What can regulators regulate? The case of electric utility rates of return

The efficacy of electric utility regulation has not been finally determined. This study assesses the impact of commission regulation on the level of earnings realized by electric power utility firms. Time series data for the individual electric firms operating in Florida, Iowa and Mississippi were used in this analysis. These are the only three states regulated since World War II and it was possible to compare profit rates for the individual firms before and after commission regulation was instituted. The results show that regulation has lowered profits in some cases. However, there appears to be significant randomness in the process.     

Bond risk, bond return volatility, and the term structure of interest rates

This paper explores the time variation in the bond risk, as measured by the covariation of bond returns with stock returns and consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yields on long- and short-term bonds forecasts future excess returns on bonds at varying horizons positively; in addition, the short-term nominal interest rate forecasts both the stock return volatility and the exchange rate volatility positively. This paper presents evidence that movements in both the short-term nominal interest rate and the yield spread are positively related to changes in the subsequent realized bond risk and bond return volatility. The yield spread appears to proxy for business conditions, while the short rate appears to proxy for inflation and economic uncertainty. A decomposition of bond betas into a real cash flow risk component and a discount rate risk component shows that yield spreads have offsetting effects in each component. A widening yield spread is correlated with a reduced cash-flow (or inflationary) risk for bonds, but it is also correlated with a larger discount rate risk for bonds. The short rate only forecasts the discount rate component of the bond beta.     

Portfolio optimization for an investor with a benchmark

The most common equity mandate in the financial industry is to try to outperform an externally given benchmark with known weights. The standard quantitative approach to do this is to optimize the portfolio over short time horizons consecutively, using one-period models. However, it is not clear that this approach actually yields good performance in the long run. We provide a theoretical justification to this methodology by verifying that applying the one-period benchmark-relative mean-variance portfolio, i.e., the industry standard optimal portfolio, continuously is in fact the solution to a specific continuous time portfolio optimization problem: a maximum expected utility problem for an investor who is compared against a benchmark and evaluates her performance based on exponential utility at a deterministic future date.     

Classification and benchmark of City Logistics measures: an empirical analysis

Urban freight distribution accounts for a significant share of pollution and congestion in urban areas. To reduce these negative impacts, municipalities have implemented several City Logistics (CL) measures. This paper presents the empirical analysis of a dataset of 70 European cities that have been piloting or rolling out a CL measure, to provide an updated indication of the status of CL initiatives and analyse the diffusion of CL internationally. The research objective is also to help understand the contextual factors might explain their introduction. To this end, a set of City Logistics Indices (CLI) is used as indicators of the breadth and number of CL measures implemented in a city. A statistical correlation of these CLIs with respect to a set of independent variables, namely the contextual factors, is also performed. Results reveal that the level of pollution, the diffusion of e-commerce and GDP are important drivers of CL deployment.     

Fixed capital and internal rate of return

For a neo-Austrian process of production, more generally multisectoral fixed capital models, it is shown that the maximum rate of growth and the minimum rate of interest are both equal to the internal rate of return. This von Neumann type equality is here obtained in absence of truncation, i.e., free disposal of fixed capital. If several internal rates of return coexist, the economically significant one is the maximal one. This result provides theoretical grounds for the internal rate of return criterion in infinite horizon.     

物业管理应该回归本真

近年来,由于成本上涨及质价相符的定价机制不健全,行业发展出现了困难,业内不少企业纷纷开始探寻自己的应对之策,譬如开展延伸服务、建设幸福社区及智慧社区等等,但业内对此也有不同的声音,本文即是其中之一。本文作者的观点不代表中国物业管理协会和本刊的观点,我们欢迎不同的观点和意见来参与这一问题的讨论。     

A return to incomes policy?*

The Government's continuing difficulties in controlling the money supply and determination to use cash limits to control the level of public sector pay settlements have renewed cause for a return to a form of incomes policy covering both the public and private sectors. In this article Brian Towers examines the nature of incomes policy and the importance of comparability and collective bargaining structure in its implementation and discusses the form which a viable future policy should take.     

The expected real return to equity

The expected return to equity – typically measured as a historical average – is a key variable in the decision making of investors. A recent literature uses analysts' forecasts, investor surveys or present-value relationships and finds estimates of expected returns that are sometimes much lower than historical averages. This study extends the present-value approach to a dynamic optimizing framework. Given a model that captures this relationship, one can use data on dividends, earnings and valuations to infer the model-implied expected return. Using this method, the estimated expected real return to equity ranges from 4.9% to 5.6% . Furthermore, the analysis indicates that expected returns have declined by about 3 percentage points over the past 40 years. These results indicate that future returns to equity may be lower than past realized returns.     

The internal rate of return of fuzzy cash flow

An internal rate of return (IRR) of an investment of financing project with cash flow (a₀, a₁, a₂,..., a_n) is usually defined as a rate of interest such that $$a_0 + a_{\text{1}} {\text{(1}} + r{\text{)}}^{ - 1} + ... + a_n (1 + r)^{ - n} = 0$$ . If the cash flow has one sign change then the previous equation has a unique solution τ>?1. Generally the IRR does not extend to fuzzy cash flows, as it can be seen with examples (see [2]). In this paper we show that under suitable hypotheses a unique fuzzy IRR exists for a fuzzy cash flow.     

The economic return to schooling in Ireland

Recent developments in the schooling returns literature have focused on exploiting alternative instruments. A number of instruments are available in an Irish dataset, including parental background variables (social class and educational attainment), and variables measuring changes in the schooling system (the introduction of free secondary schooling in the mid-1960s, accompanied by a rapid rise in educational participation rates, and the raising of the school-leaving age in 1972). The results suggest, however, that OLS estimates of rates of return are not significantly downward biased as would be suggested by recent arguments in the literature.     

Maternity rights and mothers' return to work

This paper uses a cohort of 12,000 births to examine the effect of maternity rights on mothers' post-birth return to employment decisions. It uses a discrete hazard model to disentangle the effects of the terms of maternity rights entitlements from other factors that influence the timing of a mother's return to work. Mothers with rights have an underlying (but unobserved) stronger attachment to the labour market that prompts earlier return than on average. We take this into account by estimating a counterfactual distribution of return times using a sample of women who failed to qualify for maternity rights but who have similar levels of labour market attachment. Even when differential attachment is taken into account there remains a substantial impact of maternity rights on behaviour.     

Adaptive algorithms for maximizing overall stock return

Deciding which stocks to purchase and how to optimally allocate the total investment among them is a nontrivial task for every investor. In this article, we propose two adaptive techniques that would provide an optimal allocation maximizing the return over the investment period. The first approach is the adaptive power method (PM) which is a modification of the proper orthogonal decomposition method. The adaptive PM uses only the currently available information to compute the optimal allocations, yet its long-term solution approaches the dominant eigen solution, even though that solution would require having a priori knowledge of all stocks’ performance. The second approach is derived from the well-known Least Mean Square (LMS) method, where the optimal allocation can be computed by adaptively steering the overall return toward a desired value. The experimental results have indicated promising gains even when the general market trend is downward.     

Rate of return regulation and the Le Chatelier principle

This paper examines whether rate-of return regulation alters the input quantities firms use to produce their selected output level when the corresponding input prices change, in a manner similar to the Le Chatelier principle. More specifically, would the change in a rate regulated firm’s input quantity due to a change in its input price be less price elastic than the unregulated firm’s change in the input quantity due to a change in its input price. We follow Färe and Logan (1986), Nelson and Wohar (1983) in estimating a rate regulated cost function and capital input share system of equations. Using a 1992–2000 panel of 34 US major investor-owned electric utilities, empirical results indicate that the regulated own-input price elasticities of demand for labor and fuel are less price elastic than their corresponding unregulated own-input price elasticities of demand (a Le Chatelier principle type effect). Having a fuel clause (1) reduces the firm’s willingness to substitute from fuel to either non-fuel (capital, labor) input when the price of fuel rises, and (2) enhances the firm’s willingness to substitute from non-fuel inputs to fuel when the price of non-fuel inputs rises.     

保险汇率

琳达对于保险费率存在一些疑问,此刻简针对琳达的问题一一做出解答。     

考虑投资组合收益率完全分布信息的投资组合优化研究

前四阶矩并不能完全决定收益率服从何种分布,因而对于偏好某种特定分布的投资者而言,以往的高阶投资组合优化方法并不适用,应当进行考虑投资组合收益率完全分布信息的投资组合优化。本文提出了一种考虑投资组合收益率完全分布信息的投资组合优化方法,通过Gram-Charlier渐进展开来近似投资组合收益率的概率密度函数,以KL散度来度量投资组合收益率的概率密度函数与目标概率密度函数的距离,从而构建了投资组合优化模型,并给出了具体算例。     

Stock market return and volatility: day-of-the-week effect

This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.     

呼声再起:还审计一个公正--南部县审计诉讼案追踪

孟夏,天府之国的南部县,川渝地区百余名审计宾客聚会,打破了小县城以往的寂静,一场投资审计理论与实践的研讨会正在这里召开。会上会下的焦点议题之一便是两年前南部县南隆镇北环公路审计引发的诉讼案。     

The return to firm investments in human capital

In this paper we estimate the rate of return to firm investments in human capital in the form of formal job training. We use a panel of large firms with detailed information on the duration of training, the direct costs of training, and several firm characteristics. Our estimates of the return to training are substantial (8.6%) for those providing training. Results suggest that formal job training is a good investment for these firms possibly yielding comparable returns to either investments in physical capital or investments in schooling.     

Risk and return in the Tehran stock exchange

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of integration with regional and international equity markets. We find that TSE returns are CAPM-efficient at monthly frequency with respect to several international market indices. Moreover, we find evidence in support of international integration of the TSE with respect to international markets. In addition, we conduct an extensive investigation for the direction of causality between TSE returns, international market index returns, and those in neighboring countries.