Funded pensions and intergenerational and international risk sharing in general equilibrium

We explore intergenerational and international risk sharing in a general equilibrium multiple-country model with two-tier pensions systems. The exact design of the pension system is key for the way in which risks are shared over generations. The laissez-faire market solution fails to provide an optimal allocation because the young cannot share in the financial risks. However, the existence of wage-indexed bonds combined with a pension system with a fully funded second tier that pays defined wage-indexed benefits can reproduce the first best. If wage-indexed bonds are not available, mimicking the first best is not possible, except under special circumstances. We also explore whether national pension funds want to deviate from the first best by increasing domestic equity holdings. With wage-indexed bonds this incentive is absent, while there is indeed such an incentive when wage-indexed bonds do not exist.     

Can Nature Drive Economic Growth?

The conditions that lead to successful economic development are diverse and place sensitive. Recent research supports the notion that there is a correlation between the presence of natural amenities and rural economic development. This case explores the situation of a rural county that is faced with constrained development options as a result of a significant federal footprint on the county's land area. The actions of the federal agencies managing the resources impact the economic vitality of the region. Two issues currently under review challenge the county to think critically about its potential for using nature as an economic development tool.     

Where Are Saskatchewan Farmland Prices Headed?

An adaptive expectation model is employed to estimate Saskatchewan farmland values based on land rent. The estimated model is then used to forecast future agricultural land values, given a number of commodity price scenarios. The model illustrates the importance of expectations in the farmland purchase decision. Furthermore, it explains why swings in land prices tend to lag behind what current financial conditions would suggest. Nous avons utilisé un modèle adaptable de détermination des attentes pour déterminer la valeur des terres agricoles de la Saskatchewan à partir du prix de location. Le modèle estimatif est ensuite utilisé pour prévoir la valeur future des terres agricoles, compte tenu ?un certain nombre de scénarios ?évolution des prix des produits. Le modèle montre ?importance des attentes des gens dans les décisions ?achat de terres agricoles. Il explique en outre pourquoi les variations observérs dans les prix des terres ont tendance à marquer un certain retard par rapport à ce que les conditions financières existantes devraient laisser prévoir.     

The British investor's gains from international portfolio investment

This paper analyses the effects of exchange controls on the ranking of British and overseas investments. A method is developed by which the costs of such controls can be incorporated into return calculations. It is shown that the adjustment of returns for exchange controls significantly alters the rankings of investments. An additional aspect of the paper is to rank domestic and foreign investments by stochastic dominance and compare the derived rankings with mean-variance. Again a significant differences in rankings is identifiable. It is concluded that the exchange rate regime, institutional exchange controls and the entire distribution of returns should be considered in ranking domestic and foreign investments.     

AN EMPIRICAL STUDY OF THE INCREMENTAL PREDICTIVE ABILITY OF BEAVER'S NAIVE OPERATING FLOW MEASURE USING FOUR-STATE ORDINAL MODELS OF FINANCIAL DISTRESS

The purpose of this paper is to determine why net income adjusted for depreciation and amortization (NOF) is a strong predictor of financial distress. This paper develops four-state ordinal financial distress models lagged one, two, and three years before financial distress to test NOF, instead of using dichotomous bankrupt and nonbankrupt models. The results of this paper suggest that NOF is a strong predictor of financial distress because NOF is an alternative measure of economic income, not because NOF is a naive measure of operating cash flow. For this study, NOF is even a better measure of economic income than net income.     

‘Whatever it takes’ and the role of Eurozone news

This letter shows that the ‘Whatever it takes’ speech by ECB President Draghi on 26 July 2012 and the ensuing installation of the Outright Monetary Transactions’ framework are associated with a reduction in the domestic and cross-border effect of Eurozone news on absolute yield changes in Eurozone sovereign debt. These results are consistent with the popular view that these actions helped to avoid a collapse of the Eurozone.     

The S&P500 index effect reconsidered: Evidence from overnight and intraday stock price performance and volume

This study focuses on S&P500 inclusions and deletions, examining the impact of potential overnight price adjustment after the announcement of an S&P500 index change. We find evidence of a significant overnight price change that diminishes the returns available to speculators although there are still profits available from the first day after announcement until a few days after the actual event. More importantly, observing the tick-by-tick stock price performance and volume effects on the key days during the event window for the first time, we find evidence of consistent trading patterns during trading hours. A separate analysis of NASDAQ and NYSE listed stocks allows for a detailed examination of the price and volume effect at an intra-day level. We find that index funds appear to cluster their rebalancing activities near to and after the close on the event date, suggesting that they are more concerned with tracking error than profit.     

Dynamic capabilities through continuous improvement infrastructure

We examine the content of continuous improvement strategies and identify infrastructure decision areas that are important for continuous improvement initiatives. We present a framework of infrastructure based on the idea that continuous improvement can serve as a dynamic capability when it includes a comprehensive organizational context. Further, we study continuous improvement initiatives in five companies to investigate the practices used by them in each of the decision areas of our framework. This research adds to the conceptual understanding of continuous improvement and results in grounded propositions about critical areas of infrastructure for continuous improvement.