Portfolio concentration and fund manager performance

This research examines the relationships among portfolio concentration, fund manager skills, and fund performance in Taiwan's equity mutual fund industry, yielding several empirical findings as follows. First, after controlling for other factors, concentrated equity funds tend to have smaller net asset values, larger fund flows, higher turnover rates, and a younger age and prevail in smaller fund families. Second, concentrated fund managers buy and sell stocks more smartly based on economic trends or market factors than do diversified fund managers, i.e., they have better market‐timing abilities. Third, only partial evidence supports the premise that concentrated equity funds have better next‐quarter risk‐adjusted performances than do diversified ones, as these fund managers' skills positively correlate to risk‐adjusted fund performance. Fourth, fund managers who have better stock‐picking abilities and intensively invest in certain industries generally exhibit better Carhart's alpha in the next quarter than do other fund managers. Fifth, fund managers' stock‐picking abilities more closely relate to long‐term performance than do their market‐timing abilities. Lastly, positive performance persistence is much stronger than negative performance persistence, but concentrated funds do not have stronger performance persistence than do diversified funds.     

Design and evaluation of road pricing: state-of-the-art and methodological advances

This article provides an in-depth review of the state-of-the-art and describes methodological advances in the design and evaluation of road network pricing schemes. A number of paradigm shifts from the two polar cases of the marginal social cost pricing of road traffic congestion and revenue-maximizing road toll pricing are analyzed, as induced by the need to address realistic design complexities and constraints. The crucial role of the joint consideration of pricing strategies with optimal capacity provision and several network management measures is manifested and an integrated evaluation framework is suggested to incorporate a wide range of road pricing impacts into the scheme design process.     

Effects of Passive Intensity on Aggregate Price Dynamics

We find that passive intensity (PI), measured by the passive‐linked share of total stock market trading volume, is strongly related to the overall pattern of stock price movements. A one‐standard‐deviation increase in PI is associated with an 8% higher price synchronicity. We further investigate the channels through which this relation is established by separately analyzing its impact on aggregate systematic and idiosyncratic volatility of stock returns. PI has a positive effect on systematic volatility and a negative impact on firm‐specific volatility. Consistent with the effect of passive trading on price dynamics, we find evidence that PI is negatively associated with mutual funds alpha dissimilarity. After controlling for market and idiosyncratic volatility, a one‐standard‐deviation increase in PI corresponds to a 0.20% decrease in fund dissimilarity. Our findings are robust after controlling for various macro and corporate factors known to affect systematic or firm‐specific volatility.     

Pacemaker complications and costs: a nationwide economic study

Abstract

Aims: Novel leadless pacemakers (LPMs) may reduce complications and associated costs related to conventional pacemaker systems. This study sought to estimate the incidence and associated costs of traditional pacemaker complications, in those patients who were eligible for LPM implantation.

Methods: A retrospective analysis was conducted on the French National Hospital Database (PMSI), including all patients implanted with a pacemaker in France in 2012, who could have alternatively received an LPM. Complication rates and their associated costs 3 years post-implantation were estimated from the perspective of the French social security system.

Results: From a total of 65,553 patients, 11,770 (18%) met the inclusion criteria. Overall, 618 patients (5.3%) had a record of pacemaker complications during follow-up, of which 89% were related to the lead and pocket. Most common were pocket bleeding, lead- or generator-related mechanical complications, and pneumothorax. Overall, the mean cost of pacemaker complications per patient was €6,674?±?3,867 at 3 years. Specifically, €7,143?±?2,685 for pocket bleeding, €5,123?±?2,676 for pneumothorax, and €6,020?±?3,272 for mechanical complications.

Conclusions: Major complications associated with the lead and pocket of conventional pacemaker systems are still common, and these represent a significant burden to healthcare systems as they generate substantial costs.     

Rent Seeking and Allocative Efficiency

This paper considers a rent‐seeking game (specifically, a winner‐takes‐all contest) with incomplete information. By allowing for sequential moves, a Bayesian‐Stackelberg equilibrium can be constructed. It can be shown that, at the Bayesian‐Stackelberg equilibrium, it is always possible that the allocative efficiency argument fails. That is, there are cases in which the Stackelberg follower is more efficient but loses the contest. Using a specific class of distributions, it is also shown that sometimes the corrupt official will choose the Bayesian‐Stackelberg equilibrium over the Bayesian‐Nash equilibrium in order to maximise the expected bribe revenue. That is, when designing the rules of the rent‐seeking game, the dynamic nature of competition will be taken into account.     

Cointegration and the optimal hedge ratio: the general case

This note evaluates the effects of omitted cointegration relationship between spot and futures prices on optimal hedge ratio and hedging effectiveness. It is found that the omission tends to produce a smaller hedge ratio. However, the loss of hedging effectiveness may be minimal.     

THE ECONOMICS OF FISCAL DECENTRALIZATION

Abstract There is no complete overview or discussion of the literature of the economics of federalism and fiscal decentralization, even though scholarly interest in the topic has been increasing significantly over recent years. This paper provides a general, brief but comprehensive overview of the main insights from the literature on fiscal federalism and decentralization. In doing so, literature on fiscal federalism and decentralization is grouped into two main approaches: ‘first generation approach’ and ‘an emerging second generation approach’. The discussion generally covers the two notions of fiscal decentralization: ‘fiscal autonomy’ and ‘fiscal importance’ of subnational governments as the background of the most recently developed index of fiscal decentralization in Vo. The relevance of this discussion to any further development of a fiscal decentralization index is briefly noted.     

Economic cycles and downside commodities risk

We de-compose the S&P Goldman Sachs Commodity Index into its underlying commodity sub-categories and develop a modified conditional value at risk (CVaR) metric to examine downside risk linked to economic periods which are classified by their GDP growth as green, yellow, orange and red. We term this new metric economic CVaR (ECVaR). We found significant differences in the relative ECVaR rankings of different commodities over our different economic cycles.     

Futures trading and fuel adjustment clauses

Despite many criticisms and potential problems, wide-spread and, in many cases, long-standing use of fuel adjustment clauses (FACs) continues. This paper proposes replacing use of the FAC mechanism with permission to allow the utility to hedge its fuel price risk(s) in the futures markets. By pursuing a hedging strategy, the utility can achieve higher welfare, while shifting price change risk to speculators in the futures market, provided certain conditions are met. By efficiently transferring risk to speculators, the utility can improve the welfare levels of ratepayers. Thus, the use of futures trading may provide a Pareto improvement over the use of an FAC.The research benefits from helpful discussion with John Cita of the Kansas Corporation Commission. Gautum Bhattacharyya, Keith Chauvin, Thomas Lyon, Joseph Sicilian, and two anonymous referees provide many useful comments and suggestions. Of course, the authors are solely responsible for any remaining errors. Financial support from the General Research Fund at the University of Kansas is greatly acknowledged.