Forecasting stock market volatility: Can the risk aversion measure exert an important role?

In this paper, we predict realized volatility of stock return by utilizing time-varying risk aversion based on a simple linear autoregressive model. Our in-sample results suggest that time-varying risk aversion have significant impact for stock return volatility. In terms of out-of-sample forecasting performance, the empirical results indicate that the incorporation of time-varying risk aversion in the benchmark model can yield more accurate stock return volatility forecasts. Notably, the out-of-sample forecasting results confirm that our conclusions are robust when we apply alternative lag orders and alternative prediction evaluation periods. Finally, we study links between the prediction ability of time-varying risk aversion and the volatility of other stock indices and two kinds of crude oil, and find that the new predictor can effectively strengthen forecasting performance in most case. In view of the importance of volatility risk in the asset pricing process, our research is of great significance for financial asset participants.     

How does changing age distribution impact stock prices? A nonparametric approach

This paper examines whether variations in demographic structure have influenced stock prices. The study employs a nonparametric approach based on the Fourier Flexible Form representation, which relates variations in the entire age distribution to the normalized stock price under a flexible functional form. The main findings of this paper are that there is a significant impact from prime working‐age consumers on the stock price, and that this impact is robust for all G5 countries (France, Germany, Japan, the UK and the USA). These findings survive many robust tests, and are consistent with the predictions from the life‐cycle models. Copyright © 2009 John Wiley & Sons, Ltd.     

Forecasting commodity prices out-of-sample: Can technical indicators help?

Economic variables are often used for forecasting commodity prices, but technical indicators have received much less attention in the literature. This paper demonstrates the predictability of commodity price changes using many technical indicators. Technical indicators are stronger predictors than economic indicators, and their forecasting performances are not affected by the problems of data mining or time changes. An investor with mean–variance preference receives utility gains of between 104.4 and 185.5 basis points from using technical indicators. Further analysis shows that technical indicators also perform better than economic variables for forecasting the density of commodity price changes.     

How does changing age distribution impact stock prices? a nonparametric approach

The original article to which this Erratum refers was published in Journal of Applied Econometrics 2009.     

Evaluating entrepreneurship training: How important are field experiments for estimating impacts?

Governments and donors around the world spend billions of dollars subsidizing entrepreneurship training programs. Unbiased evaluation estimates are paramount to understanding whether subsidies and investments in these programs are justified. The goal of this paper is to compare nonexperimental to experimental methods for evaluating the effectiveness of entrepreneurship training programs that provide training in management, marketing, accounting, legal, and other aspects of starting and running businesses. For the comparison, I take advantage of an unprecedented setting in which experimental and nonexperimental estimates are derived from the same underlying population of study participants. The Growing America through Entrepreneurship field experiment provides a uniquely large sample allowing for a separate nonexperimental analysis using only the control group. Experimental estimates indicate null effects of entrepreneurship training on business outcomes: business ownership, sales, and employment. In contrast, nonexperimental estimates using an extremely rich set of controls, including typically unobservable characteristics, such as previous family business experience, credit problems, and personality traits, find large, positive, and statistically significant effects. The nonexperimental estimates range from 21 to 22 percentage points (pp) for business ownership, $1300–2000 for average monthly sales, and 4–6 pp for hiring any employees at 1.5- and 5-year follow-ups. Nearest-neighbor and propensity-score matching models using detailed individual characteristics provide similarly large, positive, and statistically significant effects of entrepreneurship training on business outcomes. The findings have implications for choosing evaluation methods of government programs and provide evidence of positive selection bias which has more general implications on the scalability of entrepreneurship training programs to broader populations.     

Forecasting expected shortfall: Should we use a multivariate model for stock market factors?

Is univariate or multivariate modeling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead expected shortfall of a stock portfolio based on its exposure to the Fama–French and momentum factors. Applying extensive tests and comparisons, we find that in most cases there are no statistically significant differences between the forecasting accuracy of the two approaches. This result suggests that univariate models, which are more parsimonious and simpler to implement than multivariate factor-based models, can be used to forecast the downside risk of equity portfolios without losses in precision.     

Forecasting exchange rate volatility using high-frequency data: Is the euro different?

We assess the performances of alternative procedures for forecasting the daily volatility of the euro’s bilateral exchange rates using 15 min data. We use realized volatility and traditional time series volatility models. Our results indicate that using high-frequency data and considering their long memory dimension enhances the performance of volatility forecasts significantly. We find that the intraday FIGARCH model and the ARFIMA model outperform other traditional models for all exchange rate series.     

How do stock prices respond to fundamental shocks in the case of the United States? Evidence from NASDAQ and DJIA

In this paper, we use both the Dow Jones and NASDAQ indices to test the robustness of Binswanger's (2004c) finding that US stock market dynamics are governed mostly by nonfundamental shocks or speculative bubbles after the 1982 debt crisis. We estimate a total of 72 SVAR models and 36 SVECM models. We determine that the findings are robust indeed and that fundamental shocks have become less and less important over the years, irrespective of which US stock market index is considered.     

Organizational citizenship behaviour and employee retention: how important are turnover cognitions?

The purpose of this study is to examine the relationships between perceived job alternatives, intention to search, intention to leave and organizational citizenship behaviour (OCB), with a view to determining the extent to which these variables are related. Two surveys using separate samples (Study 1, n = 651, and Study 2, n = 226) were used. First, in both studies, perceived job alternatives provided a better account of OCB towards the organization (sportsmanship and civic virtue) than OCB towards individuals (helping and altruism). Second, the results of Studies 1 and 2 indicate that the relationships between OCB and intention to search and between OCB and intention to quit are different. The findings suggest that one part of the research model appears to be generalizable, while the other part appears to be explained by the context of employment. The implications of the findings are discussed.     

Use and abuse of regulated prices in electricity markets: “How to regulate regulated prices?”

We consider the regulation of the tariffs charged by a public utility in the electricity sector. Consumers differ in terms of their privately known demands. When regulating a firm's tariffs, the government is concerned by the redistribution across consumer classes. A conflict between redistribution and screening induces pricing distortions when the firm is a monopoly. Introducing competition with an unregulated fringe improves efficiency but jeopardizes redistribution. In response to this problem, the government may now want to manipulate information about the incumbent's cost to restrict entry and better promote its own redistributive objective. To prevent such obstacle to entry, the government's discretion in fixing the incumbent's regulated tariffs should be restricted by imposing floors or caps on those tariffs and/or by controlling the market share left to the competitive fringe. We highlight the determinants of such limits on discretion and unveil to what extent they depend on the government's redistributive concerns.     

The political economy of financial reform: How robust are huang's findings?

Using new data on financial liberalization taken from Abiad et al. (2008, IMF Working Papers, No. 08/266) for 62 countries over the period 1975–2005, we show that some of the main findings of Huang's (2009, Journal of Applied Econometrics 24 : 1207–1213) replication study on the drivers of financial liberalization are not robust. Major changes concern the effect of democracy on financial reform and the supposed relationship between the desired level of financial liberalization and a country's per capita income. Copyright © 2012 John Wiley & Sons, Ltd.     

Dynamics of floating exchange rate: how important are capital flows relative to macroeconomic fundamentals?

While focusing on traditional macroeconomic fundamentals, existing literature has provided little understanding of impacts of various types of capital flows on the dynamics of floating exchange rates. This paper develops a structural VAR model that takes into account macroeconomic fundamentals as well as various types of capital flows in explaining the fluctuations of the floating exchange rates of the Australian dollar, the Canadian dollar, and the U.S. dollar over 1980–2004. Our main findings are as follows. Among the traditional macroeconomic fundamentals, relative interest rate still plays a significant role in explaining exchange rate dynamics for all three currencies. Capital flows play an important role in explaining the fluctuations in the Australian dollar and the Canadian dollar, but not the U.S. dollar. In particular, portfolio investment is the most explanatory factor for the Australian dollar and the Canadian dollar. For the U.S. dollar, relative interest rate explains the most of exchange rate fluctuations, especially in the medium to the long run. The results indicate that capital market transactions do play important roles in determining exchange rates; however, it may have different implications for the reserve currencies versus the non-reserve currencies. Further research is needed.     

Forecasting clients’ reactions: How does the perception of strategic behavior influence the acceptance of advice?

Because they want high quality information, people often follow advice from advisors with high levels of expertise and confidence, and a reputation for accuracy. However, clients cannot always be sure that an advisor is actually using a knowledge advantage to act in the client’s best interests. In two studies we investigated the influence of an advisor’s perceived degree of self-interested intention on the client’s intention to accept and use their advice. We report two experiments in which clients received the same advice from a supposed representative of either a profit or a non-profit organization. The results of our first study suggest that clients who were confronted with an advisor from an organization with a profit-oriented background ascribed higher levels of self-interested intentions to the advisor and perceived the advisor to be less trustworthy. Furthermore, clients were less willing to rely on the advisor’s recommendation, and this effect was mediated by the perceived trustworthiness of the advisor. In our second study we conceptually replicated the findings of Study 1 using behavioral measures, and also differentiated three different facets of trustworthiness (competence, benevolence and integrity) in the interaction between advisor and client.     

Market and learning orientation in times of turbulence: relevance questioned? An analysis using a multi-case study

This paper aims to pinpoint and to discuss the factors that determine (i) why companies which have previously not been market oriented become so, and (ii) why already market-oriented companies increase their level of market orientation. This paper also analyses drivers of market orientation adoption and dynamics of processes as well as potential links between market orientation, strategy and learning orientation. Empirical research is based on a multi-case study of the Spanish construction and real state industry, providing a longitudinal approach. Data suggest that competitive environments trigger heightened interest in the market orientation and learning orientation constructs. In the analysed industry market orientation seems to be more prevalent in the “sunset” rather than before during the “sunrise” of the industry, which is opposite to the early work of Baker et al. (In: Sauders J (ed) The Marketing Initiative: ESRC Studies into British Marketing. Preentice-Hall, Hemel Hempstead, 1994). The link between market orientation and strategy is unclear, but proactive firms are better prepared for periods of crisis. Thinking on practical implications, this research highlights the relevance of market orientation and learning orientation in times of turbulence and suggests that proactive firms are better prepared for times of turbulence. The paper also includes discussion and implications for both literature and practice. Recommendations for best practices are also provided.     

How are newspaper companies using social media to engage and connect with their audiences? characteristics and forms of Korean newspapers’ YouTube use

The present study classifies the characteristics of YouTube use by South Korean newspapers in terms of both “local proximity” and “reported them” of news content. Several kinds of data related to news production and consumption were collected from the opening of the YouTube account to October 11, 2012. Findings suggest that news content strategies for YouTube are different across newspapers. National newspapers are likely to perceive YouTube as a new medium, whereas local newspapers tend to perceive it as an extension of the existing newspaper. The results also reveal that YouTube strategies based on strongly partisan or critical reports or oppositional parodies can work better than those providing a diverse and universally appealing range of content.     

The role of a firm's absorptive capacity and the technology transfer process in clusters: How effective are technology centres in low-tech clusters?

Due to its unique political institutions and good economic track record, Switzerland used to be called a special case. This paper investigates the start-up propensities in this country based on the individual data of the adult population survey of the Global Entrepreneurship Monitor. The focus is on the factors that are distinctive for Switzerland: language differences and differences in taxes on corporate profit and personal income. There are substantial entrepreneurship disparities among the language areas of Switzerland. Still, I do not find evidence for a cultural influence. The different start-up propensities in the three language areas can be explained by structural characteristics of the regional economy. The same applies to differences in income and profit taxes. If other regional factors are taken into account, I do not find evidence for a direct influence of taxes on the entrepreneurial propensity of the inhabitants of Swiss regions. There is however some evidence for indirect effects. This paper adds to our understanding of the effects of culture and tax differences on entrepreneurship.