The role of multivariate skew-Student density in the estimation of stock market crashes

By combining the multivariate skew-Student density with a time-varying correlation GARCH (TVC-GARCH) model, this paper investigates the spread of crashes in the regional stock markets. The regional index series of European, USA, Latin American and Asian markets are modeled jointly, and the maximum likelihood estimates show that a TVC-GARCH model with multivariate skew-Student density outperforms that with multivariate normal density substantially. Depending on the past information set, the conditional 1-day crash probabilities are computed, and the forecast performances of the TVC-GARCH model with both multivariate skew-Student and normal densities are evaluated. In both bilateral and global environments, multivariate skew-Student density has better predictive accuracy than normal density. In global crash probability forecasts, multivariate skew-Student density attains much higher hit rate and Kuipers score than multivariate normal density, thus it can be used to improve early-warning systems.     

Endogenous categorization of the human development

The human development index (HDI) is one of the most well-known measures of welfare. We apply clustering techniques to endogenously determine how similar countries are with respect to the HDI, and into how many categories they can be classified. We find that, in contrast to the usual assumption in the United Nations’ Human Development Reports, the number of categories is not fixed and has varied over time, from three in 1990 to four in 2014. We also find that the countries within each category differ from the United Nation’s proposal.     

The Extent of Nontariff Barriers to Industrial Countries' Imports

This article examines the extent of nontariff barriers (NTBS)to the visible imports of sixteen industrial countries. It userthree alternative measures to show that governmental commodity-specificborder measures affect more than 27 percent of all imports andmore than 34 percent of imports from developing countries. Italso shows that during the period from 1981 to 1983, NTBS becamesignificantly more extensive. Detailed statistics reveal considerablevariations in NTB coverage by commodity, type of barrier, importer,and exporter. The data on which these conclusions are basedwere compiled from official information at the highest levelof disaggregation and are described in the article.     

Wages,prices, and technology in early Catalan industrialization

Catalonia was the only Mediterranean region among the early followers of the British industrial revolution. The roots of this process can be traced back to the seventeenth and eighteenth centuries when the Catalan economy became integrated into international trade, and a successful printed calico industry concentrated in the city of Barcelona. Although the factory system was largely adopted by the cotton industry in the 1840s, the diffusion of the spinning jenny in Catalonia had occurred earlier, in the 1790s. In line with Allen, this article explores whether relative factor prices played a role in the widespread adoption of the spinning jenny in Catalonia. First, series of real wages in Barcelona are supplied for the period 1500–1808. Second, the prices of labour and capital are compared and the potential profitability of the adoption of the spinning jenny is analysed. Findings show that although Catalonia was not a high wage economy in the way that Britain was in the second half of the eighteenth century, evidence from the cotton spinning sector confirms the relevance of relative factor prices in the adoption of new technology. Within the booming cotton sector after the 1780s, high wages created strong incentives for the adoption of the labour‐saving spinning jenny.     

Cap-and-Trade and Financial Constraints: Is Investment Independent of Permit Holdings?

We study a new channel by which permit holdings in a cap-and-trade system can affect investment behavior. In the presence of financial constraints, permit holdings can matter through their effect on the firm’s internally available resources and indirectly affect investment. To test this relationship, we exploit the cross-sectional and temporal variation in permit holdings and the temporal variation in the price of permits in the US \(\hbox {SO}_2\) program. We find that capital expenditures are positively related to the market value of the permit holdings. This relationship is stronger for smaller firms and is robust to alternative explanations based on regulatory differences.     

Systemic crisis,weltschmerz and tourism: meaning without incense during vacations

The present global economic crisis is revealing manifold fissures in the economic/social/value/sense-making system and that inevitably has an effect on people’s psyche, on their beliefs and desires, even on their perception of needs. Many effects of the present situation are symptoms of a broader type of crisis. The economic crisis may have acted as a catalyst for increasing (social, political, and spiritual) awareness, and it could be paradoxically a landmark and a far-reaching impetus to renewal and awakening of humanity, to build a sounder and more sustainable (social, educational, political, and economic) system. At this crossroad, the reappearance in the last decade of the term weltschmerz is not coincidental. Whereas the extent to which the current economic crisis has produced a personal or integral crisis remains to be measured, it is clear that concepts such as meaning or transcendence – to combat meaninglessness and weltschmerz – have become central in the discussion on qualitative implications in tourism. The paper suggests a meaningful learning framework to identify required elements for a particular, desired outcome (coping with the second domain of existential pain/ weltschmerz), whose empirical relevance and practical developments are examined in this piece of research on tourism experience.     

The application of proxy methods for estimating the cost of equity for unlisted companies: evidence from listed firms

Review of Quantitative Finance and Accounting - The Campbell and Vuolteenaho (Am Econ Rev 94(5):1249–1275, 2004) two–beta model decomposes the systematic risk in the sensitivity of cash...     

Industrial leadership in science-based industries: A co-evolution model

In this paper, we seek to analyse the role of national university systems in combination with technological and market factors as sources of industrial leadership and industry growth in science-based industries. We propose a model in which national university systems and their respective national firms and industries are considered as co-evolving. National firms compete on a worldwide level and they rely on the progress of science and the availability of scientists to innovate. As the global industry develops, firms try to mold their national university systems, but they achieve different degrees of success. Apart from highlighting the role of institutional responsiveness as a source of competitive advantage, our model points to the access to essential inputs for production, the technological and strategic characteristics of firms, the international diffusion of knowledge, and the initial distribution of market demand as key sources of leadership and industry growth. The international mobility of scientists seems to foster the emergence of industrial leadership shifts.     

How Do Firm Characteristics Influence the Relationship between R&D and Firm Value?

This paper focuses on how a firm's characteristics affect the market valuation of its research and development (R&D) spending. We derive a valuation model based on the capital market arbitrage condition. Using the generalized method of moments and data from the Eurozone countries to estimate this model yields interesting results. Several firm characteristics (size, firm growth, and market share) positively affect the relationship between firm value and R&D spending, while others (free cash flow, dependence on external finance, labor intensity, and capital intensity) exert a negative effect. Therefore, we conclude that the effectiveness of R&D spending depends on firm characteristics.