Survival of commodity trading advisors: 1990–2003

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990–2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs in this sample is different than previously documented. Through the implementation of nonparametric, parametric, and semiparametric statistical techniques, it is emphasized that CTA survivorship is heavily contingent on the strategy followed by the fund. Furthermore, a significant positive size effect on survival is shown, whereas poor returns, and to a lesser extent, high‐risk exposure, appear to hasten mortality. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:795–815, 2005     

Estimation of the default risk of publicly traded companies: evidence from Canadian data

Through Canadian publicly traded companies, this study assessed how combining firms' continuous valuations by the market (structural model) with the value given in their financial statements (accounting model) could enhance prediction of a company's probability of default. The hybrid model outperformed other models. Specifically, estimated structural probabilities of default (PDs) contributed significantly to predicting default probabilities when they were included alongside accounting and macroeconomic variables in our hybrid model. These results were obtained with two versions of the structural model: the Merton model (Merton, 1973, 1974) and the default barrier model (Brockman & Turtle, 2003). Both models were estimated with the maximum likelihood method. Copyright © 2008 ASAC. Published by John Wiley & Sons, Ltd.     

Efficiency of insurance firms with endogenous risk management and financial intermediation activities

Risk management is now present in many economic sectors. However, none of existing studies consider risk management as a potential determinant of firm performance. In this paper, we investigate the role of risk management and financial intermediation in creating value for financial institutions by analyzing U.S. property-liability insurers. Our main goal is to test how risk management and financial intermediation activities create value for insurers by enhancing economic efficiency through cost reductions. We consider these two activities as intermediate outputs and estimate their shadow prices. Insurer cost efficiency is measured using an econometric cost function. The econometric results show that both activities significantly increase the efficiency of the property-liability insurance industry.     

Centralized versus decentralized taxation of mobile polluting firms

We consider a world in which a mobile polluting firm must locate in one of two regions. The regions differ in two dimensions: their marginal cost of pollution and the production cost of the firm. It is shown that under incomplete information on regional marginal costs of pollution, fiscal competition may lead to the sub-optimal location of the firm. We also show that under incomplete information, a sub-optimal location is less likely under centralized than under decentralized taxation.     

Enterprise-state Relations after Mass Privatization: their Character in Mongolia

MOCT-MOST: Economic Policy in Transitional Economies -     

The volatile relationship between deficits and inflation in Ukraine, 1992-1996

This paper compares the annual average of inflation in Ukraine, from 1992 to 1996, with its steady-state tendency each year. The steady-state tendency is, in turn, computed from data on monetary velocity and on the proportion of the total public deficit financed by domestic monetary emissions. Velocity is that of the base of the inflation tax in the steady-state, namely household M2 plus a fraction of enterprise M2. The use of this concept rather than high-powered money corresponds to the public and quasi-public nature of most commercial banks and many large and medium-sized enterprises until 1996. The demonstrated rough correspondence between actual inflation and calculated, steady-state inflation confirms the validity of the underlying monetary model.     

Automobile insurance ratemaking in the presence of asymmetrical information

Automobile insurance is an example of a market where multi-period contracts are observed. This form of contract can be justified by asymmetrical information between the insurer and the insured. Insurers use risk classification together with bonus-malus systems. In this paper we show that the actual methodology for the integration of these two approaches can lead to inconsistencies. We develop a statistical model that adequately integrates risk classification and experience rating. For this purpose we present Poisson and negative binomial models with regression component in order to use all available information in the estimation of accident distribution. A bonus-malus system which integrates a priori and a posteriori information on an individual basis is proposed, and insurance premium tables are derived as a function of time, past accidents and the significant variables in the regression. Statistical results were obtained from a sample of 19,013 drivers.     

Knowledge,action and public concern: the logic underlying mediators' actions in French labour conflicts

Since the early 1980s, a rich research literature on mediation has evolved. Mediation is becoming the norm for organizations facing individual or collective conflicts. The lack of empirical research confuses what mediators do and why they do it, confusion made even worse by a strong cultural dimension. Based on interviews with 54 French labour mediators, we have identified four logics of actions and the explaining variables. On the whole they appear as less than neutral. Their own ideology and time constraints are salient variables.