Connecting book rate of return to risk and return: the information conveyed by conservative accounting

Review of Accounting Studies - This paper revises the standard interpretation of the book rate of return as a measure of profitability. Rather, due to conservative accounting, the book rate of...     

Capital asset pricing model in Portugal: Evidence from fractal regressions

We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The proposed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.     

The Structure of Problem Structuring Conversations: A Boundary Games Approach

One of the questions associated with facilitated problem structuring is how the micro level of actors’ multimodal communications, contributes to the emergence of a macro level, framing the possibilities for action in a workshop. This paper shows a way to study this macro level, building the visualization of the conversations’ structure starting from a boundary games theory micro analysis of the interactions. Our empirical evidence comes from following a group of academic consultants working to define a value proposition for their activity. We focus on analyzing two out of nine workshops that were felt diametrically opposite in terms of facilitation and achievements. Moving from the micro towards an upward level, three configurations building the structure are identified—shifting, branching and converging. The work carried out allows us to: (1) visualize the structure of conversations in a problem structuring context, (2) highlight the role of multimodal communications in building the conversations and (3) construct an interpretation bridging the micro and macro readings of a workshop. This knowledge is useful for facilitators guiding the dynamic of a workshop and for researchers looking forward to understanding how micro level interactions build higher levels of the social phenomenon of intervention.     

Public debt and economic growth in Spain, 1851–2013

In this paper we investigate the long-run relationship between public debt and economic growth in the Spanish economy for the period 1851–2013. We develop a cliometric analysis of the debt–growth nexus using novel time series methods. We find some support for a negative relationship between both variables, but no clear evidence of a debt threshold. The estimated long-run elasticity in a one-break model shows a tendency to decrease over time from a nonsignificant 0.011 to a ?0.070, indicating that a 10 percentage increase in the public debt-to-GDP ratio is associated with 0.70 percentage points lower real economic growth. Indeed, we find for the first subsample (1851–1939) either “decoupling” or “saturation,” while in the second subsample (1940–2000) the long-run elasticity coefficient becomes negative and significant. When we extend our analysis up to 2013, we find a break in 1971 coinciding with the twilight of Franco’s dictatorship and the Spanish transition to democracy.     

Structural comparisons of networks and model-based detection of small-worldness

In this paper, we consider the problem of assessing the “level of small-worldness” of a graph and of detecting small-worldness features in real networks. After discussing the limitations of classical approaches, based on the computation of network indicators, we propose a new procedure, which involves the comparison of network structures at different “observation scales”. This allows small-world features to be caught, even if “hidden” deeply into the network structure. Applications of the procedure to both simulated and real data show the effectiveness of the proposal, also in distinguishing between different small-world models and in detecting emerging small-worldness in dynamical networks.     

Coping with coopetition—Facing dilemmas in cooperation for sustainable development: The case of the Dutch smart grid industry

This paper is amongst the first to examine coopetition strategy for sustainable development at the network level. Companies who want to successfully implement complex innovative technologies that support sustainable development need to collaborate with other actors of the innovation ecosystem, including their competitors, so that they can develop standards, interoperable products, pool knowledge, and resources and bundle forces to compete against other technologies. Collaboration with competitors brings benefits, but also many risks. We investigated how firms cope with these risks when establishing an innovation ecosystem to implement a new technology in society. We conducted research in the Dutch smart grids sector and explored how these firms minimize inherent risks of coopetition. We found that system‐building actors in the Dutch smart grid field not only minimize inherent risks, but from the start of their collaboration they implement so‐called enablers to prevent these risks upfront.     

The business cycle is alive and well

Business Economics - Have the dynamic relations among macro variables changed markedly since the financial crisis? A dynamic factor model provides consistent evidence of stability across 248...     

Does Institutional Blockholder Short‐Termism Lead to Managerial Myopia? Evidence from Income Smoothing

We examine institutional blockholders’ influence on income‐smoothing practices in the Korean market, which provides an interesting setting where family‐oriented chaebols dictate the corporate landscape and impede shareholder activism. The empirical results reveal that institutional shareholders with a short‐term (long‐term) investment horizon facilitate (constrain) managerial myopia. This positive (negative) association is most evident among firms with domestic institutional investors. Therefore, we argue that the presence of domestic institutional investors with transient investment goals incentivizes firms’ management to smooth out earnings.