Measuring retail productivity: monetary vs physical input measures

The issue of productivity measurement has been extensively debated in the literature. However, no consensus on the proper measures of retail inputs has emerged. The purpose of this research was to examine the use of monetary versus physical measures of productivity inputs using Cobb-Douglas production functions. The results indicate that the elasticity estimates of monetary measures are empirically equal to physical measures of retail input. The findings further suggest that monetary measures are appropriate when market imperfections are controlled. In addition, it is suggested that physical measures of retail inputs fail to capture the heterogeneity of units when used at aggregated levels. This paper concludes by providing a platform for further discussion on retail productivity measurements.     

The impact of Investors in People: a case study of a hospital trust

This article reports on case study research conducted in a hospital trust and explores the impact that the Investors in People award had on employees. Investors in People is widely seen as the principal mechanism for increasing workforce skills within a voluntarist system as well as supporting ‘good’ employment policies. Yet in this case study, as elsewhere, most of the ‘soft’ HR initiatives had existed prior to accreditation and the internal marketing of corporate value statements was met with both amnesia and cynicism. More worrying, training activity was focused on ‘business need’, which was defined in the narrowest sense, with the result that some employees had fewer opportunities for individual development. Motivation and commitment levels were high, staff were enthusiastic about their work and many actively engaged in training and development. But this owed little to Investors in People, and its impact here raises questions about its influence on skill levels more broadly.     

Examining the forward pricing function of the Australian equity index futures contract

The relationship between the Australian equity index futures and spot prices is examined. Tests indicate that futures prices with one, two and three months to maturity are unbiased predictors of the spot and hence provide an efficient hedging mechanism for Australian equity index market participants, while six‐, nine‐ and twelve‐month futures prices are biased predictors of spot prices, indicating that speculative opportunities may exist in futures contracts for these time spreads. An analysis of the short‐run dynamic properties of the long‐run equilibrium relationship found that for all time spreads the futures prices respond to changes in the long‐run equilibrium, and for the twelve‐month contract, both futures and spot prices adjust to return to the long‐run equilibrium.     

Multivariate Shrinkage for Optimal Portfolio Weights

Abstract

This paper proposes a multivariate shrinkage estimator for the optimal portfolio weights. The estimated classical Markowitz weights are shrunk to the deterministic target portfolio weights. Assuming log asset returns to be i.i.d. Gaussian, explicit solutions are derived for the optimal shrinkage factors. The properties of the estimated shrinkage weights are investigated both analytically and using Monte Carlo simulations. The empirical study compares the competing portfolio selection approaches. Both simulation and empirical studies show that the proposed shrinkage estimator is robust and provides significant gains to the investor compared to benchmark procedures.     

Large shareholders and firm value: Are high-tech firms different?

This paper explores the relationship between ownership structure and firm value in firms listed on the Warsaw Stock Exchange. The results of the estimations, taking into account simultaneity and reverse causality, show that the relationship between ownership concentration and firm value differs across firms belonging to the sector of innovative technologies and more ‘mature’ firms. The results give support to the hypothesis that ‘mature’ firms with higher ownership concentration are likely to perform better than firms with more dispersed ownership. In contrast, in high-tech companies, with large share of knowledge related activities, higher ownership concentration is associated with lower firm value. This effect is robust to various alternative specifications.     

The relationship between accounting numbers and returns: some empirical evidence from the emerging market of the Czech Republic

Generally, stock prices reflect future expectations of earnings, whereas accounting data reflect past performance. This paper attempts to discover the relationship between accounting data and market price returns of the companies listed on the Prague Stock Exchange (PSE). The Prague Stock Exchange was established in 1993 and provides an opportunity to make a comparison between a newly established market and the findings of studies of established markets. There has been a wealth of publications and accounting research studies on developed markets. Generally, accounting attributes are thought to be relevant because they tend to be contemporaneously statistically associated with stock prices. Some studies have suggested, and empirically tested, that stock prices lead earnings (e.g. Collins et al., 1987; Kothari, 1992; Kothari and Sloan, 1992; Kothari and Zimmerman, 1995). This study tests the existence of such a relationship in the Czech capital market, relying partially on the methodology proposed by Kothari and Sloan (1992) and Kothari (1992). This paper investigates whether there is a statistically significant permanent relationship between returns and accounting data on the Czech market. The study was conducted using accounting earnings and stock prices during the period 1993–8. The empirical evidence here suggests that a similar relation exists on the emerging Czech market. The relation is statistically significant for measurement windows of one year and longer. The increase in the mean response coefficient, reported later in this study, suggests that one-leading-year returns are as important as contemporaneous returns in terms of their sensitivity to annual earnings changes. However, one cannot infer with a degree of confidence that the Czech capital market views earnings changes to be largely permanent, which would be consistent with the time-series properties of annual earnings.     

Distributional properties of portfolio weights

In this paper, we prove several distributional properties for optimal portfolio weights. The weights are estimated by replacing the parameters with the sample counterparts. All results for finite samples are made assuming normally distributed returns. We calculate the exact covariances for the weights obtained by the expected quadratic utility. Additionally we derive the multivariate density function of the global minimum variance portfolio and the univariate density of the tangency portfolio. We obtain the conditional density for the Sharpe ratio optimal weights and show that the expectations of the Sharpe ratio optimal weights do not exist. Moreover, we determine the asymptotic distributions of the estimated weights assuming that the returns follow a multivariate stationary Gaussian process.     

Qualitative Research in the Service of Understanding Learners and Users of Statistics

This paper seeks to add to a scholarly dialogue regarding the role and value of qualitative techniques in research on learning and using statistics. The paper briefly outlines some of the core assumptions of qualitative research methods, and presents four examples to illustrate selected qualitative methods that are used by educational researchers and service organizations. The discussion emphasizes the need to integrate quantitative and qualitative approaches in research on learners and users of statistics, and suggests that such integration may be needed to study emerging web-based communities of learners and users of statistics.     

The linear dynamic lot size problem with minimum order quantity

This paper continues the analysis of a special uncapacitated single item lot sizing problem where a minimum order quantity restriction, instead of the setup cost, guarantees a certain level of production lots. A detailed analysis of the model and an investigation of the particularities of the cumulative demand structure allow us to develop a solution algorithm based on the concept of atomic sub-problems. We present an optimal solution to an atomic sub-problem in an explicit form and prove that it serves as a construction block for the optimal solution of the original problem. Computational tests and a comparison with a published algorithm confirm the efficiency of the solution algorithm developed here.