Industrial restructuring in Russia: early reactions fo firms to the shock of liberalization1

This paper looks at the reaction of Russian firsm to the shock of liberalization. Firms are exposed to two kinds of shocks. A supply affects their profitability. A demand shock reflects the new expression of consumers and the opening of the country to foreign competition. Econometric tests show that firms adapt to these changes. They react by adjusting their output. They are not able to change their production techniques for lack of fresh capital. Employment is more stable that output: it is preserved by the adjustment of real wages. Therefore, firms with a low share of material inputs are relatively better off.     

Walking a slippery line: Investments in social values and product longevity

Corporate sponsorship of events that support social values (e.g., human rights) help firms infuse their products with symbolic meaning, prolonging their life cycle. Yet, higher product prices might spark perceptions that the firm invests in social values for calculative or opportunistic motives, in which case event sponsorship is unlikely to deliver the expected benefits in the form of product longevity. This study explores this potential tension empirically, using data related to sponsored social events, entry prices, and product longevity for a U.S. cosmetics producer. Copyright © 2014 John Wiley & Sons, Ltd.     

Life Insurance Mathematics with Random Life Tables

Abstract

When the insurer sells life annuities, projected life tables incorporating a forecast of future longevity must be used for pricing and reserving. To fix the ideas, the framework of Lee and Carter is adopted in this paper. The Lee-Carter model for mortality forecasting assumes that the death rate at age x in calendar year t is of the form exp(α_x + (β_xK_t), where the time-varying parameter K_t reflects the general level of mortality and follows an ARIMA model. The future lifetimes are all influenced by the same time index K_t in this framework. Because the future path of this index is unknown and modeled as a stochastic process, the policyholders' lifetimes become dependent on each other. Consequently the risk does not disappear as the size of the portfolio increases: there always remains some systematic risk that cannot be diversified, whatever the number of policies. This paper aims to investigate some aspects of actuarial mathematics in the context of random life tables. First, the type of dependence existing between the insured life lengths is carefully examined. The way positive dependence influences the need for economic capital is assessed compared to mutual independence, as well as the effect of the timing of deaths through Bayesian credibility mechanisms. Then the distribution of the present value of payments under a closed group of life annuity policies is studied. Failing to account for the positive dependence between insured lifetimes is a dangerous strategy, even if the randomness in the future survival probabilities is incorporated in the actuarial computations. Numerical illustrations are performed on the basis of Belgian mortality statistics. The impact on the distribution of the present value of the additional variability that results from the Lee-Carter model is compared with the traditional method of mortality projection. Also, the impact of ignoring the dependence hat arises from the model is quantified.     

Gram–Charlier densities: a multivariate approach

This paper introduces a new family of multivariate distributions based on Gram–Charlier and Edgeworth expansions. This family encompasses many of the univariate semi-non-parametric densities proposed in financial econometrics as marginal of its different formulations. Within this family, we focus on the analysis of the specifications that guarantee positivity to obtain well-defined multivariate semi-non-parametric densities. We compare two different multivariate distributions of the family with the multivariate Edgeworth–Sargan, Normal, Student's t and skewed Student's t in an in- and out-of-sample framework for financial returns data. Our results show that the proposed specifications provide a reasonably good performance, and would therefore be of interest for applications involving the modelling and forecasting of heavy-tailed distributions.     

Parasoziale Meinungsführerschaft

In a democratic society, the media operate as a public space in which political and social topics are discussed. As media communicators influence and restrict both the topics of discussion and the amount of information available from in the media, they exert a substantial influence on the recipients’ formation of political opinion. The present study examines this impact by integrating the theoretical concepts of opinion leadership and parasocial relationship, resulting in a phenomenon referred to as parasocial opinion leadership. Based on the results of a qualitative survey of recipients, the concept was then substantiated. Parasocial opinion leadership is based on viewer’s perceptions and comes into existence, if (1) a recipient ascribes certain attributes to a media communicator based on a parasocial relationship; which (2) allows for a gradual influence of the media personality on the recipient’s opinions and attitudes by fulfilling at least one of the three functions information and reduction of complexity, orientation or arousal of interest.     

Comparison of Sampling Schemes for Dynamic Linear Models

Hyperparameter estimation in dynamic linear models leads to inference that is not available analytically. Recently, the most common approach is through MCMC approximations. A number of sampling schemes that have been proposed in the literature are compared. They basically differ in their blocking structure. In this paper, comparison between the most common schemes is performed in terms of different efficiency criteria, including efficiency ratio and processing time. A sample of time series was simulated to reflect different relevant features such as series length and system volatility.     

Persistence and Kurtosis in GARCH and Stochastic Volatility Models

This article shows that the relationship between kurtosis, persistenceof shocks to volatility, and first-order autocorrelation ofsquares is different in GARCH and ARSV models. This differencecan explain why, when these models are fitted to the same series,the persistence estimated is usually higher in GARCH than inARSV models, and, why gaussian ARSV models seem to be adequate,whereas GARCH models often require leptokurtic conditional distributions.We also show that introducing the asymmetric response of volatilityto positive and negative returns does not change the conclusions.These results are illustrated with the analysis of daily financialreturns.     

The adoption of IFRS in Australia: The case of AASB 138 (IAS 38) Intangible Assets

AASB 138 Intangible Assets, adopted by reporting entities in Australia for annual reporting periods beginning on or after 1 January 2005, required derecognition of internally generated intangible assets. Prior to its adoption, the standard was widely expected to have a substantial impact on the reports of affected listed entities. On the basis of information available in the 2004/05 annual reports, this paper projects the expected effects of AASB 138 on reported intangible assets and on key financial measures. It compares these projected measures to the realised measures, reported under both Australian GAAP and AIFRS in the 2005/06 reports. While reported intangible assets and the debt to equity ratio were expected to change significantly as a result of AASB 138, the reported AIFRS results show a significant change in only the debt to equity ratio. The paper considers reasons why the pre-adoption expected changes did not eventuate, and also how the actual changes were reported to stakeholders in the management discussion sections of the annual reports. The conclusion draws implications regarding the transparency of communication in annual reports.