Johannes Karup

Abstract

J. G. Kyd &; G. H. Maddex: Some Actuarial Aspects of Unemployment Insurance. Tvungen Arbejdsløshedsforsikring indførtes i Storbritannien ved Part II of the National Insurance Act 1911, omfattende et begrænset Antal Fag og ca. 2 ¼ Mill. Personer. Under Krigen var Arbejdsløshed ukendt, men da det kunde ventes, at Krigens Ophør vilde føre til stor Arbejdsløshed, blev Rammerne for Arbejdsløshedsforsikringen i 1916 udvidet til at omfatte Ammunitionsarbejderne. En storstilet Statsunderstøttelse udover Forsikringen bevirkede, at Arbejdsløshedsfonden kunde vedblive at vokse, saaledes at man endog i 1919 knnde forhøje de normale Ydelser fra de oprindelige 7 s. til 10 s. om Ugen, uden at forhøje Bidragene.     

A Comparison of Decision Criteria for Capital Investment Decisions

Capital investment decisions, at least the quantitative portion, are usually based on one of several possible decision criteria. The analysis and calculations required to base the capital investment decision on one criterion only require a relatively small extension to allow the decision to be based, or at least compared, on several decision criteria. This paper analyzes seven capital investment decision criteria, including six objective and one subjective one, and illustrates how a typical capital investment problem can be analyzed on the basis of the seven decision criteria. Computer simulation is used to determine the outcomes of the hypothetical capital investment projects.     

Effective rates of protection and the Fordney-McCumber and Smoot-Hawley Tariff Acts: comment and revised estimates

This paper provides corrected calculations of the effective rate of protection for a wide disaggregation of US industries under the two important interwar tariff regimes.     

The impact of regulation on productivity growth: An application to the transmission sector of the interstate natural gas industry

We estimate a regulated cost function to examine the contributions of technical change, scale economies, and regulatory bias to productivity growth in an eleven-year, twenty-firm panel of interstate natural gas pipeline companies. We derive the unregulated cost function from the regulated cost function to produce estimates of movements in the unconstrained production technology. We find that the regulation constraint is binding in most years and that scale economies explain 38 percent more growth in the unconstrained production space than they do in the regulation-constrained production space.We are grateful to Gary Biglaiser, David Guilkey, C. A. Knox Lovell, and Helen Tauchen for their suggestions, and to Karen Bauer, Philip Budzik, Ronald Colter, and Mary Streitwieser for their assistance in compiling the data sample. We are also grateful to the participants at the Georgia Productivity Workshop and two anonymous referees for their comments and suggestions.     

NEWS-GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF-NIELSEN AND SHEPHARD TYPE

We consider Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type. The investor can trade in n stocks and a risk-free bond. We assume that the dependence between stocks lies in that they partly share the Ornstein–Uhlenbeck processes of the volatility. We refer to these as news processes, and interpret this as that dependence between stocks lies solely in their reactions to the same news. The model is primarily intended for assets that are dependent, but not too dependent, such as stocks from different branches of industry. We show that this dependence generates covariance, and give statistical methods for both the fitting and verification of the model to data. Using dynamic programming, we derive and verify explicit trading strategies and Feynman–Kac representations of the value function for power utility.     

The California Electricity Crisis: Editors’ Introduction

This short piece introduces the papers in the special issue on the California Energy Crisis of 2000/2001. The papers illustrate aspects of the crisis, such as the role of the gas market, future trends for investment, and the crisis’ impact on consumers. Three papers analyze policy-makers’ responses to the crisis, with case studies of over-lapping regulation, the trade-off between prices, reliability and the environment, and policies that helped achieve demand reductions in the summer of 2001. Two papers consider lessons for other countries, in Latin America and Europe.     

Market reaction to equity offer reasons: What information do managers reveal?

Prior studies have had limited success explaining the negative market reaction to common stock announcements using firm and offer specific variables. We employ apiecewise linear model to test the relationship between announcement returns and firm and offer specific variables by specific offer reason as stated by management. We find evidence that managers are signalling the quality of the new investment when issuing equity for the offer-motive capital expenditures; this is support for the announcement of the equity issue being a signal of wasteful investment. We also find that the announcement of equity issues signals overvaluation when the equity offer is for general purposes.     

Who Is Publishing? An Analysis of Finance Research Productivity in the European Region

This study ranks the research productivity in finance across European universities and researchers using a set of 15 finance journals during the decade of the 1990s. A total of 219 universities are ranked. During the sample period from 1990 to 1999, UK universities dominate the top-20 ranking. However, the UK 's dominance is significantly reduced when the Journal of Business Finance & Accounting, a UKbased journal, is excluded from the analysis. Other non-UK European universities gain further ground when only the top-4 journals are used to measure ranking. Our analysis also shows that a majority of the top 20 European universities have made significant progress in research productivity over the period 1990–99. Additionally, we compare the top European universities to those in North America. The top European university, London Business School, compares to the 24th and 25th ranked North American universities for the period from 1990 to 1999; it compares to the 15th and 16th ranked North American universities for the more recent sub-period from 1995 to 1999. The top researcher is Henri Servaes from London Business School.     

Global ranking of accounting programmes and the elite effect in accounting research

We provide a global ranking of accounting research and examine the elite degree and elite affiliation effect. Based on 24 accounting journals during the period 1991–2005, the top 5 most productive countries in accounting research are in the following order: the USA, the UK, Australia, Canada and Hong Kong. We find a significant elite degree effect, indicating that authors who graduated from elite accounting programmes have a disproportionate share of publications in top‐notch journals. The same conclusion is also supported by the elite affiliation effect in which leading accounting journals have higher concentration of authors who are affiliated with elite institutions.