Is long memory necessary? An empirical investigation of nonnegative interest rate processes

This paper analyzes a class of nonnegative processes for the short-term interest rate. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the pricing kernel. We study Markovian interest rate processes as well as more general non-Markovian processes that display “short” and “long” memory. These processes also display heteroskedasticity patterns that are more general than those of existing models. We find that deviations from the Markovian structure significantly improve the empirical performance of the model. Certain aspects of the long memory effect can be captured with a (less parsimonious) short memory parameterization, but a simulation experiment suggests that the implied term structures corresponding to the estimated long- and short-memory specifications are very different. We also find that the choice of proxy for the short rate affects the estimates of heteroskedasticity patterns.     

COMMON‐ENEMY EFFECTS: MULTIDISCIPLINARY ANTECEDENTS AND ECONOMIC PERSPECTIVES

A disparate literature hypothesizes what can broadly be described as the common‐enemy effect: the fact that the interaction with a common enemy (formed by Nature, an individual, or a group) increases cooperation. This review identifies the multidisciplinary antecedents of this effect, and then distinguishes between several strands of literature applying noncooperative game theory to account for it. A first strand argues that the threat posed by a common enemy makes each player's cooperative effort more critical. In a second strand a behavioral common‐enemy effect caused by group interaction is studied experimentally. A third strand models the common‐enemy effect as the formation of a coalition of players against another player in a contest. A fourth strand formalizes the principle that the ‘enemy of my enemy is my friend’, either in a model of social relations, interdependent altruistic preferences, or indirect reciprocity in repeated games. The connections between these strands of literature are investigated, and questions for future research are proposed.     

Assessing Managers’ Ethical Decision-making: An Objective Measure of Managerial Moral Judgment

Recent allegations of unethical decision-making by leaders in prominent business organizations have jeopardized the world’s confidence in American business. The purpose of this research was to develop a measure of managerial moral judgment that can be used in future research and managerial assessment. The measure was patterned after the Defining Issues Test, a widely used general measure of moral judgment. With content validity as the goal, we aimed to sample the domain of managerial ethical situations by establishing links to dimensions of managerial performance, as well as to the types of organizational justice issues managers encounter. Proposed scenarios were evaluated for realism by ethics officers and human resource managers. Results indicated that the new measure is reliable and correlates with a number of relevant variables in the hypothesized manner, demonstrating evidence of construct validity. Implications for future research and for human resources management are discussed.     

An empirical investigation of environmental performance and the market value of the firm

This paper analyzes the shareholder value effects of environmental performance by measuring the stock market reaction associated with announcements of environmental performance. We examine the market reaction to two categories of environmental performance. The first category includes 417 announcements of Corporate Environmental Initiatives (CEIs) that provide information about self-reported corporate efforts to avoid, mitigate, or offset the environmental impacts of the firm's products, services, or processes. The second category includes 363 announcements of Environmental Awards and Certifications (EACs) that provide information about recognition granted by third-parties specifically for environmental performance. Although the market does not react significantly to the aggregated CEI and EAC announcements, we find statistically significant market reactions for certain CEI and EAC subcategories. Specifically, announcements of philanthropic gifts for environmental causes are associated with significant positive market reaction, voluntary emission reductions are associated with significant negative market reaction, and ISO 14001 certifications are associated with significant positive market reaction. The difference between the market reactions to the CEI and EAC categories is statistically insignificant. Overall, the market is selective in reacting to announcements of environmental performance with certain types of announcements even valued negatively.     

Predictors for total hospital and cardiology cost claims among patients with atrial fibrillation initiating dabigatran or acenocoumarol in The Netherlands

Aims: The prevalence of atrial fibrillation (AF) has increased over the past years due to aging of the population, and healthcare costs associated with AF reflect a significant financial burden. The aim of this study was to explore predictors for the real-world AF-related in-hospital costs in patients that recently initiated anticoagulation with acenocoumarol or dabigatran.

Methods: Predictors for claimed total hospital care costs and cardiology costs in AF patients were explored by using hospital financial claims data from propensity score matched patient groups in a large Dutch community hospital. This study analyzed the total dataset (n?=?766) and carried out a secondary analysis for all matched pairs of anticoagulation naïve AF patients (n?=?590) by ordinal regression.

Results: Dabigatran was a predictor for significantly lower cardiology and total hospital care costs (Odds Ratio [OR]?=?0.43, 95% confidence interval (CI)?=?0.33–0.57; and OR?=?0.60, 95% CI?=?0.46–0.79, respectively). Female gender was a predictor for lower total hospital care costs. Predictors for an increase in total hospital care costs were the occurrence of stroke or systemic embolism, major bleeding, and minor bleeding. The costs predictors were comparable when limiting the analysis to patients that were anticoagulation naïve. Age and CHA₂DS₂-VASc were not predictors for either cardiology or total hospital care costs in both analyses.

Conclusion: Dabigatran treatment was as a predictor for lower cardiology costs and lower total hospital care costs in AF patients that initiated oral anticoagulation.     

Do (Fe)Male Auditors Impair Audit Quality? Evidence from Going-Concern Opinions

Recent research indicates that there may be a relationship between the characteristics of the audit engagement partner and audit quality. In this paper, we examine the relationship between audit quality and the presence of a female or male audit engagement partner. We use the likelihood that an auditor issues a going-concern opinion (GCO), conditional on the client's financial situation, as an indicator of audit quality. Using a sample of 7105 financially distressed, private Belgian companies, we find that female auditors are, ceteris paribus, more likely to issue GCOs than male auditors. Our results also show that this effect is stronger when clients are either important (i.e. represent a material portion of the auditor's revenues) or high-risk (i.e. associated with increased uncertainties and risks). Collectively, these results indicate higher audit quality by female auditors.     

Consumption tax competition among governments: Evidence from the United States

The paper contributes to a small but growing literature that estimates tax reaction functions of governments competing with other governments. We analyze consumption tax competition between US states, employing a panel of state-level data for 1977–2003. More specifically, we study the impact of a state’s spatial characteristics (i.e., its size, geographic position, and border length) on the strategic interaction with its neighbors. For this purpose, we calculate for each state an average effective consumption tax rate, which covers both sales and excise taxes. In addition, we pay attention to dynamics by including lagged dependent variables in the tax reaction function. We find overwhelming evidence for strategic interaction among state governments, but only partial support for the effect of spatial characteristics on tax setting. Tax competition seems to have lessened in the 1990s compared to the early 1980s.