Distributional properties of portfolio weights

In this paper, we prove several distributional properties for optimal portfolio weights. The weights are estimated by replacing the parameters with the sample counterparts. All results for finite samples are made assuming normally distributed returns. We calculate the exact covariances for the weights obtained by the expected quadratic utility. Additionally we derive the multivariate density function of the global minimum variance portfolio and the univariate density of the tangency portfolio. We obtain the conditional density for the Sharpe ratio optimal weights and show that the expectations of the Sharpe ratio optimal weights do not exist. Moreover, we determine the asymptotic distributions of the estimated weights assuming that the returns follow a multivariate stationary Gaussian process.     

Exclusion in all‐pay auctions: An experimental investigation

Contest designers and managers who wish to maximize the overall revenue of a contest are frequently concerned with a trade‐off between contest homogeneity and inclusion of contestants with high valuations. In our experimental study, we find that it is not profitable to exclude the strongest bidder in order to promote greater homogeneity among the remaining bidders, even though the theoretical exclusion principle predicts otherwise. This is because the strongest bidders are willing to give up a substantial portion of their expected rent in order to minimize the chance of losing the contest.     

EVALUATING THE IMPACT OF LEGAL CHANGE ON NON-PROFIT AND FOR-PROFIT ORGANIZATIONS - The case of the Israeli longterm care insurance law

This article evaluates the impact of legal change on non-profit and for-profit organizations providing home care services mandated in the Israeli Long-Term Care Insurance Law, through the lens of neo-institutional and resource dependency theories. The findings of the study, which was conducted over a ten-year period, revealed that the distinctions between organizations in the two sectors are blurring due to coercive, mimetic, and normative isomorphism. Considerable dependence on government funding provided for in the law forces these organizations to adopt behavior that conforms to government policies and standards for service provision. Moreover, the growing tendency toward mimetic behavior and the increasing proportion of professional workers in both sectors causes for-profit and non-profit organizations to adopt similar bureaucratic behavior and organizational structures.     

Why Do Gen Y Students Study Abroad? Individual Growth and the Intent to Study Abroad

We propose that Generation Y college students’ motivations to study abroad are rooted in the desire for individual growth, which, combined with other motivation factors—gender, parents’ educational level, prior international experience, age, and household income—drives the intent to study abroad. The study samples juniors and seniors in business majors, thereby attempting to shorten the temporal distance between study abroad intent and action. A significant number of students declare intent to study abroad as freshmen, yet fail to act on those intentions when the opportunity presents itself a year or two later. Results showed that the desire for individual growth was significantly and positively related to Gen Y business students’ intention to study abroad. Students’ prior experience visiting foreign countries and younger age positively moderated the effect of the desire for individual growth on intent to study abroad. The time lag between intent and action, and the fact that study abroad is a high involvement activity creates promotional challenges on how to best promote study abroad to Gen Y students. The article suggests practical implications and suggests how schools might increase study abroad participation among Gen Y college students.     

Exploring the distribution of direct payments of the Common Agricultural Policy

Direct payments are the most important expenditure of the Common Agricultural Policy (CAP). They are mostly spent on decoupled direct payments which are intended to be allocatively neutral. Increasing volumes of such transfers imply that distributive aspects of CAP expenditures become more important. This article looks at this issue by calculating various measures of concentration based on statistics on recipients of direct payments in EU27 in the period from 2000 to 2010. The findings are evaluated in the context of the objectives of the CAP and the reform proposals of the EU Commission from October 2011. It seems that country specific factors determine the concentration of direct payments and its change over time.     

Who Benefits from Deregulating the Separation of Banking Activities? Differential Effects on Commercial Bank,Investment Bank,and Thrift Stock Returns

We analyze the deregulation impact on commercial banks, investment banks, and thrifts associated with four major events progressively integrating commercial and investment banking activities in the United States during the 1990s. We find that commercial banks are the only group to react favorably to Federal Reserve announcements relaxing firewalls and easing restrictions on commercial bank revenues from investment banking activities. These regulations primarily benefit large banks. The Bankers Trust acquisition announcement of investment bank Alex Brown is associated with increased wealth for each of the three types of financial service institutions. At the eventual deregulation of the financial services industry, with the passage of the Financial Services Modernization Act in 1999, the values of commercial banks and investment banks increase significantly although thrifts are not affected.     

Estimation of a linear regression under microaggregation with the response variable as a sorting variable

Microaggregation is a popular statistical disclosure control technique for continuous data. The basic principle of microaggregation is to group the observations in a data set and to replace them by their corresponding group means. However, while reducing the disclosure risk of data files, the technique also affects the results of statistical analyses. The paper deals with the impact of microaggregation on a multiple linear regression in continuous variables. We show that parameter estimates are biased if the dependent variable is used to form the groups. Using this result, we develop a consistent estimator that removes the aggregation bias, and derive its asymptotic covariance matrix.     

Dritte Tagung der Fachgruppe »Methoden der Publizistik- und Kommunikationswissenschaft« in Feldafing vom 27. bis 29. September 2001

Ohne Zusammenfassung     

Modeling Impact of Development Trajectories and a Global Agreement on Reducing Emissions from Deforestation on Congo Basin Forests by 2030

The Congo Basin encompasses the second largest rainforest area after the Amazon but the Congo Basin rainforest has been more preserved during the last decades with a much lower deforestation rate. At the same time, the region remains one of the least developed in the world. We use the partial equilibrium model GLOBIOM for the global agricultural, forestry and bioenergy sectors that seeks to find optimal land use options by spatially representing land qualities. We show the trade-offs between achieving agricultural growth at the expense of forests and protecting forests at the expense of agriculture development in the Congo Basin. The realization of the transportation infrastructures, which are already planned and funded, could multiply deforestation by three. In contrast, a global agreement on reduction of total emissions from deforestation could achieve important cuts in GHG emissions from deforestation in the Congo Basin. However, it could lead to substantial increases in food imports and food prices, which are in contradiction with the food security objectives.