Further evidence on performance evaluation: Portfolio holdings,recommendations, and turnover costs

This paper analyzes the performance of mutual funds in Spain between January 1980 and June 1990. The robustness of results to alternative measurements and benchmarks are analyzed. The results indicate that, with monthly returns alone, it is not possible to distinguish between selectivity and timing. We are only able to measure the magnitude of total performance. To be more precise about the reasons behind performance, portfolio holdings are necessary. This work employs a new data set based on monthly portfolio holdings of a representative sample of funds. A comparison of results using monthly returns and monthly portfolio holdings is made. In particular, thanks to the availability of portfolio holdings, we are able to separate selectivity and timing. Finally, the impact of turnover costs is considered.     

Smiles, Bid‐ask Spreads and Option Pricing

Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes.     

The political economy of multidimensional child poverty measurement: a comparative analysis of Mexico and Uganda

ABSTRACT

As part of the 2030 Agenda, much effort has been exerted in comparing multidimensional child poverty measures both technically and conceptually. Yet, few countries have adopted and used any of these measures in policymaking. This paper explores the reasons for this absence from a political economy perspective. It develops an innovative political economy framework for poverty measurement and a hypothesis whereby a country will only produce and use reliable and sustainable multidimensional child poverty (MDCP) measures if and only if three conditions coalesce: consensus, capacity and polity. We explore this framework with two relevant case studies, Mexico and Uganda. Both countries satisfy the capacity condition required to measure MDCP but only Mexico satisfies the other two conditions. Our proposed political economy framework is normatively relevant because it identifies the conditions that need to change across multiple contexts before the effective adoption and use of an MDCP measure becomes more likely.     

Specification via model selection in vector error correction models

This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach.     

High ownership concentration and exporting of emerging market firms: evidence from Peru

Despite the extraordinarily high ownership concentration widely observed in emerging market firms as a result of institutional voids, there is little research on how this high ownership concentration affects the exporting behavior of emerging market firms. From principal–agent and institutional perspectives, we hypothesize that high ownership concentration has a negative relationship with export intensity, because, in emerging markets, highly concentrated ownership bridges the interests of owners (principals) and managers (agents) so that principals must be prudent in exploring risky international markets. Moreover, we hypothesize that export country diversification strengthens the relationship between ownership concentration and export intensity, because broad geographic dispersion increases risk exposure and principal-agent problems. Empirical analysis based on a panel dataset for publicly listed firms in Peru from 2005 to 2014 supports the hypotheses. The study highlights the risk aversion attitude activated by ownership concentration, an attitude that protects emerging market firms from overconfidently exploring international business opportunities. The study extends the conventional literature on the interface between ownership concentration and international business in an emerging market context. We also discuss the generalizability of the findings to other emerging markets, e.g. China.     

Preventing rather than punishing: An early warning model of malfeasance in public procurement

Is it possible to predict malfeasance in public procurement? With the proliferation of e-procurement systems in the public sector, anti-corruption agencies and watchdog organizations have access to valuable sources of information with which to identify transactions that are likely to become troublesome and why. In this article, we discuss the promises and challenges of using machine learning models to predict inefficiency and corruption in public procurement. We illustrate this approach with a dataset with more than two million public procurement contracts in Colombia. We trained machine learning models to predict which of them will result in corruption investigations, a breach of contract, or implementation inefficiencies. We then discuss how our models can help practitioners better understand the drivers of corruption and inefficiency in public procurement. Our approach will be useful to governments interested in exploiting large administrative datasets to improve the provision of public goods, and it highlights some of the tradeoffs and challenges that they might face throughout this process.     

Transparency,Value Creation,and Financial Crises

This article reports the findings of the authors' recent study of the impact of the level of corporate transparency on shareholder value creation during periods of financial crisis. Their sample consists of the companies comprising Spain's IBEX 35 stock index during the ten‐year period 2000–2010. The study uses three different measures of earnings management (EM) as inverse indicators of the quality of disclosure and carries out fixed effects regressions that adjust for firm and industry characteristics, two periods of financial crises, and the passage of time. The main findings of the study are that (1) companies with lower disclosure quality have generated less value for their shareholders over long time periods and that (2) the shareholders of companies that were more aggressive in managing their earnings experienced greater wealth destruction during the two financial crises of the last decade. Given the still unfolding impact of the recent global financial crisis, as reflected in the current debt crisis in Western European countries, the authors' study reinforces the importance of the current debate over the benefits and costs of increasing the regulation of financial markets, especially in the areas of transparency and disclosure requirements.     

What Drives Foreign Ownership in Japan? Evidence from Before and After Japan's Financial Crisis

The ownership structure of Japanese firms has long been characterized by the superiority of ownership by banks and business partners; however, after the mid-1990s, the relative share of foreign ownership increased significantly. Results from this study suggest that almost 90% of the variance in foreign ownership occurs within and between firms. As expected, a substantial percentage of the variance of foreigner ownership is explained by macroeconomic shocks. The results indicate that firm size, profitability, dividends, risk, and financial health are important factors that drive foreign ownership.     

Gender discrimination and intergenerational transmission of preferences

This paper provides an explanation for the existence of genderdiscrimination in the labour market focusing on the intergenerationaltransmission of preferences related to the attitude of womentowards jobs and family. Changes in women's preferences overgenerations depend on the socialization efforts of their parentswhich in turn are influenced by both the firm's expected recruitmentpolicy and the expected utility from household care. We obtaintwo types of steady state equilibria: the discriminatory equilibrium,in which women are segregated to low-paid jobs, and the non-discriminatoryequilibrium, in which women are hired in highly-paid jobs. Theconditions of convergence to each equilibrium are analysed.