Procyclical Productivity and Output Growth in China: An Econometric Analysis

This paper analyzes the procyclical behavior of Chinese Total Factor Productivity (TFP). It shows that measured Solow residuals are correlated to the growth rate of real imports per worker and to other macroeconomic variables that fluctuate at cyclical frequencies. The magnitude of the trend shift in TFP after the start of economic reforms in 1978 is found to be robust to the introduction of cyclical factor utilization and other systematic influences on productivity. The propagation mechanisms of macroeconomic shocks to output are also evaluated on the basis of a seven-variable VAR system. The empirical results indicate that the growing openness of the economy has contributed to sustaining the observed long run productivity increases and has raised spatial inequality.     

RISK MEASURES: RATIONALITY AND DIVERSIFICATION

When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash‐subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle only implies (and it is implied by) quasiconvexity. For this reason, in this paper quasiconvex risk measures are studied. We provide a dual characterization of quasiconvex cash‐subadditive risk measures and we establish necessary and sufficient conditions for their law invariance. As a byproduct, we obtain an alternative characterization of the actuarial mean value premium principle.     

The institutionalization of social and environmental reporting: An Italian narrative

This paper focuses on social and environmental reporting (SER) and investigates, through prolonged fieldwork with an Italian multinational company, the dynamics through which SER, from its first introduction, has modified and developed to become institutionalized. The empirical data has been interpreted through the lens of institutional theories to provide a narrative of a three-step process which has brought about the institutionalization of SER, namely: (i) the construction of a common meaning system around the concept of social and environmental responsibility; (ii) practicalisation involving the emergence of rules and routines; and (iii) reinforcement through the implementation of intra-organizational managerial procedures and structures. The paper highlights that SER, as a result of a recursive and progressive process, has become an established and taken for granted actuality within the case study organization.     

International asset allocation under regime switching, skew, and kurtosis preferences

This paper investigates the international asset allocation effectsof time-variations in higher-order moments of stock returnssuch as skewness and kurtosis. In the context of a four-momentInternational Capital Asset Pricing Model (ICAPM) specificationthat relates stock returns in five regions to returns on a globalmarket portfolio and allows for time-varying prices of covariance,co-skewness, and co-kurtosis risk, we find evidence of distinctbull and bear regimes. Ignoring such regimes, an unhedged USinvestor's optimal portfolio is strongly diversified internationally.The presence of regimes in the return distribution leads toa substantial increase in the investor's optimal holdings ofUS stocks, as does the introduction of skewness and kurtosispreferences.     

Alternative econometric implementations of multi-factor models of the U.S. financial markets

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach introduced by Fama and MacBeth (1973). The second approach is based on a Bayesian latent mixture model with breaks in risk exposures and idiosyncratic volatility. Our application to monthly, 1980–2010 U.S. data on stock, bond, and publicly traded real estate returns shows that the classical, two-stage approach that relies on a nonparametric, rolling window estimation of time-varying betas yields results that are unreasonable. There is evidence that most portfolios of stocks, bonds, and REITs have been grossly over-priced. On the contrary, the Bayesian approach yields sensible results and a few factor risk premia are precisely estimated with a plausible sign. Predictive log-likelihood scores indicate that discrete breaks in both risk exposures and variances are required to fit the data.