Do momentum-based strategies work in emerging currency markets?

Existing studies on the profitability of trading rules in the currency market focus mainly on the currencies of developed countries. The profitability of technical trading rules on the currencies of emerging economies is surprisingly understudied. This paper evaluates the profitability of technical trading rules in emerging currency markets. Similar to Okunev and White [Okunev, J. and White, D., (2003) “Do Momentum-based Strategies Still Work in Foreign Currency Markets?” Journal of Financial and Quantitative Analysis 38, 425–447.], 354 long/short moving average rules for six currencies are investigated. It is found that investing in emerging currencies can generate a considerable annual return of over 20%, even after a 5% annual transaction cost is imposed. The trading-rule profits are relatively stable across the 20 year sample period. Furthermore, the impact of financial crises on the trading-rule returns is also examined. It is found that the profitability of the trading rules is improved after the crises.     

The influence of strategic patterns of internationalization on the accuracy and bias of earnings forecasts by financial analysts

This paper examines how financial analysts’ earnings per share forecasts are affected by strategic patterns that multinational firms have used to expand abroad. Prior empirical studies have examined a firm's internationalization level as a one-dimensional construct involving increased task complexity for financial analysts’ forecasting and therefore resulting in lower accuracy and greater optimistic bias in earnings forecasts. In contrast, we use two strategic patterns of internationalization associated with geographic dispersion and cross-border integration to characterize a firm's international strategy, and find different empirical results using a sample of U.S. public companies with domestic and international operations. The empirical evidence suggests that geographic dispersion contributes to increases in forecasting accuracy and decreases in optimistic bias. Further, the results support that cross-border integration leads to decreases in forecasting accuracy. The two strategic patterns of internationalization are a consequence of managerial choices and therefore these results are important for managers, investors and shareholders as they help explain the linkages between international strategies and earnings forecasts by financial analysts.     

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

This paper considers Maximum Likelihood (ML) based estimation and inference procedures for linear dynamic panel data models with fixed effects.     

Coping with risk: analysis on the importance of integrating social perceptions on flood risk into management mechanisms – the case of the municipality of Águeda,Portugal

The paper reflects on how populations prone to flood risk perceive such hazards and the way this perception has or has not been incorporated into the measures and mechanisms of flood risk management. The frequent occurrence of flooding, as well as the population's vulnerability and exposure to this risk, shows that the municipality of Águeda is a paradigmatic case for analysis of these issues. Similar to the rest of the country, the municipality of Águeda has been neglecting the multidimensional nature of flood risk. The data collected present some disparity between the proposals and technical perspectives regarding the management and mitigation of flood risk and the perception of local populations. In addition, neither knowledge of social perception of flood risk nor of the local communities is being integrated in a substantial and pro‐active way, whether in the processes of policy‐making or in the implementation of these policies. Empirical evidence equally shows that there is a clear tendency towards acceptance and coping with flood risk by the population in the municipality of Águeda. This seems to be connected to the local populations' recognition that though it is impossible to eliminate risk, there are at the same time advantages to occupying the floodplains.     

Location factors of international R&D activities: an econometric approach

A model is developed of the relation between adoption of an innovation by firms and firm size. Decision making is represented as a group assessment of the perceived ratio between expected returns after succesful introduction, and the risk that implementation will fail or will last too long to makc adoption worth while. In view of differences in thc assessment of uncertainty and corresponding demands on the perceived return-to-risk ratio, among influencers of decisions in the firm, decision making is taken as stochastic, with a probability of adoption related to (objective) net benefits, and probability of non-adoption related to risk. The model gives a new way of looking at the fact that small firms lag behind in the adoption of new technology. In contrast with previous models proposed by David and Davies the explanation has nothing to do with there being some critical size below which adoption is not profitable. The present model explains the adoption lag for smaller firms as the result of expected returns being proportional to size while risk of failed implementation is independent of size. The model is tested and estimated empirically on data for the adoption of computers in small scale retailing, in the Netherlands.     

Co-operation in the Dutch Container Transport Industry

During the last 25 years, co-operation within the Dutch container transport industry has served in various ways as Q means of reducing rkk. Co-operation has been aimed chiefly at reducing financial risks, pooling financial resources, and regulating com- petition. In most cases, a direct solution of the problem of match- ing supply and demand has not been an important motive for CO- operation. In the early days of containerisation, industry culture was facilitating co-operation in liner shipping more than in the stevedoring and road haulage industries.     

Firm size distribution under horizontal and vertical innovation

This paper studies the firm size distribution arising from an endogenous growth model of quality ladders with expanding variety. The probability distribution function of a given cohort is a Poisson distribution that converges asymptotically to a normal of log size. However, due to firm entry propelled by horizontal R&D, the total distribution—i.e., when the entire population of firms is considered—is a mixture of overlapping Poisson distributions which is systematically right skewed and exhibits a fatter upper tail than the normal distribution of log size. Our theoretical results qualitatively match the empirical evidence found both for the cohort and the total distribution, and which has been presented as a challenge for theory to explain. Moreover, by obtaining a total distribution with a gradually increasing average over a long time span, the model is able to address complementary empirical evidence that points to a total distribution subtly evolving over time.     

Measuring peer effects in the Brazilian school system

Using the identification strategy proposed by Graham and Hahn (2005), we estimate the magnitude of classmate effects on math scores using Brazilian data from 2005. In addition, we provide a detailed discussion about the identification of endogenous peer effects in the linear in means models. Our results show that both peer characteristics (exogenous peer effects) – like race, socioeconomic status and gender – and peer actions (endogenous peer effects) are important determinants of students’ outcomes in the fifth grade of elementary school. Our estimates of endogenous peer effects are about 0.008 of 1 SD of math test scores, which can be interpreted as evidence of a so-called ‘conformist’ individual behaviour, under which students face large costs to exert effort levels that are distant from what is believed to be the norm in the classroom. Those estimates of endogenous peer effects imply a social multiplier of about 1.67.     

Inherited agglomeration effects in hedge fund spawns

This paper studies inherited agglomeration effects, which we define as human capital that managers acquire while working in an industry hub that may be transferred to a spinoff. We test for inherited agglomeration effects in the hedge fund industry and find that hedge fund managers who previously worked in New York and London outperform their peers by about one percent per year. The results are driven by managers who worked in investment management positions previously, and are at least as large as traditional agglomeration effects that arise from being located in an industry hub contemporaneously. The evidence suggests that inherited agglomeration effects are an important, but as yet overlooked, factor influencing the performance of new firms. Copyright © 2013 John Wiley & Sons, Ltd.