Feasible momentum strategies: Evidence from the Swiss stock market

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect to transaction costs, we go a step further in the simplification of momentum strategies. By restricting our sample to Switzerland’s largest blue-chip stocks and choosing only one winner and one loser stock, we find average returns to our momentum arbitrage portfolios of up to 44% p.a. depending on the formation and holding periods. While unconditional risk models are at odds with momentum profits, stock market predictability and time-varying expected returns explain a large part of the momentum payoffs, including the post-holding period behavior of the winner and loser stocks (overreaction and subsequent price correction).

The effect of microaggregation by individual ranking on the estimation of moments

Microaggregation by individual ranking (IR) is an important technique for masking confidential econometric data. While being a successful method for controlling the disclosure risk of observations, IR also affects the results of statistical analyses. We conduct a theoretical analysis on the estimation of arbitrary moments from a data set that has been anonymized by means of the IR method. We show that classical moment estimators remain both consistent and asymptotically normal under weak assumptions. This theory provides the justification for applying standard statistical estimation techniques to the anonymized data without having to correct for a possible bias caused by anonymization.     

The First‐ and Second‐Hand Effect of Analysts' Stock Recommendations: Evidence from the Swiss Stock Market

This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW, Switzerland's major financial newspaper, significant positive abnormal returns on the day of the original release of buy recommendations and on the day of publication in FuW are documented. Tests of the price pressure and information hypotheses reveal that analysts' recommendations contain new information, which is quickly incorporated in the stock prices on the first release of this information. In contrast, the statistically significant announcement effects associated with the subsequent publication can be primarily ascribed to price pressure in the underlying securities.     

Rationality-in-Relations

A BSTRACT . If in a game with multiple proper coordination equilibria there is a single one that is best for all participants, it is rational for each participant to choose the strategy that has the best equilibrium as one of its possible outcomes. This seems so obvious that any plausible theory of rationality should be expected to be applicable to such situations. However, this is not true for the "orthodox" theory of rational choice, as Robert Sugden has convincingly shown. In this paper, I shall argue that this failure is due to an implicit individualistic understanding of intentionality . John R. Searle's concept of collective intentionality (as put forth in his Construction of Social Reality ) and his more recent theory of Rationality in Action provides important conceptual tools pertaining to a more comprehensive theory of rationality. The account I shall develop differs from Searle's own, as for reasons to be found in his overall project, Searle's departure from the orthodox view of rationality gets stuck half-way.     

How much of the diversification discount can be explained by poor corporate governance?

We investigate whether the diversification discount occurs partly as an artifact of poor corporate governance. In panel data models, we find that the discount narrows by 16% to 21% when we add governance variables as regression controls. We also estimate Heckman selection models that account for the endogeneity of diversification and dynamic panel generalized method of moments models that account for the endogeneity of both diversification and governance. We find that the diversification discount persists even with these controls for endogeneity. However, in selection models the discount disappears entirely when we introduce governance variables in the second stage, and in dynamic panel GMM models the discount narrows by 37% when we include governance variables.     

Technical efficiency and returns to scale in Austrian commercial banking: 1987–1991

In a pooled time-series cross-section study covering the period 1987–1991, the technical efficiency of Austrian all-purpose banks is analysed. The sample covers banks of all size classes, among them the largest 18 banks as well as some of the very small banks. The empirical results show that local banks and nationwide operating banks are technically most efficient while regional banks are least efficient. Moreover, it can be shown that the technical efficiency of nationwide operating banks improved substantially in the period analysed relative to that of local and regional banks.I wish to thank an anonymous referee for his helpful comments. Financial support from the Vienna Chamber of Commerce is gratefully acknowledged.     

Distributive leakages of agricultural support: some empirical evidence

The paper evaluates the transfer efficiency of the Austrian bread grain policy taking into account distributive leakages, i.e. how much of the transfers officially intended to support farm income are finally realised in the upstream and downstream industries. Gardner's [Am. J. Agric. Econ. 65 (1983) 225] well‐known measure of average transfer efficiency (ATE) is augmented for the case of more than two social groups and computer‐intensive simulation procedures are utilised to deal with parameter uncertainty.     

Control considerations,creditor monitoring,and the capital structure of family firms

In this paper, I analyze the motives moving founders and their families to influence the capital structure decision. For this, I complement detailed corporate governance information for Germany with data from other countries. The results for the German bank-based financial system contradict prior findings for other institutional environments. According to these results, family firms in Germany rely less heavily on debt than non-family firms. Less surprisingly, the opposite holds true for the international dataset. Different empirical tests indicate that this puzzling result can be explained by control considerations. Founders and their families use the capital structure to optimize their control over the firm. However, whether family firms rely more or less on debt depends on the level of creditor monitoring in an institutional environment. These findings emphasize that control considerations of major shareholders are important—although often overlooked—determinants of the capital structure.     

Textile trade and the pattern of economic growth

Zusammenfassung Handel mit Textilien und wirtschaftliches Wachstum. — Dieser Aufsatz untersucht den Handel mit Textilien und Bekleidung sowie die Produktionsfaktoren, die mit der Wettbewerbsf?higkeit der Exporteure verbunden sind, und die Wirkung der allgemeinen Wettbewerbsf?higkeit auf den Entwicklungsproze\. Die Ausweitung der Textil- und Bekleidungsproduktion scheint im Entwicklungsproze\ sehr wichtig zu sein. Denn die Ausfuhr von Textilien und Bekleidung der gro\en Exportl?nder ist mit einem schnellen allgemeinen Exportwachstum sowie mit dem Zugang zu internationalem Kapital und mit schnellem Wachstum des Pro-Kopf-Einkommens verknüpft. Diejenigen L?nder, die bei der raschen Ausdehnung ihres Anteils auf den Weltm?rkten für Textilien und Bekleidung am erfolgreichsten gewesen sind, haben gleichzeitig mit Erfolg die Lohnstückkosten durch einen effizienten Kapitalcinsatz niedrig zu halten gewu\t. In diesen L?ndern sind die Ertr?ge für die Produktionsfaktoren au\er für den Faktor Arbeit sehr hoch. Insgesamt scheinen die effiziente Verwendung von Kapital und der hohe Lohn für die unternehmerische T?tigkeit eine Schlüsselstellung in dem dynamischen Entwicklungsproze einzunehmen.

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Résumé Le commerce de textile et la croissance économique. — Cet article examine le commerce de textile et de vêtement ainsi que les facteurs de production qui sont associés avec la compétitivité d’exportations et l’effet de la compétitivité générale sur le procès de développement. L’expansion de la production des textiles et des vêtements semble être un élément-clé dans le procès de développement. Les exportations des textiles et des vêtements par les grands pays exportatrices sont associées avec une rapide croissance des toutes les exportations, avec l’accès au capital international et avec une montée sensible du revenu par habitant. Les pays qui avaient beaucoup de succès d’augmenter rapidement leur rapport sur les marchés mondiaux des textiles et des vêtements sont ceux qui avaient beaucoup de succès de tenir les co?ts unitaires de main-d’oeuvre sur un niveau bas en utilisant le capital très effectivement. Ils sont aussi les pays qui offrent des taux de rendement très hauts aux facteurs exclusivement de la main-d’oeuvre. Comme résumé on peut dire que lútilisation effective de capital et les rémunérations hautes pour l‘activité des entrepreneurs semblent être le part-clé du procès dynamique de croissance.

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Resumen Comercio de textiles y el patrón de crecimiento económico. — En este artículo se examinan los patrones del comercio de textiles y vestuario, factores de producción que están asociados con la competitividad de exportatión y el impacto de la competitividad general sobre el proceso de desarrollo. La expansión de la producción de textiles y vestuario parece ser un elemento clave en el proceso de desarrollo. Las exportaciones de textiles y vestuario de los grandes países exportadores están asociadas con el rápido crecimiento general de las exportaciones, con el acceso a capitales internacionales y con el rápido incremento en el ingreso per cápita. Aquellos países que han mostrado ser los más exitosos en incrementar su participación en los mercados mundiales de textiles y vestuario son aquéllos que han tenido mayor éxito en mantener los costos de trabajo unitarios bajos, usando el capital en la forma más eficiente. Son también los países que ofrecen altas tasas de retorno a los factores no laborales. En suma, la eficiente utilizatión del capital y la alta recompensa al factor empresarial parecen ser elementos claves para un proceso de crecimiento dinámico.