The distributional impact of unification and the 1992–93 recession on West German households

The 1992–93 recession in the western states of Germany has been attributed, in substantial measure, to the macroeconomic consequences of policies to finance unification. Studies of the costs of unification have not attempted to measure the burden of the recession. We estimate a dynamic, panel model of household incomes using data from the German Socio-Economic Panel (GSOEP) and use it to forecast what these incomes would have been in 1992–94 without a recession. Using a ratio of actual to forecast incomes, we compare the relative burden of the recession across households. Our findings suggest that western households below the median income bore the brunt of the combined impact of unification and the recession of 1992–93.
JEL classification: P3, D3, E3.     

E-Business Transformation via Alliance Clusters

The number of firms using alliances as part of their corporate venturing or market entry strategies has surged over the past decade. Three common reasons cited for pursuing alliances are technology convergence, market access and alliance partners' complementary resources. This paper contrasts the alliance strategies of HP and IBM, two major competitors in electronic services (i.e. Internet-based 'e- service') businesses, using the Familiarity Matrix as a display tool to portray the strategies. Whereas the HP strategy is to attempt to establish its technology infrastructure as the standard e-services infrastructure on the Internet, IBM aims to position its IBM Global Services, rather than its technology, at the center of this ecosystem.     

MODELING THE TERM STRUCTURE FROM THE ON‐THE‐RUN TREASURY YIELD CURVE

We propose a new model to estimate the term structure of interest rates using observed on‐the‐run Treasury yields. The new model is an improvement over models that require a priori knowledge of the shape of the yield curve to estimate the term structure. The general form of the model is an exponential function that depends on the estimation of four parameters fit by nonlinear least squares and has straightforward interpretations. In comparing the proposed model with current yield‐curve‐smoothing models, we find that, for the data used, the proposed model does best overall in terms of pricing accuracy both in sample and out of sample. JEL classification: E43, G12     

Dynamic linkages among equity markets in the Middle East and North African countries

The relaxation of security laws and regulations in emerging markets in the Middle East and North Africa (MENA) provides abundant opportunities for foreign investors. These markets exhibit high-expected returns and substantial volatility. In this paper, we investigate the lead/lag relationship between the MENA countries and regions. We find no market causality or spillover from one country to another in the North Africa region. Our results for the Levant region reveal that there are linkages between stock markets in this region. The results for the Gulf Cooperation Council (GCC) region show that there is more interaction and linkage in the GCC region than in the North Africa and Levant regions. An unexpected result is that UAE's stock market leads all the markets in this region. Finally, we investigate linkages among the three regions. We find that GCC influences the other two regions.     

Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

Competition, Contractibility, and the Market for Donors to Nonprofits

This article investigates theoretically and empirically theeffects of competition for donors on the behavior of nonprofitorganizations. Theoretically, we consider a situation in whichnonprofit organizations use donations to produce some commodity,but the use of donations is only partially contractible. Themain results of the model indicate that an increase in competition(i) decreases the fraction of donations allocated to perquisiteconsumption and (ii) increases the fraction of donations allocatedto promotional expenditures. Moreover, the effects of competitionare magnified by the ability to contract on the use of donations.These hypotheses are tested with data on the expenditures ofnonprofit organizations in a number of subsectors where competitionis primarily local. We use across–metropolitan statisticalareas' variation to measure differences in competition and proxycontractibility by the importance of tangible assets, whichare more easily observed by donors. The estimated effects ofcompetition and contractibility are consistent with our model.     

Current state of the electrification of Russia

The current progress of electrification in Russia is clearly insufficient compared with G8 countries. At the same time, economy sectors have a high potential for energy saving. The electricity consumption of households depends on their cash income and the growth rate of electricity tariffs.     

The colors of investors’ money: The role of institutional investors around the world

We study the role of institutional investors around the world using a comprehensive data set of equity holdings from 27 countries. We find that all institutional investors have a strong preference for the stock of large firms and firms with good governance, while foreign institutions tend to overweight firms that are cross-listed in the U.S. and members of the Morgan Stanley Capital International World Index. Firms with higher ownership by foreign and independent institutions have higher firm valuations, better operating performance, and lower capital expenditures. Our results indicate that foreign and independent institutions, with potentially fewer business ties to firms, are involved in monitoring corporations worldwide.     

GLAMOUR VERSUS VALUE: TRADING BEHAVIOR OF INSTITUTIONS AND INDIVIDUAL INVESTORS

We design a new metric to measure the net buying and selling by institutions and individual investors and find that from 1980 to 2004 institutional investors were net buyers of growth stocks and net sellers of value stocks, implying that individual investors were net buyers of value stocks and net sellers of glamour stocks. The institutional preference for glamour and value stocks seems to be related to sell‐side analysts' recommendations and recent favorable stock price performances, especially during the post‐1994 period. Finally, the institutional buying of growth stocks and sale of value stocks was not based on superior information.