Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved that the estimated weights as well as the estimated performance measures are asymptotically multivariate normally distributed. We also present an asymptotic test for the weights and a joint test for the characteristics of both portfolios. Moreover, the asymptotic densities of the estimated performance measures are compared with the corresponding exact densities. It is shown that the asymptotic approximation performs well even for the moderate sample size.     

Do Overconfident Workers Cooperate Less? The Relationship Between Overconfidence and Cooperation in Team Production

The tendency to underestimate others' relative performance compared with one's own is widespread among individuals in all work environments. We examine the relationship between, and the driving forces behind, individual overconfidence and voluntary cooperation in team production. Our experimental data suggest an indirect and gender‐specific link: overconfident men hold more optimistic beliefs about coworkers' cooperativeness than men who lack confidence and are accordingly significantly more cooperative, whereas overconfidence, beliefs, and cooperativeness are not correlated in women. Copyright © 2014 John Wiley & Sons, Ltd.     

Multimedia: Forecasts of employment growth in the media and communications sector often exaggerated

Summary In the light of the probable market development of new multimedia products and services, domestic demand for media and communications goods in the year 2010 will be around three times its level at the start of the 1990s. The increase in private sector demand will be somewhat higher than general economic expansion, the rise in private household demand will be slightly higher than the growth of private consumption. This is, however, contingent on solutions being found by 1998 for the technical and regulatory questions that are as yet still unresolved. What is decisive for the pace at which the telecommunications infrastructure will develop is the degree of competitive and innovative pressure. German policy makers can contribute to this by ensuring that the (still publicly owned) Telekom AG sells off its cable TV networks. It would also seem important to restrict the time-consuming licensing procedure for broadcasting companies to programmes with a bearing on public opinion and to render the regulatory procedure more efficient by setting up a national body to perform this task.The number of employees in firms producing and distributing M&C technology will expand to a far lesser extent than domestic demand to the year 2010, largely due to productivity growth. Model calculations point to an increase of the order of 10% to around 2.1 million jobs. This means that the significant positive employment effects frequently forecast for the new M&C technologies can only come about if the potential for rationalisation inherent in these technologies is utilised throughout the economy in a rigorous fashion to raise efficiency and international competitiveness. Such competitive advantages can only be generated, however, if a broad-based application of the new multimedia is realised earlier than in Germany's leading competitors.     

Estimating cost of capital in firm valuations with arithmetic or geometric mean – or better use the Cooper estimator?

We test the extent and determinants of bias effects of the arithmetic as well as the geometric mean estimator and the estimator of Cooper [1996. Arithmetic versus geometric mean estimators: Setting discount rates for capital budgeting. European Financial Management 2 (July): 157–67] regarding discount rate estimation for firm valuation by way of a bootstrap approach for 13 different countries. The Cooper estimator is superior to both the geometric and the (conventional) arithmetic mean estimator. However, a ‘truncated’ version of the arithmetic mean estimator leads generally to better estimation outcomes than the Cooper estimator. This means that, in order to reduce problems of upward-biased firm value estimates, expected cash flows beyond a certain time horizon are completely neglected in terminal value estimation. Such an approach seems particularly reasonable for the valuation of young growth companies as well as for companies from quickly developing countries such as Brazil, China, or Thailand, because the bias in terminal value estimation is increasing in the growth rate of future expected cash flows.     

Experimental evidence of limited attention at the gym

Experimental Economics - In a randomized field experiment, we show that a low-cost intervention, weekly email reminders, increases the weekly exercising frequency of gym members by 13%, with the...     

Equity returns,bond returns,and the equity premium in the German capital market

This article reviews the empirical evidence for equity returns, bond returns, and the equity premium in the German capital market for the period from 1870 to 1995. Taken together, the studies reviewed provide convincing evidence that over longer investment periods, average equity returns have been higher than average bond returns. These excess returns, however, have been highly volatile and negative in many years, illustrating the higher risk of equity investments. Moreover, market timing had a major positive or negative impact on overall returns. Despite the historical evidence of a substantial equity premium there is still little equity investment by German households.     

Flying under the radar: The effects of short-sale disclosure rules on investor behavior and stock prices

We study how disclosure requirements for large short positions affect investor behavior and security prices. Short positions accumulate just below the applicable disclosure threshold as certain investors never disclose any of their positions. Further tests suggest that this secrecy is part of investors’ general policy of avoiding disclosure to protect their unique, profitable investment strategies against reverse engineering by competitors. No evidence supports the notion that short sellers avoid disclosure because of potential adverse effects on securities' lending fees, risk of recall, or short squeezes. Finally, the evasive behavior by short sellers in response to transparency regulations hampers price discovery.