Why is timing perverse?

The existence of negative market timing, even for passive portfolios, poses a relevant puzzle when assessing portfolio management. In this paper, we develop a simple theoretical model so as to explain why such perverse market timing might occur and why those stocks with the lowest beta in upward markets exhibit pronounced negative timing. Our explanation is based on the existence of higher correlations of stocks in down markets than in up markets. We find that changes in beta, which drives timing, has four components; however, just two of these, mean covariance shift and covariances dispersion map, serve to explain the asymmetric behavior across stocks. We find that a high percentage of the negative market timing ability identified for mutual funds in the literature could be explained by this bias.     

DOES MOTHER'S EDUCATION MATTER IN CHILD'S HEALTH? EVIDENCE FROM SOUTH AFRICA1

Using the 1993 South Africa Integrated Household Survey, this paper studies the effect that mother's education through the knowledge channel has on children's health using height for age Z‐scores as health measure. Under a two‐stage least square methodology we find that an increase in 4 years on mother's education (approximately 1 standard deviation) will lead to an increase of 0.6 standard deviations on her child's height for age Z‐score. We also find, as the medical literature suggests, support for the hypothesis that mother's education is more important for children older than 24 months of age.     

Tax incentives… or subsidies for business R&D?

We study whether firms’ actual use of R&D subsidies and tax incentives is correlated with financing constraints -internal and external- and appropriability difficulties and investigate whether both tools are substitutes. We compare the use of both policies by SMEs and by large firms and find significant differences both across instruments and across firm size. For SMEs, financing constraints are negatively correlated with the use of tax of credits, while they are positively associated with the likelihood of receiving a subsidy. The use of legal methods to protect intellectual property is positively correlated with the probability of using tax incentives, but not with the use of subsidies. For large firms external financing constraints are correlated with instrument use, but results regarding appropriability are ambiguous. Our findings suggest that (1) direct funding and tax credits are not perfect substitutes in terms of their ability to reach firms experiencing barriers associated to market failures; (2) one size may not fit all in innovation policy when the type or intensity of market failure differs across firm size, and (3) subsidies may be better suited than tax credits to encourage firms, especially young knowledge-based firms, to start doing R&D.     

A parsimonious model to forecast financial distress,based on audit evidence

This paper provides evidence that audit reports convey relevant evidence for inferring the existence of underlying, unrevealed, financial imbalances. Unlike previous works, which studied US listed-firms bankruptcy, our research deals with Spanish non-financial SMEs under financial stress. Our results indicate that the audit of distressed SMEs has several distinctive features: higher auditor rotation, more qualified reports, and non-compliance with deadlines to approve and file the annual financial statements. We use this evidence to build and test a parsimonious and reliable forecast model. Several implications for auditors’ independence, information quality, and failure forecast are discussed.     

The transmission mechanism in a changing world

The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European economies. These factors are identified through the use of generalized impulse response functions conditioned on histories defined by an abrupt transition VAR. The chosen transition variables comprise changes in exchange rates, financial prices, international capital flows, trade links and monetary policy instruments. Besides the identification of asymmetric responses, the proposed model is useful in analyzing the strong effect of the recent US recession on the European economies and changes in business cycle synchronization over time. Copyright © 2007 John Wiley & Sons, Ltd.     

Optimal designs for generalized linear models with biased response

This paper is concerned with the search for locally optimal designs when the observations of the response variable arise from a weighted distribution in the exponential family. Locally optimal designs are derived for regression models in which the response follows a weighted version of Normal, Gamma, Inverse Gaussian, Poisson or Binomial distributions. Some conditions are given under which the optimal designs for the weighted and original (non-weighted) distributions are the same. An efficiency study is performed to find out the behavior of the D-optimal designs for the original distribution when they are used to estimate models with weighted distributions.     

The Importance of Internal Resources and Capabilities and Destination Resources to Explain Firm Competitive Position in the Spanish Tourism Industry

This study draws on the Resource‐Based View to analyze the effects of distinctive competences in tourism firms and location in a tourism district on competitive position, and explores the moderating effects of the tourism destination. Multiple linear regression was used to test the research hypotheses on a sample of 1019 Spanish tourism firms. Results reveal that financial resources and dynamic and production capabilities favor a better competitive position for tourism firms in general; however, coordination and marketing capabilities are key factors for firms embedded in a tourism district, while dynamic capabilities have a negative effect in this case. Copyright © 2015 John Wiley & Sons, Ltd.     

Ramsey policies in a small open economy with sticky prices and capital

This paper analyzes jointly optimal fiscal and monetary policies in a small open economy with capital and sticky prices. We allow for trade in consumption goods under perfect international risk-sharing. We consider balanced-budget fiscal policies where authorities use distortionary taxes on labor and capital together with monetary policy using the nominal interest rate. First, as long as a symmetric equilibrium is considered, the steady state in an open economy is isomorphic to that of a closed economy. Second, sticky prices’ allocations are almost indistinguishable from flexible prices allocations both in open and closed economies. Third, the open economy dimension delivers results that are qualitatively similar to those of a closed economy but with significant quantitative changes. Tax rates are both more volatile and more persistent to undo the distortions implied by terms of trade fluctuations.     

Do stable strategic time periods exist? Towards new methodological and theoretical insights

This paper investigates a fundamental issue in the current research on strategic groups: the existence or non‐existence of the so‐called ‘stable strategic time periods’ (SSTPs). Our study provides new evidence by adding new methodological and theoretical insights. The research setting is the Spanish banking industry over a 15‐year period, 1983–1997. Unlike all prior longitudinal research that found SSTPs, the multi‐method procedure that we used in this study (i.e. equality of variance and covariance matrix and mean vector of strategic variables and a subsequent grouping analysis performed through the MCLUST) has led us to reject the existence of SSTPs in the industry under study. Based on these original findings, we conclude by suggesting a proposition which should be corroborated in future empirical studies on strategic groups. Copyright © 2007 John Wiley & Sons, Ltd.