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The Lost Capital Asset Pricing Model 损失资本资产定价模型
1区 经济学
Review of Economic Studies Pub Date : 2023-02-14 DOI: 10.1093/restud/rdad013
Daniel Andrei, Julien Cujean, Mungo Wilson
{"title":"The Lost Capital Asset Pricing Model","authors":"Daniel Andrei, Julien Cujean, Mungo Wilson","doi":"10.1093/restud/rdad013","DOIUrl":"https://doi.org/10.1093/restud/rdad013","url":null,"abstract":"Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the empiricist. The CAPM holds for investors, but the securities market line appears flat to the empiricist. Variation in expected returns across investors accounts for the larger part of this distortion, which is empirically substantial; it offers a new interpretation of why “betting against beta” (BAB) works: BAB really bets on true beta. The empiricist retrieves a stronger CAPM on days when public information reduces disagreement among investors.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"241 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135727140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Effects of Partial Employment Protection Reforms: Evidence from Italy 部分就业保护改革的效果:来自意大利的证据
1区 经济学
Review of Economic Studies Pub Date : 2023-02-10 DOI: 10.1093/restud/rdad012
Diego Daruich, Sabrina Di Addario, Raffaele Saggio
{"title":"The Effects of Partial Employment Protection Reforms: Evidence from Italy","authors":"Diego Daruich, Sabrina Di Addario, Raffaele Saggio","doi":"10.1093/restud/rdad012","DOIUrl":"https://doi.org/10.1093/restud/rdad012","url":null,"abstract":"Abstract We combine matched employer–employee data with firms’ financial records to study a 2001 Italian reform that lifted constraints on the employment of temporary contract workers while maintaining rigid employment protection regulations for employees hired under permanent contracts. Exploiting the staggered implementation of the reform across different collective bargaining agreements, we find that this policy change led to an increase in the share of temporary contracts but failed to raise employment. The reform had both winners and losers. Firms are the main winners as the reform was successful in decreasing labor costs, leading to higher profits. By contrast, young workers are the main losers since their earnings were substantially depressed following the policy change. Rent-sharing estimates show that temporary workers receive only two-thirds of the rents shared by firms with permanent workers, helping explain most of the labor costs and earnings reductions caused by the reform.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136051801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Down the River: Glyphosate Use in Agriculture and Birth Outcomes of Surrounding Populations 下游:草甘膦在农业中的使用和周围人口的出生结果
1区 经济学
Review of Economic Studies Pub Date : 2023-02-06 DOI: 10.1093/restud/rdad011
Mateus Dias, Rudi Rocha, Rodrigo R. Soares
{"title":"Down the River: Glyphosate Use in Agriculture and Birth Outcomes of Surrounding Populations","authors":"Mateus Dias, Rudi Rocha, Rodrigo R. Soares","doi":"10.1093/restud/rdad011","DOIUrl":"https://doi.org/10.1093/restud/rdad011","url":null,"abstract":"Abstract This paper documents an externality from the agricultural use of the most widely applied herbicide in the world—glyphosate—on birth outcomes of surrounding populations. We focus on the subclinical effects of water contamination in areas distant from the original locations of application. Our identification relies on: (i) the regulation allowing the introduction of genetically modified seeds in Brazil; (ii) the potential gain in municipality-level productivity from adoption of genetically modified soybean seeds and the strong complementary between these seeds and glyphosate; and (iii) the direction of water flow within water basins. We document a significant deterioration in birth outcomes for populations downstream from locations that are likely to have increased relatively more the use of glyphosate. According to our preferred specification, the average increase in glyphosate use in the sample during 2000–10 period led to an increase of 5% of the average in infant mortality rate.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136372070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
Stalled Racial Progress and Japanese Trade in the 1970s and 1980s 70年代和80年代停滞的种族进步和日本贸易
1区 经济学
Review of Economic Studies Pub Date : 2023-01-31 DOI: 10.1093/restud/rdad009
Mary Kate Batistich, Timothy Bond
{"title":"Stalled Racial Progress and Japanese Trade in the 1970s and 1980s","authors":"Mary Kate Batistich, Timothy Bond","doi":"10.1093/restud/rdad009","DOIUrl":"https://doi.org/10.1093/restud/rdad009","url":null,"abstract":"Abstract We assess the impact of a rapid rise in Japanese import competition on the growth in racial earnings and employment gaps during the 1970s and 80s. Using commuting zone level variation in exposure, we find Japanese competition led to a decrease in manufacturing employment and labour force participation for blacks. This was driven by a shift in demand for skill in manufacturing. The difference in effects between the 10th percentile most and least exposed commuting zone was equivalent to 36–46% of the relative rise in black non-labour force participation, and 78–96% of the relative decline in black median male earnings.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135256604","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inference for Ranks with Applications to Mobility across Neighbourhoods and Academic Achievement across Countries 应用于跨社区流动和跨国家学术成就的排名推断
1区 经济学
Review of Economic Studies Pub Date : 2023-01-27 DOI: 10.1093/restud/rdad006
Magne Mogstad, Joseph P Romano, Azeem M Shaikh, Daniel Wilhelm
{"title":"Inference for Ranks with Applications to Mobility across Neighbourhoods and Academic Achievement across Countries","authors":"Magne Mogstad, Joseph P Romano, Azeem M Shaikh, Daniel Wilhelm","doi":"10.1093/restud/rdad006","DOIUrl":"https://doi.org/10.1093/restud/rdad006","url":null,"abstract":"Abstract It is often desired to rank different populations according to the value of some feature of each population. For example, it may be desired to rank neighbourhoods according to some measure of intergenerational mobility or countries according to some measure of academic achievement. These rankings are invariably computed using estimates rather than the true values of these features. As a result, there may be considerable uncertainty concerning the rank of each population. In this paper, we consider the problem of accounting for such uncertainty by constructing confidence sets for the rank of each population. We consider both the problem of constructing marginal confidence sets for the rank of a particular population as well as simultaneous confidence sets for the ranks of all populations. We show how to construct such confidence sets under weak assumptions. An important feature of all of our constructions is that they remain computationally feasible even when the number of populations is very large. We apply our theoretical results to re-examine the rankings of both neighbourhoods in the U.S. in terms of intergenerational mobility and developed countries in terms of academic achievement. The conclusions about which countries do best and worst at reading, math, and science are fairly robust to accounting for uncertainty. The confidence sets for the ranking of the fifty most populous commuting zones by measures of mobility are also found to be small. These confidence sets, however, become much less informative if one includes all commuting zones, if one considers neighbourhoods at a more granular level (counties, census tracts), or if one uses movers across areas to address concerns about selection.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135743535","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Estimating Production Functions of Multiproduct Firms 多产品企业的生产函数估计
1区 经济学
Review of Economic Studies Pub Date : 2023-01-25 DOI: 10.1093/restud/rdad005
Nelli Valmari
{"title":"Estimating Production Functions of Multiproduct Firms","authors":"Nelli Valmari","doi":"10.1093/restud/rdad005","DOIUrl":"https://doi.org/10.1093/restud/rdad005","url":null,"abstract":"Abstract Multiproduct firms constitute a considerable share of firms and account for an even greater share of production. Nevertheless, the vast majority of production function estimates are based on the assumption that firms are single-product manufacturers. This assumption is due to a lack of data on how firms allocate their inputs across their various product lines. I provide a strategy for estimating product-specific input allocations and production functions of multiproduct firms involved in monopolistic competition. The strategy is based on using firms’ product prices and output demand in solving for product-level input allocations.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135997580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A Network Solution to Robust Implementation: the Case of Identical but Unknown Distributions 鲁棒实现的网络解决方案：相同但未知分布的情况
IF 5.8 1区 经济学
Review of Economic Studies Pub Date : 2023-01-24 DOI: 10.1093/restud/rdac084
Mariann Ollár, Antonio Penta
{"title":"A Network Solution to Robust Implementation: the Case of Identical but Unknown Distributions","authors":"Mariann Ollár, Antonio Penta","doi":"10.1093/restud/rdac084","DOIUrl":"https://doi.org/10.1093/restud/rdac084","url":null,"abstract":"\u0000 We study robust mechanism design in environments in which agents commonly believe that others’ types are identically distributed, but we do not assume that the actual distribution is common knowledge, nor that it is known to the designer. First, we characterize all incentive compatible transfers under these assumptions. Second, we characterize the conditions under which full implementation is possible via direct mechanisms, that only elicit payoff relevant information, and the transfer schemes which achieve it whenever possible. The full implementation results obtain from showing that the problem can be transformed into one of designing a network of strategic externalities, subject to suitable constraints which are dictated by the incentive compatibility requirements.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":" ","pages":""},"PeriodicalIF":5.8,"publicationDate":"2023-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45769641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Inference for Linear Conditional Moment Inequalities 线性条件矩不等式的推论
1区 经济学
Review of Economic Studies Pub Date : 2023-01-20 DOI: 10.1093/restud/rdad004
Isaiah Andrews, Jonathan Roth, Ariel Pakes
{"title":"Inference for Linear Conditional Moment Inequalities","authors":"Isaiah Andrews, Jonathan Roth, Ariel Pakes","doi":"10.1093/restud/rdad004","DOIUrl":"https://doi.org/10.1093/restud/rdad004","url":null,"abstract":"Abstract We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in settings with nuisance parameters. We first introduce least-favorable critical values which deliver non-conservative tests if all moments are binding. Next, we introduce a novel conditional inference approach which ensures a strong form of insensitivity to slack moments. Our recommended approach is a hybrid technique which combines desirable aspects of the least favorable and conditional methods. The hybrid approach performs well in simulations calibrated to Wollmann (2018, American Economic Review, 108, 1364–1406), with favorable power and computational time comparisons relative to existing alternatives.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134917096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Bond Premium Cyclicality and Liquidity Traps 债券溢价、周期性和流动性陷阱
1区 经济学
Review of Economic Studies Pub Date : 2023-01-17 DOI: 10.1093/restud/rdad003
Sanjay R. Singh, Nicolas Caramp
{"title":"Bond Premium Cyclicality and Liquidity Traps","authors":"Sanjay R. Singh, Nicolas Caramp","doi":"10.1093/restud/rdad003","DOIUrl":"https://doi.org/10.1093/restud/rdad003","url":null,"abstract":"Abstract Safe asset shortages can expose an economy to liquidity traps. The nature of these traps is determined by the cyclicality of the bond premium. A counter-cyclical bond premium opens the possibility of expectations-driven liquidity traps in which small issuances of government debt crowd out private debt and reduce output. In contrast, when the bond premium is pro-cyclical and the economy is in a liquidity trap, government debt is expansionary. In the data, we find evidence of a counter-cyclical bond premium. Large interventions can prevent the emergence of self-fulfilling traps, but they require sufficient fiscal capacity. In a quantitative model calibrated to the Great Recession, a promise to increase the government debt-to-GDP ratio by 20 percentage points precludes the possibility of self-fulfilling traps.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135544687","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing the Production Approach to Markup Estimation 测试标记估计的生产方法
1区 经济学
Review of Economic Studies Pub Date : 2023-01-15 DOI: 10.1093/restud/rdad002
Devesh Raval
{"title":"Testing the Production Approach to Markup Estimation","authors":"Devesh Raval","doi":"10.1093/restud/rdad002","DOIUrl":"https://doi.org/10.1093/restud/rdad002","url":null,"abstract":"Abstract Under the production approach to markup estimation, any flexible input should recover the markup. I test this implication using manufacturing datasets from Chile, Colombia, India, Indonesia, the U.S., and Southern Europe, as well as store-level data from a major U.S. retailer, and overwhelmingly reject that markups estimated using labour and materials have the same distribution. For every dataset, markups estimated using labour are negatively correlated with markups estimated using materials, exhibit greater dispersion, and have opposite time trends. I continue to find stark differences in markups estimated using energy and non-energy raw materials. Non-neutral productivity differences across firms can explain these findings.","PeriodicalId":48449,"journal":{"name":"Review of Economic Studies","volume":"146 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135694724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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