Horizon dependence of utility optimizers in incomplete models

This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon T. Secondly, we exemplify that the expected utility stemming from applying the T-horizon optimizer on a shorter time horizon S<T may fail to converge to the T-horizon value as S↑T. Finally, we provide necessary and sufficient conditions preventing the existence of this phenomenon.     

Segregation and gender wage gaps in the private and the public sectors: an analysis of Danish linked employer–employee data, 2002–2012

This paper examines the relation between segregation and the gender wage gap in the public and the private sectors in Denmark from 2002 to 2012. The analysis shows that male–female differences in the share of females in occupations, industries, establishments and job cells (occupations within establishments) constitute 46 % of the raw gender wage gap in the private sector, while segregation in the public sector accounts for as much as 63 %. Segregation thus plays a substantially more important role in accounting for the gender wage gap in the public sector than in the private sector. While the importance of segregation for wage formation decreased substantially in the public sector over time, it only decreased slightly in the private sector. Although the remaining gender wage gap, after controlling for segregation, is close to zero in the public sector, a substantial within-job cell differential remains after controlling for segregation in the private sector.     

Is There a Win–Win Situation in Household Energy Policy?

To achieve environmental goals, most governments aim to reduce consumption of the most polluting energy goods by taxation. Often, the authorities not only aim to change the consumption of the regulated good by the taxation, but also to change the consumption of close substitutes (hereafter referred to as win–win effects). The size of the win–win effects depend not only on how close substitutes the goods are, but also on the price sensitivity of the taxed good and on the budget effects of the regulation. We use a conditional demand model to decompose the cross-price effect to discuss which criteria that must be fulfilled in order for substantial win–win effects to occur, using Norwegian stationary energy consumption as an empirical example.     

Equilibrium in securities markets with heterogeneous investors and unspanned income risk

In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and stock price for an economy with finitely many heterogeneous CARA investors and unspanned income risk. In equilibrium, the Sharpe ratio is the same as in an otherwise identical complete market economy, whereas the risk-free rate is lower and, consequently, the stock price is higher. The reduction in the risk-free rate is highest when the more risk-averse investors face the largest unspanned income risk.     

Seasonality in firm-size portfolio returns: A nonparametric analysis

In this study the author uses stochastic dominance, a nonparametric method of portfolio performance analysis, to test for seasonality in firm-size portfolio return behavior. Stochastic dominance confirms the January effect, found in previous parametric studies, only for the smallest firm-size portfolio. It statistically eliminates the size effect for the larger firm-size portfolios in January and for all firm-size portfolios in the other months of the year. It is demonstrated that a market proxy problem and normality assumption violation may bias the parametric results. Nonparametric analysis, therefore, suggests that markets may be more efficient than parametric methods imply when model violations exist.     

Fractional imputation for incomplete two-way contingency tables

Imputation procedures such as fully efficient fractional imputation (FEFI) or multiple imputation (MI) create multiple versions of the missing observations, thereby reflecting uncertainty about their true values. Multiple imputation generates a finite set of imputations through a posterior predictive distribution. Fractional imputation assigns weights to the observed data. The focus of this article is the development of FEFI for partially classified two-way contingency tables. Point estimators and variances of FEFI estimators of population proportions are derived. Simulation results, when data are missing completely at random or missing at random, show that FEFI is comparable in performance to maximum likelihood estimation and multiple imputation and superior to simple stochastic imputation and complete case anlaysis. Methods are illustrated with four data sets.     

Learning experiences and managerial role performance: Perceptions of New Zealand managers and their subordinates

The present study was based upon Luthans' (1988) model of effective management, which has implications for managerial training and development, but has not been examined cross-nationally. A sample of New Zealand managers was surveyed to explore job-related and off-the-job experiences which they perceived to have affected their skills development. In addition, questionnaires were distributed to subordinates of these managers to assess their perceptions of managerial performance levels. Managers attributed most of their development to on-the-job experiences, which were often haphazard and unplanned, with formal education and training accounting for considerably less skills acquisition. Few links were found, however, between learning experiences and perceptions of managerial performance. Implications of the findings for managerial development and the design of constructive learning environments within organisations are discussed.The authors are from the University of Waikato, New Zealand and the Copenhagen School of Economics and Social Science, Denmark, respectively. Financial assistance for this project from the Electricity Corporation of New Zealand is gratefully acknowledged. An earlier version of this paper was presented at the International Personnel and Human Resources Management Conference, Hong Kong, 1989. The authors wish to thank Paul Taylor and Elizabeth Brady for their helpful comments. Correspondence should be addressed to Michael P O'Driscoll, Department of Psychology, University of Waikato, Hamilton, New Zealand.     

Does the CPI Mirror the Cost of Living? Engel's Law Suggests Not in Norway

There is considerable interest in identifying the magnitude of the difference between increases in the CPI and the cost of living. In this paper, the technique proposed by Hamilton (2001) to measure this discrepancy is used and extended for Norway in the 1990s. While Hamilton finds that the CPI in the United States overstates the cost of living for the period 1974–1991, application of his technique to Norwegian data for 1990–1999 indicates that the CPI understates the cost of living. The Norwegian CPI rose by 22 percent, but a typical household behaved as if the cost of living had increased by 35 percent. For some household types, the increase was substantially larger.     

ICT-specific technological progress in the United Kingdom

This paper analyses the impact of rapid technological change in the information and communications technology (ICT) sector on economic growth in the United Kingdom. We find that technological progress specific to the ICT sector accounts for around 20–30% of long-run labor productivity growth. We demonstrate that a permanent increase in the growth rate of ICT-specific technological progress will increase the investment expenditure share of GDP but lower the aggregate depreciation rate, while an increase in the return to investment in ICT will increase both the expenditure share and the depreciation rate.     

Do Retail Foreign Direct Investment Restrictions Affect Retail Channel Structure?

The purpose of this study is to contribute to the existing retail channel structure research by investigating the impact of retail foreign direct investment (FDI) restrictions on retail channel structure as well as the moderating impact of a country's level of economic development on this relationship. Using a panel data set of 79 countries over the period 1999–2012, we show that retail FDI restrictions can influence retail channel structure development and that the relationship between retail FDI restrictions and retail channel structure is moderated by a country's level of economic development.