Can mutual funds time risk factors?

Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing coefficients under the null hypothesis of no timing ability and then compare this distribution to that of the timing coefficients of the actual funds. Fund managers do not seem to be timing any of the risk factors. We interpret this result as evidence that factor timing ability does not persist over long time periods.     

Dynamic Spatial Competition Between Multi‐Store Retailers

We propose a dynamic model of an oligopoly industry characterized by spatial competition between multi‐store retailers. Firms compete in prices and decide where to open or close stores depending on demand and cost conditions, the number of competitors at different locations, and on location‐specific private‐information shocks. The model distinguishes multiple forces in the spatial configuration of store networks, such as cannibalization of revenue between stores of the same retail chain, economies of density, competition, consumer transportation costs, or positive demand spillovers from other stores. We develop an algorithm to approximate a Markov Perfect Equilibrium in our model, and propose a procedure for the estimation of the parameters of the model using panel data on number of stores, prices, and quantities at multiple geographic locations within a city. We also present a numerical example to illustrate the model and algorithm.     

Endogenous participation in charity auctions

Data from a recent field experiment suggests that differences in participation rates are responsible for much of the variations in charity auction revenues across formats. We provide a theoretical framework for the analysis of this and other related results. The model illustrates the limits of previous results that assume full participation and introduces some new considerations to the choice of auction mechanism. It also implies, however, that the data cannot be explained in terms of participation costs alone: there must exist mechanism-specific obstacles to participation.     

Bank productivity in China 1997–2007: Measurement and convergence

This study examines the productivity growth of the nationwide banks of China and a sample of city commercial, banks for the ten years to 2007. Using a bootstrap method for the Malmquist index, estimates of the total factor productivity growth are constructed. Five different models of inputs and outputs based on variants of the Intermediation and Production approaches and non-performing loans are treated as a bad output, are examined for the purpose of arriving at a robust measure. The productivity growth of the state-owned commercial banks (SOCBs) is compared with the joint-stock banks (JSCBs) and city commercial banks (CCBs). In general, average TFP growth has been neutral over the period for the SOCBs and JSCBs but positive for the CCBs in the second part of the period. Efficiency gains (catch-up) were obtained through cost reduction and technical innovation was associated with greater diversification of revenue away from interest earnings. The opening up of the banking market has not led to a discernible improvement in bank productivity growth.     

Policies for Enhancing Corporate Environmental Management: a Framework and an Applied Example

This paper develops a four‐phase schematic representation dubbed the CEM lifecycle for conceptualizing how corporate environmental management (CEM) programs typically evolve in a given organization and then explicates the forces that influence corporate commitment as a CEM program progresses from inception to later phases of the CEM lifecycle. Examples are then presented on how the Singaporean government encourages enhancement of CEM programs by designing support programs that target the underlying corporate needs inherent to the first three CEM lifecycle phases. The examples provided in this paper of Singaporean CEM support programs illustrate how policy can be strategically designed to improve corporate uptake of CEM programs by enhancing CEM knowledge in the initial phase of the CEM lifecycle, providing technical support in the second lifecycle phase and providing opportunities for public recognition in the third lifecycle phase. The article concludes that replicating the strategic approach to policymaking exemplified in the Singaporean case study can significantly improve the competitiveness of domestic firms through encouraging more efficient use of resources; however, in order to design truly sustainable economies (provide for the needs of future generations), governments must be prepared to more coercively regulate the exploitation of natural endowments. Copyright © 2012 John Wiley & Sons, Ltd and ERP Environment.     

The modern foundations of Marx's monetary economics

The first chapters of Capital are still often ‘tlerated’, Mirowski (1986: 222) reminds us, as a ‘regrettable metaphysical residuum of [Max's] Hegelian [past]’. Such ‘tolerance’ has unfortunate consequences, howeve, not the least of which is Marx's reputation for ‘theoretical metallism’, simple and derivative. This paper builds on the recent efforts of de Brunhoff (1981), Lavoie (1983) and others to deconstruct, with support from Grundrisse and related texts, the important thrid chapter of Capital, Marx's account of the universal equivalent's four functions. As it is identified here, the chapter's core includes ‘pody-Keynesian’ elements– a reversal of the Ricardian view of the quantity equation, an effective demand principle in which capitalists’ dcisions about the recommitment of hoards assume a prominent role, and the deermination of interest rates, in the short term, on the basis of liquidity preference-– but does not include, in the conventional sense, a commodity theory of money.     

A method for building community resilience to climate change in emerging coastal cities

Rapidly urbanising coastal locations represent prototypes of future cities. While these “sea change” locations will face a range of issues associated with rapid growth such as infrastructure provision and enhancement of social capital, anticipated environmental impacts are likely to add significant challenges. Climate change is likely to have dramatic impacts on sea change communities through diminished potable water supplies, rising sea levels, storm surges, and increased intensity of flood events - with indirect impacts on health, financial sectors, and biodiversity. Given the inherent diversity within sea change communities with regard to age, culture, and socio-economic status there are likely to be differences in ways of adapting, the ability to adapt, and the desired direction of any changes. Cognizant of the potential enormity of climate change impacts, the need for rapid responses, and the diversity within communities, this paper proposes a participatory and transformative method to work with communities in responding to climate change and variability within rapidly urbanising coastal locations. The method focuses on determining probable futures for various communities of place and interest within sea change areas and aims to build the capacity for dynamic on-going learning to achieve those futures, both within and between the communities. Through this process community members may be empowered with dynamic and future-orientated learning skills that build upon community knowledge, innovation, and resilience.     

Attitudes of industrial buyers toward selected social issues

Although the demand on industrial establishments to resolve various social problems is ever-present, there is little substantive material in the literature concerning the industrial buyers' perceptions of the social responsibilities of their firm. Studies of executive's attitudes toward corporate social responsibility have focused heretofore on corporate personnel other than industrial buyers. Next to salespersons, however, industrial buyers have more contact with persons and businesses outside their company than other corporate personnel. People in purchasing, nonetheless, are perceived by many as conservative, hard-nosed negotiators either unconcerned about corporate social responsibility at best or denying such responsibility at worst. This article presents the results of a survey of industrial buyers concerning their attitudes toward various social issues.     

From the laws of human nature to capital accumulation: James Mill's analysis of the states of society in the Elements of Political Economy

Abstract

James Mill's Elements of Political Economy is usually treated as a textbook of Ricardian political economy. Although this might be justified, there is a passage in this Ricardian textbook that is not Ricardian. The passage deals with Mill's analysis of the states of society, in which he underlines the laws of human nature conducive to capital accumulation. This paper investigates such states.