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Welfare Impact of Trade Liberalization 贸易自由化对福利的影响
UNSW Business School Research Paper Series Pub Date : 2008-10-31 DOI: 10.2139/ssrn.1323697
S. Cho, Julián P. Díaz
{"title":"Welfare Impact of Trade Liberalization","authors":"S. Cho, Julián P. Díaz","doi":"10.2139/ssrn.1323697","DOIUrl":"https://doi.org/10.2139/ssrn.1323697","url":null,"abstract":"This paper constructs a static Applied General Equilibrium Model and analyzes the distributional impact of trade reforms. To calibrate our model, we work with the Household Expenditure Survey to disaggregate household groups by income, age, and skill intensity, and the Input-Output table to construct a Social Accounting Matrix. Our benchmark simulation looks at Slovenia joining the European Union. We then compare with two alternative scenarios: a free trade agreement between Slovenia and the EU, and an alternative fiscal arrangement of distributing tariff revenues under the EU. While trade reforms lead to falling prices in the import sector, rising production in the export sector, and improvement in aggregate welfare, the distributional impacts across household groups vary in its degree.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91351847","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}
引用次数: 0
Information Diffusion among International Fund Managers: Multi-Country Evidence 国际基金经理的信息扩散:多国证据
UNSW Business School Research Paper Series Pub Date : 2008-09-12 DOI: 10.2139/ssrn.1115276
J. Parwada, Joey (Wenling) Yang
{"title":"Information Diffusion among International Fund Managers: Multi-Country Evidence","authors":"J. Parwada, Joey (Wenling) Yang","doi":"10.2139/ssrn.1115276","DOIUrl":"https://doi.org/10.2139/ssrn.1115276","url":null,"abstract":"Investors seeking exposure to global equity markets commonly buy international mutual funds managed by locally based fund managers. How competitive is this form of intermediated investing? We investigate whether international equity fund managers mimic each other's portfolio holdings and analyze the performance implications of these actions. Managers based in the same country have more stocks held in common than those of their peers in other countries. Correlated trading among domestic fund managers contributes significantly to this pattern. Cross-border managers' portfolio holdings and trades are also relevant to the actions of domestic managers. Stock selection strategies based on mimicry and differentiation both deliver short-term superior performance. Mimicked sales occur while prices are rising.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74590566","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}
引用次数: 1
An Investigation of Life Insurer Efficiency in Canada 加拿大寿险公司效率调查
UNSW Business School Research Paper Series Pub Date : 2008-07-23 DOI: 10.2139/ssrn.1173082
W. Wise, S. Purcal
{"title":"An Investigation of Life Insurer Efficiency in Canada","authors":"W. Wise, S. Purcal","doi":"10.2139/ssrn.1173082","DOIUrl":"https://doi.org/10.2139/ssrn.1173082","url":null,"abstract":"This paper explores the effect of the cost and profit efficiency of Canadian life insurers on their return on equity (ROE). We take the data submitted by these insurers to the Office of the Superintendent of Financial Institutions (OSFI) for 2000 through 2004 and determine 1) the extent of the profit and cost efficiency of the various Canada life insurers and 2) how this affects their ROE. We also explore how other factors such as company size, debt ratio and amount of new business written affect ROE. The values are determined using stochastic frontier analysis for both companies as a whole and separately for the various lines of business (LOBs) within the companies. The results of the investigation show us that both the profit and cost efficiency is very important in determining the ROE of a life insurer as a whole and is much more so than the other factors explored. Indeed the average inefficiency of the insurers reduces their average ROE anywhere from 11% to 38% of its potential value depending upon the method of measurement used. It is found that in order to increase its ROE by even 1% (e.g. from 10% to 11%) by adjusting its size, debt ratio or amount of new business written it is (virtually) impossible for a life insurer and the only reasonable way to do so is by improving its efficiency. In addition profit efficiency by LOB is seen, for the most part, to be important in determining the ROE of the LOB and is also more so than the other factors explored. There are some LOBs where the importance of profit efficiency is difficult to determine, mostly because of a lack of data.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91550135","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}
引用次数: 0
The Need for Diagnostic Assessment of Bootstrap Predictive Models 自举预测模型诊断性评估的必要性
UNSW Business School Research Paper Series Pub Date : 2008-05-26 DOI: 10.2139/SSRN.1134607
Glen Barnett, B. Zehnwirth
{"title":"The Need for Diagnostic Assessment of Bootstrap Predictive Models","authors":"Glen Barnett, B. Zehnwirth","doi":"10.2139/SSRN.1134607","DOIUrl":"https://doi.org/10.2139/SSRN.1134607","url":null,"abstract":"The bootstrap is, at heart, a way to obtain an approximate sampling distribution for a statistic (and hence, if required, produce a confidence interval). Where that statistic is a suitable estimator for a population parameter of interest, the bootstrap enables inferences about that parameter. In the case of simple situations the bootstrap is very simple in form, but more complex situations can be dealt with. The bootstrap can be modified in order to produce a predictive distribution (and hence, if required, prediction intervals). It is predictive distributions that are generally of prime interest to insurers (because they pay the outcome of the process, not its mean). The bootstrap has become quite popular in reserving in recent years, but it's necessary to use the bootstrap with caution. The bootstrap does not require the user to assume a distribution for the data. Instead, sampling distributions are obtained by resampling the data. However, the bootstrap certainly does not avoid the need for assumptions, nor for checking those assumptions. The bootstrap is far from a cure-all. It suffers from essentially the same problems as finding predictive distributions and sampling distributions of statistics by any other means. These problems are exacerbated by the time-series nature of the forecasting problem - because reserving requires prediction into never-before-observed calendar periods, model inadequacy in the calendar year direction becomes a critical problem. In particular, the most popular actuarial techniques - those most often used with the bootstrap - don't have any parameters in that direction, and are frequently mis-specified with respect to the behaviour against calendar time. Further, commonly used versions of the bootstrap can be sensitive to overparameterization - and this is a common problem with standard techniques. In this paper, we describe these common problems in using the bootstrap and how to spot them.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74810136","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}
引用次数: 3
A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation 具有债务积累的小型开放经济体的小结构货币政策模型
UNSW Business School Research Paper Series Pub Date : 2008-03-01 DOI: 10.5089/9781451869262.001.A001
Philippe D. Karam, A. Pagan
{"title":"A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation","authors":"Philippe D. Karam, A. Pagan","doi":"10.5089/9781451869262.001.A001","DOIUrl":"https://doi.org/10.5089/9781451869262.001.A001","url":null,"abstract":"We extend a small New Keynesian structural model used for monetary policy analysis to address a richer class of policy issues that arise in open economy analysis. We draw a distinction between absorption and domestic output, and as the difference between the two is effectively the current account, there is now an explicit accumulation or decumulation of foreign liabilities in response to various shocks affecting the system. Such stock equilibria can now have an impact back on to the flows in the domestic economy. We perform simulations using parameters calibrated to the Canadian economy and compare the differences in impulse responses from the original model. Advantages in a forecasting environment owing to the ability to impose explicit projections about imports and exports are also exposed.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84963644","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}
引用次数: 8
The Liquidity Component of the Equity Premium 股权溢价的流动性成分
UNSW Business School Research Paper Series Pub Date : 2008-02-21 DOI: 10.2139/ssrn.1102115
P. Swan, André Levy
{"title":"The Liquidity Component of the Equity Premium","authors":"P. Swan, André Levy","doi":"10.2139/ssrn.1102115","DOIUrl":"https://doi.org/10.2139/ssrn.1102115","url":null,"abstract":"Adding a motivation for trading due to endowment differences to standard asset pricing assumptions, we investigate the impact of illiquidity due to small numbers of participants. We calibrate to observed activity levels, returns, transaction costs and volatility in equity markets. We show that, while the price of an illiquid asset is itself unaffected by its illiquidity, with the introduction of an equivalent liquid asset, which trades at a premium, we nonetheless replicate the findings of Mehra and Prescott (1985). The required transactional charges are modest in some calibrations. We show that the major part of the equity premium can be explained as a liquidity premium.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79950913","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}
引用次数: 5
The Road to Riches: CEO Incentives and Firm Performance 《致富之路:CEO激励与公司绩效》
UNSW Business School Research Paper Series Pub Date : 2008-02-18 DOI: 10.2139/ssrn.1089968
Gavin Smith, P. Swan
{"title":"The Road to Riches: CEO Incentives and Firm Performance","authors":"Gavin Smith, P. Swan","doi":"10.2139/ssrn.1089968","DOIUrl":"https://doi.org/10.2139/ssrn.1089968","url":null,"abstract":"CEO flow incentives, both stock options and bonuses, are positively related to measures of firm market valuation and operating performance suggesting incentives are an important mechanism to align CEO interests with shareholders. These findings are robust to alternative measures of firm valuation and operating performance. They are also persistent across various estimation techniques such as pooled OLS with clustered standard errors, firm random effects, and firm fixed effects and also after accounting for potential endogeneity between compensation and firm performance as well as firm heterogeneity. Providing CEOs with increased equity and bonus incentives is the \"road to riches\" for owners of a firm.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79977954","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}
引用次数: 8
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks 具有永久和短暂冲击的结构体系的计量经济学分析
UNSW Business School Research Paper Series Pub Date : 2008-02-04 DOI: 10.2139/ssrn.1251542
A. Pagan, M. Pesaran
{"title":"Econometric Analysis of Structural Systems with Permanent and Transitory Shocks","authors":"A. Pagan, M. Pesaran","doi":"10.2139/ssrn.1251542","DOIUrl":"https://doi.org/10.2139/ssrn.1251542","url":null,"abstract":"This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah (1989), and shows that structural equations with known permanent shocks can not contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto (2001), Shapiro and Watson (1988), King, Plosser, Stock, Watson (1991), Gali (1992, 1999) and Fisher (2006).","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73751166","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}
引用次数: 78
Benchmarking Benchmarks: Measuring Characteristic Selectivity Using Portfolio Holdings Data 基准:使用投资组合持有数据测量特征选择性
UNSW Business School Research Paper Series Pub Date : 2008-01-15 DOI: 10.1111/J.1467-629X.2008.00263.X
Kingsley Y. Fong, Adrian D. Lee, D. Gallagher
{"title":"Benchmarking Benchmarks: Measuring Characteristic Selectivity Using Portfolio Holdings Data","authors":"Kingsley Y. Fong, Adrian D. Lee, D. Gallagher","doi":"10.1111/J.1467-629X.2008.00263.X","DOIUrl":"https://doi.org/10.1111/J.1467-629X.2008.00263.X","url":null,"abstract":"This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel et al. (1997) as a means of improving the precision of alpha measurement for active equity fund managers. We achieve this by considering the monthly updating of characteristic benchmarks and to ensure neutrality to the Standard & Poor's/Australian Stock Exchange 300 index. Applying this benchmark to a representative sample of active Australian equity funds and simulated passive portfolios that mimic fund manager-style characteristics, we find statistically different and lower tracking error compared with using the standard characteristic benchmark methodology. We also find evidence that the modified benchmark statistically infers an alpha closer to zero compared with the standard benchmark methodology. Our findings suggest that improved specifications of characteristic benchmarks represent better methods in quantifying fund manager skill.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2008-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79300252","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}
引用次数: 16
Ownership Concentration, Agency Conflicts, and Dividend Policy in Japan 股权集中度、代理冲突与日本股利政策
UNSW Business School Research Paper Series Pub Date : 2006-12-24 DOI: 10.2139/ssrn.953433
Kimie Harada, P. Nguyen
{"title":"Ownership Concentration, Agency Conflicts, and Dividend Policy in Japan","authors":"Kimie Harada, P. Nguyen","doi":"10.2139/ssrn.953433","DOIUrl":"https://doi.org/10.2139/ssrn.953433","url":null,"abstract":"We examine the dividend policy of Japanese firms and find that dividend payout is negatively related to ownership concentration. This result contradicts the argument that dividends are substitute for shareholder monitoring, but supports the assumption that controlling shareholders extract private benefits at the expense of minority shareholders. Consistent with their lower payout, firms with dominant shareholders are less likely to increase dividends when profitability increases and more likely to omit dividends when investment opportunities improve. On the other hand, they are more likely to increase dividend when debt is high and less likely to omit dividends when debt increases, which is tantamount to a wealth transfer from debtholders. Overall, ownership concentration appears to play a critical role in corporate decisions, mainly due to the way it intensifies the agency conflicts between majority and minority shareholders.","PeriodicalId":23435,"journal":{"name":"UNSW Business School Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2006-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76079737","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}
引用次数: 43
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