Use of active peer benchmarks in assessing UK mutual fund performance and performance persistence

The majority of UK style-specific mutual funds either report a broad market index as their prospectus benchmark or give no benchmark at all – a practice that may be (a) strategic, or (b) cultural and attributable to the lack of UK style-specific indices (e.g. mid-cap-growth, small-cap-value). The choice of a broad market index as a benchmark can bias the inferences of a fund’s performance and performance persistence. This study is the first to provide an alternative to style-specific indices in the UK, and suggests the use style-specific peer group benchmarks, following [Hunter, D., E. Kandel, S. Kandel, and R. Wermers. 2014. “Mutual Fund Performance Evaluation with Active Peer Benchmarks.” Journal of Financial Economics 112 (1): 1–29]. Our sample comprises of 817 active UK long-only equity mutual funds allocated to nine Morningstar style categories (peer groups) during the period 1992–2016. We show that the funds with the most significant positive peer-group-adjusted alphas continue to perform well one year ahead, in terms of both parametric and non-parametric measures of persistence in performance. Moreover, persistence in performance is driven by both winner and loser funds. The results within each peer group are by and large consistent with these findings.     

On the exposure of the BRIC countries to global economic shocks

The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly, their performance deteriorated in recent years, despite the modest recovery in advanced economies. The higher divergence of business cycles is closely linked to the Chinese economy. During the crisis, the Chinese fiscal stimulus prevented an abrupt decline in GDP growth not only in that country, but also in resource‐rich economies. Due to lower commodity demand, the environment became more challenging for many emerging markets in recent years. This view is supported by Bayesian structural VARs specified for the individual BRIC (Brazil, Russia, India and China) countries. The results reveal a strong impact of the international economy on GDP growth. However, in contrast to the other countries, China plays a crucial role in determining global trade and oil prices. Therefore, the Chinese economy exerts significant spillovers to the other countries under analysis. The change in the Chinese growth strategy puts additional reform pressure especially in countries with abundant natural resources.     

Discussing the political survival of Romanian ministers since 1989—Do economic conditions matter?

Political longevity in young democracies has attracted the attention of scholars and practitioners alike due to several particular characteristics of such democracies, such as a low level of trust, a low level of credibility, corruption, economic difficulties, a less well‐established rule of law and an increased bureaucracy. In such a context, we studied the tenure duration of Romanian ministers since 1989, as well as their accumulated political longevity in ministerial offices. Using proportional hazards regression, we observed some peculiarities in the young Romanian democracy in comparison with more established regimes. We observed that left‐wing majorities tend to increase the probability of seat changes and thus diminish tenure longevity. We also observed that good economic conditions may lead to the substitution of certain types of ministries, while higher inflation rates tend to shorten tenure longevity for Romanian ministers. Moreover, our estimations support the finding that Romanian ministers tend to have shorter tenures as the number of past ministerial functions increases and that the burden of simultaneously managing various ministries significantly contributes to the shorter political longevity of a given minister. Finally, recent ministers have had longer tenures than those in the first years after the fall of communism in Eastern Europe in 1989.     

Corporate social responsibility reports: topic analysis and big data approach

ABSTRACT

This paper performs topic modeling using all publicly available CSR (Corporate Social Responsibility) reports for all constituent firms of the major stock market indices of 15 industrialized countries included in MSCI Europe for the sample period from 1999 to 2016. Our text mining results and LDA analyses indicate that ‘employees safety’, ‘employees training support’, ‘carbon emission’, ‘human right’, ‘efficient power’, and ‘healthcare medicines’ are the common topics reported by publicly listed companies in Europe and the UK. There is a clear sector bias with industrial firms emphasizing ‘employee safety’, Utilities concentrating on ‘efficient power’ while consumer discretionary and consumer staples highlighting ‘food waste’ and ‘food packaging.’ To produce these results, we used a battery of python code to organize the hundreds of reports downloaded from Bloomberg and the internet, the latest R-algorithm to estimate LDA (Latent Dirichlet Allocation) model and the LDAvis interactive tool to visualize and refine the LDA model.     

The EU Electricity Sector Will Need Reform,Again

Intereconomics - The low-carbon transition, for example in line with the European Commission’s proposed Long-Term Strategy1 net-zero2 target by 2050 or the Commission President-elect...     

Does past unemployment experience explain the transition happiness gap?

The profound economic and political changes of the 1990s had detrimental social effects in many domains of life in post-socialist countries, including diminishing life expectancy and growing unhappiness. Despite economic improvements in the second decade of transition, research has documented that happiness lagged behind. We test whether past unemployment experience can explain this ”transition happiness gap in the context of Ukraine”, a country with a painful delayed transition from planned to market economy. We analyze unique longitudinal data for the period 2003–2012. Current unemployment substantially reduces subjective wellbeing, and the effect is roughly 50% larger for men than for women. The effect of past unemployment is significant, but small in magnitude compared to the effect of current unemployment. However, it does correspond to around 8% of the “transition happiness gap” found by Guriev and Melnikov (2017), suggesting that past unemployment experience can be considered as a partial explanation.     

Psychiatric inpatient cost of care before and after admission at a residential subacute step-up/step-down mental health facility

Background: Residential step-up/step-down services provide transitional care and reintegration into the community for individuals experiencing episodes of subacute mental illness. This study aims to examine psychiatric inpatient admissions, length of stay, and per capita cost of care following the establishment of a step-up/step-down Prevention And Recovery Care (PARC) facility in regional Australia.

Methods: This was a pragmatic before and after study set within a participatory action research methodology. The target sample comprised patients at a PARC facility over 15?months. Six-month individual level data prior to study entry, during, and over 6-months from study exit were examined using patient activity records. Costs were expressed in 2015–2016AU$.

Results: An audit included 192 people experiencing 243 episodes of care represented by males (58%), mean age?=?39.3 years (SD?=?12.7), primarily diagnosed with schizophrenia (48%) or mood disorders (30%). The cost of 1?day in a psychiatric inpatient unit was found to be comparable to an average of 5 treatment days in PARC; the mean cost difference per-bed day (AU$1,167) was associated with fewer and shorter inpatient stays. Reduced use of inpatient facility translated into an opportunity cost of improved patient flow equivalent to AU$12,555 per resident (bootstrapped 95% CI?=?$5,680–$19,280). More noticeable outcomes were observed among those who stayed in PARC for longer during index admission (r_s = 0.16, p?=?0.024), who have had more and lengthy inpatient stays (r_s = 0.52, p?r_s = 0.69, p?p?Conclusion: Efforts should be directed toward the adoption of cost-effective alternatives to psychiatric inpatient facilities that provide comparable or improved patient outcomes.     

Quantitative content analysis as a method for business ethics research

The aim of this article is to discuss quantitative content analysis as established in communication sciences as a method for research in business ethics. We argue that communication sciences and business ethics are neighboring disciplines, which allow the transfer of quantitative content analysis from communication sciences to business ethics. Technically, quantitative content analysis can be applied through human as well as software coding. Examples for both applications are provided and discussed. We make reference to the software solutions ‘Leximancer’, ‘Crawdad’, and ‘Wordle’, and examine their suitability and limitations with regard to ethical questions for researching business ethics. We recommend a mixed-method approach, combining human and software coding. Furthermore, we propose a three-step process that discusses quantitative content analysis as a method for business ethics, including an ethical research objective, and most importantly, concluding with ethical reasoning and interpretation of the quantitative results.     

Teacher characteristics and academic achievement

Identifying the impact of teacher characteristics on academic achievement has been a salient and reoccurring topic in education. We employ a twin-by-year identification strategy using matched teacher-student data from North Carolina to credibly estimate the impact of teacher characteristics such as experience, certification, and advanced degrees on academic achievement in math and reading. By using within-family variation the estimates from our model improve upon on earlier work by for time varying unobservable family shocks to non-schooling inputs. Our findings reveal that teacher experience and National Board certification have positive and significant effects on achievement in reading and math; however, we find inconclusive effects for advanced degrees. Notably, we show that teacher experience has the largest effects on student achievement, but our effects are smaller than the standard estimates in the literature. Overall, our estimates provide lower upper bounds for these key teacher characteristics.