The negative news threshold—An explanation for negative skewness in stock returns

Abstract

A vast literature documents negative skewness in stock index return distributions on several markets. In this paper the issue of negative skewness is approached from a different angle to previous studies by combining the Trueman's 1997 model of management disclosure practices with symmetric market responses in order to explain negative skewness in stock returns. Empirical tests reveal that returns for days when non-scheduled news items are disclosed are the source of negative skewness in stock returns, as predicted. These findings suggest that negative skewness in stock returns is induced by asymmetries in the news disclosure policies of firm management. Furthermore, it is found that the returns are negatively skewed only for non-scheduled firm-specific news disclosures for firms where the management is compensated with stock options.     

Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing

We develop a new method for detecting portfolio manager activity. Our method relies exclusively on portfolio returns and, consequently, avoids the pitfalls associated with disclosed portfolio holdings. We investigate the link between activity and performance of actively managed U.S. equity funds from 2000 to 2007 and document robust evidence that future performance is positively related to past stock picking and negatively associated with past market timing. Finally, we find that portfolio manager activity is highly persistent over time, which supports the conclusion that stock picking increases performance while market timing decreases performance.     

The interplay of formal and informal institutions between local and regional authorities when creating well-functioning public transport systems

This paper analyzes how public transport planning is managed in institutional contexts where governance is spread across local and regional scales. The paper sheds light on two facets of the relationship between local and regional government: first, the decision-making process regarding where to provide public transport services and at what level, and second, integration of public transport with land use planning. An analytical matrix is used to cross-reference the roles of formal institutions (governance established in law) and informal institutions (governance not established in law) against local and regional responsibilities for public transport and land use. Analysis of the interplay between these three axes (formal/informal, local/regional, public transport/land use) reveals how informal institutions help regional and local authorities to negotiate the constraints of formal, statutory institutions and help to “oil the wheels” of delivering measures and policies that make public transport work as a well-functioning system. However, informal institutions clearly have their limits, in the paper exemplified by the remaining challenges to integrate regional public transport and local land use planning. An identified challenge is that, by their very nature, informal institutions are difficult to influence or modify, therefore relying on them to fill gaps in formal institutional responsibilities may be a risky strategy when unpopular decisions are made.     

Modeling the rebound effect in two manufacturing industries

The rebound effect refers to the phenomenon that energy savings from improvements in energy efficiency are lower than expected due to unintended second-order effects. Grasping specific mechanisms related to the rebound effect requires a good understanding of interactions between heterogonous agents on multiple markets. Otherwise, policies aimed at reducing energy use may render counter-expected and unforeseen consequences. In this paper, we propose a formal model, where technological change results from interactions on two markets: between consumers and producers in the market for final goods, and heterogeneous power plants in the electricity market. The analysis provides insights to the role of technological change, supply–demand coevolution, and status-driven consumption in explaining the rebound effect. The model is employed to compare effectiveness of economic policies aimed at reducing carbon emissions associated with production of consumer goods, namely: a tax on electricity and ‘nuclear obligations’ to produce ten percent of electricity from nuclear energy.     

Which Gender Wage Gap Estimates to Trust? A Comparative Analysis

The aim of this paper is to compare estimates of the adjusted wage gap from different methods and sets of conditioning variables. We apply available parametric and non‐parametric methods to LFS data from Poland for 2012. While the raw gap amounts to nearly 10 percent of the female wage; the adjusted wage gap estimates range between 15 percent and as much as 23 percent depending on the method and the choice of conditional variables. The differences across conditioning variables within the same method do not exceed 3pp, but including more variables almost universally results in larger estimates of the adjusted wage gaps. Methods that account for common support and selection into employment yielded higher estimates of the adjusted wage gap. While the actual point estimates of adjusted wage gap are slightly different, all of them are roughly twice as high as the raw gap, which corroborates the policy relevance of this methodological study.     

The Role of Infomediaries: CSR in the Business Press During 2000–2009

Given the important role that business media play in corporate life, scarce attention has been paid to the role of media in the construction and popularization of corporate social responsibility (CSR). In this article, we understand media as a key infomediary and examine how the business press has framed and presented CSR over the last 10 years. Based on a content analysis of how CSR is presented in two English-language business newspapers with an international readership, we develop a framework for understanding the role of business media setting the corporate CSR agenda. The results show that business media contribute to the construction of what CSR means in corporate practice by creating links between CSR and certain corporate activities, between CSR and arguments that strengthen the view of CSR as a business case, and between CSR and certain spokespersons. These links contribute to create a notion of what CSR stands for, what it means in practice, and why it is important that one should pay attention to.     

Incumplimiento del salario mínimo en Europa central y oriental

En este estudio se analiza el incumplimiento del salario mínimo durante el periodo 2003–2012 en diez países de Europa central y oriental con salario mínimo obligatorio nacional. A partir de los datos de EU‐SILC y la metodología propuesta por Bhorat, Kanbur y Mayet (2013), se cuantifica la incidencia y magnitud del incumplimiento. Se realizan análisis de regresión sobre determinantes individuales, laborales y macroeconómicos. Aunque la incidencia permanece relativamente baja, los trabajadores a los que se dirigen las políticas de salario mínimo parecen los más expuestos a su incumplimiento. Con el tiempo, una mayor incidencia se asocia a una razón más alta entre salario mínimo y salario medio.     

Overconfidence and Investor Size

Recent research documents that institutional or large investors act as antagonists to other investors by showing opposite trading behaviour following the disclosure of new information. Using an extremely comprehensive official transactions data set from Finland, we set out to explore the interrelation between investor size and behaviour. More specifically, we test whether investor size is positively (negatively) correlated with investor reaction following positive (negative) news. We document robust evidence of that investor size affects investor behaviour under new information, as larger investors on average react more positively (negatively) to good (bad) news than smaller investors. We furthermore find that the performance of smaller, or more overconfident, investors is in general hurt by their behaviour.     

Headquarter Services and Revealed Factor Abundance

This paper analyzes how usual measures of revealed factor abundance (RFA), based on trade in merchandise, are affected by the existence of trade in services of intangible assets; trade that is mainly associated with multinational firms. It presents empirical estimates of both usual measures of RFA and new measures that take account of trade in headquarter services for the United States, a country that has a substantial surplus in the recorded components of such trade. It is found that the usual measures underestimate the abundance of highly skilled labor and technological knowledge, and overestimate the abundance of physical capital.