The Cross-Section of Expected Stock Returns: New Evidence from an Emerging Market

Over 300 factors have been found to explain the cross-section of expected stock returns. Empirical studies also show that findings from multifactor asset-pricing models have not been consistent in an emerging market. Using DuPont analysis and a residual income valuation model for 284 nonfinancial companies on Ho Chi Minh Stock Exchange during the period 2008–2014, findings suggest that the return on equity and its change are informative for stock returns in Vietnam. In addition, the level of capital turnover, financial cost ratio (FCR), and changes in capital and in the FCR contain incremental explanatory power for stock returns.     

Estimating dynamic R&D choice: an analysis of costs and long‐run benefits

This article estimates a dynamic structural model of discrete Research and Development (R&D) investment and quantifies its cost and long‐run benefit for German manufacturing firms. The model incorporates linkages between R&D choice, product and process innovations, and future productivity and profits. The long‐run payoff to R&D is the proportional difference in expected firm value generated by the investment. It increases firm value by 6.7% for the median firm in high‐tech industries but only 2.8% in low‐tech industries. Simulations show that reductions in maintenance costs of innovation significantly raise investment rates and productivity, whereas reductions in startup costs have little effect.     

Structural Econometrics of First-price Auctions: A Survey of Methods

Over the past decade, the structural analysis of auction data has attracted considerable attention. The structural approach relies on the hypothesis that observed bids are the equilibrium bids of the gametheoretic auction model under consideration. In this paper, we survey econometric methods that have been recently developed for estimating first-price auction models within the private value paradigm. In particular, we focus on two important issues. A first question is to know whether the structural elements of the model, mainly the underlying latent distribution of bidders private values, are identifiable from observations, usually the observed bids. A second issue concerns the estimation of the underlying density. This can be performed through different methods ranging from parametric to nonparametric ones. After a brief review of basic auction models, we first consider the simple first-price auction model with- in the symmetric independent private value paradigm with a nonbinding reserve price. In a second part, more advanced models are considered allowing for a binding reserve price, affiliation among private values, and asymmetry among bidders. The conclusion presents some future lines of research. Depuis une dizaine d'années, I'analyse structurale des mécanismes en jeu dans la conduite des enchères suscite une attention considérable. Cette démarche structurale sefonde sur I'hypothèse selon laquelle les offres observées constituent les offres à l'équilibre d'un modèle d'enchères basé sur la théorie des jeux. Dans le présent exposé, nous pas sons en revue les méthodes économétriques qui ont été mises au point ces derniéres années pour construire des modéles d'enchéres au premier prix dans le cadre du paradigme des valeurs personnelles. Nous nous intéressons en particulier à deux questions importantes: la première est de savoir si les éléments structuraux du modèle, essentiellement la distribution latente sous-jacente des valeurs personnelles des enchérisseurs sont identifiables à partir des observations, c'est-à-dire habituellement les offres observées. La deuxième question concerne l'estimation de la densité sousjacente. Elle peut se faire par différentes méthodes allant des paramétriques au non paramétriques. Après une brève revue des modèles d'enchères de base, nous considérons d'abord le modèle d'enchère, simple au premier prix dans le cadre du paradigme des valeurs personnelles indépendantes symétriques, assorti d'un prix minimum non liant. Dans la seconde partie, nous examinons des modèles plus avancés, autorisant unprix minimum liant, Vaffiliation parmi les valeurs personnelles et I'asymétrie parmi les enchérisseurs. En conclusion, nous proposons quelques avenues de recherches futures.     

Efficient estimation in dynamic conditional quantile models

In this paper we consider the problem of semiparametric efficient estimation in conditional quantile models with time series data. We construct an M-estimator which achieves the semiparametric efficiency bound recently derived by Komunjer and Vuong (forthcoming). Our efficient M-estimator is obtained by minimizing an objective function which depends on a nonparametric estimator of the conditional distribution of the variable of interest rather than its density. The estimator is new and not yet seen in the literature. We illustrate its performance through a Monte Carlo experiment.     

Econometric Analysisof Collusive Behaviorin a Soft-Drink Market

This paper proposes an empirical methodology for studying various (implicit or explicit) collusive behaviors on two strategic variables, which are price and advertising, in a differentiated market dominated by a duopoly. In addition to Nash or Stackelberg behaviors, we consider collusion on both variables, collusion on one variable and competition on the other, etc. Using data on the Coca-Cola and Pepsi-Cola markets from 1968 to 1986, full information maximum likelihood estimation of cost and demand functions are obtained allowing for various collusive behaviors. The collusive hypothesis is not rejected, and the best form of collusive behavior is selected via nonnested testing procedures. Using the best model, Lerner indices are computed for both duopolists to provide summary measures of market power. Finally, our approach is contrasted with the conjectural variation approach and is shown to give superior results.