Bayesian Alphas and Mutual Fund Persistence

We use daily returns to compare the performance predictability of Bayesian estimates of mutual fund performance with standard frequentist measures. When the returns on passive nonbenchmark assets are correlated with fund holdings, incorporating histories of these returns produces a performance measure that predicts future performance better than standard measures do. Bayesian alphas based on the Capital Asset Pricing Model (CAPM) are particularly useful for predicting future standard CAPM alphas. Over our sample period, priors consistent with moderate to diffuse beliefs in managerial skill dominate more skeptical prior beliefs, a result that is consistent with investor cash flows.     

领导力技能连续体

财务领导力是个连续体,而不是一个终点。无论你处在职业生涯的什么阶段,你总有机会进一步成长并提升技能。     

MEASURING ORGANIZATIONAL DOWNSIDE RISK

Despite widespread incorporation of risk measures in strategy research, there is little consensus regarding the meaning and measurement of risk. In contrast to the variability measures widely used in strategy studies, this paper draws from behavioral decision theory, finance, and management theory to present an alternative perspective on organizational risk—downside risk. The paper explains three categories of organizational downside risk measures based on the concept of lower partial moments. The latter sections of the paper present considerations involved in specifying operational measures of downside risk and an empirical comparison of alternative downside risk measures.     

Inflation Dynamics When Inflation Is Near Zero

We discuss the likely evolution of U.S. inflation in the near and medium terms on the basis of (i) past U.S. experience with very low levels of inflation, (ii) the most recent Japanese experience with negative inflation, and (iii) some preliminary U.S. micro evidence on downward nominal wage rigidity. Our findings question the view that stable long‐run inflation expectations and downward nominal wage rigidity will necessarily provide sufficient support to prices to avoid further declines in inflation. We show that an inflation model fitted on Japanese data over the past 20 years, which accounts for both short‐ and long‐run inflation expectations, matches the recent U.S. inflation experience quite well. While the model indicates that U.S. inflation might be subject to a lower bound, it does not rule out a prolonged period of low inflation or even mild deflation going forward. In addition, micro‐level data on wages suggest no obvious downward rigidity in the firm's wage bill, downward rigidity in individual wages notwithstanding. As a consequence, downward nominal wage rigidity may not be enough to offset deflationary pressures in the current situation.     

Auditor Choice in Politically Connected Firms

We extend recent research on the links between political connections and financial reporting by examining the role of auditor choice. Our evidence that public firms with political connections are more likely to appoint a Big 4 auditor supports the intuition that insiders in these firms are eager to improve accounting transparency to convince outside investors that they refrain from exploiting their connections to divert corporate resources. In evidence consistent with another prediction, we find that this link is stronger for connected firms with ownership structures conducive to insiders seizing private benefits at the expense of minority investors. We also find that the relation between political connections and auditor choice is stronger for firms operating in countries with relatively poor institutional infrastructure, implying that tough external monitoring by Big 4 auditors becomes more valuable for preventing diversion in these situations. Finally, we report that connected firms with Big 4 auditors exhibit less earnings management and enjoy greater transparency, higher valuations, and cheaper equity financing.     

TRANSACTION COSTS AND EXPORT CHANNELS OF SMALL AND MEDIUM-SIZED ENTERPRISES: THE CASE OF KOREA

This paper develops hypotheses concerning firm- and industry-specific factors determining the relative importance to manufacturing exporters of different export channels in relatively high transaction cost Korean small and medium-sized enterprises (SMEs). Data from a Korean SME survey demonstrate the validity of several hypotheses and reveal that most sample SMEs rate the external support for international marketing rather low. The paper offers recommendations for reforming such support.     

TRANSACTION COST IMPAIRMENTS TO INTERNATIONAL TRADE: LESSONS FROM EGYPT

Increasing evidence indicates the relative importance of transaction costs in international market penetration by LDC manufactured goods exporters. This paper identifies the sources and nature of these costs and recommends policies capable of helping LDC exporters overcome transaction cost-based obstacles to such exports. Data for the analysis are from questionnaires addressed to samples of manufactures exporters and trading intermediaries in Egypt.