An inquiry into the economic fundamentals of the Fama and French equity factors

This study investigates the economic underpinnings of the Fama and French three-factor (FF3) model. We evaluate the impact of surprises in 23 different types of macroeconomic announcements on stock returns in the framework of the CAPM and the FF3 model. The relative merit of the FF3 model is demonstrated whenever macroeconomic surprises have a smaller impact on the returns within an FF3 model versus their impact within the CAPM. In general, there is strong evidence to suggest that the FF3 model outperforms the CAPM. The relative merit of the FF3 model is highlighted by its ability to capture information related to Personal Consumption, Retail Sales, CPI, PPI, Factory Orders, Leading Indicators, Construction Spending, Housing Starts, and New Home Sales. An attribution analysis of the relative performance of SMB and HML equity factors indicate that both factors, in isolation, equally account for macroeconomic surprises. Lastly, there is evidence that the FF3 model can be marginally improved by incorporating credit variables.     

让一线管理者成为真正的领导

在那些做得最好的企业里,一线管理人员将60％～70％的时间花在工作现场．其中,有许多时间用在高质量的个人辅导上。这些企业还放权给管理人员,让他们制定决策、相机行事     

Improving sourcing decisions in NPD projects: Monetary quantification of points of difference

During new product development (NPD), firms make critical design and sourcing decisions that determine the new product's cost, performance, competitive position, and profitability. The purchase price of materials and components for the new product provides only part of the picture for design and sourcing decisions. All-encompassing analyses of cost and performance, such as total cost of ownership, are extraordinarily difficult to implement because they are demanding in terms of time, data and cooperation. We study monetary quantification of points of difference, which enables an NPD team to base its decisions instead on more focused, strategically-pertinent analyses of costs and performance. We propose a substantive model of its antecedents and consequences. We then test this model with data from matched samples of 144 project leaders and 144 cost analysts who participated in the same NPD projects. Using structural equation modeling, we also test hypothesized differences in perspectives between project leaders and cost analysts. Results demonstrate the pivotal role of monetary quantification of points of difference among the sourcing alternatives being considered, especially for cost analysts. Results also demonstrate that Decision Justification to senior management drives the NPD team's decision-making process. Finally, monetary quantification of points of difference leads to Uncertainty Reduction, which is found to be the primary antecedent of the judged success of applying analysis of cost and performance.     

Enjoy the silence: an experiment on truth-telling

We analyze experimentally two sender–receiver games with conflictive preferences. In the first game, the sender can choose to tell the truth, to lie, or to remain silent. The latter strategy is costly. In the second game, the receiver must decide additionally whether or not to costly punish the sender after having observed the history of the game. We investigate the existence of two kinds of social preferences: lying aversion and preference for truth-telling. In the first game, senders tell the truth more often than predicted by the sequential equilibrium analysis, they remain silent frequently, and there exists a positive correlation between the probability of being truthful and the probability of remaining silent. Our main experimental result for the extended game shows that those subjects who punish the sender with a high probability after being deceived are precisely those who send fewer but more truthful messages. Finally, we solve for the Perfect Bayesian Nash Equilibria of a reduced form of the baseline game with two types of senders. The equilibrium predictions obtained suggest that the observed excessive truth-telling in the baseline game can be explained by lying aversion but not by a preference for truth-telling.

---

Electronic Supplementary Material  The online version of this article () contains supplementary material, which is available to authorized users. Financial support through the Ramón y Cajal program of the Spanish Ministry of Education and Science is gratefully acknowledged. This work was initiated while the author was working at Maastricht University.     

Human Rights,Transnational Corporations and Embedded Liberalism: What Chance Consensus?

I assessed change in students’ moral reasoning following five 75-min classes on business ethics and two assignments utilizing a novel pedagogical approach designed to foster ethical reasoning skills. To minimize threats to validity present in previous studies, an untreated control group design with pre- and post-training measures was used. Training (n = 114) and control (n = 76) groups comprised freshmen business majors who completed the Defining Issues Test before and after the training. Results showed that, controlling for pre-training levels of moral reasoning, students in the training group demonstrated higher levels of post-training principled moral judgment than students in the control group.     

Price manipulation in an experimental asset market

We analyze in the laboratory whether an uninformed trader is able to manipulate the price of a financial asset by comparing the results of two experimental treatments. In the benchmark treatment, 12 subjects trade a common value asset that takes either a high or a low value. Only three subjects know the actual value of the asset while the market is open for trading. The manipulation treatment is identical to the benchmark treatment apart from the fact that we introduce a computer program as an additional uninformed trader. This robot buys a fixed number of shares in the beginning of a trading period and sells them again afterwards. Our main result shows that the last contract price is significantly higher in the manipulation treatment if the asset takes a low value and that private information is very well disseminated by both markets if the value of the asset is high. Finally, even though this simple manipulation program loses money on average, it is profitable in some instances.     

Optimal growth and uncertainty: Learning

We introduce learning in a Brock-Mirman environment and study the effect of risk generated by the planner's econometric activity on optimal consumption and investment. Here, learning introduces two sources of risk about future payoffs: structural uncertainty and uncertainty due to the anticipation of learning. The latter renders control and learning nonseparable. We present two sets of results in a learning environment. First, conditions under which the introduction of learning increases or decreases optimal consumption are provided. The effect depends on the strengths and directions of the two sources of risk, which may pull in opposite directions. Second, the effects of the mean and riskiness of the distribution of the signal and initial beliefs on optimal consumption are studied.     

Risk structure of interest rates: an empirical analysis for Deutschemark‐denominated bonds

This paper empirically studies the risk structure of interest rates for Deutschemark‐denominated bonds. For this purpose, we estimate term structures of interest rates using the parsimonious fitting function of Nelson and Siegel (1987) for virtually risk free Government bonds and five different rating categories classified by Moody's ratings (Aaa, Aa, A, Baa, Ba). The sample period covers the time interval from July 1990 to December 1996. We investigate the pricing errors resulting from our estimation procedure and analyse credit spreads over the term structure of Government bonds.     

The emergence of hybrid-electric cars: Innovation path creation through co-evolution of supply and demand

Hybrid-electric vehicles have experienced a significant rate of growth in the last 10 years. This is remarkable, since the automotive sector is typically averse to the more radical technological change of engines. The internal combustion engine has been around for more than 100 years after all.In this paper we describe and explain the emergence of electric engines in the automobile market after 1990. We explicate the role of techno-economic mechanisms alongside social and regulatory mechanisms (including the social meaning of an engine). The co-evolutionary analysis is novel in the integrated conception of actor perspectives, feedback effects and competition between products. We find three sources of lock-in through path dependency: from demand, supply as well as the regulatory side. We conclude that automotive engines were significantly locked into a trajectory of internal combustion technology due to techno-economic mechanisms, which produced inertia despite social pressures. The creation of an alternative path, on the other hand, initially stalled. Various stakeholders were unsuccessful in marketing their electric or hybrid-electric vehicles in the 1990s, such as Peugeot/Citroen with various electric models, or Audi with their Duo in 1997. However, after 2000 we find that sustaining efforts of California's Air Resources Board and Toyota were triggering creation of a new innovation path of hybrid-electric engines.