刘小东:时间的证据

今年早些时候,《纽约时报》艺术评论家罗伯塔?史密斯写了篇长文章,指出美国许多美术馆明显偏好后极少主义,是一种"视野极端狭窄"的表现。这篇极富争议性的文章敦促策展人提高思想独立性,跳出观念艺术一统天下的模式看作品。读完文章,我发现她说得很对,西方不少美术馆在决定哪些作品可以进入当代艺术圣殿上的确存在趣味专制。刘小东的作品就很能说明这个问题。我放下报纸开始想,自己是不是应该站出来向我的纽约同事们为刘小东的绘画、思考以及历史意义正名。于是便有了本文。     

Flexible Estimation of Copulas: An Application to the US Housing Crisis

Zimmer (‘The role of copulas in the housing crisis’, Review of Economics and Statistics 2012; 94 : 607–620) provides an interesting case study of the pitfalls of using parametric copulas to understand the US housing crisis in the latter part of 2000s. The original study by Zimmer (2012) employs a finite‐mixture copula to illustrate that the symmetry of the Gaussian copula may not be tenable, especially for US housing price data during the time period from 1975:Q2 to 2009:Q1. We undertake a replication of his study in a wide sense. First, we replicate the study by incorporating revised data and then extending the dataset to include the most recent data. Second, we implement a nonparametric copula estimator recently proposed by Racine (‘Mixed data kernel copulas’, Empirical Economics forthcoming) to the parametrically filtered data used in Zimmer (2012). Our replication finds that the application of the nonparametric copula to the same and extended filtered data provides an alternative flexible specification for copulas. However, the overall cautionary message of the flexible‐form copula espoused in Zimmer (2012) remains. Copyright © 2015 John Wiley & Sons, Ltd.     

Past and future of the labor force in emerging Asian economies

In this paper we investigate the determinants of past changes in the labor force of 12 emerging Asian countries, and attempt to make projections of the labor force in those countries for the period 2010–2030. Results from our regression analysis of the labor force indicate that the wage earnings elasticity of labor supply is negative, albeit insignificant, for men and significantly positive for women, and it has a significantly positive association with educational level and a negative one with age. We also find that per capita income shows a negative relationship with the labor force in general for younger age groups and older age groups, and more capital-intensive countries have smaller female labor force. Using extrapolation, the paper predicts that the labor force will increase in all 12 countries during the first two decades of the period 2010–2030, but will eventually decline in China, Hong Kong, Singapore, South Korea, and Taiwan. The paper also makes projections of the unemployment rate and the average working hours in those countries.     

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

We compare the backtesting performance of ARMA-GARCH models with the most common types of infinitely divisible innovations, fit with both full maximum likelihood estimation (MLE) and quasi maximum likelihood estimation (QMLE). The innovation types considered are the Gaussian, Student’s t, α-stable, classical tempered stable (CTS), normal tempered stable (NTS) and generalized hyperbolic (GH) distributions. In calm periods of decreasing volatility, MLE and QMLE produce near identical performance in forecasting value-at-risk (VaR) and conditional value-at-risk (CVaR). In more volatile periods, QMLE can actually produce superior performance for CTS, NTS and α-stable innovations. While the t-ARMA-GARCH model has the fewest number of VaR violations, rejections by the Kupeic and Berkowitz tests suggest excessively large forecasted losses. The α-stable, CTS and NTS innovations compare favourably, with the latter two also allowing for option pricing under a single market model.     

Trade in Used Goods and Durability Choice

This paper studies the issue of durability choice when there are heterogeneous groups of consumers in the market. The possibility of trade between consumers and its effects on durability choice are examined. It is shown that neither a competitive nor a monopolistic market realizes the social optimum globally. Swan's “independence result” does not hold, in general. [020]     

Voluntary disclosure practices by foreign firms cross-listed in the United States

This is one of the first large-scale studies to examine the voluntary disclosure practices of foreign firms cross-listed in the United States. We proxy for voluntary disclosure using three attributes of firms’ management earnings guidance: (1) the likelihood of issuance; (2) the frequency of earnings guidance; and (3) a guidance quality measure. After first establishing that market participants view these firms’ disclosures as credible and economically important (i.e., the disclosures are negatively related to analyst forecast errors and the implied cost of equity capital), we compare cross-listed firms’ disclosure practices with comparable US firms and explore variations in disclosure practices among cross-listed firms. We find that cross-listed firms issue less frequent and lower quality management earnings guidance than comparable US firms. We further show that the gap between US and cross-listed firms widened after passage of Regulation FD, a regulation which induced greater public disclosure of firm-specific information. Focusing on the sample of cross-listing firms, we show that firms from common-law countries disclose more than firms from code-law countries. Finally, our results indicate that cross-listed firms that do not list on an organized US exchange provide more frequent and higher quality disclosure than those that do list on organized exchanges.     

An SAO‐based text‐mining approach for technology roadmapping using patent information

A technology roadmap (TRM) links technologies with a company's strategic objectives and so supports acquisition of required technologies in advance of needs. It is a powerful tool for strategic planning and technology management. Because technology is changing rapidly and market competition is fierce, the role of a TRM is becoming increasingly important. To support the role of a TRM, many firms and governments that use roadmapping are becoming interested in reducing costs while retaining objectivity during TRM development. One suggestion to achieve these goals is to use the keyword‐based quantitative approach to creating a TRM, but the information provided by the approach is limited because of the characteristics of keyword information. To solve this limitation, this research uses the concept of ‘function’ to support quantitative analysis for developing a TRM. The concept of function can provide information on the uses and purposes of a technology. To represent a function, a subject–action–object structure is commonly used. The suggested approach allows research and development (R&D) managers to extend the views of product and technology during development of a TRM. In addition, by reducing the time required to develop a TRM, the proposed approach supports quick and accurate decision‐making by R&D managers.     

Bidding in real estate: A game theoretic approach

Taking advantage of recent developments in bargaining theory, we examine the bidding process for residential real estate. Within this game theoretic context, we consider whether the phenomenon of buyer's remorse is compatible with the rationality required of participants.     

Global diversification strategy and corporate profit performance

Based on a sample of 62 multinationals, this paper examines the impact of global diversification strategy on corporate profit performance by integrating the product and the international market dimensions of diversification. The results suggest that the corporate profit performance impact of related and unrelated diversification varies contingent upon the extent of a firm's international market diversification. One important lesson of this work is that both business strategy researchers and managers should review corporate diversification as having distinct yet interactive strategic dimensions—product and international market—and they would do well to recognize both the different and the joint effect of these dimensions on corporate profit performance.     

INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO INSIDER OWNERSHIP

In this paper, the authors empirically examine whether corporations with high degrees of insider ownership enjoy superior returns compared with firms with more diffuse ownership. In addition, the authors evaluate the effects of insider ownership on security returns in relations to the well-known effects of size and earnings yield (or price-earnings) ratios. Results indicate that, in addition to Basu's price-earnings effect, insider ownership is a new statistically significant variable that is associated with abnormal returns. This return anomaly might occur because the market pays an inadequate price for top managements' equity ownership, a firm-specific fundamental variable that has a theoretical foundation in agency theory.