Innovation performance across Europe

The innovation performance of firms is primarily determined by their own innovative activities and the interaction with their innovation-related environment. This environment typically differs among countries. We assess empirically these differences on firms' innovation performance. To that end we first estimate the relationship between an aggregate innovation input measure and an aggregate innovation output measure, thereby explicitly controlling for structural differences between countries. We then consider the extent to which firms located in a particular country perform better or worse than this estimated benchmark performance. The analysis is based on a panel dataset that we have constructed from Eurostat's first and second Community Innovation Survey. In order to control for possible data contamination we employ an outlier-robust estimator. It appears that among the fourteen countries considered Italy, Germany and Ireland offer an environment that facilitates most the transformation of innovation-related inputs into commercial outputs while the environment in Denmark is the least facilitating.     

Recent evidence on the performance and riskiness of contrarian portfolios

The paper assesses the most recent performance, persistence and riskiness of contrarian portfolios. Evidence from the major world and European market of France shows that such portfolios appear profitable on average, but their performance is not persistent from one holding period to the next; hence there exist inherent risks, especially for investors that remain in markets for up to two consecutive investment periods. These risks, as measured by the CAPM (traditional, and less traditional versions that are meant to capture timing) and the Fama–French model, are not systematic and they are not related to market timing. Overall, taking only long positions in normal markets and hedged positions following market shocks seems to be the most promising route for contrarians in France.     

A closed-form solution to American options under general diffusion processes

This paper investigates American option pricing under general diffusion processes. Specifically, the underlying asset price is assumed to follow a diffusion process in which both the dividend yield and volatility are functions of time and the underlying asset price. Using the generalized homotopy analysis method, the determination of the early exercise boundary is separated from the valuation procedure of American options. Then, an exact and explicit solution for American options on a dividend-paying stock is derived as a Maclaurin series. In addition, the corresponding optimal early exercise boundary and the Greeks are obtained in closed-form solutions. A nonlinear sequence transformation, the Padé technique, is used to effectively accelerate the convergence of the partial sums of the infinite series. As the homotopy constructed in this paper is based on a generalized deformation with a shape parameter and kernel function, the error of the homotopic approximation could be reduced further for a fixed order. Numerical examples demonstrate the validity, effectiveness, and flexibility of the proposed approach.     

Positive return premia in Japan

This paper examines Jensen's [J. Finance, 1968, 23, 389–416] alphas and the time-varying return premia unexplained by standard risk factors in Japan and presents several new findings. First, in contrast to the US experience, positive alphas remain after Fama and French's three factors are applied to excess stock returns in Japan. Second, positive alphas remain in Japan, even if the Fama–French three factors combined with momentum and reversal factors are applied to excess stock returns. Third, the positive return premia unexplained by these five factors bear little relation to the dynamics of the Japanese macroeconomy. Fourth, the time series evolution of the positive return premia indicates autonomous dynamics with at least three regimes. Fifth, we can predict or time the acquisition of the positive return premia for small-size portfolios in Japan by observing the direction and effect of the return premia of large-size portfolios and high-book equity to market equity (BE/ME) portfolios. Finally, application of the self-exciting threshold autoregressive (SETAR) model shows that the size effects are stronger than the BE/ME effects in Japan, given that the return premia from small-size portfolios in the SETAR model are bounded by positive thresholds, while the return premia from high-BE/ME portfolios are bounded by negative thresholds.     

A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests

This paper examines the return predictability of the US stock market using portfolios sorted by size, book-to-market ratio and industry. We use novel panel variance ratio tests, based on the wild bootstrap proposed in this paper, which exhibit desirable size and power properties in small samples. We have found evidence that stock returns have been highly predictable from 1964 to 1996, except for a period leading to the 1987 crash and its aftermath. After 1997, stock returns have been unpredictable overall. At a disaggregated level, we find evidence that large-cap portfolios have been priced more efficiently than small- or medium-cap portfolios; and that the stock returns from high-tech industries are far less predictable than those from non-high-tech industries.     

Growth to value: Option exercise and the cross section of equity returns

We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model incorporates long-run risks in aggregate consumption and replicates the empirical failure of the conditional capital asset pricing model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data.     

Competitive balance versus competitive intensity before a match: is one of these two concepts more relevant in explaining attendance? The case of the French football Ligue 1 over the period 2008–2011

The aim of this article is to investigate the determinants of attendance at French football Ligue 1 matches over the period 2008–2011 with an emphasis on examining the effects of both competitive balance and intensity before a match. Competitive balance is measured by the point difference between the two teams concerned by a match in the championship. Competitive intensity is measured by the point difference for the home team in relation to ranks with sporting stakes. Results show that competitive balance has an insignificant impact whereas competitive intensity has a significantly positive impact. Implications are drawn.     

Stabilizing consumer choice: the role of ‘true dynamic stability’ and related concepts in the history of consumer choice theory

Abstract

It is often argued that the inability of Arrow–Debreu general equilibrium theory to produce an adequate proof of the stability of the Walrasian price adjustment mechanism was one of the program's most significant failures. This paper will not question this standard interpretation of the history of general equilibrium theory, but makes the case that characterizing the ‘stability’ question in terms of market stability– in particular the stability of the equilibrium price vector in the Walrasian general equilibrium model – actually helped to stabilize the standard model of consumer choice in general equilibrium theory and elsewhere within microeconomics. The problem of the stability of ‘consumer's equilibrium’ was much discussed early in the twentieth century, and it has recently re-emerged in a different guise as the ‘endowment effects’ and ‘reference dependencies’ of contemporary behavioral economics, and yet it disappeared from mainstream discussion during the period 1950 to 1980. This paper argues that shifting the discussion from the intra-agent stability of the individual consumer to the inter-agent stability of the competitive market contributed – despite its ultimately negative impact on general equilibrium theory – to the long period of stable normal science consumer choice theory enjoyed during the middle of the twentieth century.     

Ugo Broggi: a precursor in mathematical economics

The concern for the existence of solution to the Walras - Cassel model is usually dated at the beginning of the 1930s, and one decade later the proof of existence of utility function. Ugo Broggi, however, posed both issues in 1923 and 1919, respectively, and even hinted at modern ways of solving them. He was an outstanding mathematician, a former disciple of David Hilbert and collaborator with the Giornale degli Economisti. Broggi's achievements are also linked to a critical reading of Osorio's treatise on Paretian economics.     

营业税改征增值税的税率评估——基于可计算一般均衡模型的研究

营业税改征增值税是完善我国税制的一个重要举措,确定各个产业部门改征增值税后的税率是其中一个关键的环节。运用可计算一般均衡模型可以评估营业税改征增值税之后不同税率的选择对宏观经济和产业结构的影响。政策模拟的结果显示,目前正在实施的营业税改征增值税的试点方案权衡了对财政收入和经济增长以及经济结构的影响,是对经济运行影响较小的稳健选择。