The Value Premium and Time-Varying Volatility

Abstract:  Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.     

Legal and Institutional Determinants of Factoring in SMEs: Empirical Analysis across 25 European Countries

Weak protection of the rights of financiers intensifies agency problems in SME financing, inhibiting the optimal provision of credit necessary to grow and innovate. We use a survey data set of 4,348 SMEs from 25 European countries to analyze whether the use of factoring as a form of SME financing is less dependent on low quality of laws and institutions. We do so analyzing whether the use of factoring by SMEs differs across countries due to differences in the legal protection of creditors. Our findings indicate that firms operating in countries with legal environments that weakly protect the rights of creditors, with political instability or high enforcement costs, are more likely to use factoring. Managers of riskier and opaque companies operating in such inefficient environments can use the results of this study to better understand that there are suitable options to complement bank financing. Managers who seek loans can use the results to diversify their financing structure through the use of factoring. Since factoring can be used as a complement to bank loans or as a substitute for bank financing, it is important that policy makers take our results into account when revising policies concerning access to external financing.     

Medication adherence and discontinuation of long-acting injectable versus oral antipsychotics in patients with schizophrenia or bipolar disorder

Aims: To examine medication adherence and discontinuation in two separate groups of patients with schizophrenia or bipolar disorder (BD), who began receiving a long-acting injectable antipsychotic (LAI) versus those who changed to a different oral antipsychotic monotherapy.

Materials and methods: The Truven Health Analytics MarketScan Multi-State Medicaid claims database was used to identify patients with schizophrenia; Truven Health Analytics MarketScan Commercial and Medicaid claims databases were used to identify patients with BD. The analyses included adult patients (≥18 years) who either began receiving an LAI (no prior LAI therapy) or changed to a different oral antipsychotic (monotherapy). The first day of initiating an LAI or changing to a new oral antipsychotic was the index date. Linear and Cox regression models were conducted to estimate medication adherence (proportion of days covered [PDC]) and time to medication discontinuation (continuous medication gap ≥60 days), respectively. Models adjusted for patient demographic and clinical characteristics, baseline medication use, and baseline ED or hospitalizations.

Results: Patients with schizophrenia (N?=?5638) who began receiving LAIs had better medication adherence (5% higher adjusted mean adherence) during the 1 year post-index period and were 20% less likely to discontinue their medication during the entire follow-up period than patients who changed to a different oral antipsychotic monotherapy, adjusting for differences between LAI users and oral users. Similarly, patients with BD (N?=?11,344) who began receiving LAIs also had 5% better medication adherence and were 19% less likely to discontinue their medication than those using oral antipsychotics.

Limitations: Clinical differences unmeasurable in this database may have been responsible for the choice of LAI versus oral antipsychotics, and these differences may be responsible for some of the adherence advantages observed.

Conclusions: This real-world study suggests that patients with schizophrenia or BD who began receiving LAIs had better medication adherence and lower discontinuation risk than those who changed to a different oral antipsychotic monotherapy.     

Investment and the rate of profit in a financial context: the French case

The growth regime prevailing in France since the middle of the 1980s allowed for a recovery of profitability, yet without durable resumption of growth or accumulation of fixed capital. The financialization of this growth regime shows on both the asset and liability sides of the balance sheets. Following a post‐Keynesian framework, we analyse and test the main determinants of real investment and financial capital accumulation for non‐financial companies in France, based on data from the flow‐of‐funds accounts. This analysis points to an arbitrage, prevailing between real and financial accumulation, as a key reason explaining the insufficient recovery of investment.     

Path analysis for mixed qualitative and quantitative variables

In this report path analysis models are considered for mixed qualitative/quantitative variables. Only endogenous variables that are dependent in all its relations are supposed to be quantitative, but this restriction can easily be dropped. Qualitative variables are handled using a dummy-variable for each category. Parameters are estimated by ordinary least squares. The method allows decomposition of total effects in direct and indirect effects, which makes interpretation easier.     

Outsourcing child care,home cleaning and meal preparation

In this paper, the outsourcing of child care, home cleaning and meal preparation is analysed by means of a socio‐economic model that incorporates household‐economic, life cycle, lifestyle and health variables. The data (n = 700) were collected during a telephone survey in the Netherlands. About 10% of the households did not use any of the three outsourcing types. About 70 to 90% of households outsourced meal preparation at least once per month. In each household life cycle stage, the average monthly expenditures on outsourcing meal preparation were the highest of the three outsourcing categories. Factors affecting expenditures were generally the same for each type of outsourcing studied. In general, household economic variables including wage and working hours were unimportant in explaining the incidence and expenditures of outsourcing. The same holds for self‐reported health. All expenditure types were affected by life cycle variables. There was an indication that a traditional lifestyle and traditional family type affected outsourcing expenditures negatively. Education appeared as an important factor: regardless of gender, both medium‐ and higher‐educated people were more inclined to spend money on outsourcing than the lower educated. Especially, people younger than 44 years outsourced meal preparation. Outsourcing was neither restricted to nor especially practised by couples.     

Structural and geographical patterns of knowledge networks in emerging technological standards: evidence from the European GNSS industry

The concentration and dispersion of innovative activities in space have been largely explained and evidenced by the nature of knowledge and the geographical extent of knowledge spillovers. One of the empirical challenges is to go beyond this by understanding how the geography of innovation is shaped by particular structural properties of knowledge networks. This paper contributes to this challenge, focusing on the particular case of global navigation satellite systems at the European level. We exploit a database of R&D collaborative projects based on the fifth and sixth European Union Framework Programs, and apply social network analysis in economic geography. We study the properties both of the network of organizations and the network of collaborative projects. We show that the nature of the knowledge involved in relationships influences the geographical and structural organizations of the technological field. The observed coexistence of a relational core/periphery structure with a geographical cluster/pipeline one is discussed in the light of the industrial and geographical dynamics of technological standards.     

Investigating the persuasive impact and underlying processes of interactive magazine ads in a real-life setting

ABSTRACT

This study tests a theoretical framework to explain the persuasive impact of interactive magazine ads on consumers’ ad and brand attitudes. To obtain realistic (unforced) responses, a field experiment was conducted with a one-factor (interactive vs. non-interactive magazine ad) between-subjects design (N = 98). Results showed that, although they rarely used it, participants positively evaluated the presence of an interactive feature in a digital magazine ad. Furthermore, parallel-mediation analyses revealed that the interactive magazine ad was perceived as more interactive and more surprising than the non-interactive ad, which ultimately positively impacted consumers’ attitudes towards the magazine. A second real-life setting experiment (N = 121) confirmed and extended these findings by revealing that the mediation effects were even stronger when consumers had used the interactive feature (vs. only seen). In addition, the relationship between interactive magazine ads and consumers’ attitudinal responses was explained slightly better by ‘perceived surprise’ than by ‘perceived interactivity.’