Spurious Regressions in Financial Economics?

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974) . Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. Our simulations suggest that many of the regressions in the literature, based on individual predictor variables, may be spurious.     

Game theoretic derivations of competitive strategies in conjoint analysis

While conjoint analysis has been applied in a wide variety of different contexts in Marketing, most applications fail to explicitly consider retaliatory reactions from competitors. In this paper, a methodological extension is developed for conjoint analysis by explicitly modeling competition in a game theoretic context. The Nash equilibrium concept is employed to model competitive reactions to produce design, and its implications for reactive product strategies are discussed. The optimal product design problem for each firm is formulated as a nonlinear integer programming problem, which is solved via a specialized branch and bound method combined with a heuristic. In order to compute a Nash equilibrium, a sequential iterative procedure is proposed. The proposed procedure is illustrated under several scenarios of competition using previously published conjoint data.This research has been supported by the Henry Rutgers Research Fellowship, Rutgers University.     

Working for Position: Women, Men, and Managerial Work Hours

Job hours may be determined in part by positional striving to keep up with or outwork others in one's organization. A prisoner's dilemma in which employees have an incentive to work more than a socially optimal level of hours may arise from positional competition. This article uses survey data to estimate how much positional striving increases job hours, and considers how it may contribute to workplaces more in accord with men's than women's hours preferences.     

Banks’ deferred tax assets during the financial crisis

Review of Quantitative Finance and Accounting - Prior studies have demonstrated that the net deferred tax liabilities of industrial firms are valued by market participants in a manner consistent...     

Preference for a career in retailing: a question of personality

Drawing on previous findings from the field of brand personality research and employer branding, this paper aims to explore the symbolic attributes of the retail industry image in South Africa and to identify those personality traits that distinguish preferred industries from the retail industry. The research provides a contemporary overview of the current image of the retail industry in South Africa from the perspective of young university students and allows retailers to strengthen their joint communication effort accordingly. Therefore, a quantitative survey study with 1426 participants from five South African universities was conducted. Participants assessed personality characteristics of the retail industry as well as their most preferred industry. The main results suggest that retail and non-retail students hold different personality perceptions of the retail industry and that prior retail involvement accounts for this difference to some extent. Moreover, the analysis shows that retailing performs significantly worse on those personality attributes that are of major importance for future job seekers. Additionally, the study identifies those attributes that exert a strong effect on students’ preferences for the retail industry. The findings provide useful communication themes for educational institutions, retail companies, and industry associations in order to foster positive personality perceptions associated with the retail industry.     

Uncertainty and stress in an R&D project environment

Abstract
R&D project managers work in an environment in which the uncertainty and complexity of engineering development problems are an important source of episodic job stress. A study of the US. Navy's top major project R&D managers (N = 118) was conducted to test the use of various coping skills and social support as preventive stress management techniques for this population. It was found that perceived environmental uncertainty (PEU) had a direct, positive effect on psychological distress of these project managers while social support had a therapeutic effect on their experience of burnout. While problem focussed coping had a small, positive effect on burnout, neither coping skills nor social support were found to have a primary prevention effect upon perceived environmental uncertainty (PEU).
Engineering managers engaged in high technology R&D are confronted by a wide range of uncertainties, risks and changing demands that give rise to the stress response with its attendant physiological and psychological changes (Asterita, 1985). Adams (1980) has argued that an episodic versus chronic dichotomy of stressors is valuable because it distinguishes between intermittent stressors of finite duration (episodic) and ongoing stressors of indeterminant duration (chronic). This article reports the results of a study of uncertainty as an episodic work stressor for the U.S. Navy's high technology R&D project managers. The results suggest that R&D project managers should develop social support systems and structures to maintain well-being and avert distress and strain.     

THE ECONOMICS OF COMMUTING AND THE URBAN LABOUR MARKET

ABSTRACT. The spatial distribution of households and firms, or urban spatial structure, is a core element of the study of urban economics and the crucial determinant of commuting patterns. This paper examines developments in the analysis of urban spatial structure and commuting are related to the urban labour market—that is the analysis of labour supply and labour demand in a spatial context. These developments have been overlooked in the traditional approach to urban structure and commuting where most attention has been devoted to the markets for land and housing rather than the market for labour. Yet a little reflection suggests that the labour market might have a great deal to do with the location decisions of households and firms, and hence with commuting patterns. We argue that much criticism of the economic analysis of urban structure and commuting can be addressed by explicit incorporation of the labour market into the conventional model of urban location. This criticism includes findings that the theory cannot explain the tendency for richer households to live farther from the central business district and commute farther to work (Wheaton, 1977) and findings of substantial unexplained or 'wasteful' commuting according to conventional theory (Hamilton, 1982). The paper begins by outlining the basic model of residential location and commuting (Section 2). We then consider extensions that involve the introduction of labour supply decisions and which determine the value of commuting time (Section 3). More recent extensions involve the introduction of decentralized workplaces (Section 4) and, logically, the issues of job search and migration (Section 5). We conclude with a summary of the progress in incorporating labour market behaviour into the analysis of urban structure and commuting and our suggestions for further research in this area.     

Why Do Banks Fail? Evidence from the 1920s

This paper examines the causes of rural bank failures during the 1920s using a newly created state-level data series. By focusing on rural banks we are able to investigate the impacts of agricultural distress and government policies on the class of banks accounting for 80% of the failures in the decade. Failure rates were highest where farm acreage and land values had increased the most before 1920 because these regions suffered the worst agricultural distress subsequently. Agricultural distress caused more bank failures in states with deposit insurance systems, suggesting that insurance encouraged banks to increase risk as their net worth declined.