GLAMOUR VERSUS VALUE: TRADING BEHAVIOR OF INSTITUTIONS AND INDIVIDUAL INVESTORS

We design a new metric to measure the net buying and selling by institutions and individual investors and find that from 1980 to 2004 institutional investors were net buyers of growth stocks and net sellers of value stocks, implying that individual investors were net buyers of value stocks and net sellers of glamour stocks. The institutional preference for glamour and value stocks seems to be related to sell‐side analysts' recommendations and recent favorable stock price performances, especially during the post‐1994 period. Finally, the institutional buying of growth stocks and sale of value stocks was not based on superior information.     

The shape of post-bubble Japanese business: Preparing for growth in the new millennium

The Japanese economy, the second largest in the world and the lead economy in fast growing Asia, was in a major and structural recession in the first half of the 1990s. Changes necessary for Japan to renew its economic growth must reflect not only the effects of the post-bubble recession of the early 1990s, but also the end of the cold war and the new social values, demographics, and politics in Japan. This article is an analytical review of postwar economic growth in Japan that led to the early 1990s recession, and an assessment of the shape of post-bubble Japanese business as it prepares for growth in the new millennium, and the implications of these changes on Japanese and non-Japanese firms.     

Productive Efficiency of the Swine Industry in Hawaii: Stochastic Frontier vs. Data Envelopment Analysis

Improving productive efficiency is an increasingly important determinant of the future of the swine industry in Hawaii. This paper examines the productive efficiency of a sample of swine producers in Hawaii by estimating a stochastic frontier production function and the constant returns to scale (CRS) and variable returns to scale (VRS) output-oriented DEA models. The technical efficiency estimates obtained from the two frontier techniques are compared. The scale properties are also examined under the two approaches. The industry's potential for increasing production through improved efficiency is also discussed.     

Are gold,USD, and Bitcoin hedge or safe haven against stock? The implication for risk management

This study investigates whether gold, USD, and Bitcoin are hedge and safe haven assets against stock and if they are useful in diversifying downside risk for international stock markets. We propose a combined GO-GARCH-EVT-copula approach to examine the hedge and safe haven properties of gold, USD, and Bitcoin. We then examine the attractiveness of these assets in reducing stock portfolio risk by using downside risk measures estimated by the proposed approach and other competing models. We also evaluate the relative performance of the proposed model in reducing downside risk with the competing models. The findings of the study indicate that the USD is the most valuable hedge and safe haven asset closely followed by gold, while Bitcoin is the least valuable. It is also observed that the proposed combined approach performs best in reducing the portfolio downside risk. The findings of this study are of significance for portfolio managers and individual investors who wish to protect the portfolio value during market turmoil.     

Sub additive measures of relative information and inaccuracy

Summary In the study of information theoretic measures, additivity has been the basic requirement. However it is quite interesting to investigate the sub-additive measures. Starting from subadditivity for measures associated with a pair of distributions of a discrete random variable, it has been changed into an equality relation using another function of a pair of distributions., Under the sum property of the function and the measures, the relation is expressed in terms of a functional equation of which the most general complex solutions have been obtained. In terms of the real continuous solutions of the functional equation, the sub-additive measures of Relative information and Inaccuracy have been defined and characterized. Particular cases and simple properties particularly the convexities of some of these new measures have also been studied.     

Fiscal federalism in rentier regions: Evidence from Russia

When does sub-national fiscal autonomy prompt regional growth and recovery and, under what conditions, does it have adverse effects? We argue that unearned income streams, particularly in the form of revenues from natural resource production or from budgetary transfers from the central government, transform regions dependent on these income sources into rentier regions. Governments in these regions can use local control over revenues and expenditures to shelter certain firms, i.e., natural resource producers or loss-making enterprises, from market forces. Using fiscal data from 80 Russian regions from 1996 to 1999, we test this hypothesis in both cross-sectional and panel specifications. Our results indicate that tax retention, which is a proxy for fiscal autonomy, has had a positive effect on regional reform and investment since the break-up of the Soviet Union. However, we also find that this effect decreases as rentable income streams to regions increase. Journal of Comparative Economics 33 (4) (2005) 814–834.