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21.
We introduce a risk-reduction-based procedure to identify a subset of funds with a resulting opportunity set that is at least as good as the original menu when short-sales are imposed. Relying on Wald tests for mean-variance spanning, we show that the better results for the subset can be explained by a higher concentration of covariance entries between its assets, ultimately leading to smaller Frobenius norms of the associated matrices. With data on US-defined contribution plans, where participants have limited financial literacy, tend to be overwhelmed and prefer to make decisions among fewer choices, we obtain a 75% average reduction. 相似文献
22.
We analyze the convergence rate of the quadratic tracking error, when a Delta‐Gamma hedging strategy is used at N discrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence. 相似文献
23.
Firms cluster their economic activities to exploit technological and informational spillovers from other firms. Spillovers from multinational firms can be particularly beneficial to firms in less developed economies, because technological superiority and management expertise of foreign multinational firms yield various opportunities for learning. Yet, the importance of foreign firms’ spillovers might vary with respect to two key features of domestic firms: their productivity level and their export status. In line with theories on the absorptive capacity of firms, we argue on the basis of an empirical analysis of Hungarian firms that larger and more productive firms are more able than smaller firms to reap spillovers from multinationals. However, the export status is found to be of minor importance once higher productivity is controlled for. 相似文献
24.
This paper examines the propensity of organizations to adopt technological innovations. Technological innovations evolve from the stock of skills which organizations have accumulated over time. Linkages with extramural sources of technology are presumed to be important as well. Hypotheses are tested on a sample of commercial banks. Findings show that prior experience in information technology, in tandem with a variety of interfirm linkages, will affect the banks' decision to adopt this innovation. 相似文献
25.
This paper assesses the usefulness of constant gain least squares when forecasting inflation. An out‐of‐sample forecast exercise is conducted, in which univariate autoregressive models for inflation in Australia, Sweden, the United Kingdom and the United States are used. The results suggest that it is possible to improve the forecast accuracy by employing constant gain least squares instead of ordinary least squares. In particular, when using a gain of 0.05, constant gain least squares generally outperforms the corresponding autoregressive model estimated with ordinary least squares. In fact, at longer forecast horizons, the root mean square forecast error is reliably lowered for all four countries and for all lag lengths considered in the study. 相似文献
26.
Foad Farid 《工程经济学家》2013,58(2):122-129
The federal, state, and local income tax rates can be combined into a single composite income tax rate. Such a composite tax rate significantly simplifies the consideration of income taxes in economic analyses. The composite tax rate can vary by as much as 6 percent from one state to another. Thus, managers should carefully consider the state and local income tax laws in their economic studies. 相似文献
27.
Cultural proximity and trade 总被引:3,自引:0,他引:3
Cultural proximity is an important determinant of bilateral trade volumes. However, empirical quantification and testing are difficult due to the elusiveness of the concept and lack of observability. This paper draws on bilateral score data from the Eurovision Song Contest, a very popular pan-European television show, to construct a measure of cultural proximity which varies over time and within country pairs, and that correlates strongly with conventional indicators. Within the framework of a theory-grounded gravity model, we show that our measure positively affects trade volumes even if controlling for standard measures of cultural proximity and bilateral fixed effects. 相似文献
28.
Gravity equations explaining foreign affiliates' sales are ad hoc and hence estimated coefficients are hard to interpret. We therefore provide the theoretical underpinnings of the gravity equation applied to the analysis of sales of foreign affiliates of multinational firms. We argue that the success of the gravity equation results from the fact that it can be derived from various theoretical models. We illustrate this point by deriving a gravity equation from three different models of multinational firms. Using data on real affiliate sales, we show how the gravity equation can nevertheless be used to discriminate between the different theoretical models. 相似文献
29.
This paper has two related objectives. First, it seeks to identify the key determinants of some policies that have been at the heart of the reforms of the telecommunications industry in developing countries, namely, liberalization, privatization, and the (re)structuring of regulation. Second, it attempts to estimate the extent to which these policies have translated into actual deployment of telecommunications infrastructure. This simultaneous investigation is conducted by means of an econometric analysis of a 1985-1999 time-series-cross-sectional database on 86 developing countries. Sectoral as well as institutional and financial factors are found to be important determinants of the actual reforms implemented. We uncover a positive relationship between the decision to introduce competition in the digital cellular segment and the growth of the fixed-line segment, suggesting that these two segments have benefited from each other. We also find that countries facing increasing institutional risk and financial constraints are more likely to introduce competition in the digital cellular segment and to privatize the fixed-line incumbent, these policies being economically attractive to both investors and governments. In turn, these policies are those that enhance the deployment of fixed-line infrastructure. In contrast, competition in the analogue cellular segment and the creation of a separate regulator seem to be relatively less attractive policies as they are found to be less likely to be introduced in countries facing increasing institutional risk and budget constraints. Their impact on fixed network deployment is found to be negative or non significant. 相似文献
30.
Ali Irannezhad Ajirlou Maryam Esmalifalak Sahar Pordeli Behrouz Farid Soltanalizadeh 《Journal of Behavioral Finance》2019,20(2):239-254
The authors show that a simple mood-separable preference in a network study of stock returns captures a variety of stylized facts regarding stocks’ provisional (ab)normal behavior. These behaviors are articulated in a multistate complete Euclidean network model that specifies the existence, direction, and magnitude of a self-organized dynamics for each individual stock during abnormal market moods. In the empirical setting, the authors apply suggested model along with 2 established visual approaches (multidimensional scaling and agglomerative hierarchical clustering) for benchmark purposes. Results reveal different levels of erratic return dynamics for each stock and the entire market in different abnormal market moods. The authors model and interpret these self-organized dynamics as evidence of stocks’ and market’s bipolar behavior. 相似文献