Multiple imputation of incomplete zero‐inflated count data

Empirical count data are often zero‐inflated and overdispersed. Currently, there is no software package that allows adequate imputation of these data. We present multiple‐imputation routines for these kinds of count data based on a Bayesian regression approach or alternatively based on a bootstrap approach that work as add‐ons for the popular multiple imputation by chained equations (mice ) software in R (van Buuren and Groothuis‐Oudshoorn , Journal of Statistical Software, vol. 45, 2011, p. 1). We demonstrate in a Monte Carlo simulation that our procedures are superior to currently available count data procedures. It is emphasized that thorough modeling is essential to obtain plausible imputations and that model mis‐specifications can bias parameter estimates and standard errors quite noticeably. Finally, the strengths and limitations of our procedures are discussed, and fruitful avenues for future theory and software development are outlined.     

ASSET PRICING WITH IN- AND OUTFLOW CONSTRAINTS: THEORY AND EMPIRICAL EVIDENCE FROM SWEDEN

The paper analyzes asset pricing and portfolio choice when domestic investors collectively cannot hold foreign assets beyond a maximum value. We add the constraint that foreign investors cannot hold more than a fraction of the shares of domestic assets. Consistent with Swedish stock market data, both domestic and foreign investors pay premiums for investing in the other country's assets. Some empirical observations are inconsistent with the CAPM framework.     

Stress scenario generation for solvency and risk management

We derive worst-case scenarios in a life insurance model in the case where the interest rate and the various transition intensities are mutually dependent. Examples of this dependence are that (a) surrender intensities and interest rates are high at the same time, (b) mortality intensities of a policyholder as active and disabled, respectively, are low at the same time, and (c) mortality intensities of the policyholders in a portfolio are low at the same time. The set from which the worst-case scenario is taken reflects the dependence structure and allows us to relate the worst-case scenario-based reserve, qualitatively, to a Value-at-Risk-based calculation of solvency capital requirements. This brings out perspectives for our results in relation to qualifying the standard formula of Solvency II or using a scenario-based approach in internal models. Our results are powerful for various applications and the techniques are non-standard in control theory, exactly because our worst-case scenario is deterministic and not adapted to the stochastic development of the portfolio. The formalistic results are exemplified in a series of numerical studies.     

A structural model for early exit of older men in Belgium

In this article, we propose a structural model of the retirement decision for older workers in Belgium. We model the exit paths available through the various available schemes. Our framework allows exploiting all information on possible exit paths and also better identifying preferences and constraints. Results based upon Belgian microsimulation data from 2001 for private sector workers fits rather well-observed behavior. Simulations of hypothetical reforms illustrate the potential effects of changing social security rules.     

Managerial ability and bank‐loan pricing

This paper examines the impact of borrowers’ managerial ability on lenders’ bank‐loan pricing and the channels through which managerial ability affects bank‐loan pricing. Using a large sample of US bank loans, we provide evidence that higher managerial ability is associated with lower bank‐loan prices. This effect is stronger in firms with high information risk, suggesting that an important channel for managerial ability to affect bank‐loan pricing is through improved financial disclosure to mitigate information asymmetry. The relationship is also stronger for firms with weak business fundamentals, implying that another channel is through improved business performance. Of these two mechanisms, path analysis suggests that the business‐fundamentals mechanism is the more important channel through which managerial ability affects bank‐loan pricing.     

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent's consumption process being adapted to the filtration generated by the aggregate consumption process of the economy. The wealth processes of the agents, however, are adapted to the finer filtration generated by aggregate consumption and the conditional distribution of future aggregate consumption. Therefore, in order to achieve Pareto optimal consumption allocations, a sufficiently varied set of assets must exist such that any wealth process adapted to this finer filtration can be implemented by dynamically trading in that set of assets. We provide sufficient conditions for the existence of such a set of assets based on dynamically trading contingent claims on aggregate consumption. In addition, we give sufficient conditions for the existence of equilibria in a dynamically effectively complete market in which agents are only able to trade in contingent claims on aggregate consumption, the market portfolio of firms, and a (numeraire) zero-coupon bond. We demonstrate the role of short- and long-term contingent claims on aggregate consumption for the implementation of Pareto optimal allocations in the presence of short- andlong-term risks. In addition, in the presence of personal risks, we demonstrate the role of insurance contracts.     

Rise of strategic nets — New modes of value creation

This paper focuses on the type and management of intentionally created business networks called nets. Nets are extensively being used to achieve a variety of benefits over those of a single firm or market transaction. We propose that the effective management of different types of business net is dependent on their underlying value creation logic. Based on this notion a value creation framework of three generic net types - ‘current business nets’, ‘business renewal nets’, and ‘emerging new business nets’ - is suggested. We argue that they pose widely different conditions and requirements for net management. The management mechanisms of these basic net types are then identified and discussed. We contend that the proposed contingency framework captures the complexity and variety of the expanding strategic business nets in a more valid way than the extant classifications of network organizations. The paper contributes to the emerging theory of network management.     

Social capital in the growth of science-and-technology-based SMEs

There is increasing evidence of the positive role social capital plays in accessing resources and capabilities from and with other actors, and in establishing and maintaining business relationships. Yet, surprisingly little is known about how an organization's social capital and its utilization evolve over time. Focusing on this gap, this paper explores the role of social capital and its structural, relational and cognitive dimensions in the growth of science-and-technology-based SMEs. On the basis of our studies on social capital, entrepreneurial networks and SME growth, we develop a conceptual framework to describe their development through four overlapping phases, each of which involves different managerial tasks: innovation assessment, offering development, commercialization and rapid growth. The results of our longitudinal multiple case studies show that; (i) different types of networks and relationships are important in the transitional periods between the growth phases; and (ii) the role of social capital and its different dimensions varies in developing, maintaining and utilizing these partnerships and network relationships. These findings offer several managerial implications.     

20 YEARS AFTER: THE FALL AND RISE OF SOCIALISM IN EAST GERMANY

Twenty years after the fall of the Berlin Wall, public opinion in East Germany is dominated by a deep hostility towards free markets and an uncritical attitude towards state intervention. This article argues that the mistakes that have been made in the economic transformation of East Germany continue to have an effect to this day. Supporters of the free economy failed to explain why the grievances people faced were not caused by allegedly 'unbridled' markets, but by false policies. Hopefully, a future reunified Korea will avoid repeating these mistakes.