A Stochastic Production Frontier Estimator of the Degree of Oligopsony Power in the U.S. Cattle Industry

The objective of this study is to estimate the degree of oligopsony power in the U.S. cattle industry with the use of the recently developed stochastic frontier estimator of market power. Unlike the seminal paper where estimation of the mark-up in an output market at firm level was the main objective, this work proposes a stochastic production frontier estimator in order to estimate the mark-down in an input market at aggregate level. Furthermore, with the help of the new estimator we derive and estimate the Lerner index of oligospony power for the U.S. cattle market. For the empirical part of the study we employed annual time series data from the U.S. cattle/beef industry for the time period 1970-2009. Our results suggest that beef packers exert market power when purchasing live cattle for slaughter.     

The restricted convex risk measures in actuarial solvency

In this article, we propose a class of convex risk measures defined on appropriate wedges of a space of financial positions which denote the cumulative surplus variables created by undertaking risks by either an insurance or a reinsurance company. The form of the wedge which is the domain of such a risk measure expresses the form of the company, and it is a subspace in the case of reinsurance companies and a cone in the case of the insurance companies. The value of such a risk measure on an insurance position denotes the capital that the corresponding company has to receive or to keep in advance so that it will not be exposed to risk due to this position. We prove some dual representation and continuity results being similar to the unrestricted case. Finally, we contribute to a decision theory related to the choice of a numeraire asset when the space in which the positions lie in is reflexive.     

Hedge fund index-engineering methodologies: a comparison and demonstration

We examine hedge fund (HF) index construction methodologies, by describing and analysing case studies from two well-known database vendors and evaluating them using numerical examples on the same dataset. Despite the fact that they follow a similar due diligence process, there are great differences in the index engineering practices arising from different quantitative techniques, even for indices in the same HF category. However, those quantitative techniques provide similar results. The differences are rather due to the use of different HF universes and different inclusion criteria. This article is the first to use actual numerical case studies to illustrate and compare how HF index engineering works. Having read it, the reader will have a good understanding of how HF indices are formed.     

Cost of Road Accident Fatalities to the Economy

Road accidents have a major impact on the economy as well as society. In other words, such an event also has an impact on the affected individuals’ contribution back to society and state. The purpose of this paper is to study the effect of traffic accidents on the economy. We evaluate the value or cost of a human life in traffic accidents. To estimate the cost, we need to know the income contribution of each individual via his or her employment or other earnings, i.e. his or her income-generating capacity for the remainder of his or her life, had the incident not occurred. Then we find the “present value” of such income, adjusted for the probability of such an event (fatality) happening. This is similar to the calculation of a pure insurance premium. Assessment of the economic impact caused by human life loss is dealt with using insurance-based methods. We calculate the burning cost of an insurance policy that provides coverage for the risk under investigation. It is of interest to the state and the family of the deceased to recover as much of this lost income as possible.     

International and domestic tourists’ “a priori” and “in situ” image differences and the impact of direct destination experience on destination image: the case of Linz,Austria

A profound understanding of destination image and its determinants is of significance for destinations aiming to effectively position themselves in the tourism market. However, existing research on destination image formation has mainly focused on the “a priori” and “a posteriori” stages and paid only limited attention to the “in situ” stage. To fill in this gap, this study examines the effect direct destination experience and visitors’ nationality (domestic vs. international) have on both “pre-travel” and “in situ” cognitive and affective elements of image. The study was conducted using 400 international and domestic visitors to Linz, Austria. The findings indicate that there are significant differences in the way domestic and international tourists perceive Linz as a tourist destination both prior and during the actual experience. The study also provides empirical evidence that direct destination experience plays a major role in destination image formation, irrespective of individual’s nationality. The theoretical and practical implications of these findings are also discussed.     

目的地开发的市场问题

目的地的市场行为已越来越成为激烈的全球范围内的竞争行为。本文解释了与目的地有关的一些概念,并介绍了几个关于目的地管理和市场策略的理论模型。通过几个模型的综合运用分析,作者强调了目的地市场行为中产品细分,公共部门和私有部门合作,以及协调各利益集团物关系和当地资源可持续性利用的重要性。此外,作者还指出新技术和互联网络也是提高目的地竞争力的一种有效方式。总之,目的地的市场行为应突出优化旅游业影响和保证目的地各方获利的原则。     

Size and book-to-market factors in the relationship between average stock returns and average book returns: some evidence from an emerging market

The present paper examines the association between average stock returns and average book returns and addresses the question as to whether there are common size and book-to-market factors in earnings and returns. The results of the empirical research, conducted in the Athens Stock Exchange, suggest that when the sample firms are grouped into size, book-to-market portfolios stock returns properly reflect differences in the evolution of accounting profitability. Moreover, it is found that the return on investment (ROI) measure contains size and book-to-market factors analogous to the mimic risk factors inherent in stock returns, in the sense that they capture information missed by ROI.     

A methodology for constructing a financial systemic stress index: An application to Greece

The paper develops a financial systemic stress index (FSSI) for Greece. We present a novel methodology for constructing and evaluating a systemic stress index which i) adopts the suggestion of Hollo et al. (2012) [“CISS — A ‘Composite Indicator of Systemic Stress’ in the Financial System” ECB working paper] to incorporate time-varying correlations between different market segments, but uses a multivariate GARCH approach which is able to capture abrupt changes in correlations, shown to be a prerequisite for correctly identifying financial crises, ii) utilizes both market and balance sheet data which is a novel feature for systemic stress indicators and iii) evaluates the FSSI utilizing the results of a survey, conducted among financial experts, in order to construct a benchmark chronology of financial crises for Greece, which in turn is used to investigate whether changes in the FSSI are good leading indicators for financial crises. The results show that the FSSI is able to provide a precise periodization of crises. Our findings suggest that accurate depiction of the systematic nature of stress is pivotal in order to provide proper policy guidance with respect to financial crisis identification.     

Steady‐state modeling and macroeconomic forecasting quality

Vector autoregressions (VARs) with informative steady‐state priors are standard forecasting tools in empirical macroeconomics. This study proposes (i) an adaptive hierarchical normal‐gamma prior on steady states, (ii) a time‐varying steady‐state specification which accounts for structural breaks in the unconditional mean, and (iii) a generalization of steady‐state VARs with fat‐tailed and heteroskedastic error terms. Empirical analysis, based on a real‐time dataset of 14 macroeconomic variables, shows that, overall, the hierarchical steady‐state specifications materially improve out‐of‐sample forecasting for forecasting horizons longer than 1 year, while the time‐varying specifications generate superior forecasts for variables with significant changes in their unconditional mean.