Sector-specific capital, “Bang-bang” investment,and the Filippov solution

Bang-bang investment in a two-sector growth model with immobile capital is rational and leads to a unique and globally stable long-run equilibrium along a sliding trajectory. This steady state coincides with the stationary equilibrium in the traditional model with non-sector-specific capital.This article was written while the authors were visiting scholars at Cornell University. We gratefully acknowledge financial assistance from the Erasmus University Trust Fund and the Netherlands Scientific Organization. We would like to thank, without implicating, two anonymous referees, Martijn Herrmann, Jean-Marie Viaene, Claus Weddepohl, and the participants of seminars at the University of Maryland, the University of Montreal, and Erasmus University Rotterdam for perceptive remarks and useful comments. Jeroen Hinloopen and Rien Wagenvoort provided able graphical assistance. The views expressed in this article are those of the authors and not necessarily those of the World Bank.     

Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry

A wide range of empirical biases hampers hedge fund databases.In this paper we focus upon survival-related biases and disentanglelook-ahead biases due to self-selection of funds and due tofund termination. Self-selection arises because funds voluntarilyreport their information to data vendors and may decide to stopdoing so. By extending existing methodology, we analyze persistencein hedge fund performance over the period 1994–2000, takinginto account the above biases. The results show that look-aheadbiases due to liquidation and self-selection enforce each otherand may lead to overestimating expected returns by as much as8% per year. Overall, the results are consistent with positivepersistence in hedge fund returns at horizons of two and fourquarters.     

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

We show that multifactor performance estimates for mutual funds suffer from systematic biases and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over- or underestimated. We argue that factor proxies based on mutual fund returns rather than on stock returns provide better benchmarks to evaluate professional money managers.     

Two-step estimation of panel data models with censored endogenous variables and selection bias

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing, for two forms of endogeneity and/or sample selection bias. Furthermore, it incorporates roles for dynamics and state dependence in the reduced form. Finally, we provide an empirical illustration which features our procedure and highlights the ability to test several of the underlying assumptions.     

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within-sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly well, while parametric models in several cases have unacceptable failure rates. Interestingly, distributional assumptions appear to have a much larger impact on the performance of the VaR estimates than the particular parametric specification chosen for the GARCH equations.     

Transitions to Sustainable Tourism Mobility: The Social Practices Approach

In this article, we argue that current research on sustainable tourism mobility can be divided roughly into two streams. One covers primarily the organisational and technological side of tourism mobility, while the other concentrates on travellers' attitudes. To date, these streams have been organised as separate bodies of research. There is much to be gained by being able to create linkages between the two. To do this, tourism research will have to develop a less generalised and more context-specific approach to travelling behaviour. In this paper, the Social Practices Approach is suggested as an interesting conceptual tool to interrelate current approaches. By giving greater consideration to the contextual dimension of tourism practices, citizen-consumers might be mobilised more effectively as change agents. To analyse the potential roles of citizen-consumers in transition processes towards sustainable tourism mobility, two citizen-consumer-led change processes are differentiated. The first is directed at tourists in their consumer-role, by providers developing sociotechnical innovations enabling and tempting tourists to behave more sustainably, and by incorporating consumer-logics in supply. Second, tourists can be mobilised in their role as citizen-consumers through processes of sub-politics, social movements and political consumerism.     

Nieuwe mijnwetgeving voor Nederlandsch-Indië

Zandvoort, September 1903ONTWERP van een ordonnantie tot regeling van dit onderwerp, met Toelichting. Op machtiging der Regeering nitgegeven ter Landsdrukkerij te Batavia.