Bayesian inference for the mover–stayer model in continuous time with an application to labour market transition data

This paper presents Bayesian inference procedures for the continuous time mover–stayer model applied to labour market transition data collected in discrete time. These methods allow us to derive the probability of embeddability of the discrete‐time modelling with the continuous‐time one. A special emphasis is put on two alternative procedures, namely the importance sampling algorithm and a new Gibbs sampling algorithm. Transition intensities, proportions of stayers and functions of these parameters are then estimated with the Gibbs sampling algorithm for individual transition data coming from the French Labour Force Surveys collected over the period 1986–2000. Copyright © 2003 John Wiley & Sons, Ltd.     

Technical analysis compared to mathematical models based methods under parameters mis-specification

In this study, we compare the performance of trading strategies based on possibly mis-specified mathematical models with a trading strategy based on a technical trading rule. In both cases, the trader attempts to predict a change in the drift of the stock return occurring at an unknown time. We explicitly compute the trader’s expected logarithmic utility of wealth for the various trading strategies. We next rely on Monte Carlo numerical experiments to compare their performance. The simulations show that under parameter mis-specification, the technical analysis technique out-performs the optimal allocation strategy but not the Model and Detect strategies. The latter strategies dominance is confirmed under parameter mis-specification as long as the two stock returns’ drifts are high in absolute terms.     

Contents of Volume 4

Volume Contents

Contents of Volume 4     

Institute for the future's study of the UK, 1978–1995

The method used expert opinions (collected through interviews), scenario generation, and a simple econometric model. Some methodological innovations are reported; eg aids to assist experts in thinking ahead, and in how scenarios are generated and aggregated.     

The association between management earnings forecasts, earnings management, and stock market valuation: Evidence from French IPOs

This study investigates managers' motivations to engage in earnings management through purposeful interventions in the setting of discretionary accruals, in the context of initial public offerings (IPOs) in France. Firms issuing forecasts in their prospectuses are expected to differ from nonforecasters in the level of earnings management during the year following the public offering. Within the context of contracting theory, four research questions are addressed. First, are IPO firms issuing forecasts more inclined to manage earnings 1 year after an IPO compared to nonforecasting firms? Second, is a forecasting firm's level of earnings management conditioned by earnings-forecast deviation? Third, is earnings management by IPO forecasting firms affected by contractual and governance environments? Fourth, how do investors see through earnings management following IPO earnings forecasts, i.e., how do stock market participants value earnings components (i.e., nondiscretionary and discretionary accruals)? Our findings document that in the year following an IPO, the magnitude of earnings management is much higher for forecasters than for nonforecasters. Results also show that a firm's accrual behavior is affected by earnings-forecast deviation, but the relationship is moderated by contractual and governance constraints. Finally, it would appear that French investors do not adequately readjust the relationship between reported earnings and a firm's market value for the year in which earnings are subject to manipulations.     

Leverage and investment in diversified firms

Within diversified firms, the negative impact of leverage on investment is significantly greater for high q than for low q segments and significantly greater for non-core than for core segments. This differs substantially from focused firms and is consistent with the view that diversified firms allocate a disproportionate share of their debt service burden to their higher q and non-core segments. We also find that, among low-growth firms, the positive relation between leverage and firm value is significantly weaker in diversified firms than in focused firms. We conclude that the disciplinary benefits of debt are partially offset by the additional managerial discretion in allocating debt service that is provided by the diversified organizational structure.     

Strategies for understanding and changing local revenue policies and practices in Ghana's decentralization programme

The 1971 Local Administration Act is the basis for Ghana's attempt to decentralize development planning and budgeting from the centre in Accra to the 68 districts of Ghana. The Act allows District Councils to collect numerous revenues and to retain them as a financial base for implementing District development projects. In 1977 the Economic and Rural Development Management training programme was initiated to help improve revenue collection and the development planning and budgeting capacity of elected officials and civil servants at the district level. Participants worked in teams to determine the potential district revenue base for decentralized development planning, to understand local behavioural patterns in the revenue collection process, and to recommend procedures for improving district revenue administration. The training programme has resulted in dramatic improvements in district government revenue policies and practices leading to a larger financial base for the funding of projects identified and designed locally. Data indicating the positive impact of the training programme for improving local revenue are provided for Techiman District.     

Racial differences in unemployment: A spatial perspective

Conclusions It has been demonstrated that racial differences in unemployment in the nation’s largest metropolitan areas are widespread. The differences tend to vary, however, by region with the greatest difference occurring in the metropolitan areas of the North-Central region and the least difference occurring in the metropolitan areas in the West.