Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange

We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of better and consistent fit of non-parametrical versions of the CAPM.     

Congestion, ownership, region of operation, and scale: Their impact on bus operator performance in Norway

The goal of this paper is to determine the impact that inputs such as fuel consumption and total number of workers employed have on operators’ efficiency in the Norwegian bus industry. Further, we investigate operations characteristics that are associated with the inefficient use of inputs in bus operations. This information is highly relevant for the subsidizers (decision-makers) since resource inefficiency leads to greater costs (ceteris paribus). We use Data Envelopment Analysis (DEA) to explore these issues. The results suggest that there is, in general, a potential for input saving in the sector of about 21%. No significant differences were found between urban and bus rural operators with respect to efficiency scores; neither were there any performance differences with respect to ownership. This latter result deviates from previous international studies, and can likely be explained by the lack of competition in the Norwegian bus industry. A particularly interesting result suggests a formidable degree of input congestion in the Norwegian bus industry, which is in contrast to previous international studies on such congestion.     

Bank ownership and cost efficiency: New empirical evidence from Russia

This paper investigates the cost efficiency of Russian banks with regard to their heterogeneity in terms of ownership form, capitalization and asset structure. Using bank-level quarterly data over the period 2005–2013, we perform stochastic frontier analysis (SFA) and compute cost efficiency scores at the bank and bank group levels. We deduct from gross costs the negative revaluations of foreign currency items generated by official exchange rate dynamics rather than by managerial decisions. The results indicate that the core state banks, as distinct from other state-controlled banks, were nearly as efficient as private domestic banks during and after the crisis of 2008–2009. Foreign banks appear to be the least efficient market participants in terms of costs, which might reflect their lower (and decreasing over time) penetration of the Russian banking system. We further document that the group ranking by cost efficiency is not permanent over time and depends on the observed differences in bank capitalization and asset structure. We find that foreign banks gain cost efficiency when they lend more to the economy. Core state banks, conversely, lead in terms of cost efficiency when they lend less to the economy, which can result from political interference in their lending decisions in favor of unprofitable projects Private domestic banks that maintain a lower capitalization significantly outperform foreign banks and do not differ from the core state banks in this respect.     

Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination

Since Quenouille's influential work on multiple time series, much progress has been made towards the goal of parameter reduction and model fit. Relatively less attention has been paid to the systematic evaluation of out-of-sample forecast performance of multivariate time series models. In this paper, we update the hog data set studied by Quenouille (and other researchers who followed him). We re-estimate his model with extended observations (1867–1966), and generate recursive one- to four-steps-ahead forecasts for the period of 1967 through 2000. These forecasts are compared to forecasts from an unrestricted vector autoregression, a reduced rank regression model, an index model and a cointegration-based error correction model. The error correction model that takes into account both nonstationarity of the data and rank reduction performs best at all four forecasting horizons. However, differences among competing models are statistically insignificant in most cases. No model consistently encompasses the others at all four horizons.     

Non-wage benefits,corporate ownership and firm performance in post-communist economies: evidence from Ukraine

The economic reforms in the transition economies of Central and Eastern Europe have fundamentally reshaped ownership and governance of economic production, notably through the privatization of former state-owned enterprises. These reforms were expected to transform management practices by displacing ‘cradle-to-grave’ welfare arrangements administered by state-owned enterprises. Using data drawn from two large samples of Ukrainian establishments, we investigate, in two different time points, the relationship between non-wage benefits and firm performance during the period of transition to a market economy (1994–2004). We found that non-wage benefits continued to be a critical feature of HRM practices in Ukraine during this period, and were positively associated with firm performance.     

Leadership style,organizational culture and performance: empirical evidence from UK companies

The topics of leadership and organizational culture have attracted considerable interest from both academics and practitioners. Much of the interest in the two areas is based on explicit and implicit claims that both leadership and culture are linked to organizational performance. However, while the links between leadership and performance and between culture and performance have been examined independently, few studies have investigated the association between the three concepts. This paper examines the nature of this relationship and presents empirical evidence which suggests that the relationship between leadership style and performance is mediated by the form of organizational culture that is present. The paper concludes with a number of implications for theory and practice.     

Oil prices,stock returns,and exchange rates: Empirical evidence from China and the United States

Employing the diagonal BEKK model as well as the dynamic impulse response functions, this study investigates the time-varying trilateral relationships among real oil prices, exchange rate changes, and stock market returns in China and the U.S. from February 1991 to December 2015. We highlight several key observations: (i) oil prices respond positively and significantly to aggregate demand shocks; (ii) positive oil supply shocks adversely and significantly affect the Chinese stock market; (iii) oil price shocks persistently and significantly impact the trade-weighted US dollar index negatively; (iv) the US and China stock markets correlate positively just as the dollar index and the exchange rate does; (v) a significant parallel inverse relation exists between the US stock market and the dollar and between the China stock market and the exchange rate; and (vi) the Chinese stock market is more volatile and responsive to aggregate demand and oil price shocks than the US stock market in recent years.     

Expense based performance analysis and resource rationalization: Case of Indian Railways

With rapid economic growth in India, lot of emphasis has been given on railway infrastructure development in last few years. Indian Railways has been striving hard to bring down the costs and improve upon the operating ratio. The purpose of this study is to evaluate the efficiency performance of different railway zones and suggest cost saving strategies for its zones. The paper employs the Constant Return to Scale (CRS) and Variable Return to Scale (VRS) data-envelopment methods as well as performs sensitivity analysis with the set of variables to analyze the efficiency of sixteen railway zones over Indian Railways network. The study is based upon the data published by Ministry of Railways in Indian Railways Annual Statistical Statements. The results highlight the inefficiencies of different zones and suggest the changes that may be incorporated in inputs, by comparing the performance of underperforming units with that of best practice units. The study mainly suggests the importance of operating and working expenses as input parameters in benchmarking analysis while considering output in terms of passenger-kilometer and net ton-kilometers. Results obtained from Data Envelopment Analysis (DEA)-Malmquist Index show that technological innovation and staff management are important factors in cost reduction. The paper further highlights the important issues for consideration of different stakeholders in railway sector i.e. rail operators, policy makers, customers and infrastructure managers. The results give valuable insight on performance evaluation to Indian railway industry as well as comparable railway systems existing in other parts of globe.     

Leader-member exchange,employee performance,and work outcomes: an empirical study in the Chinese context

In this study, we employed the multidimensional view of LMX (LMX-MDM) to develop a model that captured different antecedents and outcomes of task and contextual performance. We tested this model with a sample drawn from subjects from the People's Republic of China. The results indicated that the affect dimension of LMX-MDM was positively associated with task performance and contextual performance. The contribution dimension of LMX-MDM was positively related to the job dedication dimension of contextual performance. Supervisory ratings of the task performance and the interpersonal facilitation dimension of contextual performance predicted the promotability of subordinates, and task performance influenced subordinates' intention to quit. Limitations and future research are discussed.     

Corporate Governance and Firm’s Efficiency: The Case of a Transitional Country, Ukraine

In this study, we look for empirical support for the hypothesis that there is a positive relationship between the levels of corporate governance quality across firms and the relative efficiency levels of these firms. This hypothesis is related to Leibenstein’s idea of X-efficiency. We use the data envelopment analysis (DEA) estimator to obtain proxies for X-[in]efficiency of firms in our sample and then analyze them with respect to different ownership structures by comparing distributions and aggregate efficiencies across different groups. We also use truncated regression with bootstrap, following Simar and Wilson Estimation and influence in two stage, semi-parametric models of production process, Simar and Zelenyuk (2003) to infer on relationship of inefficiency to various indicators of quality of corporate governance, ownership variables, as well as industry and year specific dummies. The data is coming from seven industries in Ukraine. “The entrepreneurship structure itself may be critical, with the classic issue of the separation of ownership from control being regarded as one of the earliest and most important sources of X-efficiency” (Button and Weyman-Jones, 1992, American Economic Review). We would like to dedicate this paper to the memory of Christos Panzios—co-editor who handled our paper to almost the very end, whose suggestions and encouragement have helped us substantially improve our paper.     

The effect of scale and mode of ownership on the financial performance of the Turkish banking sector: results of a DEA-based analysis

Turkey and the International Monetary Fund (IMF) agreed to a stand-by arrangement at the outset of 2000. Consequently, Turkey implemented an exchange-rate based stabilization program to combat its high inflation. However, two financial crises followed: one in November, 2000 and the other in February, 2001. As the result some banks became problematic. This necessitated restructuring of the banking sector to increase its financial efficiency.This paper presents a financial performance index for commercial banks. The index allows one to observe the effects of scale and of the mode of ownership (public/domestic, private/domestic/foreign) on bank behavior and, therefore, on bank performance in a developing economy. It documents the effects of financial liberalization, cross-country movements, and the impact of financial crises originating in neighboring countries e.g. Russia. The study applies Data Envelopment Analysis (DEA) to selected fundamental financial ratios using 1989-99 data from commercial banks in Turkey. Year-by-year results explain the effects on this sector of major shifts in both national macro-economic policy and various international developments. The banks that were taken over by the regulatory government agency most recently in the analyzed period were observed to perform poorly with respect to their DEA performance index values.     

Employee stock ownership and financial performance in European countries: The moderating effects of uncertainty avoidance and social trust

This study investigates how the effect of employee stock ownership on financial performance may hinge on the diverse cultural and societal contexts of European countries. Based on agency and national culture theories, we hypothesize that the positive relationship between employee stock ownership and return on assets (ROA) is stronger in those nations with lower uncertainty avoidance and higher social trust. Using a multisource, time‐lagged, large‐scale dataset of 1,741 firms from 21 countries in Europe, our multilevel, random coefficient modeling analysis found evidence for these hypotheses, suggesting that uncertainty avoidance and social trust serve as important contextual cues in predicting the linkage between employee stock ownership and financial performance. Our supplemental analysis with distinction between the managerial and nonmanagerial employee stock ownership further indicates managerial employee stock ownership has a direct positive effect on ROA. Although nonmanagerial employee stock ownership had a nonsignificant association with ROA, the relationship was positive and significant when uncertainty avoidance was low and social trust was high. This research contributes to the existing literature by illuminating some of the contextual influences altering the effectiveness of employee stock ownership. Our findings also offer practical suggestions for effectively using employee stock ownership.     

Human resources and SME performance in services: empirical evidence from the UK

We investigate the relationship between human resources (HR) and superior firm performance, as well as the role of business strategy as a key mediating factor, for small- and medium-sized enterprises (SMEs) in the UK Tourism Hospitality and Leisure (THL) sector. Our results suggest that high-performing SMEs in the THL sector are managed by more experienced entrepreneurs. We also find that more profitable SMEs combine a highly skilled workforce with technological and know-how-based firm differentiation strategies, and/or product differentiation strategies, which are based on quality of service and personal attention to customers, alongside generous compensation and attention to employee development.     

RAM: A Range Adjusted Measure of Inefficiency for Use with Additive Models,and Relations to Other Models and Measures in DEA

Generalized Efficiency Measures (GEMS) for use in DEA are developed and analyzed in a context of differing models where they might be employed. The additive model of DEA is accorded a central role and developed in association with a new measure of efficiency referred to as RAM (Range Adjusted Measure). The need for separately treating input oriented and output oriented approaches to efficient measurement is eliminated because additive models effect their evaluations by maximizing distance from the efficient frontier (in ₁, or weighted ₁, measure) and thereby simultaneously maximize outputs and minimize inputs. Contacts with other models and approaches are maintained with theorems and accompanying proofs to ensure the validity of the thus identified relations. New criteria are supplied, both managerial and mathematical, for evaluating proposed measures. The concept of approximating models is used to further extend these possibilities. The focus of the paper is on the physical aspects of performance involved in technical and mix inefficiencies. However, an Appendix shows how overall, allocative and technical inefficiencies may be incorporated in additive models.     

Bundles of HRM practices and performance: empirical evidence from a Latin American context

This article examines the extent to which the configuration of HRM practices in bundles and the interactions among them have a significant impact on manufacturing outcomes. Using a unique data set from a survey of a representative sample of the whole Uruguayan manufacturing industry, several hypotheses related to interactions between ability–motivation–opportunity bundles of HRM practices are tested. Analysis of 150 manufacturing plants partially highlights the existence of hierarchy between bundles, being the bundle of motivation‐enhancing HRM practices the most important to explain the enhanced manufacturing outcomes. Based on this bundle of practices, synergistic interactions with both ability and opportunity bundles of HRM practices were observed to explain different performance measures.     

Effects of Schumpeterian and Kirznerian entrepreneurship on economic growth: panel data evidence

Abstract

The relevant literature recognises Schumpeterian and Kirznerian entrepreneurship as mechanisms that can impact economic growth. This article seeks to explore the effects of these two types of entrepreneurship on economic growth across the three GEM (Global Entrepreneurship Monitor) economic ecosystems (factor-driven economy, efficiency-driven economy, innovation-driven economy). Using different databases, we applied unbalanced panel data for 43 countries (2009–2013). By estimating the econometric models, we were able to calculate the effects of these two types of entrepreneurship on economic growth in the three different types of economy. In terms of the overall model for GEM economies, neither Schumpeterian nor Kirznerian entrepreneurship return any statistically significant effects on the Global Competitiveness Index or on GDP growth. However, the Total Early-Stage Entrepreneurial Activity variable generates a positive effect on the Global Competitiveness Index. The results presented in this paper provide insights into entrepreneurship and the GEM entrepreneurial economic ecosystems.     

Entry, reforms, complementarity and performance: A tale of two Indian manufacturing sectors

In this paper, we use plant-level data from two Indian industries, namely, electrical machinery and textiles, to examine the empirical relationship between structural reforms like abandonment of entry restrictions to the product market, competition and firm-level productivity and efficiency. These industries have faced different sets of policies since Independence but both were restricted in the adoption of technology and in the development of optimal scales of production. They also belonged to the first set of industries that benefited from the liberalization process started in the 1980s. Our results suggest that both the industries have improved their efficiency and scales of operation by the turn of the century. However, the process of adjustment seems to have been worked out more fully for electrical machinery. We also find evidence of spatial fragmentation of the market as late as 2000–2001. Gains in labour productivity were much more evident in states that either have a strong history of industrial activity or those that have experienced significant improvements in business environment since 1991.     

Efficiency vectors, efficiency and performance measures: new methods for ranking efficient organizational units

We present and discuss measures for analyzing productivity in deterministic frontier models. A new efficiency measure is introduced allowing for discrimination among efficient organizational units. In addition, a new performance measure for analyzing productivity of organizational units is presented. This measure fulfills various properties of efficiency measures but relaxes the indicator property. Both new approaches are based on the development of efficiency vectors which is a new vector measure for measuring efficiency. The vector components are efficiency measures related to subsets of a production possibility set. The new approaches are applied in the context of data envelopment analysis.

DEA, DFA and SFA: A comparison

The nonparametric data envelopment analysis (DEA) model has become increasingly popular in the analysis of productive efficiency, and the number of empirical applications is now very large. Recent theoretical and mathematical research has also contributed to a deeper understanding of the seemingly simple but inherently complex DEA model. Less effort has, however, been directed toward comparisons between DEA and other competing efficiency analysis models. This paper undertakes a comparison of the DEA, the deterministic parametric (DFA), and the stochastic frontier (SFA) models. Efficiency comparisons across models in the above categories are done based on 15 Colombian cement plants observed during 1968–1988.