SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE

This paper presents a new measure of skewness, skewness‐aware deviation, that can be linked to prospective satisficing risk measures and tail risk measures such as Value‐at‐Risk. We show that this measure of skewness arises naturally also when one thinks of maximizing the certainty equivalent for an investor with a negative exponential utility function, thus bringing together the mean‐risk, expected utility, and prospective satisficing measures frameworks for an important class of investor preferences. We generalize the idea of variance and covariance in the new skewness‐aware asset pricing and allocation framework. We show via computational experiments that the proposed approach results in improved and intuitively appealing asset allocation when returns follow real‐world or simulated skewed distributions. We also suggest a skewness‐aware equivalent of the classical Capital Asset Pricing Model beta, and study its consistency with the observed behavior of the stocks traded at the NYSE between 1963 and 2006.     

Does pre‐packed bankruptcy create value? An empirical study of postbankruptcy employment retention in The Netherlands

In recent years, there has been growing interest in whether pre‐packed bankruptcy can be a mechanism through which firms facing imminent insolvency can preserve value. Although an extensive body of literature exists on “pre‐packs,” whether such techniques really preserve value remains ambiguous. By analysing bankruptcy proceedings filed with Dutch courts in the period 2012–2018 through the lenses of real options and debt overhang theory, we examined employment retention postbankruptcy as a consequence of the type of bankruptcy proceeding (pre‐packed bankruptcy and conventional bankruptcy) and the severity of prebankruptcy financial distress. The results show that in the Netherlands, a pre‐packed bankruptcy, when compared with a conventional bankruptcy proceeding, positively impacts employment retention rates after bankruptcy. The severity of financial distress before bankruptcy does not affect employment retention rates postbankruptcy. This implies that despite the amount of resource slack, the preservation of employee value is better served under a pre‐packed bankruptcy than a conventional bankruptcy proceeding. This finding is important for insolvency practice, as up to 22 June 2017, employee rights in the Netherlands (including redundancy) were not considered to be automatically transferred to the firm acquiring the bankrupt debtor's assets when a pre‐packed bankruptcy was applied. Implications for insolvency regulation and practice are discussed.     

Effects of Environmental Regulations on Trade Flow in Manufacturing Sectors: Comparison of Static and Dynamic Effects of Environmental Regulations

This study analyzes environmental regulations and trade performance in manufacturing sectors under static and dynamic conditions. We investigate environmental innovation induced by environmental regulations and the spillover effect on manufacturing sectors, determine whether the spillover effect offsets any negative effect found under static conditions and analyze environmental regulations on the import side. For this, we formulate a trade model that incorporates the environmental innovation equation. We analyze environmental tax, energy tax and the Emissions Trading System (ETS) using strong, balanced panel data from 19 OECD countries for 1996–2009. The results reveal that the static effect of energy tax on exports is negative, but the dynamic effect is positive; however, the positive effect does not offset the negative effect. In short, environmental tax and energy tax decrease the international competitiveness of the manufacturing sectors. Environmental tax and energy tax limit imports, especially in the high‐energy consumption group. The analyses of the ETS further complicate the overall picture. It shows that the further research on the effects of ETS on manufacturing firms' competitiveness over their foreign competitors in the global is required. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment     

Implicit deposit insurance and deposit guarantees: Characteristics of Australian bank risk premia

This paper examines the hypothesis that CD issue yields of Australian banks incorporate a premium that reflects bank risk. Our empirical analysis of Australian banks' CD premiums suggests the data is consistent with this hypothesis and hence supports the view that CD holders do not perceive their deposits as being risk-free. Nor do we find any statistically significant difference between the premiums paid by private banks with implicit deposit insurance vis-a-vis those paid by government-owned banks with explicit government guarantees.     

Issues in diversity in recreation and leisure studies: perspectives from US educators at a public institution of higher education

The value of academic and professional role models cannot be overestimated for today's college and university students of all races. Students are the generational link in the perpetuation of the leisure services profession and 'belong' to the profession via their initial enculturation in educational encounters. Accredited programmes in leisure studies at comprehensive US public colleges have missions that mandate attention to diversity. The following article integrates and synthesizes thought from the most contemporary literature on diversity in higher education, and writings in the discipline of recreation and leisure studies. The authors describe how the instruction of students in leisure studies programmes can benefit from faculty/staff who either represent, or deliberately emphasize, diversity. Positive potential outcomes are presented as they enhance the act of teaching and the process of learning for recreation and leisure studies majors in an increasingly complex, multicultural world.     

Road traffic injuries in Mozambique

Road traffic injuries affect the economy, health and quality of life of the people of Mozambique. Current road safety programmes are inadequate and inefficient given the magnitude of the problem. Data reported on road traffic crashes in the period 1990 to 2000 from the National Institute for Road Safety, the traffic police and the Central Hospital of Maputo were reviewed. The burden of road traffic injuries in Mozambique is rising, with at least three people killed daily. The age group most affected is 25-38 (39.35%), followed by 16-24 (20.79%). The main causes of crashes include reckless driving, drunken driving, roads with potholes, inadequate signs, lack of protection for pedestrians, and inadequate traffic law enforcement. However, the data are not adequate to reveal the true magnitude of the problem. Data collected by different sources are incomplete and not coordinated with other sources and databases. In urban areas, however, better response to crashes, treatment of the injured, reporting and data collection is attributable to a greater concentration of police and medical facilities. Road traffic safety programmes in Mozambique are inadequate and inefficient, starting with the data collection system. Improvement of injury surveillance systems is needed to help make road traffic safety a national development agenda priority and for developing and implementing road safety policies. For road safety programmes to be effective, government must facilitate stakeholders’ involvement, and the clear definition of government activities, civil society activities and public-private partnerships need to be established.     

The Seven Faces of Singaporeans: A Typology of Singapore Consumers and Their Aspirations and Life Satisfaction

A large-scale representative survey was conducted to examine lifestyle patterns of Singaporeans. The data were analyzed using a three-step approach. First, the underlying dimensions of Singaporeans' value system were identified using factor analysis. Based on 45 lifestyle and value items, six factors were obtained. The analysis suggests that the value system of Singaporeans can be described using the following six factors: (1) family values, (2) entrepreneurial spirit, (3) status, (4) traditional values, (5) materialism, and (6) society orientation. Second, these six factors were then utilized to identify clusters of Singaporeans with similar value profiles. The cluster analysis identified the following seven major groups of Singaporeans: (1) Traditional Family Oriented, (2) New Age Family Oriented, (3) Entrepreneurs, (4) Aspirers, (5) Materialists, (6) Pragmatists, and (7) Independents. Finally, to examine whether the identified value-based clusters could also be differentiated in terms of key demographic variables, a discriminant analysis was conducted. The results showed that the seven clusters had distinctive patterns along demographic variables. The examination of the aspirations and life satisfaction of the clusters showed that significant differences did exist among themselves. These differences in aspirations and life satisfaction were consistent with the traits and attitudes of the respective clusters and provided ample support to the grouping of the clusters.     

By chance or by choice? Biased attribution of others’ outcomes when social preferences matter

Experimental Economics - Decision makers in positions of power often make unobserved choices under risk and uncertainty. In many cases, they face a trade-off between maximizing their own payoff and...     

Policies to enhance social development through the promotion of SME and social entrepreneurship: a study in the Colombian construction industry

Abstract

The intent of this research is to propose and analyse a set of policies in the construction industry to enhance social development. First, the paper shows the connections between the development of small and medium enterprises (SMEs) and social entrepreneurship (SE), the reduction of the leakage, and then the generation of social value (SV) for sustainable regional development. For that, the article analyses briefly the literatures on SE and leakage, and focuses on the relevance of SME and social entrepreneurs as promoters of SV creation and development. Second, the paper proposes a framework and proposes a set of 20 policies aimed to reduce leakage, reinforce SMEs and entrepreneurship and also to promote SE behaviour by the diverse economic agents in the construction industry, in order to increase the generation of SV and sustainable development. Then, the paper analyses the acceptability, feasibility and viability of these proposed polices, which can be useful for academics and practitioners. For that, the study uses the Delphi methodology, applied to an expert-group of 23 professionals (representatives of the private and public sector) belonging to the Colombian construction industry. The results emphasize the relevance of the development of local incumbents and the social focus of firms to increase the generation of SV. Oppositely, policies interfering economic freedom and free trade receive the lowest rates in the three criteria considered.