Some consequences of the single market for European and Danish consumer policy

In this paper, the future of consumer policy within the context of the European single market will be estimated. As the scope of the EC for consumer action is mainly economic, a broader social approach will be used as the theoretical framework. Within such an approach, consumer problems and consumer policy will be characterized, and three paradigms describing the social and political influence of consumers will be discussed as possible guidelines for consumer action. In the light of these guidelines and available published knowledge of the single market, consumer policy at Community level and in Denmark will be analysed.     

Inference with Dependent Data in Accounting and Finance Applications

We review developments in conducting inference for model parameters in the presence of intertemporal and cross‐sectional dependence with an emphasis on panel data applications. We review the use of heteroskedasticity and autocorrelation consistent (HAC) standard error estimators, which include the standard clustered and multiway clustered estimators, and discuss alternative sample‐splitting inference procedures, such as the Fama–Macbeth procedure, within this context. We outline pros and cons of the different procedures. We then illustrate the properties of the discussed procedures within a simulation experiment designed to mimic the type of firm‐level panel data that might be encountered in accounting and finance applications. Our conclusion, based on theoretical properties and simulation performance, is that sample‐splitting procedures with suitably chosen splits are the most likely to deliver robust inferential statements with approximately correct coverage properties in the types of large, heterogeneous panels many researchers are likely to face.     

Performance Measurement under Asymmetric Information and Investment Constraints

The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. This paper, using a standard information model, shows how the introduction of constraints on the proportion of assets to be invested in the market affects the expected portfolio returns and the value of a portfolio manager's performance. The results are related to the classical Treynor and Mazuy (1966) conjectures about characteristic lines.     

ANOTHER LOOK AT THE RELATIONSHIP BETWEEN INNOVATION PROXIES*

Shortcomings in the treatment of intangible investment in company accounts imply that there is no statistical collection for innovative activity which abides by the logic used for other economic activity data. As a consequence, analysts rely on innovation proxies derived from administrative and survey data. However, it is still unclear exactly how the different proxies are correlated, and whether the choice amongst different proxies matters. In the light of the innovation measurement, this paper takes another look at the relationship between different proxies of firm innovation. The results show that firm‐level correlations between survey‐based indicators and other proxies for innovation are highest for manufacturing firms and for product innovations.     

Forward Foreign Exchange Rates,Expected Spot Rates,and Premia: A Signal-Extraction Approach

In this paper, we implement a methodology to identify and measure premia in the pricing of forward foreign exchange that involves application of signal-extraction techniques from the engineering literature. Diagnostic tests indicate that these methods are quite successful in capturing the essence of the time-series properties of premium terms. The estimated premium models indicate that premia show a certain degree of persistance over time and that more than half the variance in the forecast error that results from the use of current forward rates as predictors of future spot rates is accounted for by variation in premium terms. The methodology can be applied straightforwardly to the measurement of unobservables in other financial markets.