Telling the data story the right way

Effective data-driven analyses of service-line performance require: Buy-in and agreement at the outset from all parties (hospital and physicians) on the validity of the data used to evaluate service-line performance, Actionable data and metrics relevant to physicians, with financial goals tangibly linked to clinical improvement, Transparent sharing of data with physicians to build their trust and support the case for change, A physician champion who can help validate findings and guide how data are presented, Willingness of physicians to acknowledge that the opportunity for improved margin depends largely on the variable costs that they control as individuals.     

Brain drain or brain bank? The impact of skilled emigration on poor-country innovation

The development prospects of a poor country or region depend in part on its capacity for innovation. In turn, the productivity of its innovators, whom are often concentrated around urban centers, depends on their access to technological knowledge. The emigration of highly skilled individuals weakens local knowledge networks (brain drain) but may also help remaining innovators access valuable knowledge accumulated abroad (brain bank). We develop a model in which the size of the optimal innovator Diaspora depends on the competing strengths of co-location and Diaspora effects for accessing knowledge. Then, using patent citation data associated with inventions from India, we estimate the key co-location and Diaspora parameters. The net effect of innovator emigration is to harm domestic knowledge access, on average. However, knowledge access conferred by the Diaspora is particularly valuable in the production of India’s most important inventions as measured by citations received. Thus, our findings imply that the optimal emigration level may depend, at least partly, on the relative value resulting from the most cited compared to average inventions.     

Infinite-dimensional VARs and factor models

This paper proposes a novel approach for dealing with the ‘curse of dimensionality’ in the case of infinite-dimensional vector autoregressive (IVAR) models. It is assumed that each unit or variable in the IVAR is related to a small number of neighbors and a large number of non-neighbors. The neighborhood effects are fixed and do not change with the number of units (N), but the coefficients of non-neighboring units are restricted to vanish in the limit as N tends to infinity. Problems of estimation and inference in a stationary IVAR model with an unknown number of unobserved common factors are investigated. A cross-section augmented least-squares (CALS) estimator is proposed and its asymptotic distribution is derived. Satisfactory small-sample properties are documented by Monte Carlo experiments. An empirical illustration shows the statistical significance of dynamic spillover effects in modeling of US real house prices across the neighboring states.     

Antecedents to Decision‐Making Quality and Agility in Innovation Portfolio Management

Innovation portfolio management (IPM) is a dynamic decision‐making process, in which projects are evaluated and selected, and resources are allocated. Previous research has developed an understanding of IPM success and its influencing factors. However, little research investigated the quality of the decision‐making process and the ability to quickly adapt the portfolio. This study focuses on the antecedents of decision‐making quality and agility (i.e., responsiveness to changes in the environment). Based on a decision‐making framework, five structural and cultural IPM components are derived as important antecedents of decision‐making quality, which in turn influences agility. The structural components (1) clarity of strategic goals, (2) formality of the IPM processes, and (3) controlling intensity serve a coordinating function. The cultural components (4) innovation climate and (5) risk climate serve a motivating function in IPM. An analysis of a sample of 179 firms and their innovation portfolios through structural equation modeling using a double‐informant design documents that these five components all positively influence portfolio decision‐making quality, which in turn positively influences agility. Results further show that environmental turbulence moderates some of these relationships. While the positive effect of process formality is weakened under increasing turbulence, the effects of controlling intensity and climate for innovation are strengthened by environmental turbulence. The findings have theoretical implications for the understanding of IPM as a dynamic capability and practical implications for the management of portfolios in turbulent environments.     

The endo–exo problem in high frequency financial price fluctuations and rejecting criticality

The endo–exo problem lies at the heart of statistical identification in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and endogenous activity is the Hawkes process. This class of point processes has enjoyed great recent popularity and rapid development within the quantitative finance literature, with particular focus on the study of market microstructure and high frequency price fluctuations. We show that there are important lessons from older fields like time series and econometrics that should also be applied in financial point process modelling. In particular, we emphasize the importance of appropriately treating trends and shocks for the identification of the strength and length of memory in the system. We exploit the powerful Expectation Maximization algorithm and objective statistical criteria (BIC) to select the flexibility of the deterministic background intensity. With these methods, we strongly reject the hypothesis that the considered financial markets are critical at univariate and bivariate microstructural levels.     

Private information in currency markets

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we control for concurrent public information and for publicly available rumors about the forthcoming downgrades. Our results persist when abnormal currency returns are adjusted for global carry and dollar risk factors, world equity and bond returns, as well as local stock market returns. Finally, the currency depreciations are permanent, providing evidence for a link between fundamentals and currency markets.     

How do valuations impact outcomes of asset sales with heterogeneous bidders?

Differences among bidder type-specific outcomes of asset sales are theoretically related to differences in bidders’ valuations and participation. The lead application to quantify these relations is takeover auctions: bidders are classified into strategic and financial, and bids are available. I structurally estimate valuations from all bids. The positive difference in premiums between strategic and financial acquirers is driven by the difference in dispersions of valuations (e.g., strategic bidders’ synergies are more dispersed) and the set of auction participants. The difference in average valuations is relatively unimportant. My approach can help explain outcomes of asset sales, even in settings with limited bidder data.