Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory in volatility and short memory in returns. We present an application to the daily CRSP value-weighted cum-dividend stock index return series from 1926 through 2006 which documents the empirical relevance of our model. The volatility-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH-type specifications according to standard criteria.     

Practitioner-Based Theory Building in Organizational Ethics

Understanding of organizational ethics phenomena requires complex understanding of organizational practices in their real world contexts. We can try to understand and build theory about these complex real world practices from the points of view of: (1) a traditional deductive, ethics literature-based, literature gap formulation approach; or, (2) an inductive, practitioner-based literature gap formulation approach. This consideration of inductive, practitioner-based versus deductive, literature-based literature gap formulation is related to the discussion concerning “engaged scholarship” and relationships and gaps between theory and practice in organization studies [Van De Ven, 2007, Engaged Scholarship: A Guide for Organizational and Research Knowledge (Oxford University Press, NY)]. However, there is an important difference with respect to the key issue of ethics literature versus practitioner-based literature gap formulation. This article offers examples of the two different approaches and makes comparisons between them. Implications for practice-based organizational ethics theory building, Ph.D. education, and public intellectual work are considered.     

On the relationship between female labour force participation and fertility in G7 countries: evidence from panel cointegration and Granger causality

This article examines the relationship between the female labour force participation rate and total fertility rate for the G7 countries from 1960 to 2006 using panel unit root, panel cointegration, Granger causality and long-run structural estimation. The article’s main findings are that the female labour force participation rate and total fertility rate are cointegrated for the panel of G7 countries; that long-run Granger causality runs from the total fertility rate to the female labour force participation rate and that a 1% increase in the total fertility rate results in a 0.4% decrease in the female labour force participation rate for the G7 countries.     

Market Integration of Fish in Europe

This paper examines market integration between fish species in Europe, taking international market integration into account. Based on Juselius (2006) , market integration is found both on the fresh and frozen markets. The Law of One Price is in force on the fresh market within the segments of flatfish and pelagic fish. Assuming transitivity, a loose form of market integration is identified between 13 fresh and seven frozen fish species, and the relative prices are found fairly stable. The policy implication is that catch limitation measures implemented through the Common Fisheries Policy have limited and conditional effects on prices, because of the large size of the market and varying market integration. Therefore, many fishermen are not ‘compensated’ by price increases as a result of catch limitation measures.     

Public Policy and Attitudes on Tax Support for Live Artistic Communications Media

Abstract . Hypothesized direct and interaction relationships among the dependent variable willingness to pay more taxes for support of live artistic communications media and the independent variables of past attendance, education, income, leisure time, and liberalism-conservatism are tested. Past enjoyment probably makes people more favorable to tax support. Social policy implications of the results are discussed.     

Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion*

Relationships between the Federal funds rate, unemployment, inflation and the long‐term bond rate are investigated with cointegration techniques. We find a stable long‐term relationship between the Federal funds rate, unemployment and the bond rate. This relationship is interpretable as a policy target because deviations are corrected via the Federal funds rate. Deviations of the actual Federal funds rate from the estimated target give simple indications of discretionary monetary policy, and the larger deviations relate to special episodes outside the current information set. A more traditional Taylor‐type target, where inflation appears instead of the bond rate, does not seem congruent with the data.     

Is the gender gap in school performance affected by the sex of the teacher?

Girls outperform boys in school. We investigate whether the gender performance gap can be attributed to the fact that the teacher profession is female dominated, that is, is there a causal effect on student outcomes from having a same-sex teacher? Using data on upper-secondary school students and their teachers from the municipality of Stockholm, Sweden, we find that the gender performance differential is larger in subjects where the share of female teachers is higher. We argue, however, that this effect can not be interpreted as causal, mainly due to teacher selection into different subjects and non-random student-teacher matching. Exploring the fact that teacher turnover and student mobility give rise to variation in teacher's gender within student and subject, we estimate the effect on student outcomes of changing to a teacher of the same sex. We find no strong support for our initial hypothesis that a same-sex teacher improves student outcomes.     

The Network Embeddedness of New,Technology-Based Firms: Developing A Systemic Evolution Model

The present paper focuses on the interactive relationship between new, technology-based firms and their network environment. The paper analyzes the mechanisms through which new, technology-based firms become immersed in innovation and manufacturing networks. The concept of embeddedness is developed and used to depict such mechanisms.A systemic evolution model of new, technology-based firms is proposed. The model depicts the evolution of new, technology-based firms in manufacturing and innovation networks. The model emphasizes the catalyzing role of new, technology-based firms in national systems of innovation.Network embeddedness is empirically explored in five case studies of Finnish new, technology-based firms. The systemic evolution model serves as an interpretative scheme for the case studies. The analysis of the organic relationship between new, technology-based firms and their systemic environment also serves to reveal the implications of embeddedness for new, technology-based firms.     

The causal effect of board size in the performance of small and medium-sized firms

Empirical studies of large publicly traded firms have shown a robust negative relationship between board size and firm performance. The evidence on small and medium-sized firms is less clear; we show that existing work has been incomplete in analyzing the causal relationship due to weak identification strategies. Using a rich data set of almost 7000 closely held corporations we provide a causal analysis of board size effects on firm performance: We use a novel instrument given by the number of children of the chief executive officer (CEO) of the firms. First, we find a strong positive correlation between family size and board size and show this correlation to be driven by firms where the CEO’s relatives serve on the board. Second, we find empirical evidence of a small adverse board size effect driven by the minority of small and medium-sized firms that are characterized by having comparatively large boards of six or more members.