Spanning Tests for Markowitz Stochastic Dominance

We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation. We define the concept of Markowitz stochastic dominance spanning, and develop an analytical representation of the spanning property. We construct a non-parametric test for spanning based on subsampling, and derive its asymptotic exactness and consistency. The spanning methodology determines whether introducing new securities or relaxing investment constraints improves the investment opportunity set of investors driven by Markowitz stochastic dominance. In an application to standard data sets of historical stock market returns, we reject market portfolio Markowitz efficiency as well as two-fund separation. Hence, we find evidence that equity management through base assets can outperform the market, for investors with Markowitz type preferences

Innovation, competition and incentives for R&D

This paper analyses the relationship between past innovation output, competition, and future innovation input in a dynamic econometric setting. We distinguish two dimensions of competition that correspond to the concepts of product substitutability and entry barriers due to fixed costs. Based on firm-level panel data for Germany and Switzerland we obtain consistent results for both countries. Innovation output in t-1 as measured by the sales share of innovative products is positively related to the degree of product obsolescence in t, and negatively to the degree of substitutability in t in both countries. Further, we find that rapid product obsolescence provides positive incentives for higher - primarily product-oriented - R&D investments in t+1, while high substitutability exerts negative incentives for future R&D investment. --Innovation,R&D,Competition

Compte rendu de Lecture: KAPIL RAJ. Relocating modern science : circulation and the construction of knowledge in South Asia and Europe, 1650-1900, Basingstoke, Palgrave Macmillan, 258 p.

KAPIL RAJ. Relocating modern science : circulation and the construction of knowledge in South Asia and Europe, 1650-1900, Basingstoke, Palgrave Macmillan, 258 p. ISBN : 0-230-50708-5. 50 Livres sterling. Publié également à Delhi par Permanent Black, ISBN 81-7824-146-3

Innovation and labour productivity in the Swiss manufacturing sector: An analysis based on firm panel data

This paper investigates (a) the determinants of innovation performance and (b) the impact of innovation performance on labour productivity of Swiss manufacturing firms in the period 1994-2002. The data used in this study come from the KOF panel database and were collected in 1996, 1999 and 2002 respectively based on a questionnaire quite similar to that used in the Community Innovation Surveys (CIS). The use of a wide spectrum of indicators helps to test the robustness of the specification of the innovation equation as well as the robustness of the impact of innovation on economic performance. We find a clear-cut positive effect of innovation on labour productivity