A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS

This paper provides a systematic review of value premium literature that examines the performance difference between value and growth stocks and the possible reasons for it. We compare and synthesize the results from the different regional stock markets and different sample periods. The literature is categorized according to stock selection criteria that are based on either individual valuation ratios, such as E/P, B/P, D/P, S/P, CF/P, and enterprise value-based multiples, or composite value criteria that aim to capture more than one dimension of relative value simultaneously or combine them with other classification criteria. We also compare the efficacy of various selection criteria to each other and synthesize the literature on the explanations for the value anomalies. The overall evidence shows that the best criterion varies over time and across the markets. The relative efficacy of different valuation criteria also seems to depend on numerous methodological choices. Recent studies have given mild evidence that combining traditional valuation ratios either with each other or with some financial statement variables could at least in some cases enhance the value premium, although very few studies have provided transparent comparisons between the results based on individual valuation ratios and those based on composite value criteria.     

THEORETICAL AND PRACTICAL ARGUMENTS FOR MODELING LABOR SUPPLY AS A CHOICE AMONG LATENT JOBS

Models of labor supply derived from stochastic utility representations and discretized sets of feasible hours of work have gained popularity because they are more practical than the standard approaches based on marginal calculus. In this paper we argue that practicality is not the only feature that can be addressed by means of stochastic choice theory. This theory also offers a powerful framework for developing a more realistic model for labor supply choices, founded on individuals having preferences over jobs and facing restrictions on the choice of jobs and hours of work. We discuss and clarify how this modeling framework deviates from both the conventional discrete approach [Van Soest, A. ( 1995 ) Structural models of family labor supply. A discrete choice approach. Journal of Human Resources 30: 63–88), as well as the standard textbook approach based on marginal calculus (Hausman, J.A. ( 1992 ) The econometrics of nonlinear budget sets. Econometrica 53: 1255–1282]. We furthermore discuss how the model based on job choice can be applied to simulate effects of alternative restrictions on hours of work.     

A CRITICAL REVIEW ON EVOLUTION OF RISK FACTORS AND FACTOR MODELS

The purpose of this work is to critically evaluate the evolution of risk factors and factor models. A systematic and structured literature review is carried out to observe and understand the past trends and extant patterns/themes in the present research area, evaluate contributions and summarize knowledge, thereby identifying limitations, implications and potential directions of further research. The main message from the study is that evolution of risk factors and factor models are continuous and endless development. Still today over 300 risk factors are identified by the researchers and many other yet to be discovered but out of them all only few are significantly responsible in explaining the stock markets risk return relationship. Study classifies risk factors into two groups: global and specific risk factors. Study answer the question ‘whether evolution of risk factors and factor models are endless development’. Finally, the present study gives an appropriate direction to the future studies to be taken in terms of risk factors and factor models. Due to continuous evolution and changing of nature of the risk factor it seems quite impossible to have a stable efficient factor models that can explain stock market risk return relationship globally in long run.     

THE ESTIMATION OF HUMAN CAPITAL BY ADMINISTRATIVE ARCHIVES IN A STATIC AND LONGITUDINAL PERSPECTIVE: THE CASE OF MILAN

Abstract This paper focuses on the estimation of the latent variable human capital (HC) at disaggregated level (worker) by available routinely institutional data flows. In particular we utilize the Lombardy region administrative archive ‘Employment Centers of the Province of Milan’, collecting information about careers of workers in the private sector of the Milan area, and administrative flows collecting mandatory workers' individual income tax returns, filed with the National Internal Revenue Service. First, we propose and empirically estimate HC scores in a static (referred to 2004) framework, by means of a realistic measurement model within causal relationships among endogenous and exogenous (investment) HC indicators. Furthermore, the model also specifies a set of (concomitant) indicators that, not belonging to HC investment indicators, have causal impact on endogenous variables and on HC scores, too. Second, we propose a longitudinal analysis (period 2000–2004) aimed to investigate how workers' earned income growth rates vary over workers' educational levels and other personal characteristics. The empirical results of both analyses confirm the characteristics of the Italian job market, denoted by marked inequalities, and knowledge regarding the process of school to work transition, characterized by a weak incidence of education on longitudinal trajectories of earned income.     

HOW SHOULD BRITAIN'S GOVERNMENT SPENDING AND TAX BURDENS BE MEASURED? A HISTORIC PERSPECTIVE ON THE 2009 BUDGET FORECASTS

The 2009 Budget projections imply that the ratio of general government expenditure to national income will rise to 53.4% in 2010, the highest ratio since World War II and 6.9% above the peak recorded in World War I. Public sector net borrowing is projected to increase from 8% of national income in 2008–09, to 14.1% in 2009–10, and 13.5% in 2011–12. There must be serious doubt whether deficits on this scale can be financed in a non‐inflationary manner, without very large capital inflows from abroad. It is hard to see why such inflows should be forthcoming now that the British economy has become so highly taxed by international standards.     

ON THE DISTRIBUTIONS OF ORDER STATISTICS FOR A RANDOM SAMPLE SIZE*

The probability distribution of the i –th and j–th order statistics and of the range R of a sample of size n, taken from a population with probability density function f (x) have been obtained when the sample size n is a random variable N and has: (i) a generalized Poisson distribution; and (ii) a generalized negative bonimial distribution. Specific results are then obtained; (a) when f (x) is uniform over (0,1); and (b) when f(x) is exponential. All the results for N, being a Poisson, binomial and negative binomial rv follow as special cases.