The economic benefits of market timing the style allocation of characteristic-based portfolios

Many exchange traded funds track simple characteristic-based equity portfolios such as the market capitalization, the fundamental value or the inverse volatility portfolio. This paper provides theoretical and empirical evidence for the economic benefits in exploiting the timing-gains that result from the time-varying relative performance of these characteristic-based portfolios. Under a factor model for expected returns, we show that this dynamic portfolio allocation can be efficient across the low-dimensional set of characteristic-based portfolios. We assess the out-of-sample performance on the S&P 100 universe over the period 1990–2013 and show gains in stability and significant positive risk-adjusted returns for the dynamic style portfolio. We conduct several robustness tests and extensions confirming the benefits of dynamic style allocation across characteristic-based portfolios.     

试论专利文献的竞争情报价值

文章从专利与专利文献的概念与特点、专利文献信息的竞争情报功能和专利文献在竞争情报研究中的作用等3个方面论述了专利文献在竞争情报研究中的价值,重点探讨了专利文献的法律、技术、经济功能及在企业竞争对手分析、企业专利战略、行业技术发展趋势与水平、避免重复研究等4方面的价值。     

Estimation of patent licensing value using a flexible demand specification

A patent owner who is considering licensing its patent to a competitor faces a dilemma. By giving a license to the competitor, the patent owner stands to lose profits due to increased competition. In order to be willing to license, therefore, the patent owner must receive a royalty that at least compensates for these lost profits. The minimum acceptable royalty depends upon the competitive impact the potential licensee's product would have on the patent owner's product. We describe how to estimate econometrically this competitive impact and how a patent owner might use this information to determine the minimum acceptable royalty. We discuss the advantages of using a flexible functional form for the demand system specification that underlies the competitive analysis. Finally, using an empirical example, we illustrate the large differences that can arise between results based on flexible forms versus non-flexible forms.     

The size distribution of innovations revisited: An application of extreme value statistics to citation and value measures of patent significance

This paper focuses on the analysis of size distributions of innovations, which are known to be highly skewed. We use patent citations as one indicator of innovation significance, constructing two large datasets from the European and US Patent Offices at a high level of aggregation, and the Trajtenberg [1990, A penny for your quotes: patent citations and the value of innovations. Rand Journal of Economics 21(1), 172–187] dataset on CT scanners at a very low one. We also study self-assessed reports of patented innovation values using two very recent patent valuation datasets from the Netherlands and the UK, as well as a small dataset of patent licence revenues of Harvard University. Statistical methods are applied to analyse the properties of the empirical size distributions, where we put special emphasis on testing for the existence of ‘heavy tails’, i.e., whether or not the probability of very large innovations declines more slowly than exponentially. While overall the distributions appear to resemble a lognormal, we argue that the tails are indeed fat. We invoke some recent results from extreme value statistics and apply the Hill [1975. A simple general approach to inference about the tails of a distribution. The Annals of Statistics 3, 1163–1174] estimator with data-driven cut-offs to determine the tail index for the right tails of all datasets except the NL and UK patent valuations. On these latter datasets we use a maximum likelihood estimator for grouped data to estimate the tail index for varying definitions of the right tail. We find significantly and consistently lower tail estimates for the returns data than the citation data (around 0.6–1 vs. 3–5). The EPO and US patent citation tail indices are roughly constant over time, but the latter estimates are significantly lower than the former. The heaviness of the tails, particularly as measured by value indicators, we argue, has significant implications for technology policy and growth theory, since the second and possibly even the first moments of these distributions may not exist.     

Individual risk attitudes and the composition of financial portfolios: Evidence from German household portfolios

This paper explores the relationship between the self-declared risk aversion of private investors and their propensity to hold incomplete portfolios of financial assets. The analysis is based on household survey data from the German Socioeconomic Panel (SOEP) that provides a reliable measure of individual attitudes toward financial risk. Our findings suggest that more risk averse households tend to hold incomplete portfolios consisting mainly of a few risk-free assets. We also find that the propensity to acquire additional assets is highly dependent on whether liquidity and safety needs are met.     

The impact of value added components of GDP and FDI on economic freedom in Europe

This paper investigates the possibility of a long-run relationship between the Economic Freedom Index (EFI), Foreign Direct Investment (FDI) and value added components of GDP in thirty Eastern, Central and Western European countries. The study further examines whether the FDI and sector-specific components of GDP have any significant impact on economic freedom for these countries. We use annual data and employ Pedroni and KAO panel cointegration analyses to assess the long-run relationships. The results indicate that there is a significant long-run relationship between the variables under study. Moreover, the evidence shows that the service and industry value added components positively affect EFI, while the agriculture value added component has a negative effect on EFI. However, contrary to the prior literature, we observe a marginally significant and negative relationship between EFI and FDI in the random effects model.     

Diagnostics for evaluating the value and rationality of economic forecasts

A number of studies have sought to determine whether economic forecasts had predictive value. These analyses used a single statistical methodology based on the independence of the actual and predicted changes. This paper questions whether the observed results are robust if alternative statistical methodologies are used to analyze this question. Procedures suggested by Cumby and Modest as well as rationality tests were applied to two data sets. Sometimes the conclusions differ depending on the procedures that are used. The results yield a guideline for the diagnostics that should be employed in testing for the value of economic forecasts.     

Employee voice and value during a period of economic turbulence

Themes emerging at conference events held at the London School of Economics on 20 March 2009 and 26 March 2010     

Dominating estimators for minimum-variance portfolios

In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets d≥4$d\ge 4$ and number of observations n≥d+2$n\ge d+2$. The small-sample properties of the shrinkage estimators as well as their large-sample properties for fixed d$d$ but n→∞$n\to \infty$ and n,d→∞$n,d\to \infty$ but n/d→q≤∞$n/d\to q\le \infty$ are investigated. Furthermore, we present a small-sample test for the question of whether it is better to completely ignore time series information in favor of naive diversification.     

Hedge funds in portfolios of risk-averse investors

We find that adding a hedge fund to an optimally weighted portfolio of stocks and T-bills generally increases the utility of an investor. From a sample of hedge funds with returns from 1996 to 2005, the certainty equivalent was an average of five basis points (monthly) higher with a ten percent allocation into a hedge fund. Funds from different style categories require different allocations into the stock market, but nearly all funds improved performance. Contrary to popular opinion, we find that highly risk-averse investors gain even more than less risk-averse investors by adding a hedge fund into their portfolio.     

The welfare cost of one-size-fits-all patent protection

To analyze the welfare gain from allowing for differentiated patent protection across sectors, this study develops a two-sector quality-ladder growth model in which patent breadth is a policy variable and derives optimal patent breadth under two patent regimes. We show that (a) uniform optimal patent breadth is a weighted average of sector-specific optimal patent breadth and (b) sector-specific optimal patent breadth is larger in the sector that has a larger market size and more technological opportunities. To derive the optimal policy, we allow for an arbitrary path of patent breadth and derive the optimal path by solving a Stackelberg differential game. We find that the optimal path of patent breadth under each patent regime is stationary, time-consistent and subgame perfect. Finally, we perform a numerical investigation and find that even a moderate degree of asymmetry across sectors can generate a significant welfare cost of uniform patent protection.     

The economic impact of superfund’s litigation on the value of the firm: An empirical analysis

The authors use a standard event-study methodology to evaluate the capital market reaction to superfund lawsuits brought against firms between 1980 and 1990. The results of the time series study indicate that the firms, on the average, suffered a statistically significant loss of 1.30 percent ($30.17 million) of their market value over the two-day event interval. The magnitude of the penalty varies among the industries examined, with the greatest impact falling on the pollution management industry. The lawsuit appears to have significant information effect, with the losses providing some indication that the lawsuits could impose costly constraints on the firms.     

Performance monitoring of credit portfolios using survival analysis

We are interested in detecting changes in the performance of a credit portfolio quickly and robustly. The portfolio is dynamic: customers can either default or pay the full amount, and new customers can be taken on. Robust detection means that changing the number of new customers taken on should not lead to either a false or delayed signal. We investigate the performances of monitoring schemes via a simulation study that uses several scenarios. We consider monitoring based on default rates estimated through a gliding window, cumulative sum (CUSUM) charts based on default rates, CUSUM charts based on defaults within a given follow-up time after arrival, and a survival analysis CUSUM chart. We conclude that using a survival analysis approach is preferable to using the other approaches.     

论企业竞争中的专利信息工作

文章从专利原始文献与专利加工信息两个角度探讨了专利信息的内涵,并论述了专利信息工作在企业竞争中的作用。     

Maximizing public value for subsidized non-profit firms: a mathematical economic model

In many public service industries, firms are assumed to maximize certain public goals and are not allowed to make any profits. These public service firms are financed by fixed and variable subsidies and fees-for-services paid by users. Standard economic models, such as the profit maximization and cost minimization model, are not suitable for describing the production structure and the economic behavior of these firms. Productivity and efficiency measures derived from these models therefore are not accurate. This paper derives a model that fits this type of firm and its economic context. It derives the exact mathematical relationships between public value, services delivered, (money) revenues, costs, service prices, resource prices and subsidies. In an empirical setting the model can be used as a reference to calculate productivity and efficiency scores. The usability of the model is demonstrated by an application to Social Labor Services in the Netherlands.     

Dynamics between patent latent variables and patent price

This paper focuses on studying the relationship between patent latent variables and patent price. From the existing literature, seven patent latent variables, namely age, generality, originality, foreign filings, technology field, forward citations, and backward citations were identified as having an influence on patent value. We used Ocean Tomo's patent auction price data in this study. We transformed the price and the predictor variables (excluding the dummy variables) to its logarithmic value. The OLS estimates revealed that forward citations and foreign filings were positively correlated to price. Both the variables jointly explained 14.79% of the variance in patent pricing. We did not find sufficient evidence to come up with any definite conclusions on the relationship between price and the variables such as age, technology field, generality, backward citations and originality. The Heckman two-stage sample selection model was used to test for selection bias.     

The economic evolution of democracy

Using a variant of the Ramsey growth model, we explore the relationships between economic growth and the emergence of democracy. We argue that democracy acts as a commitment device to economic reforms favored by an elite under the threat of rebellion. Consistent with British economic history we model liberalizing reforms of the labor market as the mechanism by which the elite redistribute resources to the poor. We find that if democracy emerges it is preceded by a period of growth, however the emergence of democracy will only encourage further growth if the redistributions it entails do not significantly hamper capital accumulation.      

The persistence of economic profit

Recently, as practitioners and researchers from developed countries have increasingly probed the activities of emerging economies, what exactly drives the long-term economic profitability of firms in China has become the most salient issue in the above fields. However, a study dedicated to the persistence analysis of profitability differentials among firms in China has not yet been proposed. This study thus employs China’s business database to examine the persistence in the incremental components of the industry and firm effects on economic profitability and tests the hypotheses that conform to the conventional wisdom of relative rates of persistence. A persistence partitioning model is fitted to a new data set, and the results show that the incremental effects of industry on economic profitability persist longer than the incremental effects of the firm. In other words, the long-term competitive advantages of firms in China are more predictable and sustainable based on industry influences compared to firm factors. These findings support the predictions of industrial organization economics, and provide some implications for corporate strategy.