The jackknife and the variance part of the credibility premium

Introduction and summary

Much of the recent literature in credibility theory has concentrated on the expected value part of Bühlmann's (1970) decomposition of the credibility premium. The expected value part is the Bayes rule for the mean relative to squared error loss and its linearization does not present any problems in terms of estimating the so-called structural parameters.     

Real Estate Versus Financial Wealth in Consumption

The consumption function for the U.S. economy is estimated with real estate and financial wealth for quarterly data for 1952:1–2001:4. An additional dollar of real estate wealth increases consumption by 8 cents in the current year, as compared with only 2 cents for financial wealth. The results are consistent with theoretical bounds on the marginal propensity to consume from aggregate wealth. The decline in the stock market during 2000–2001 had a limited impact on aggregate demand in part because of an offsetting real estate wealth effect.     

Pricing Effects of the Decision to Sell or Hold Adjustable Rate Mortgage Loans in a Portfolio

Residential mortgage originators can transfer loans to ultimate lenders quickly and efficiently using the secondary mortgage market. Some adjustable rate mortgage (ARM) lenders use this outlet consistently while others hold whole loans in their portfolios on a long-term basis. Selling and holding lenders should respond to different economic factors when setting yields on ARM loans originated because their long-term positions in the loans are so diverse. This paper develops and tests a model of differential pricing behavior for selling and holding strategies. Empirical results support the notion that lenders use different factors to price loans and that these factors are related to the risks faced by the originating lender given its origination strategy. Additional findings suggest that institutional and firm-specific pricing tendencies exist in the primary mortgage market for adjustable rate debt.     

The Impact of Audit Quality Indicators on the Timeliness of Goodwill Impairments: Evidence from the German Setting

This study investigates whether goodwill impairments are perceived as timely and whether specific auditor characteristics affect the perceived timeliness. It therefore contributes to central questions in accounting research: is managerial discretion over accounting numbers (accounting choice) good or bad for stakeholders and does audit quality have an impact on this relationship? It is motivated by the IASB's post-implementation review on business combinations and the Goodwill and Impairment project based on it, the ongoing debate on the decision usefulness of impairment testing, and the question whether auditors have an impact on firms’ reporting of impairment losses. Based on a sample of German listed firms for the period 2006 to 2013, the results indicate that goodwill impairments are not recognized in a timely manner and delayed by at least one to two years. Moreover, the findings suggest that the recognition of impairment losses is influenced by auditor characteristics. In particular, firms seem to report goodwill impairments in a more timely fashion when they are audited by a Big 4 auditor, whereas the timeliness seems to decrease with a higher non-audit fee ratio and a longer auditor tenure. Moreover, additional analyses indicate that higher audit fees lead to more timely impairments.     

A geographically weighted approach to measuring efficiency in panel data: The case of US saving banks

This paper discusses a new approach to controlling for the environment when estimating efficiency. In response to the literature on the international comparison of bank efficiency, we draw the attention to a local dimension of comparison. By introducing geographical weights and estimating local frontiers for each US savings bank in the 2001–09 period, we find that the bank technical performance is higher for most banks in comparison to a fixed-effects approach. This result highlights the importance of taking into account the local environment and constraints while analyzing banks’ performance, so as not to consider the factors that are exogenous to these institutions as inefficiencies. Further analysis could improve the weighs calculation by employing other measures of interconnectedness besides geographical distance.     

Antidumping and Production-Line Exit: The Case of the US Steel Industry

We present and examine a novel data set that contains production line information inside US steel plants. We exploit this highly disaggregated data to perform the first study of entry and exit behavior at the level of the production line within individual plants. Our empirical analysis reveals a number of interesting results. First, smaller production lines are more likely to shut down, as are lines that are owned by larger firms. Younger production lines and lines that have undergone modernization are more likely to survive. Our results indicate that lines that are operated by integrated producers are more likely to exit. We find no evidence, however, that antidumping decreases the likelihood of exit, despite the steel industry’s frequent use of antidumping protection.     

Horizontal product differentiation,prices and quantity selection of a multi-product monopolist

A monopolist which serves a market in which tastes are uniformly spread along a circumference of a circle selects an optimal set of product varieties. The cost of installing an additional variety increases with the difference from the ‘main product’. It is shown that variety prices decrease and the degree of differentiation between any two varieties increases as products get more differentiated.     

The Impact of Technological Change on Work and Wages

This review begins with a discussion of how technology affects wage structures. The literature reviewed is divided into two segments—studies of the impact of technological change on wages (and growing inequality), productivity, and employment and studies of the interrelationship of technology, human resource systems, and labor productivity. We conclude with suggestions for future research topics. Overall, we find that technological change accounts for only part of the changing wage structure in the United States, whereas changes in institutional forces that affect the creation of industry rents and the distribution of rents are also an important factor.     

The effects of loan portfolio concentration on Brazilian banks’ return and risk

This paper tests whether diversification of the credit portfolio at the bank level leads to better performance and lower risk. We employ a new high frequency (monthly) panel data for the Brazilian banking system with information at the bank level for loans by economic sector. We find that loan portfolio concentration increases returns and also reduces default risk; the impact of concentration on bank’s return is decreasing on bank’s risk; there are significant size effects; foreign and state-owned banks seem to be less affected by the degree of diversification. An important additional finding is that there is an increasing concentration trend after the breakout of the recent international financial crisis, specially after the failure of Lehman Brothers.