Macroeconomics eJournal最新文献

{"title":"Information Asymmetry and Listing of Acquiring Firms","authors":"Patrick Cusatis","doi":"10.2139/ssrn.1097399","DOIUrl":"https://doi.org/10.2139/ssrn.1097399","url":null,"abstract":"In this study, I examine announcement period returns and long-term returns to acquiring firms following the completion of a merger. I offer an explanation for negative merger performance based on asymmetric information. My evidence indicates that there is a link between trading venue and information asymmetry. In addition, the losses from the merger wave of 1998-2002 appear to be linked to trading venue.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123940339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Gender and Marital Differences in Wealth and Investment Decisions: Implications for Researchers, Financial Professionals, and Educators","authors":"Angela C. Lyons, Urvi Neelakantan, Erik Scherpf","doi":"10.2139/ssrn.1109103","DOIUrl":"https://doi.org/10.2139/ssrn.1109103","url":null,"abstract":"Wealth is an important source of financial well-being and investment is an important vehicle to accumulate wealth. A large body of literature has focused on analyzing the systematic differences in wealth and investment behavior across gender and marital states. This paper provides a broad overview of the extant research and its implications for researchers, financial professionals, and educators.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"2_OS 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127817070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investor Protection, Equity Returns and Financial Globalization","authors":"Mariassunta Giannetti, Y. Koskinen","doi":"10.2139/ssrn.942513","DOIUrl":"https://doi.org/10.2139/ssrn.942513","url":null,"abstract":"We study the effects of investor protection on equilibrium stock prices, returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. As a consequence, due to the high demand from controlling shareholders, the price of weak corporate governance stocks is not low enough to fully discount the extraction of private benefits. This generates the following empirical implications. First, stocks should have lower expected returns when investor protection is weak. Second, domestic and foreign investors' participation in the stock market should be lower in countries with weak investor protection. Third, portfolio investors from countries with weak investor protection should hold relatively more foreign equity. Fourth, countries with weak investor protection should receive relatively more foreign direct investment. We show that these implications are consistent with existing empirical studies and we provide original evidence that domestic portfolio investors are less likely to participate in the domestic stock market and hold more foreign equity, when investor protection is weak.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125420352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investment and Value: A Neoclassical Benchmark","authors":"Janice C. Eberly, Sergio Rebelo, Nicolas Vincent","doi":"10.3386/W13866","DOIUrl":"https://doi.org/10.3386/W13866","url":null,"abstract":"Which investment model best fits firm-level data? To answer this question we estimate alternative models using Compustat data. Surprisingly, the two best-performing specifications are based on Hayashi's (1982) model. This model's foremost implication, that Q is a sufficient statistic for determining a firm's investment decision, has been often rejected because cash-flow and lagged-investment effects are present in investment regressions. However, we find that these regression results are quite fragile and ineffectual for evaluating model performance. So, forget what investment regressions tell you. Models based on Hayashi (1982) provide a very good description of investment behaviour at the firm level.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"174 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114396101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Energy Planning in the United States and Europe: A Portfolio-Based Approach","authors":"Paul S. Lowengrub, Spencer Yang","doi":"10.2139/ssrn.1105032","DOIUrl":"https://doi.org/10.2139/ssrn.1105032","url":null,"abstract":"Traditional energy planning in Europe and the United States focuses on finding the least-cost generating alternative. This approach worked sufficiently well in a technological era marked by relative cost certainty, low rates of technological progress, technologically homogenous generating alternatives, and stable energy prices. However, today's electricity planner faces a diverse range of resource options and a dynamic, complex, and uncertain future. Attempting to identify least-cost alternatives in this dynamic and uncertain environment is virtually impossible. As a result, more appropriate techniques are required to find strategies that remain economical under a variety of uncertain future outcomes.Given the uncertain environment, it makes sense to shift electricity planning from its current emphasis on identifying the least-cost technologies to the evaluation of alternative electricity generating portfolios and strategies. The techniques for doing this are rooted in modern finance theory - in particular mean-variance portfolio theory. The mean-variance portfolio analysis proposed in this report exemplifies how portfolio costs and risks can be examined and incorporated into policy decisions about future generating resources.This paper applies portfolio-theory optimization concepts from the field of finance to produce an expository evaluation of the multiple regions in the United States and Europe. Although the results are expository, they help show how today's energy planners can assess the potential changes to a portfolio's risks and costs that result from adding renewable resources (such as wind, hydro, and biomass) that have their own individual risk and cost profiles. The resulting risks and costs of alternative combinations of assets will be quantified, and this allows those portfolios that provide the best combinations of costs and risks to be identified as efficient frontier. Conversely, for any given level of cost, there is an associated minimum-risk portfolio. Portfolio analysis allows for the consideration of risk preferences when choosing among portfolios, as well as for the examination of the trade-offs among various risks and costs.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"123 9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125337670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Imperfect Central Bank Communication - Information versus Distraction","authors":"Pär Österholm, Spencer Dale, Athanasios Orphanides","doi":"10.5089/9781451869224.001","DOIUrl":"https://doi.org/10.5089/9781451869224.001","url":null,"abstract":"Much of the information communicated by central banks is noisy or imperfect. This paper considers the potential benefits and limitations of central bank communications in a model of imperfect knowledge and learning. It is shown that the value of communicating imperfect information is ambiguous. There is a risk that the central bank can distract the public; this means that the central bank may prefer to focus its communication policies on the information it knows most about. Indeed, conveying more certain information may improve the public's understanding to the extent that it \"crowds out\" a role for communicating imperfect information.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133246451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Search Equilibrium with Migration: The Case of Poland","authors":"K. Budnik","doi":"10.2139/ssrn.1126259","DOIUrl":"https://doi.org/10.2139/ssrn.1126259","url":null,"abstract":"The EU enlargement has facilitated labour force movements between the former EU member countries and the accession countries. Foremost, the outflow of workers from the new member countries to countries which introduced open-door policy has magnified. The aim of the paper is to shed some light on the possible effects of reinforced emigration from Poland on its labour market. In particular, it focuses on the impact of the migration flows on wages. The wage equation derived from the search and matching model augmented with migration flows (emigration and the return migration) was estimated employing Bayesian inference. It allowed calculating an approximate magnitude of emigration of workers and describing the impact the labour movements should have had on the real wage in Poland. From 2002 to 2006 the number of temporary emigrants increased by roughly 4.5% of the Polish population whereas the resulting increase in the real wage was moderate and amounted to over 1%. The implied elasticity of wages to reduction of the workforce due to emigration between 2003 and 2006 was in the range of 0.2–0.3. Mediocre response of wages to emigration corresponds well with earlier studies on the impact of emigration on the source country wage rate. Yet, the explanation of the limited impact of emigration on wages lies in the adjustment of the demand for labour in the steady-state and substantial intensity of the return migration predominantly to employment found in the data.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122468734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Human Capital and Innovation","authors":"C. Popescu, L. Diaconu","doi":"10.1596/978-1-4648-1280-4_ch1","DOIUrl":"https://doi.org/10.1596/978-1-4648-1280-4_ch1","url":null,"abstract":"Human capital, generally seen as a set of knowledge, abilities and skills of the individuals, used in the activities that stimulate economic growth and development, was considered to be a stimulus of the innovation process. In the economic literature, it was mentioned the existence of three types of human capital: firm-specific human capital, industry-specific human capital and individual-specific human capital. Because the first two types of human capital refer to the abilities and knowledge valuable only within a specific firm or industry, they have a limited impact on the innovative activity within a region or state. In contrast with these two, individual-specific human capital implies knowledge that is applicable to a large range of firms and industries. Considering that individuals abilities and skills that can be improved and so they can change the way they act, human capital is seen to be an important source of competitive advantage to individuals, organizations and even to societies, having a huge capacity of innovation induction.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131584040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On Turning to Market Timing: A Binomial Approximation","authors":"Benjamin L. Cotton","doi":"10.2139/ssrn.1078626","DOIUrl":"https://doi.org/10.2139/ssrn.1078626","url":null,"abstract":"Utilizing simple binomial modeling techniques, I consider the potential impact of technical analysis on expected returns, expected volatility, and higher moment risk. While limited as a practical evaluation tool, this approach allows for relatively intuitive observations relevant to the ongoing discourse regarding the efficacy of market timing. I demonstrate the impact that timeframe reference can have on the perception of risk, showing that market timing can resemble an option strategy in the short-run while it is more accurately described as an allocation shift away from the risky asset. Absent the presence of serial autocorrelation and over any time horizon, this allocation shift is highly inefficient as it can magnify volatility (measured as variance or standard deviation) relative to a return equivalent buy-and-hold allocation to the risky asset and provides inferior downside protection as well. However, market-timing's shortcomings as a down-side-protection strategy are likely to be masked over shorter observations periods, particularly if the analysis omits an apples-to-apple comparison to a return equivalent buy-and-hold strategy. Serial autocorrelation improves the outlook for market timing in terms of return, volatility and down-side risk, but the level required to reach a risk-adjusted break-even is likely to be higher than has been present in the empirical record. I utilize techniques which are admittedly elementary in order to develop and document the key observations in way that is hopefully more accessible to a specific target audience - students in early statistics / pre-calculus courses with an interest in continued studies in finance and investing and investors with less exposure to more formal conventions of notation. Advanced students/practitioners will find this treatment a bit unorthodox, but hopefully interesting nonetheless.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129012676","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"VAR Analysis and the Great Moderation","authors":"Luca Benati, Paolo Surico","doi":"10.1257/AER.99.4.1636","DOIUrl":"https://doi.org/10.1257/AER.99.4.1636","url":null,"abstract":"Most analyses of the US Great Moderation are based on structural VARs, and point toward good luck as the main explanation for the recent macroeconomic stability. Based on an estimated New-Keynesian model where the only source of change is the move from passive to active monetary policy, we show that (i) the theoretical VAR innovation variances for all series decrease across regimes; (ii) VAR-based counterfactuals assign a minor role to improved policy; and (iii) VAR impulse-response functions to a monetary shock exhibit little variation across regimes. Our analysis suggests that existing VAR evidence is also compatible with the \"good policy\" hypothesis. (JEL C32, C52, E13, E52, N12)","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127362868","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}