Evaluating a non-linear asset pricing model on international data

The paper analyses the ability of a non-linear asset pricing model suggested by Dittmar [Dittmar, R.F., 2002. Non-linear pricing kernels, kurtosis preference, and the cross-section of equity returns. Journal of Finance 57, 369-403] to explain the returns on international value and growth portfolios. For comparison we use competing pricing models such as the ICAPM, the exchange rate risk augmented ICAPM and the international two-factor model proposed by Fama and French [Fama, E.F., French, K. R., 1998. Value versus growth: The international evidence. Journal of Finance 53, 1975-1999]. All models are evaluated both unconditionally and conditionally. The models are evaluated by applying the Hansen and Jagannathan distance measure, and we also employ several alternative measures to ensure a robust comparison of the models. We find support for the model of Dittmar [Dittmar, R.F., 2002. Non-linear pricing kernels, kurtosis preference, and the cross-section of equity returns. Journal of Finance 57, 369-403]. Evaluated conditionally, this model successfully passes all the different diagnostic tests performed in the analysis.     

The price of deposit liquidity: banks versus microfinance institutions

Using data from Bangladesh, this article finds that the liquidity premium – the difference between the interest paid on illiquid and liquid savings accounts – is higher in commercial banks than in microfinance institutions. One possible interpretation lies in the higher prevalence of time-inconsistency among the poor. The observed difference in liquidity premia could be due to poor time-inconsistent agents willing to forgo interest on illiquid savings accounts in order to discipline their future selves.     

Social capital, ICT use and company performance: Findings from the Medicon Valley Biotech Cluster

This study explores how some uses of ICTs, as well as having social capital and other means of access to knowledge resources, are related to company performance in a knowledge-intensive business cluster. Data were collected through a survey of companies in the Medicon Valley biotech region located in Denmark and Southern Sweden. Responding companies included established producers of biotechnology-related products as well as small biotechnology start-up firms emphasizing research and development. The results suggest that when ICT use was aimed at accessing and enhancing human and intellectual capital, such as use of online databases for recruitment, intranets to enhance employee access to information and education, and collaborative tools to connect with off-premise researchers, companies reported better performance outcomes. Social capital in the form of connections to people who can provide access to information and opportunity predicted company performance, particularly for small start-up companies. The pattern of results complements prior work that establishes the importance of social capital in regional business clusters by demonstrating how certain ICT uses complement personal relationships to enhance the likelihood of success among companies in the region.     

Exit and Entry Over the Product Life Cycle: Evidence from the Swedish Manufacturing Industry

In this paper the process of exit and entry of firms in the Swedish manufacturing industry is investigated within the framework of the product life cycle. The product life cycle theory explains how the high degree of uncertainty, as regards product designs and production methods, which is connected to the early stages of the product life cycle requires a high level of knowledge-intensity. Since uncertainty decrease over the product life cycle, less knowledge is needed in production during later stages of the product life cycle. This implies that knowledge-intensity differs for firms that exit and enter in different stages of the product life cycle. Four hypotheses regarding these relationships are stated and empirically tested in this paper, using data at the 5-digit SIC-level for the Swedish manufacturing industry during 1990–1996. The empirical results show that entrants in the early stages of the product life cycle are more knowledge-intensive than incumbent firms. It is also found that firms exiting in early stages of the product life cycle are more knowledge-intensive than firms exiting in later stages.     

An evaluation of the performance and suitability of R × C methods for ecological inference with known true values

Ecological inference refers to the study of individuals using aggregate data and it is used in an impressive number of studies; it is well known, however, that the study of individuals using group data suffers from an ecological fallacy problem (Robinson in Am Sociol Rev 15:351–357, 1950). This paper evaluates the accuracy of two recent methods, the Rosen et al. (Stat Neerl 55:134–156, 2001) and the Greiner and Quinn (J R Stat Soc Ser A (Statistics in Society) 172:67–81, 2009) and the long-standing Goodman’s (Am Sociol Rev 18:663–664, 1953; Am J Sociol 64:610–625, 1959) method designed to estimate all cells of R × C tables simultaneously by employing exclusively aggregate data. To conduct these tests we leverage on extensive electoral data for which the true quantities of interest are known. In particular, we focus on examining the extent to which the confidence intervals provided by the three methods contain the true values. The paper also provides important guidelines regarding the appropriate contexts for employing these models.     

Economic Policy,Institutions and Entrepreneurship

Small Business Economics - Economists have debated the issue of state intervention in the economic process in capitalist economies intensively for decades. Often, however, without considering the...     

Returns to Skills and the Distribution of Wages: Spain 1995–2010

In contrast to the pattern observed in other developed countries, the Spanish wage distribution compressed between 1995 and 2006 and became more disperse afterwards, so that in 2010 wage inequality was roughly similar to 1995. In this paper, we analyze the role of supply and demand factors when accounting for these facts. We start by decomposing observed wage changes into changes in the composition of the labour force and changes in the returns of workers' and jobs' characteristics. The results indicate that the compression of the wage distribution between 1995 and 2006 is largely explained by changes in returns, and particularly, by a decrease in the returns to education. We show that both the increase in the supply of high‐skilled workers and the increasing weight of low‐skilled occupations are related to the decreasing trend in the skill premium over this period. In contrast, the widening of the wage distribution after 2006 is largely explained by an increase in the relative demand for high‐skilled workers generating an increase in the school premium.     

Cartels and norms in the Swedish steel industry 1923–1953

This article discusses the reasons for cartel stability by using the Swedish Steel Casting Cartel as an example. Previous research points out organisational structure and the ability to deal with exit entry and cheating as crucial for stability. In this article, the development of social norms, morally legitimised within the cartel, is discussed as a possible explanation for cartel stability. The organisational structure developed was flexible enough to deal with problems of exit entry and cheating. The discussions on quotas and prices led to a common view on fair prices. The conclusion is that the organisational structure can partly explain why the Steel Casting Group was relatively stable but that there are indications that the development of common social norms related to the value of fairness was also an important explanatory factor.     

Mediation effect of TQM technical factors in excellence management systems

This study seeks to examine the relationship between TQM social and technical factors and their effects on organizational results, and takes the EFQM model as a reference. Moreover, through structural equation modeling (Partial Least Squares), the study hypothesizes and tests a mediation model between social factors, technical factors and overall results. The study uses a sample of 116 Spanish firms undergoing complete assessment processes according to RADAR logic. The results show that: (1) an open, flexible and continuous improvement oriented culture, a committed and involved leadership, and efficient management of human resources (TQM social factors) exert a direct and significant impact on the effectiveness of the quality system deployed (TQM technical factors) and on the results; (2) the management and improvement of processes, the alliances with suppliers and other partners, and the management of resources (TQM technical factors) also directly influence results; moreover, (3) this variable partially mediates the effect of social TQM practices on organizational results.