STRATEGIC ASSET ALLOCATION FOR LONG‐TERM INVESTORS: PARAMETER UNCERTAINTY AND PRIOR INFORMATION

We study the effect of parameter uncertainty on the long‐run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative prior we find that parameter uncertainty raises the annualized long‐run volatilities of all three asset classes proportionally with the same factor relative to volatilities that are conditional on maximum likelihood parameter estimates. As a result, the horizon effect in optimal asset allocations is much weaker compared to models in which only equity returns are subject to parameter uncertainty. Results are sensitive to alternative informative priors, but generally the term structure of risk for stocks and bonds is relatively flat for investment horizons up to 15 years. Copyright © 2013 John Wiley & Sons, Ltd.     

The Simple Analytics of Evaluating NFL Trades

Atlantic Economic Journal -     

Shrinkage Estimation Strategies in Generalised Ridge Regression Models: Low/High-Dimension Regime

In this study, we suggest pretest and shrinkage methods based on the generalised ridge regression estimation that is suitable for both multicollinear and high-dimensional problems. We review and develop theoretical results for some of the shrinkage estimators. The relative performance of the shrinkage estimators to some penalty methods is compared and assessed by both simulation and real-data analysis. We show that the suggested methods can be accounted as good competitors to regularisation techniques, by means of a mean squared error of estimation and prediction error. A thorough comparison of pretest and shrinkage estimators based on the maximum likelihood method to the penalty methods. In this paper, we extend the comparison outlined in his work using the least squares method for the generalised ridge regression.     

Distance functions,bank output,and productivity

Journal of Productivity Analysis - The current approach to determining banking productivity using multioutput distance functions or Malmquist indices is not appropriate. This problem is specific to...     

Challenges in the Portuguese textile and clothing industry: a fight for survival

The Portuguese textile and clothing industry thrived after 1960, when Portugal joined the European Free Trade Association, and it has been an important industry in Portugal in terms of value added, employment, and exports. Nevertheless, the industry has experienced significant challenges with the final integration of the apparel and textile industry into GATT on 1 January 2005, as well as the admission of relatively low-wage Bulgaria and Romania into the European Union in 2007. This paper describes recent trends in the industry between 1995 and 2016, including a substantial decrease in output after 2005 and recovery in recent years. In addition, a translog cost function is used to examine the existence of economies of scale, the relationships among inputs, and the effects of the 2005 GATT entry on the industry’s costs. The findings include strong evidence of economies of scale, consistent with the many small and mid-sized enterprises in the Portuguese textile and clothing industry. The results are also consistent with capital and labour being complementary inputs, while other input pairs are substitutes. The entry into GATT may have had a negative impact on cost, though the evidence for that effect is weak.     

A Different Perspective on the Evolution of UK Income Inequality

This paper scrutinizes the conventional wisdom about trends in UK income inequality and also places contemporary inequality in a much longer historical perspective. We combine household survey and income tax data to provide better coverage of all income ranges from the bottom to the very top (and make our estimates available to other researchers). We make a case for studying distributions of income between tax units (i.e. not assuming the full income sharing that goes with the use of the household as the unit of analysis) for reasons of principle as well as data harmonization. We present evidence that income inequality in the UK is as least as high today as it was just before the start of World War 2.     

Information Exchange and Transnational Environmental Problems

This paper analyzes information exchange in a model of transnational pollution control in which countries use private information in independently determining their domestic environmental policies. We show that countries may not always have an incentive to exchange their private information. However, for a sufficiently high degree of predictability of domestic environmental policy processes, the expected welfare from sharing information is greater than the expected welfare from keeping it private. The minimum degree of policy predictability for which information sharing occurs increases with the level of environmental risk. Intuitively, information exchange can help mitigate the perception of global uncertainty (both political and scientific) that surrounds transnational environmental problems and potentially improve welfare if policymaking processes are sufficiently aligned with evidence-based approaches (predictable).     

YouTubers’ networking activities during the 2016 South Korea earthquake

While YouTube has become an important social networking platform for risk and crisis communications, research into its role and use during environmental disasters has not been conducted. The present study investigates how Korean YouTubers reacted during the 2016 Gyeongju earthquakes. Two kinds of data were collected from the most popular YouTube clips on the earthquake (from AfreecaTV and YonHap news): the most frequently used words in the replies to the comments and the networked forums among YouTubers. Findings suggest that YouTube has become a channel for quickly increasing public awareness of crises and for promoting safety strategies. InDegree Centralization is higher in professional videos. Hierarchy measure’s value is one, which means the reply-to network is not two-way. There is sparse close-knittedness in amateur videos. Community clusters emerge in amateur videos over time. The results also reveal that YouTubers on AfreecaTV are more likely to express emotional opinions than their counterparts on YonHap news are.