Nonlinear models with panel data

Panel data play an important role in empirical economics. With panel data one can answer questions about microeconomic dynamic behavior that could not be answered with cross sectional data. Panel data techniques are also useful for analyzing cross sectional data with grouping. This paper discusses some issues related to specification and estimation of nonlinear models using panel data.JEL Classification: C230The research behind this paper was supported by the National Science Foundation, the Gregory C. Chow Econometric Research Program at Princeton University, and Danish National Research Foundation (through CAM at the University of Copenhagen). The author thanks Ekaterini Kyriazidou, Hong Li, Marina Sallustro, and the editors for helpful suggestions.     

Disposition Effect and Diminishing Sensitivity: An Analysis Based on a Simulated Experimental Stock Market

The authors experimentally investigate the existence of the disposition effect and its relationship with diminishing sensitivity. Their approach includes 3 key characteristics: (i) an environment closely resembling actual stock markets, (ii) individual-specific reference prices, and (iii) a direct test of diminishing sensitivity as a correlate of the disposition effect. They find strong support for the existence of the disposition effect as an independent hypothesis. This is an improvement over previous studies, which tested this hypothesis only jointly with others. The authors' results also strongly point to diminishing sensitivity, of the type postulated by prospect theory, being positively associated with the disposition effect.     

中国股票市场个体投资者\"处置效应\"的实证研究

利用中国个体投资者交易帐户的交易数据,本文对中国股票市场个体投资者\"处置效应\"进行了实证分析,并考察了中国股票市场是否存在\"十二月效应\"对\"处置效应\"的影响.依据情绪影响投资者决策的心理学结论,本文进一步分析了在不同的市场态势下,个体投资者\"处置效应\"的特征.本文研究表明,中国个体投资者存在显著的\"处置效应\",并在不同市场态势下表现出不同的特征,十二月份存在\"反处置效应\"现象.     

行业分析师盈利预测偏差的新解释

对于卖方行业分析师(简称分析师)盈利预测偏差的现象,本文提出一个新假说,即作为理性投资的代表者——分析师的盈利预测偏差会受到投资者情绪或噪音交易的影响,并通过我国的数据证实了该假说。首先,通过实证研究,发现国内行业分析师盈利预测存在系统性的偏差。其次,构造月度投资者情绪指数,通过非参数和参数的统计方法,针对盈利预测偏差的时间序列和面板数据两组数据,证明了情绪是分析师盈利预测偏差的一个重要因素。国际文献中对分析师偏差的绝大多数理论解释通常是基于经典金融学的框架,即假设分析师是完全理性的,其偏差主要来自利益驱动(他们供职的机构或个人利益最大化)。而本文认为情绪和利益驱动因素相结合才能更好地解释分析师预测的偏差。     

Potential Underdog Bias,Overconfidence and Risk Propensity in Investor Decision-Making Behavior

Abstract

In this study we investigate whether investors are prone to take risks, both in terms of how they rate their risk propensity and their behavior in choosing between options with different risk levels, and whether they display overconfidence and underdog bias. We also investigate the relationships among underdog bias, overconfidence and risk propensity. The results indicate overconfidence levels similar to that in other populations and do not reveal underdog bias or high levels of risk propensity. We found support for a negative predictive relationship between underdog bias and overconfidence.     

Forecasting performance of private sector’s unemployment forecasts in advanced economies

This paper provides a full characterization of unemployment rate forecasts using the mean values from Consensus Economics for a sample of nine advanced economies between 1989 and 2012. It also assesses the performance of unemployment rate forecasts around business cycles’ turning points. We find evidence for biasedness, inefficiency or information rigidities and lack of accuracy of unemployment rate forecasts and the distribution of projection errors appears to be slightly twisted to over-prediction (which decreases during recession episodes). Additionally, there is a sense of ‘pessimism’ among forecasters during recovery periods.     

Absenteeism in the workplace: results from Danish sample survey data

Absentee data is analyzed using a worker environmental survey carried out in 1995. In a model which distinguishes between discretionary and involuntary absences individuals are assumed to maximize expected utility. This generates a probability distribution of days absent per year which is a mixture of two negative binomial distributions representing the behaviour of two unknown types of agent. This distribution is estimated separately for men and women. For each gender the number of days absent is quite small relative to what researchers have found in other countries. In the empirical model we identify different effects of the explanatory variables for workers with low rates of absenteeism and workers with high rates of absenteeism.     

True versus spurious state dependence in firm performance

This paper analyzes the persistence of firms’ exporting behavior in a panel of German manufacturing firms using dynamic binary choice models. We distinguish between true and spurious state dependence in exports and apply fixed effects methods that allow us to verify the robustness of our results to critical assumptions on firms’ initial export status. We find robust evidence of state dependence in the current export status of firms. We also document an important role of unobserved permanent firm heterogeneity (spurious state dependence) and quantify the relative importance of different export determinants. Our results, which are consistent with the findings of previous studies on firms in developing countries and in the United States, show the presence of important sunk costs in export market entry and a depreciation of knowledge and experience in export markets. This paper benefitted substantially from three anonymous referees and Bernd Fitzenberger, one of the editors of this journal. The authors wish to thank the Centre for European Economic Research (ZEW), Mannheim, for its hospitality during the time this study was carried out. Both authors gratefully acknowledge helpful comments received at a workshop hosted by the Centre for Applied Microeconometrics, University of Copenhagen workshop, especially those from Bo Honoré. Useful discussions with Georg Licht also lead to improvements of this paper. We thank Ken Chay for sharing Gauss codes used in parts of the paper. Lastly, we would like to thank Bettina Peters, a member of the ZEW team that compiles the data set used in this study, for data guidance and numerous helpful comments. The activities of the Centre for Applied Microeconometrics are financed by a grant from the Danish National Research Foundation.     

The impacts of investor sentiment and price uncertainty on the effects of open-market share repurchase announcements

This study probes into relationship between investor sentiment and cumulative abnormal returns (CAR) of share repurchase announcements, and it treats market return as threshold variable. By threshold regression model, it tries to find the effect of market situations on relation between investor sentiment and CAR. According to empirical result, in share market of Taiwan, investor sentiment can explain CAR. When share market is extremely pessimistic (market return lower than ?16.0053%), relation between investor sentiment and CAR will change to some degree. In addition, relation between price risk of announcement company and CAR will disappear with the extremely pessimistic situation of market.     

产业集群与区域城市化进程关联的固定效应模型实证研究

改革开放以来,我国区域经济形成了各类产业的集群和周边城镇向城市的演进发展,产业集群的"城市化"效应凸显。产业集群与区域城市化进程存在互动影响关联,不同产业集群程度在其城市化进程水平上表现出差异,产业核心所在城区内外的集群平衡性差异导致其城市化进程与产业集群的非完全意义协同性发展。整体而言产业集群对区域的城市化进程有所推进。     

Infrastructure regulation and reallocations within industry: Theory and evidence from Indian firms

Many firms in developing countries adopt captive power generators to deal with expensive and unreliable supply of electricity. I present a model that combines upstream regulation with downstream heterogeneous firms in a monopolistic competition framework, where firms can pay a fixed cost to adopt this marginal cost-reducing device. The presence of captive power affects the market equilibrium by increasing the level of idiosyncratic productivity a firm needs to survive in the market and by re-allocating sales and profits towards the more productive, adopting firms. Additionally, the rate of adoption is shown to increase with the price of electricity, industries' electricity–intensity and with higher barriers to firm entry. The mechanisms I propose are present for a cross-section of Indian firms.