A Note On Long Memory Time Series

This note presents the fractional integrated processes which are the main models used to describe long memory phenomena.¹ Section 1 briefly defines the concept of fractional integration, shows the fundamental properties and provides a short summary of the estimation methods. Section 2 consists of a survey of their extensions in order to model long-term cycles.     

Unternehmenskultur und Unternehmenserfolg: Stand der empirischen Forschung und Konsequenzen für die Entwicklung eines Messkonzeptes

Im Rahmen einer übergreifenden Analyse empirischer Arbeiten wird der State-of-the-Art der Forschung zum Zusammenhang von Unternehmenskultur und Unternehmenserfolg dargelegt. Neben der inhaltlichen Analyse des Zusammenhangs liegt der Schwerpunkt des nachfolgenden Beitrags auf einem Review der Messung von Unternehmenskultur und Unternehmenserfolg, wie sie sich in den betrachteten Zusammenhangsanalysen zeigt. Aufbauend hierauf werden die Grundzüge je eines Konzeptes zur Messung der Unternehmenskultur und des Unternehmenserfolges entwickelt, welche als Ausgangsbasis verstanden werden k?nnen, um in weiterführenden Untersuchungen den Zusammenhang von Unternehmenskultur und Unternehmenserfolg für die unterschiedlichsten Unternehmen zu bestimmen.     

DEA and Dynamic Yardstick Competition in Scandinavian Electricity Distribution

Multi-period multi-product regulatory schemes for electricity distributors are presented, based on cost information from a productivity analysis model and an agency theoretical decision model. The proposed schemes are operational and demonstrate considerable advantages compared to the popular CPI-X revenue cap regulation. The schemes avoid arbitrariness, excessively high or negative informational rents as well as ratchet effects and they promote rapid productivity catch-up by making full use of available data. More generally, the paper contributes to the theoretical unification between firm-based Data Envelopment Analysis (DEA) productivity models and micro-economic reimbursement theories.JEL Classification: D24, D82, L12, L51, L94     

Founders' Characteristics,Venture Capital Syndication and Governance in Entrepreneurial IPOs

Using a unique sample of 444 entrepreneurial IPOs in the UK and France this paper examines links between founders' characteristics, venture capital (VC) syndication and the development of effective boards in entrepreneurial firms. It argues that VC-backed IPOs suffer from two sets of agency problems which are related to principal-agent and principal-principal relationships between the founders and members of the VC syndicate. The empirical evidence shows that there is a curvilinear relationship between the intensity of founders' external ties and VC syndication. Founders' retained share ownership is negatively associated with VC syndication. We also find that in syndicated IPOs there is a higher involvement of passive private equity firms and “business angels” investing alongside VC firms, both in terms of their number and equity presence. VC-syndicated IPOs have more independent boards than IPOs with no VC involvement. Board independence is negatively associated with founders' retained equity. These results are consistent with the assumption that board independence is used to mitigate agency costs associated with VC involvement in IPO firms. Our findings also identify significant differences in governance characteristics between the UK and France. While French IPOs have less independent boards, they involve more VC backing in general and syndicated VC funding in particular, than UK IPOs.     

International mergers and acquisitions: A jump diffusion model application

This paper empirically investigates international mergers and acquisitions (M&As) of foreign targets and bidders by analyzing the stock price behavior of the firms involved. The jump diffusion model is employed to study the effects of the M&A announcements on stock prices. The results indicate that acquisition announcements are perceived as a surprise by the market, but prices seem to adjust rather rapidly, supporting the semi-strong form of the market efficiency hypothesis. In addition, a comparison of the pure diffusion and jump diffusion models indicates that the jump diffusion model is statistically superior to the traditional event study methodology (pure diffusion model). (JEL G34)     

Efficiency wages,wage comparison,and public sector budgeting

We develop a government decision model where efficiency wage mechanisms affect the allocation of resources between different public services. We show how the introduction of interdepartment wage relativities modifies the standard Solow wage setting conditions. We compare the outcome under centralised and decentralised wage setting, and show that a decentralised wage setting system creates a distortion. Finally, we discuss the possibility of elimination this distortion using alternative financing systems.Final version: 08 April 2003JEL Classification: H23, J45We are grateful to Jan E. Askildsen, Daniel L. Rubinfeld, Agnar Sandmo, participants at conferences and seminars in Trondheim, Uppsala and Åsgårdstrand, and several anonymous referees for helpful comments. The second author is grateful to The Norwegian Research Council for financial support. The usual disclaimer applies.     

Elections and strategic positioning games

We formalize the interplay between expected voting behavior and strategic positioning behavior of candidates as a common agency problem in which the candidates (i.e., the principals) compete for voters (i.e., agents) via the issues they choose and the positions they take. A political situation is defined as a feasible combination of candidate positions and expected political payoffs to the candidates. Taking this approach, we are led naturally to a particular formalization of the candidates' positioning game, called a political situation game. Within the context of this game, we define the notion of farsighted stability (introduced in an abstract setting by Chwe 1994) and apply Chwe's result to obtain existence of farsightedly stable outcomes. We compute the farsightedly stable sets for several examples of political situations games, with outcomes that conform to real-world observations.Received: 18 May 2001, Accepted: 22 January 2002, JEL Classification: C7, D7, D8Myrna H. Wooders: http://www.warwick.ac.uk/fac/soc/Economics/wooders/An earlier version of this paper was completed while the first author was visiting the Department of Economics, University of Exeter. The first author gratefully acknowledges Exeter's support and hospitality. Similarly, the second author gratefully acknowledges the support and hospitality of the Centre for Operations Research and Econometrics (CORE) of the University of Louvain-la-Neuve, Belgium and of the University of Cergy-Pontoise, France. Both authors are indebted to Amrita Dhillon, John Duggan and Gilat Levy for helpful comments about references. Both authors thank an anonymous referee for helpful comments.     

The impact of regulation fair disclosure on earnings management and analyst forecast bias

Regulation Fair Disclosure (FD) has changed the information transfer process in the US securities market. We examine the impact that regulation FD has had on earnings management and analyst forecast bias. First, we examine the accuracy of financial analysts' earnings forecasts in the post-FD period. We find that analysts have become less accurate in forecasting earnings in the post-FD period and tend to overestimate earnings more relative to the pre-FD period. Second, we examine the level of earnings management after the passage of regulation FD and we find that the level of earnings management did not change after the implementation of regulation FD     

Introduction

Editorial Introduction

Introduction