Impact of diversification on the distribution of stock returns: International evidence

In the past, stock returns are often assumed to be normally distributed. Potential gains from international portfolio diversification are thus based on a mean-variance framework. However, numerous empirical results reveal that stock returns are actually not normally distributed. Although previous studies found that both skewness and kurtosis can be rapidly diversified away, these results are only valid for a random sample of a given portfolio size. This paper studies the joint effect of diversification and intervaling on the skewness and kurtosis of eleven international stock market indexes with a holding period spanning from one to six months. A complete set of all possible combinations of portfolios is used. It is found that diversification does not reduce either skewness or kurtosis. As the portfolio size increases, portfolio returns become more negatively skewed and more leptokurtic. As a result, a rational investor may not gain from international diversification.     

Management of reengineering knowledge: AI‐based approaches

Knowledge about ‘best practices’ for reengineering can be critical to a firm's ability to evolve and respond to competition. As a result, this paper addresses the issue of how to manage reengineering knowledge. Multiple forms of knowledge representation are adapted to address two primary issues: When and what should a firm reengineer? Four different knowledge‐based models and prototypes are developed to illustrate capture of particular types of reengineering knowledge. The prototypes are used to draw inferences about issues in knowledge management and to illustrate feasibility. Distribution of best practices reengineering knowledge can then be accomplished using knowledge servers or making software and knowledge bases available to download off the world wide web. Copyright © 2000 John Wiley & Sons, Ltd.     

Mixed MNL models for discrete response

This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity conditions, any discrete choice model derived from random utility maximization has choice probabilities that can be approximated as closely as one pleases by a MMNL model. Practical estimation of a parametric mixing family can be carried out by Maximum Simulated Likelihood Estimation or Method of Simulated Moments, and easily computed instruments are provided that make the latter procedure fairly efficient. The adequacy of a mixing specification can be tested simply as an omitted variable test with appropriately defined artificial variables. An application to a problem of demand for alternative vehicles shows that MMNL provides a flexible and computationally practical approach to discrete response analysis. Copyright © 2000 John Wiley & Sons, Ltd.     

A comparative analysis of leveraged recapitalization versus leveraged buyout as a takeover defense

Two types of defensive scheme—leveraged buyout (LBO) and leveraged recapitalization (LR)—are examined. In particular, this article examines (1) whether the two similar defensive tactics affect stockholder returns differently and (2) what firm attributes are associated with stockholder gains in LBO and LR announcements. This study finds that stocks of both LBO and LR firms, on average, exhibit significant positive abnormal returns during the announcement period, but that the latter experience substantially smaller returns than the former. This study further finds that while mitigation of agency problems associated with a firm's free cash flow is present for both LR and LBO firms, it is more pronounced for the LBO firms. These results provide evidence that a firm with higher free cash flow could benefit a greater reduction of agency costs by going private through a LBO plan than by remaining public through a LR plan.     

Long-term consequences of short-term precipitation shocks: evidence from Brazilian migrant households

We find that large short-term precipitation shocks damage the long-term income of households that have permanently migrated from rural to urban areas. This outcome is consistent with the behavior of credit-constrained rural households who are willing to accept lower long-term income in urban areas following the depletion of their productive assets during an adverse shock. Our empirical evidence suggests that there may be a link between large precipitation shocks in rural areas and urban poverty. Further exploration is warranted on the mechanisms by which natural disasters cause these long-term losses.     

Arbeiten 4.0 — Folgen der Digitalisierung für die Arbeitswelt

Digitalisation will not only lead to the disappearance of jobs, the creation of new jobs and changing skill requirements in many existing jobs. It also leads to fundamental challenges for existing qualification systems as well as labour law and labour relations. New digital technologies pervasively change the content and organisation of work. They may have an impact on the actual weekly working time hours and the adoption of self-managed working time systems. The consequences, however, may differ for each worker. Accordingly, economic and policy conclusions cannot be derived for the labour market as a whole. Workers‘qualifications need not only to be adapted to changing occupational tasks. Work intensification and increasing communication flows have to be addressed as well. Furthermore, adequate human resources policies can foster the proper use of new flexible work arrangements. Crowdworking as a specific form of flexible work, however, has to be primarily integrated in existing labour legislation. That is one opinion, another author considers the forecasts doomsday prophecies that call for political action or amending the regulative framework. And he suggests that the characteristics of the digital transformation of work may mainly be firm-specific. In a social-scientific perspective there is no deterministic relationship between technology and work but the development of work has to be regarded as a strategic and political design project.     

中国农业生产非效率的影响因素分析

本文对影响中国农业生产有效性的因素做了细致的考察。本文所使用的方法包括两个步骤：首先用数据包络法估计农业生产效率指数,第二步使用截尾回归模型及半参数自导法解释生产效率指数的差异。本文运用来自中国大约2000个县级的截面数据进行实证分析,这些数据能够反映出许多与中国农业生产低效率相关的特征。本文发现：首先,工业的发达往往与农业生产的低效率相联系,一种可能的解释是：工业生产所带来的外部性,例如空气和水源的污染会影响农业生产;其次,信贷资金占总收入的比率越高,该地区的农业生产的效率就越低,这一结果可能反映出了过量信贷和信贷门槛偏低的潜在问题;第三,如果一个县的参与农业劳动的劳动力比率较高,那么其农业生产的效率也会较低,因此,促进劳动力从农业部门（不一定是农村）的流出会带来农业效率的提升,这一结果也同时对鼓励农村地区人口的大面积迁徙政策提出了质疑。