Exclusions of infertility treatment in the aftermath of Bragdon v. Abbott

This article analyzes the Supreme Court's decision in Bragdon v. Abbott to determine whether the Court's reading of ADA necessarily leads to the conclusion that a group health plan's or insurer's exclusion or limitation of coverage with respect to infertility is prohibited by ADA. The authors conclude that it may be advisable for plans to perform at least minimal actuarial calculations with respect to the current or anticipated costs of covering infertility treatments prior to adopting any exclusions or limitations of coverage.     

A Sealed-Bid Two-Attribute Yardstick Auction Without Prior Scoring

We analyze a two-attribute single item procurement auction that uses yardstick competition to settle prices. The auction simplifies the procurement process by reducing the principal’s articulation of preferences to simply choosing the most preferred offer as if it was a market with posted prices. This is done simply by replacing the submitted sealed bids by yardstick bids, computed by a linear weighting of the other participants’ bids. We show that there is only one type of Nash equilibria where some agents may win the auction by submitting a zero price-bid. Using a simulation study we demonstrate that following this type of equilibrium behavior often leads to winner’s curse. The simulations show that in auctions with more than 12 participants the chance of facing winner’s curse is around 95 %. Truthful reporting, on the other hand, does not constitute a Nash equilibrium but it is ex post individually rational. Using a simulation study we demonstrate that truthful bidding may indeed represent some kind of focal point.     

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory in volatility and short memory in returns. We present an application to the daily CRSP value-weighted cum-dividend stock index return series from 1926 through 2006 which documents the empirical relevance of our model. The volatility-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH-type specifications according to standard criteria.     

Correlation in corporate defaults: Contagion or conditional independence?

We revisit a method used by Das et al. (2007) (DDKS) who jointly test and reject a specification of firm default intensities and the doubly stochastic assumption in intensity models of default. The method relies on a time change result for counting processes. With an almost identical set of default histories recorded by Moody’s in the period from 1982 to 2006, but using a different specification of the default intensity, we cannot reject the tests based on time change used in DDKS. We then note that the method proposed by DDKS is mainly a misspecification test in that it has very limited power in detecting violations of the doubly stochastic assumption. For example, it will not detect contagion which spreads through the explanatory variables “covariates” that determine the default intensities of individual firms. Therefore, we perform a different test using a Hawkes process alternative to see if firm-specific variables are affected by occurrences of defaults, but find no evidence of default contagion.     

Continuous‐time models,realized volatilities,and testable distributional implications for daily stock returns

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and non‐parametric jump detection statistics constructed from high‐frequency intra‐day data. A sequence of simple‐to‐implement moment‐based tests involving various transformations of the daily returns speak directly to the importance of different distributional features, and may serve as useful diagnostic tools in the specification of empirically more realistic continuous‐time asset pricing models. On applying the tests to the 30 individual stocks in the Dow Jones Industrial Average index, we find that it is important to allow for both time‐varying diffusive volatility, jumps, and leverage effects to satisfactorily describe the daily stock price dynamics. Copyright © 2009 John Wiley & Sons, Ltd.     

An investigation of cultural cohesion in a community bank

This study examines the culture of a medium-sized community bank based in the Western United States. The study aims to identify the organization's culture and then measure the level of cultural cohesion that exists three years after a major cultural campaign was launched. The cultural characteristics the organization valued most highly were integrity, willingness to serve the customer and teamwork - all components of the official bank document on culture. Interestingly, the analysis uncovered some significant value differences among different employee groups and also employees and management; differences which can affect firm performance levels. The analysis also revealed that changing the culture in an organization does not necessarily lead to cultural cohesion.     

The Effect of Marriage on Education of Immigrants: Evidence from a Policy Reform Restricting Marriage Migration*

We investigate the effect of immigrants’ marriage behavior on dropout from education. To identify the causal effect, we exploit a recent Danish policy reform that generated exogenous variation in marriage behavior by a complete abolishment of marriage migration for immigrants below 24 years. The reform influenced immigrants from countries with a high historical rate of marriage migration more than immigrants from country groups with a low rate. We find that the dropout rate for males increases by 25 percentage points as a consequence of marriage to a marriage migrant, whereas the effect for females is small and mostly insignificant.     

Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion*

Relationships between the Federal funds rate, unemployment, inflation and the long‐term bond rate are investigated with cointegration techniques. We find a stable long‐term relationship between the Federal funds rate, unemployment and the bond rate. This relationship is interpretable as a policy target because deviations are corrected via the Federal funds rate. Deviations of the actual Federal funds rate from the estimated target give simple indications of discretionary monetary policy, and the larger deviations relate to special episodes outside the current information set. A more traditional Taylor‐type target, where inflation appears instead of the bond rate, does not seem congruent with the data.     

The causal effect of board size in the performance of small and medium-sized firms

Empirical studies of large publicly traded firms have shown a robust negative relationship between board size and firm performance. The evidence on small and medium-sized firms is less clear; we show that existing work has been incomplete in analyzing the causal relationship due to weak identification strategies. Using a rich data set of almost 7000 closely held corporations we provide a causal analysis of board size effects on firm performance: We use a novel instrument given by the number of children of the chief executive officer (CEO) of the firms. First, we find a strong positive correlation between family size and board size and show this correlation to be driven by firms where the CEO’s relatives serve on the board. Second, we find empirical evidence of a small adverse board size effect driven by the minority of small and medium-sized firms that are characterized by having comparatively large boards of six or more members.