I. Allgemeine wirstchaftslehre

Ohne Zusammenfassung     

Further evidence on the robustness of the Tobit estimator to heteroskedasticity

When the error terms in a Tobit model are heteroskedastic, the MLE which assumes homoskedasticity is inconsistent. For the special case of a constant-term-only model, we investigate the size of the inconsistency. The inconsistency is greater the greater the heteroskedasticity and the greater the degree of censoring (i.e., the greater the number of limit observations). However, the inconsistency is much smaller than in the corresponding truncated-normal model considered by Hurd.     

Multisource effects on the satisfaction formation process

Customer satisfaction research is integrated with research on higher education in developing a model of alumni satisfaction with college education. The model proposes that alumni satisfaction with higher education is a function of two performance and disconfirmation attributes: intellectual environment and employment preparation. The model was tested among 475 alumni of a major Eastern undergraduate business school and demonstrates the advantage of modeling the disconfirmation paradigm with multiple sources of satisfaction. She holds a Ph.D. in marketing from Michigan State University. Her work has appeared in theJournal of the Academy of Marketing Science, International Journal of Research in Marketing, Journal of Services Marketing, Journal of Consumer Satisfaction, Dissatisfaction and Complaining Behavior, and proceedings of the American Marketing Association and the Association for Consumer Research. She was formerly an account executive at Needham Harper Worldwide and Director of Marketing at Maxwell Advertising. Her research interests include consumer satisfaction, complaining behavior, and advertising management. He received his Ph.D. in marketing from Michigan State University. His work has appeared in theJournal of Advertising, Journal of Retail Banking, Journal of Services Marketing, and theHaring Symposium Proceedings. He has held several positions in the banking industry, most recently as Group Vice President at Michigan National Bank in Grand Rapids. His research interests include services marketing, consumer satisfaction, and direct marketing. She received her Ph.D. in marketing from the University of Cincinnati. Her work has appeared in theJournal of Retailing, Industrial Marketing Management, Journal of Marketing Education, and other marketing-related publications. Her research interests include not-for-profit organizations, consumer satisfaction, and services marketing.     

Testing measurement invariance using multigroup CFA: differences between educational groups in human values measurement

This article applies the testing procedures for measurement invariance using multigroup confirmatory factor analysis (MGCFA). It illustrates these procedures by investigating the factorial structure and invariance of the Portraits Value Questionnaire (PVQ, Schwartz et al.: J. Cross Cult. Psychol. 32(5), 519–542 (2001)) across three education groups in a population sample (N  =  1,677). The PVQ measures 10 basic values that Schwartz postulates to comprehensively describe the human values recognized in all societies (achievement, hedonism, self-direction, benevolence, conformity, security, stimulation, power, tradition and universalism). We also estimate and compare the latent means of the three education groups. The analyses show partial invariance for most of the 10 values and parameters. As expected, the latent means show that less educated respondents attribute more importance to security, tradition, and conformity values.     

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability into the continuous sample path variance, the variation arising from discontinuous jumps that occur during the trading day, as well as the overnight return variance. Our empirical results, based on long samples of high-frequency equity and bond futures returns, suggest that the dynamic dependencies in the daily continuous sample path variability are well described by an approximate long-memory HAR–GARCH model, while the overnight returns may be modeled by an augmented GARCH type structure. The dynamic dependencies in the non-parametrically identified significant jumps appear to be well described by the combination of an ACH model for the time-varying jump intensities coupled with a relatively simple log-linear structure for the jump sizes. Finally, we discuss how the resulting reduced form model structure for each of the three components may be used in the construction of out-of-sample forecasts for the total return volatility.     

The use of trading strategies by fund managers: some first survey evidence

A questionnaire survey has found that most fund managers rely on the strategies of buy-&-hold, momentum and contrarian trading. These strategies are typically applied mutually. Their use is rooted in the attributes and beliefs of the respective fund managers: buy-&-hold traders are fundamentally oriented, risk averse and are less (over)confident than others. Momentum traders appear as the least risk-averse professionals, going aggressively with the trend. Contrarian traders, however, show signs of overconfidence and peculiar risk aversion, both indicating difficulties in successful strategy implementation. The behavioural patterns revealed are not easily reconciled with efficient markets.     

Sequential bargaining in a market with one seller and two different buyers

A matching and bargaining model in a market with one seller and two buyers, differing only in their reservation price, is analyzed. No subgame perfect equilibrium exists for stationary strategies. We demonstrate the existence of inefficient equilibria in which the low buyer receives the good with large probability, even as friction becomes negligible. We investigate the relationship between the use of Nash and sequential bargaining. Nash bargaining seems applicable only when the sequential approach yields a unique stationary strategy subgame perfect equilibrium.