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11 – 20 of over 21000Kenneth Y. Chay and Dean R. Hyslop
We examine the roles of sample initial conditions and unobserved individual effects in consistent estimation of the dynamic binary response panel data model. Different…
Abstract
We examine the roles of sample initial conditions and unobserved individual effects in consistent estimation of the dynamic binary response panel data model. Different specifications of the model are estimated using female welfare and labor force participation data from the Survey of Income and Program Participation. These include alternative random effects (RE) models, in which the conditional distributions of both the unobserved heterogeneity and the initial conditions are specified, and fixed effects (FE) conditional logit models that make no assumptions on either distribution. There are several findings. First, the hypothesis that the sample initial conditions are exogenous is rejected by both samples. Misspecification of the initial conditions results in drastically overstated estimates of the state dependence and understated estimates of the short- and long-run effects of children on labor force participation. The FE conditional logit estimates are similar to the estimates from the RE model that is flexible with respect to both the initial conditions and the correlation between the unobserved heterogeneity and the covariates. For female labor force participation, there is evidence that fertility choices are correlated with both unobserved heterogeneity and pre-sample participation histories.
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The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the…
Abstract
Purpose
The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the authors test whether the observed performance implies superior investment skill on the part of mutual fund managers. Additionally, the authors investigate the suitability of mutual fund investments under diverse investor expectations.
Design/methodology/approach
The authors use a new skill measurement methodology based on a cross-section of constrained random portfolios (Burns, 2007).
Findings
The authors find no evidence of superior investment skill in the sample of Indian equity mutual funds. Using a series of statistical tests, the authors conclude that the mutual funds fail to outperform the random portfolios. Furthermore, mutual funds show no persistence in their performance over time. These results are robust to choice of performance measure and the investment horizon. However, mutual funds provide lower downside risks and may be suitable for investors with high degree of risk aversion.
Originality/value
The authors extend Burns’ (2007) methodology in several aspects, especially by using a much wider range of performance and downside risk measures to address diverse investor expectations. To the best of the authors’ knowledge, this is first study to apply the constrained random portfolios-based skill tests in an emerging market.
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Mohamed Sahbi Nakhli and Lotfi Belkacem
The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.
Abstract
Purpose
The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.
Design/methodology/approach
To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random effect is reduced, whereas the resampling procedure is based on the random draw.
Findings
The empirical results show the existence of a small sample bias in the bootstrap method with replacement, and that the time‐series relations of stock returns are the main source of momentum profits.
Originality/value
To ensure the random effect of the draws, the authors develop a new resampling procedure called the mixed bootstrap method.
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A troublesome tool may represent capital investment standing idle and the toolroom itself, therefore, calls for efficient management if capital expenditure is to be successfully…
Abstract
A troublesome tool may represent capital investment standing idle and the toolroom itself, therefore, calls for efficient management if capital expenditure is to be successfully deployed. Production engineers may cast around for means of saving costs but seldom pay attention to the toolroom. Is this because toolmakers are craftsmen and it is implied, therefore, they always work effectively when making tools or repairing old ones? This may be so, but there are many cases in the past, the present and, no doubt, in the future where tools costs are far too high relative to the product involved.
Donald J. Schepker and Paul D. Bliese
Panel data, where observations of entities are repeated over time, are common in strategic management research. However, explorations of the role of time on predictors of interest…
Abstract
Panel data, where observations of entities are repeated over time, are common in strategic management research. However, explorations of the role of time on predictors of interest are often unexplored. In this chapter, we illustrate how the use of mixed-effect growth models can enhance theory and research in strategic management by exploring changes in outcomes of interest over time. Mixed-effects models allow for testing both within and between effects, while also calculating specific intercepts (firm average values) and slopes (trajectories of specific firms over time) using empirical Bayes estimates. We also illustrate how a discontinuous growth model could be used to assess differences in firm intercepts and slopes surrounding exogenous events (e.g., global pandemics) without requiring a control group.
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Thi Thu Ha Nguyen, Salma Ibrahim and George Giannopoulos
The use of models for detecting earnings management in the academic literature, using accrual and real manipulation, is commonplace. The purpose of the current study is to compare…
Abstract
Purpose
The use of models for detecting earnings management in the academic literature, using accrual and real manipulation, is commonplace. The purpose of the current study is to compare the power of these models in a United Kingdom (UK) sample of 19,424 firm-year observations during the period 1991–2018. The authors include artificially-induced manipulation of revenues and expenses between zero and ten percent of total assets to random samples of 500 firm-year observations within the full sample. The authors use two alternative samples, one with no reversal of manipulation (sample 1) and one with reversal in the following year (sample 2).
Design/methodology/approach
The authors include artificially induced manipulation of revenues and expenses between zero and ten percent of total assets to random samples of 500 firm-year observations within the full sample.
Findings
The authors find that real earnings manipulation models have lower power than accrual earnings manipulation models, when manipulating discretionary expenses and revenues. Furthermore, the real earnings manipulation model to detect overproduction has high misspecification, resulting in artificially inflating the power of the model. The authors examine an alternative model to detect discretionary expense manipulation that generates higher power than the Roychowdhury (2006) model. Modified real manipulation models (Srivastava, 2019) are used as robustness and the authors find these to be more misspecified in some cases but less in others. The authors extend the analysis to a setting in which earnings management is known to occur, i.e. around benchmark-beating and find consistent evidence of accrual and some forms of real manipulation in this sample using all models examined.
Research limitations/implications
This study contributes to the literature by providing evidence of misspecification of currently used models to detect real accounts manipulation.
Practical implications
Based on the findings, the authors recommend caution in interpreting any findings when using these models in future research.
Originality/value
The findings address the earnings management literature, guided by the agency theory.
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Purpose – Information collected from police crash reports has long been the primary source of data for the analysis of factors that determine the likelihood of a crash (crash…
Abstract
Purpose – Information collected from police crash reports has long been the primary source of data for the analysis of factors that determine the likelihood of a crash (crash frequency) and its resulting severity (measured in terms of the extent of injuries to vehicle occupants). Proper cross-sectional analyses techniques, covered in this chapter, are important for guiding safety policy and countermeasures.
Methodology – This chapter provides an overview of some of the more commonly used cross-sectional statistical and econometric methods, and discusses the nuances and their limitations with regard to how they are applied to typical crash-report data.
Findings – The wide variety of analytic methods available to safety researchers makes the selection of appropriate methods critical. This chapter provides important guidance for safety researchers in their choice of methodological approach.
Implications – Understanding the importance of proper model specification, unobserved heterogeneity, endogeneity and other factors covered in this chapter is extremely important in analysing safety data and must be given full consideration before any results are finalised.
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Zornitza Kambourova, Wolter Hassink and Adriaan Kalwij
An adverse health event can affect women’s work capacity as they need time to recover. The institutional framework in the Netherlands provides employment protection during the…
Abstract
An adverse health event can affect women’s work capacity as they need time to recover. The institutional framework in the Netherlands provides employment protection during the first two years after the diagnosis. In this study, we have assessed the extent to which women’s employment is affected in the short- and long term by an adverse health event. We have used administrative Dutch data which follow women aged 25 to 55 years for four years after a medical diagnosis. We found that diagnosed women start leaving employment during the protection period and four years later they were about one percentage point less likely to be employed. Women in permanent employment did not reduce their employment during the protection period and reduced their employment with less than 0.5 percentage points thereafter. Furthermore, we found minor adjustments in the working hours in the short term and no adjustments in the long term. Lastly, we found that for wages, and not for employment and hours, adjustments could be related to the severity of the health condition: women diagnosed with temporary health conditions experienced a short-term wage penalty of about 0.5–1.7 percent and those diagnosed with chronic and incapacitating conditions experienced a long-term wage penalty of about 0.5 percent, while women diagnosed with some chronic and nonincapacitating conditions, such as respiratory conditions, experienced no wage changes in the short or long term.
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