Modeling demographic-economic interactions: Micro, macro and linked micro/macro strategies

The inherent limitations of group-based macro modeling preclude a realistis behavioral representation of regional demographic-economic interactions. Such a harsh assessment is unwelcome news to regional modelers, who for the most part have been relying on group-based macro strategies. This paper addresses the issue of choosing the most appropriate approach to regional demographic-economic modeling by emphasizing once again the severe limitations of group-based macro models for representing population behavior, advocating instead the use of sample-based micro models for representing population behavior and suggesting that a linked macro/micro strategy for modeling demographic-economic interactions might combine the advantages of both modeling methodologies.     

International endogenous growth,macro anomalies,and asset prices

This paper develops a two-country production economy with complete and frictionless financial markets and international trade in which investments in research and development (R&D) by entrants lead to endogenous new firm creation and economic growth. Innovative entrants use both consumption goods in their innovation technologies to capture international technological spillovers. Households also consume both goods. Specifically, I compare the equilibrium implications from the model with technology spillovers to the ones from an equivalent model without technology spillovers, i.e. a model where entrants only use domestic final goods in their R&D expenditures. With these two models at hand, new insights on the interplay of endogenous growth and long-run risks, technology spillovers, complete financial markets, and international trade are obtained, particularly with respect to international macro and asset pricing anomalies. The novel technology spillover channel has the potential to help explaining a number of these anomalies.     

Buyer-supplier collaboration: A macro,micro, and congruence perspective

Buyer-supplier collaboration, an important part of operational performance, is predicated on the assumption that a firm's stated strategy on inter-firm collaboration is implemented in practice. We argue that a strategy is only as good as its execution and that micro-level factors—the employees' collaborative propensity and their internal collaborative behaviors—also play an essential role in the successful implementation of buyer-supplier collaboration. We test competing models based on secondary data collected from 330 manufacturing firms in 16 countries/regions. Our results show that both the macro-level firm strategy and micro-level employee factors exert substantial influence over buyer-supplier collaboration. In addition, when inter-firm collaborative strategy and micro-level factors are congruent, there is an enhancement effect. Our research explores the critical role of supply managers and surrounding employees in shaping buyer-supplier collaboration and actualizing operational strategies.     

Jumps in equilibrium prices and market microstructure noise

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove the noise from observable price data and to discover jumps in fundamental asset values. We provide its asymptotic distribution to decide when such jumps occur. In finite samples, our test offers reasonable power for distinguishing between noise and jumps. Empirical evidence indicates that it is necessary to incorporate the presence of jumps in equilibrium prices.     

高岚：完美“三级跳”

“我最不善于给自己规划一个长远目标,也不是个有野心的人。只希望能拿这么多年在外企人力资源积累的经验、知识、理念,很好地用于联想的发展。”     

指数条件异方差过程中检验跳跃现象的方法

由于存在边界检验和不可定义参数检验问题,检验跳跃现象的沃尔德、尤度比统计量都不再渐进服从正态分布(或卡方分布)。本文从Jump-EGARCH(N)和Jump-EGARCH(t)过程两个侧面,应用迪拉克·得鲁塔函数解决退化参数的微、积分计算的基础上,提议与不可定义参数无关的拉格朗日乘数检验统计量,并实施蒙特卡罗仿真实验和实证分析验证提议统计量的检验能力。     

Capital expenditure announcements and anti-takeover barriers

In this paper, we compare capital budget announcements by firms with anti-takeover mechanisms in place to announcements by firms without takeover barriers during the period 1980 to 1995. We find that anti-takeover provisions do not affect investors’ average reactions to investment choices. Market responses are heterogeneous; however, and differ according to size, growth opportunity, the availability of free cash flow and exposure to the capital markets. We find evidence consistent with managerial entrenchment when firms are insulated from the threat of takeover and have enough free cash flow to avoid raising external capital. We also find that for small firms, the reaction to capital investment announcements are positively related to free cash flow when managers have high growth opportunities, but negatively related when investment opportunity is small. This result is consistent with Noe (1988), who shows that restricting managers’ investment choices to positive NPV projects is necessary to obtain the pecking order results of Myers and Majluf (1984).     

Heterogeneous wage setting and endogenous macro volatility

In order to strengthen the debate on the foundations of aggregate business cycles, the science of macroeconomics has recently benefited from a series of contributions that emphasize the complex nature of collective human action. Progressively, agent heterogeneity, local interaction, sentiment formation and out-of-equilibrium dynamics are becoming central pieces on the analysis of short-term business fluctuations. This paper offers a contribution to this new literature by exploring a macro framework where endogenous fluctuations emerge regardless from the occurrence of shocks to technology or preferences. The proposed setting separates firms into two groups, which follow different wage setting strategies. The firms may systematically change from one class of wage setters to the other following local interaction rules and by making a global assessment of the profitability of each of the wage setting alternatives. Under reasonable parameterizations, long-term large periodicity cycles are generated; these cycles might constitute a meaningful component of the observed output gap and price level volatility, a component that complements the typical view on exogenous disturbances over an otherwise stable economy.     

Market response to FDA announcements

This study investigates announcement effects at four points in the Food and Drug Administration (FDA) review process and explores conditions that may impact final approval. We show that investors adjust expectations through the approval process, and most uncertainty is resolved by final approval. While smaller firms reap benefit from the approval, the market penalizes first movers. We do not find additional gain for pioneering research, implying that these firms may be able to reduce R&D spending.     

Scheduled macroeconomic news announcements and intraday market sentiment

We analyze the effects of scheduled macroeconomic news on intraday and daily market sentiment by comparing sentiment on news announcement dates with that on non-announcement dates. Announcements of macroeconomic indicators change neither intraday nor daily market sentiment. However, the directions of the announced values have asymmetric effects on intraday market sentiment, although they do not affect daily market sentiment. For example, an announcement of an increase in the gross domestic product (GDP) reduces short-term intraday market sentiment, whereas an announcement of a decrease in GDP does not significantly affect intraday market sentiment. We also find that the effect of intraday market sentiment on short-term market returns is greater following announcements of macroeconomic indicators that significantly affect intraday market sentiment.     

Earnings announcements and the variability of stock returns

This article is concerned with the dissemination process of firm-specific annual earnings information in the Norwegian capital market. We find a significant reduction in stock price volatility in the post-announcement period relative to the pre-announcement period for companies traded on the Oslo Stock Exchange in the period 1990–1995. Potential explanations for this phenomenon are tested by relating the observed return volatility to changes in the volatility of the underlying business, the speed at which information is incorporated into stock prices, and the amount of noise in the price process. The empirical analyses reveal no significant changes in either the underlying business variance or the price adjustment coefficients. However, we find a significant decline in the noise term for the largest companies after the earnings release date, supporting the hypothesis that earnings announcements reduce informational asymmetries among investors.     

Executive compensation,method of payment and abnormal returns to bidding firms at takeover announcements

This study investigates the association between method of payment, long-term performance plans, managerial stockholdings and abnormal returns to bidding firms at takeover announcements, using a cross-sectional regression methodology. Previous studies have examined each of these factors separately. The results indicate that firms with long-term performance plans and high managerial stockholdings in cash offers experience significantly higher abnormal returns at the announcement of mergers prior to 1980. The study provides additional evidence in explaining the previous conflicting results (Jensen and Ruback, 1985), examining the stock market reaction of bidding firms at merger announcements.     

廉租房建设与国家宏观经济

通过对公建廉租房对宏观经济影响的分析,论证政府在城市化高速发展阶段大规模介入房地产的必要性.同时,提出了政府公建住宅建设需要的其他配套政策.文章认为,中国应当取消经济适用房建设,并把廉租房建设上升为国家战略,一揽子解决高速城市化阶段社会财富再分配、公共秩序建立、劳动力就业、金融泡沫风险等一些战略层面的问题.通过扩大内部需求市场,将国际经济竞争的主战场从国外的"客场"转向国内的"主场".把我国经济的成长更多地建立在自主的基础上,从而掌握更多的经济主权.     

Adjusted beta responses to dividend announcements

In this study, the impact of regression tendency and order bias on the calculated average residuals and around the event period is examined. The findings indicate that the abnormal return calculated with unadjusted parameters may lead to a misestimation of the true average residual. However, the bias due to regression tendency and order bias may not change the essential conclusions about the significance of the residuals if they are highly significant. However, for residuals that are borderline statistically significant, compensation for order bias and regression tendency may be important. In addition, if the magnitude of the abnormal return is of interest, residuals calculated with biased betas may over- or understate the true abnormal return. For small non-randomly selected samples, the differences in the residuals using unadjusted and order-bias-adjusted betas are more prominent. Therefore, the researcher should be aware of the impact that regression tendency and order bias can have on the interpretation of results.     

Jumps and betas: A new framework for disentangling and estimating systematic risks

We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. We show consistency and derive the asymptotic distributions of our estimators. In an empirical application of the new procedures involving high-frequency data for forty individual stocks, we find that the estimated monthly diffusive and jump betas with respect to an aggregate market portfolio differ substantially for some of the stocks in the sample.     

Short sale constraints,dispersion of opinion,and stock overvaluation: Evidence from earnings announcements in China

Using a clean setting in China, we test the Miller (1977) hypothesis that stocks are overvalued in the presence of short sale constraints and dispersion of opinion as an extension of Berkman et al. (2009). We find that stocks with short sale constraints have significantly negative abnormal returns during earnings announcement periods, especially when investors have diverse opinions. These results are robust to alternative measures of abnormal returns and endogeneity concern. The findings help to explain the impact of short sale constraints on pricing efficiency and have important policy implications for relaxing restrictions on short selling and improving regular information disclosure in emerging markets.