Equity market neutral hedge funds and the stock market: an application of score-driven copula models

In this article, we study the time-varying market neutrality of equity market neutral hedge funds. We use data from the Hedge Fund Research? Equity Market Neutral Index (HFRX EH), which represents the performance of a portfolio of individual equity market neutral hedge funds. For each day, we measure different levels of association of the Standard and Poor’s 500 (S&;P 500) index and the HFRX EH. We use non-linear dynamic conditional score models of location, scale and copula that, to the best of our knowledge, have not yet been applied in the body of literature on hedge funds. We study whether the neutrality of the HFRX EH that is evidenced in the body of literature for the period of April 1993–April 2003 also holds for the following decade, for the period of May 2003–December 2016. We estimate different average levels of association for the pre-, during- and post-periods of the US financial crisis of 2008. We find that the association of the S&;P 500 and the HFRX EH, on average, is significantly positive for the pre- and post-periods of the financial crisis, and it is significantly negative for the period during the financial crisis.     

Capital flows and economic growth revisited: evidence from five Sub-Saharan African countries

The study examines the differential effects of capital flows on economic growth in five Sub-Saharan African (SSA) countries over the period 1970–2014. Using the autoregressive distributed lag methodology, the findings show that in the long-run capital flows (i.e. foreign direct investment (FDI), aid, external debt, and remittances) have different effects on economic growth. FDI has a significant positive effect in Burkina Faso and negative effects in Gabon and Niger whereas the impact of debt is negative in all countries. Aid, however, promotes growth in Niger and Gabon whiles it deters growth in Ghana. Remittances, on the other hand, have a significant positive effect in Senegal. Finally, gross capital formation is significant in most of the countries and the impact of trade is mixed. These results suggest that the benefits of capital flows in SSA have been overemphasized.     

The role of top management team diversity in shaping the performance of business model innovation: a threshold effect

Business model innovation is one of the firm’s most important strategic decisions. Top management team (TMT), as the critical decision-makers, has essential influence upon such decisions. However, the role of TMT diversity in shaping the performance of business model innovation is less explored in the literature. Based on a sample dataset of 906 observations of small and medium enterprises from China Startups Stock Market during the period of 2009–2011, we find that TMT diversity exhibits a significant threshold effect on the relationship between business model innovation (in terms of novelty-centred and efficiency-centred business model) and firm performance. More specifically, when TMT functional diversity arrives at a certain level, the positive relationship between novelty-centred business model and firm performance becomes more pronounced. On the other hand, the positive relationship between efficiency-centred business model innovation and firm performance will be more significant when TMT tenure diversity increases to a certain level.     

The evolution of competition in innovation resource: a theoretical study based on Lotka–Volterra model

This research uses the Lotka–Volterra model to analyse the competition of innovation resource between two enterprises and studies the dynamic effects of environmental changes through the change of model parameters. The research finds that there are three possible results of the competition in innovation resource. That comprises ‘crowding out effect’, ‘unstable equilibrium’ and ‘stable equilibrium’. The results of competitive evolution are determined by enterprises’ interaction parameters. However, the natural growth rates, the initial resource possessions of both enterprises and the amount of regional innovation resource have a significant impact on the evolution of competition.     

Endogenous innovation under New Keynesian dynamic stochastic general equilibrium model

This paper constructs an endogenous growth model using the framework of New Keynesian dynamic stochastic general equilibrium models. We incorporate the Schumpeterian approach that generates seemingly sticky prices and reinterpret the Calvo mechanism from the perspective of Bertrand competition and successful entrepreneurs. Our results demonstrate that both positive productivity shocks and endogenous innovation have a negative effect on subsequent endogenous innovation. These self-destructive effects of endogenous innovation might account for the IT productivity paradox and productivity slowdown seen in advanced countries. Furthermore, it is shown that there are both neutral and non-neutral properties of monetary policy shocks. They are neutral in terms of the growth effect, but non-neutral in terms of the level effect. In particular, expansionist monetary policies are desirable to facilitate endogenous innovation.     

Networked innovation and coalition formation: the effect of group-based social preferences

In this paper, we study the production and dissemination of public knowledge goods, such as technological knowledge, generated by a network of voluntarily cooperating innovators. We develop a private-collective model of public knowledge production in networked innovation systems, where group-based social preferences have an impact on the coalition formation of developers. Our model builds on the large empirical literature on voluntary production of pooled public knowledge goods, including source code in communities of software developers or data provided to open access data repositories. Our analysis shows under which conditions social preferences, such as ‘group belonging’ or ‘peer approval’, influence the stable coalition size, as such rationalising several stylized facts emerging from large-scale surveys of open-source software developers, previously unaccounted for. Furthermore, heterogeneity of social preferences is added to the model to study the formation of stable but mixed coalitions.     

Patterns of poverty among elderly Americans: a latent class Markov model

This article studies poverty persistence and the role of social security programmes on poverty among elderly in the US. We use a Latent Markov model to disentangle unobserved heterogeneity and state dependence. Because of its dynamic nature, unobserved heterogeneity is modelled to vary over time. This allows to capture different latent states of poverty that change over time. Result indicates the existence of three unobserved types evolving over time according to their propensity to be poor. Moreover, a strong persistence in poverty especially for women, individuals living alone and ethnic minorities is found. Finally, the estimates indicate that giving social assistance tends to reduce poverty.     

Does default point vary with firm size?

This article aims to improve the predictive ability of KMV model by distinguishing firm size. The evidence suggests that default point would vary with firm size. Using the method of particle swarm optimization, we obtain the optimal default point separately for large firms and small firms. Several statistical tests such as the model confidence set methodology show that our relatively tractable model is more likely to have the strongest predictive ability.     

Factors affecting agricultural land transfer-in in China: a semiparametric analysis

We use interview survey data collected randomly from 2677 farm households in nine provinces of China to understand the role of demographic, economic, land, and village characteristics on agricultural land transfer-in by farmers. Results show that variables such as borrowing from informal sources, household labour availability, percentage of total income from agricultural sources, and the household with village cadre have significant positive effects on land transfer-in. Low economic development and low transportation network availability in a county reduces land transfer-in. We also find that two variables (land holding and land idling) should be entered into the model nonparametrically. Land holding and land idling have U- and L-shaped impacts on land transfer-in, respectively. Land transfer-in has endowment equilibrium and provides Chinese households more opportunities to earn agricultural income, thereby reducing rural poverty.