Size,time-varying beta,and conditional heteroscedasticity in UK stock returns

The purpose of this study is to examine the relationship between firm size and time-varying betas of UK stocks. We extend the Schwert and Seguin (1990)(Journal of Finance 45, 1120–1155) methodology by explicitly modeling conditional heteroscedasticity in the market model residual returns. Our results show that the time-varying coefficient is not statistically significant for both small and large firm stock indexes. We also find that accounting for GARCH effects in the Schwert-Seguin market model yields beta estimates that are markedly differently from those when conditional heteroscedasticity is ignored. Event studies that ignore conditional heteroscedasticity may bias the abnormal returns of small and large firms, thereby leading to a different conclusion regarding the significance of an information event.     

Public sector enterprise disinvestment in India: Efficiency gains in a political context

India instituted a program of state enterprise disinvestment in 1991 as part of a sweeping reform initiative. This study analyses the effect of disinvestment on enterprise performance, conditioned on political context as characterized by the ideological leanings of the parties in power at state and central levels. Using stochastic frontier analysis, measures of firm efficiency are generated for 238 central public sector enterprises for the period 1991–1992 to 2010–2011. The relationship between efficiency so measured and disinvestment is then estimated using a two-stage instrumental variables approach to control for endogeneity between firm efficiency and selection for disinvestment. Initial disinvestment is associated with substantial efficiency gains, but subsequent disinvestment much less so and the proportion of shares disinvested only loosely so. This may be explained by the transformative effect of initial stock market listing on accountability and profit orientation that is not repeated with further rounds of disinvestment. The effect of disinvestment on performance is stronger if the enterprise is located in a state governed by a right leaning party or one that is ideologically aligned with the party in power at the centre.     

我国家庭信贷状况研究：基于CHFS微观数据的分析

文章利用中国家庭金融调查2013年发布的调查数据,分别构建非参数次序probit模型和Heckman模型检验了影响城乡家庭信贷约束状况和贷款可得性的相关因素。结果表明,户主受教育程度和家庭收入水平提高、家庭资产规模增加等都能缓解家庭的信贷约束,户主的党员身份、大学以上的受教育程度以及家庭资产规模等能提高家庭的贷款可得性,户主年龄、风险偏好等变量对家庭信贷规模的边际效应显著为负,而尽管城市家庭和东部地区家庭获得的贷款支持更多,但是城市家庭和东部地区家庭还是面临着更大信贷约束。     

Customizing calories: How rejecting (vs. selecting) ingredients leads to lower calorie estimation and unhealthier food choices

Customization of food products has increased substantially in recent years while the desire for healthiness and an emphasis on understanding and providing calorie information continues to dynamically change the landscape of restaurant retail. The authors report four studies demonstrating that different customization routes (i.e., rejecting alternatives from a full product offering versus adding alternatives to a basic product offering) lead to systematic, but predictable, differences in consumers’ estimations of calories. In particular, this research finds that a rejection (vs. selection) customization process leads consumers to persistently estimate lower calories in the final product, which then improves evaluations of the retailer and leads to unhealthier food choices. These findings occur when consumers estimate calories of the exact same final product using the different paths to customization as well as when they create their own customized final product, while accounting for differences in the quantity and type of ingredients selected, suggesting a very general difference in estimations. This research has important implications for consumers who want to manage their weight and for firms that need to manage consumers’ health perceptions.     

The impact of decoupled subsidies on productivity in agriculture: a cross‐country analysis using microdata

The decoupling of direct payments from production introduced in the reform of the Common Agricultural Policy is expected to make production decisions more market‐oriented and farmers more productive. However, ex‐post analyses of the productivity of farms have yet to uncover any evidence of a positive impact of the decoupling policy on farm productivity. Using Irish, Danish, and Dutch farm‐level data, we identify whether the decoupling policy has contributed to productivity growth in agriculture and farm product adjustment behavior. We find some evidence that the decoupling policy had significant positive effects on farm productivity and behavioral changes related to farm specialization.     

Regression with errors in variables: estimators based on third order moments

In this paper consistent and, in a well–defined sense, optimal moment–estimators of the regression coefficient in a simple regression model with errors in variables are derived. The asymptotic variance and other asymptotic properties of these estimators are given. As is known for a long time, serious estimation problems exist in this model. There are two ways out of this problem: using either additional assumptions or additional information in the data. A lot of attention has been paid to the use of additional assumptions. However, quite often this leads to rather unrealistic models. In this paper we use additional information in the data. That means here that, besides first and second order moments, third order moments are formulated as functions of the model parameters. Besides theoretical derivations a small study with generated data is discussed. This study shows that for samples larger than 50 the estimates we consider behave nicely.     

Calibration Estimation in Survey Sampling

Calibration estimation, where the sampling weights are adjusted to make certain estimators match known population totals, is commonly used in survey sampling. The generalized regression estimator is an example of a calibration estimator. Given the functional form of the calibration adjustment term, we establish the asymptotic equivalence between the functional-form calibration estimator and an instrumental variable calibration estimator where the instrumental variable is directly determined from the functional form in the calibration equation. Variance estimation based on linearization is discussed and applied to some recently proposed calibration estimators. The results are extended to the estimator that is a solution to the calibrated estimating equation. Results from a limited simulation study are presented.     

Estimating cost of capital in firm valuations with arithmetic or geometric mean – or better use the Cooper estimator?

We test the extent and determinants of bias effects of the arithmetic as well as the geometric mean estimator and the estimator of Cooper [1996. Arithmetic versus geometric mean estimators: Setting discount rates for capital budgeting. European Financial Management 2 (July): 157–67] regarding discount rate estimation for firm valuation by way of a bootstrap approach for 13 different countries. The Cooper estimator is superior to both the geometric and the (conventional) arithmetic mean estimator. However, a ‘truncated’ version of the arithmetic mean estimator leads generally to better estimation outcomes than the Cooper estimator. This means that, in order to reduce problems of upward-biased firm value estimates, expected cash flows beyond a certain time horizon are completely neglected in terminal value estimation. Such an approach seems particularly reasonable for the valuation of young growth companies as well as for companies from quickly developing countries such as Brazil, China, or Thailand, because the bias in terminal value estimation is increasing in the growth rate of future expected cash flows.     

Toll-free numbers: Demand,property rights,and public policy

The demand for Toll Free Numbers (TFNs) languished from 2000 to 2008; however recent growth in demand caused the FCC to open a new toll-free code (855) with the possibility of new code openings in the next three years. The analysis here indicates the demand for TFNs is highly inelastic (the coefficient for own price elasticity for TFNs is approximately −0.04). This has implications for concerns regarding future exhaust of toll-free codes and the price structure for recovery of SMS/800's costs. This article considers the effects of the limited property rights for TFN, and welfare implications of gray markets for vanity TFNs. The FCC's allocation mechanism for new 855 codes is considered and whether other allocation mechanisms, such as auctions, could be welfare superior.