Extreme returns and the idiosyncratic volatility puzzle: African evidence

We examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001 to 2015. First, we find that there is a robust and significantly negative MAX effect in the pooled African stock markets. Second, though we initially document a negative IVOL effect, it disappears after controlling for MAX. Finally, the negative MAX effect is only significant in the small-SIZE, high-illiquidity and high-skewness portfolios. Our results suggest risk-seeking behaviour among African investors similar to that in other parts of the world.     

Excel Models for International Trade Theory and Policy: An Online Resource

URL: http://sites.google.com/site/jgilberteconomics/Home/excel/     

Gender and wages: a cohort study of primary school teachers

This study uses cohort data to analyse the observed (or gross) salary differential between male and female primary school teachers. The teachers in this sample, who are all employed in state-sector schools in the same geographic locality, are observed 20 years after first entering the teaching profession. The main finding is that two-fifths of the differential cannot be explained by gender differences in the levels of experience, qualification and mobility within our sample and so is attributed to labour market discrimination and other unobservable gender influences.     

The Impact of Cross‐Listing on the Home Market's Information Environment and Stock Price Efficiency

We empirically examine changes in information asymmetry and informational efficiency of cross‐listed stocks in their home market around a cross‐listing in the United States. We estimate intraday market microstructure measures of information asymmetry and price efficiency, and find that a U.S. cross‐listing significantly improves the quality of a firm's information environment and stock price efficiency in the home market. This improvement is stronger for cross‐listings that take place after the adoption of Sarbanes‐Oxley Act. Our results demonstrate that stricter disclosure from a U.S. cross‐listing is beneficial, in line with the legal and reputational bonding hypotheses.     

Die Erschließung vorhandener Wasserkraftpotenziale in Österreich im Spannungsfeld von Energiepolitik und ökologischen Schutzzielen

The intensified use of hydropower plays a substantial role in the Austrian energy sector. There are indeed plans to open up the remaining potentials, especially in the field of small-scale hydropower. However, hydropower creates multiple impacts. Although investments in hydropower are undisputed due to security of supply issues, climate change and dependency concerns, the technology is subject to some disadvantages. Hydropower plants are often seen as a blot on the landscape and a threat for the ecosystem, especially for fish and other water-dependent wildlife. Accordingly, hydropower plants are principally in conflict with nature conservation as for instance the European Water Framework Directive. With the help of a discrete choice model the trade-off between economic and climate-related advantages and the negative environmental side effects of new hydropower schemes was identified and quantified. While people value the economic (employment effects) and environmental (reduced air emissions) benefits related to the generation of electricity from hydroelectric power, they wish to be compensated for the loss of nature and landscape new hydropower plants are associated with. Moreover, confirmation of the “Not in my backyard” phenomenon was found, meaning that people generally prefer the construction of new hydropower stations, but not close to their homes.     

Foreign market entry,upstream market power,and endogenous mode of downstream competition

In a differentiated duopoly model of trade and FDI featuring both horizontal and vertical product differentiation, we examine whether globalization and trade policy measures can generate welfare gains by leading firms to change their mode of competition. We show that when a high-quality foreign variety is manufactured under large frictions due to upstream monopoly power, a foreign firm can become a Bertrand competitor against a Cournot local rival in equilibrium, especially when the relative product quality of the foreign variety is sufficiently high and trade costs are sufficiently low (implying higher input price distortions due to double marginalization). Our results suggest that such strategic asymmetry is welfare improving and that the availability of FDI as an alternative to trade can make welfare-enhancing strategic asymmetry even more likely, especially when both input trade costs and fixed investment costs are sufficiently low and trade costs in final goods are sufficiently large.     

International Environmental Agreements and Black Technology

Environmental and Resource Economics - This paper analyzes the stability of international environmental agreements in a dynamic game when the generation of both renewables and fossil fuel based...     

Building and using nonlinear simulations in Excel with an application to the specific factors model

Excel simulation models have become increasingly common in the economics classroom, as their ability to combine numerical and graphical information has proved a useful support to traditional teaching methods. Recent efforts have tended to embed the solution within the Excel sheet, avoiding the need to use the Solver add-in and allowing changes in the exogenous characteristics of the model to be instantly reflected in the numerical solutions and any associated geometry. While this is quite simple in small-scale linear models, it is less straightforward in larger nonlinear models such as those that dominate the theory of international trade. We discuss various methods that can be used in building Excel simulations when it is not possible to solve the underlying model explicitly. We illustrate the ideas and describe our experiences along with a new simulation of the specific factors model.