TAX-LOSS SELLING,INSTITUTIONAL INVESTORS,AND THE JANUARY EFFECT: A NOTE

In this note we test the hypothesis that trading by tax-motivated individual investors is responsible for the January effect. We examine the ownership structure of a large sample of firms over a four-year period and find that the small firms that usually exhibit high January returns have low institutional ownership. After controlling for firm size, we still find that institutional ownership is significantly related to January abnormal returns. These results suggest that one reason the January effect may concentrate in small firms is because these firms are held by tax-motivated individual investors.     

The effect of within‐industry diversification on firm performance: synergy creation,multi‐market contact and market structuration

This paper examines the effect of diversification upon intra‐industry performance. We propose that intra‐industry diversification promises three sets of benefits, which, separately and in combination, provide firms with a competitive advantage: synergies arising from economies of scope; premiums from mutual forbearance enabled by multi‐market competition; and efficiencies derived from market structuration. The additive and integrative effects of the first two have not been explored. The benefits of market structuration remain untheorized and thus untested. The test of our theoretical model in the Canadian general insurance industry indicates that mutual forbearance provides advantage under specified conditions, that market structuration also provides advantages, but that diversification per se does not. Copyright © 2004 John Wiley & Sons, Ltd.     

Uber Drivers and Employment Status in the Gig Economy: Should Corporate Social Responsibility Tip the Scales?

As the gig economy continues to grow, the legal status of its workers remains a source of confusion and controversy. Uber and other transportation network companies (TNCs) typically disclaim employee status, depriving drivers of social insurance among other benefits. Further, such companies typically deny liability to third party victims for damages due to auto accidents, sexual assaults, and other negative outcomes arising out of their business. Legal and regulatory systems in the U.S. and elsewhere continue to struggle with how to determine and apply a consistent standard as to employee classification. We argue that corporate social responsibility should figure prominently in the equation. Private companies already are required to cover social costs of doing business in a variety of contexts (e.g., workers compensation, family leave, public and workplace accommodations for disabled individuals), and it makes sense that they also should be required to underwrite other important implications associated with employee status as part of their responsibilities to society. This is especially so where, as with Uber and other TNCs, a company’s core profit-making operations include activities that carry the direct potential for causing substantial harm both to individual clients and to the public at large.     

RISKS TO THE RETURNS TO MEDICAL INNOVATION: THE CASE OF MYRIAD GENETICS

We describe the broad range of uncertainties faced by the developers of medical technologies. Empirically, we estimate the asset market incidence of two realizations of uncertainties we classify as ex post policy risks. The events we analyze concern the intellectual property of Myriad Genetics, Inc., an American molecular diagnostics firm. In June 2013, the Supreme Court invalidated several of Myriad's intellectual property claims. Subsequently, the Center for Medicare and Medicaid Services (CMS) re‐evaluated the reimbursements it pays for the services at issue in the Supreme Court's ruling. Each of these events moved Myriad's market capitalization by several hundred million dollars, or on the order of 20%. Myriad's exposure to the realization of these events reflected the concentration of its revenue streams among the affected services. We discuss the implications of the risks we analyze for the total volume of medical innovation and for its organization across firms. (JEL I18, O3, D8)     

Managerial and firm influences on export behavior

Export researchers have generally interpreted small enterprise export behavior as either being exclusively dependent on firm factors or specific characteristics of decision-makers. These approaches are inadequate for explaining what is obvious managerial activity resulting from strategic choices among alternate foreign market expansion paths for the firm. This study empirically examines the interaction of decision maker and firm factors on intended export behaviors among eighty-nine Canadian manufacturing firms and finds that they explain a significant and substantive part of the variance in export entry behavior, but have limited success in accounting for variances in export performance. The author acknowledges assistance from the American Marketing Association doctoral dissertation grant (1979) and the Canadian Federation of Independent Business Fellowship Award (1979) for funding the study from which this data was drawn.     

Equilibrium with investors using a diversity of deviation measures

It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates individual assets to such a master fund, has come from this direction in particular. Attempts have been made to provide solid mathematical support by showing that the imputed behavior of investors is a consequence of price equilibrium in a market in which assets are traded subject to budget constraints, and optimization is carried out with respect to utility functions that depend only on mean and standard deviation.     

COINTEGRATION AND DYNAMIC TIME SERIES MODELS

ABSTRACT. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the 'two-stage' procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.