethnomethodological concepts, that the main asset in the development, a community based on trust, cannot be mirrored in the formal accounts. The alternative is approaches more akin to narratives.