Do momentum-based strategies work in emerging currency markets?

Existing studies on the profitability of trading rules in the currency market focus mainly on the currencies of developed countries. The profitability of technical trading rules on the currencies of emerging economies is surprisingly understudied. This paper evaluates the profitability of technical trading rules in emerging currency markets. Similar to Okunev and White [Okunev, J. and White, D., (2003) “Do Momentum-based Strategies Still Work in Foreign Currency Markets?” Journal of Financial and Quantitative Analysis 38, 425–447.], 354 long/short moving average rules for six currencies are investigated. It is found that investing in emerging currencies can generate a considerable annual return of over 20%, even after a 5% annual transaction cost is imposed. The trading-rule profits are relatively stable across the 20 year sample period. Furthermore, the impact of financial crises on the trading-rule returns is also examined. It is found that the profitability of the trading rules is improved after the crises.     

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model

This paper considers Maximum Likelihood (ML) based estimation and inference procedures for linear dynamic panel data models with fixed effects.     

Causal Maps and Indirect Influences Analysis in the Diagnosis of Second‐Home Tourism Impacts

This paper proposes a method for diagnosing the impacts of second‐home tourism and illustrates it for a Mediterranean Spanish destination. This method proposes the application of network analysis software to the analysis of causal maps in order to create a causal network model based on stakeholder‐identified impacts. The main innovation is the analysis of indirect relations in causal maps for the identification of the most influential nodes in the model. The results show that the most influential nodes are of a political nature, which contradicts previous diagnoses identifying technical planning as the ultimate cause of problems. Copyright © 2014 John Wiley & Sons, Ltd.     

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A Parametric Distance Function Approach for Malmquist Productivity Index Estimation

Malmquistindexes of productivity are generally estimated using index numbertechniques or non-parametric frontier approaches. The aim ofthis paper is to show that Malmquist indexes can be estimatedin a similar way using parametric-deterministic or parametric-stochasticfrontier approaches. To allow a multi-output multi-input technologyand for technical change in production, we adopt an output distancefunction which is specified in a translog form. We then showthat using the estimated parameters, several radial distancefunctions can be calculated and combined in order to estimateand decompose the productivity index. Finally, this approachis applied to a panel of Spanish insurance companies. The mainresults confirm those generally obtained for financial services:very low rates of growth and technical change in spite of a rapidderegulation process and expansion of activity.     

Multi-activity contests

In many contests, players can influence their chances of winning through multiple activities or “arms”. We develop a model of multi-armed contests and axiomatize its contest success function. We then analyze the outcomes of the multi-armed contest and the effects of allowing or restricting arms. Restricting an arm increases total effort directed to other arms if and only if restricting the arm balances the contest. Restricting an arm tends to reduce rent dissipation because it reduces the discriminatory power of the contest. But it also tends to increase rent dissipation if it balances the contest. Less rent is dissipated if an arm is restricted as long as no player is excessively stronger than the other with that arm. If players are sufficiently symmetric in an arm, both players are better off if that arm is restricted. Nevertheless, players cannot agree to restrict the arm if their costs of using the arm are sufficiently low.     

Joined-up Government of utilities: a meta-review on a public–public partnership and inter-municipal cooperation in the water and wastewater industries

Private-sector participation in public services delivery has been criticized due to unfulfilled expectations. In response, joined-up government is being introduced as an alternative approach to providing water and wastewater services. This approach involves the establishment of horizontal (i.e. inter-municipal cooperation) and vertical (i.e. public–public partnership) integration. Drawing on a meta-review focused on the water and wastewater industries, this study shows that both arrangements have positive aspects, such as cost savings. However, contractual schemes and inter-departmental coordination efforts must be carefully managed or they will fail. In addition, research on cooperation between public bodies is scarce and must be better coordinated concerning study aims and methods.     

Measuring peer effects in the Brazilian school system

Using the identification strategy proposed by Graham and Hahn (2005), we estimate the magnitude of classmate effects on math scores using Brazilian data from 2005. In addition, we provide a detailed discussion about the identification of endogenous peer effects in the linear in means models. Our results show that both peer characteristics (exogenous peer effects) – like race, socioeconomic status and gender – and peer actions (endogenous peer effects) are important determinants of students’ outcomes in the fifth grade of elementary school. Our estimates of endogenous peer effects are about 0.008 of 1 SD of math test scores, which can be interpreted as evidence of a so-called ‘conformist’ individual behaviour, under which students face large costs to exert effort levels that are distant from what is believed to be the norm in the classroom. Those estimates of endogenous peer effects imply a social multiplier of about 1.67.