A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.Performance measurement, Robust statistical inference, Cross-sectional dependence

Das Anlageverhalten von Privatinvestoren: Erste Ergebnisse eines schweizerischen Panels

Das Anlageverhalten von Privatinvestoren unterscheidet sich teilweise markant von Voraussagen, die aufgrund von Modellen der Portfolioselektion getroffen werden können. So sind zum Beispiel Portfolios häufig nicht breit diversifiziert, weder bezüglich der Anzahl Titel noch bezüglich der geographischen Streuung der Anlagen. Gleichzeitig gibt es eine ganze Reihe demographischer Faktoren (zB. Geschlecht, Alter, Nationalität) die das Investorenverhalten möglicherweise beeinflussen, über die die finanzökonomische Literatur jedoch kaum Voraussagen erlaubt. Die verhaltensorientierte Finanzökonomie (behavioral finance) hat in den letzten Jahren versucht, diese Lücke zu schliessen. Nebst theoretischen Arbeiten sind empirische Untersuchungen entstanden, die jedoch häufig auf Umfragen oder Experimenten basieren. Direkte Untersuchungen des Anlageverhaltens aufgrund tatsächlicher Vermögensdaten gab es bisher wenige ..

A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors

How Much of the Diversification Discount Can be Explained by Poor Corporate Governance?

We investigate whether the diversification discount is simply a proxy for poor corporate governance. We find that the negative value impact of diversification is amplified by adverse governance variables such as low CEO ownership, low board independence, and board classification, and that approximately 25% to 30% of the diversification discount can be attributed to suboptimal governance choices by conglomerate firms. Our methodology includes a dynamic panel GMM estimator that accounts for the endogeneity of the diversification decision and corporate governance, plus an event study analysis of diversifying mergers. Even after controlling for governance, the diversification discount remains negative and significant

Do Board's Corporate Social Responsibility Strategy and Orientation Influence Environmental Sustainability Disclosure? UK Evidence

The environmental implications of corporate economic activities have led to growing demands for firms and their boards to adopt sustainable strategies and to disseminate more useful information about their activities and impacts on environment. This paper investigates the impact of board’s corporate social responsibility (CSR) strategy and orientation on the quantity and quality of environmental sustainability disclosure in UK listed firms. We find that effective board CSR strategy and CSR-oriented directors have a positive and significant impact on the quality of environmental sustainability disclosure, but not on the quantity. Our findings also suggest that the existence of a CSR committee and issuance of a stand-alone CSR report are positively and significantly related to environmental sustainability disclosure. When we distinguish between firms with high and low environmental risk, we find that the board CSR/sustainability practices that affect the quantity (quality) of environmental sustainability disclosure appear to be driven more by highly (lowly) environmentally sensitive firms. These results suggest that the board CSR/sustainability practices play an important role in ensuring a firm’s legitimacy and accountability towards stakeholders. Our findings shed new light on this under-researched area and could be of interest to companies, policy-makers and other stakeholders

The Coevolution of Finance and Property Rights: Evidence from Transition Economies

The transition from communism to capitalism was necessarily accompanied by a sudden and abrupt increase in the financialization of society. This increase occurred in an environment that, even now, still has little experience with or expertise in financialization. Given that financialization occurred simultaneously with the growth and evolution of other political and economic institutions, the question arises: What was the effect on these other nascent institutions like property rights? This article empirically analyzes the relationship between financialization and property rights in transition countries. Using a unique monthly database of twenty transition countries over a period from 1989 to 2012, this article finds that the influence of financialization depends on which definition of “financialization” is used. In particular, increases in basic financial intermediation improved property rights. However, higher-order “financialization,” proxied here by the size of capital markets and the wages in the financial sector, appeared to have a negative impact on the development of broad-based property rights in transition

How Much of the Diversification Discount Can be Explained by Poor Corporate Governance?

We investigate whether the diversification discount is simply a proxy for poor corporate governance. We find that the negative value impact of diversification is amplified by adverse governance variables such as low CEO ownership, low board independence, and board classification, and that approximately 25% to 30% of the diversification discount can be attributed to suboptimal governance choices by conglomerate firms. Our methodology includes a dynamic panel GMM estimator that accounts for the endogeneity of the diversification decision and corporate governance, plus an event study analysis of diversifying mergers. Even after controlling for governance, the diversification discount remains negative and significant

The influence of aggressiveness on the performance of football teams in Spain

La agresividad es un concepto complejo de definir, y que engloba aquellas acciones encaminadas a dañar al rival. Pueden estar justificadas como un instrumento para conseguir el objetivo del equipo o ser una manifestación de violencia explícita. El objeto de esta investigación es comprobar si esa creencia sobre el juego agresivo tiene soporte empírico, al analizar su influencia en la variación en el marcador en los partidos disputados en la 1ª división de la liga española de fútbol durante las temporadas 2007/2008 y 2008/2009. Para ello, se distingue entre agresión instrumental y hostil como diferentes niveles de agresividad. Además, se mide el rendimiento de los equipos en relación al cambio en el marcador, una variable reflejada directamente sobre los goles, y no sobre otras variables de juego que pueden o no traducirse en cambios en el marcador. Los resultados muestran, globalmente, que la agresividad tiene efectos negativos sobre el rendimiento.Aggressiveness is a complex concept to define and one which includes actions intended to harm a rival. Such actions can be justified as a means to achieving the goals of the team, or simply a manifestation of explicit violence. The aim of this research was to test whether the belief that aggressive play reaps benefits has empirical support byanalyzing its influence on the variation in the scoring of all matches in the 1st division of the Spanish football league, for the 2007/2008 and 2008/2009 seasons. In order to do so, we distinguished between instrumental and hostile aggression as different levels of aggressiveness. Furthermore, we measured the performance of teams through changes in the scoreboard, that is to say, when a goal is scored. Results derived from the estimation of five different models showed, overall, that aggressiveness has a negative impact on team performance.Financiación recibida del proyecto ECO2015-65637-P (MINECO/FEDER). Asimismo, este trabajo es el resultado de la actividad desarrollada en el marco del Programa de Ayudas a Grupos de Excelencia de la Región de Murcia, de la Fundación Séneca, Agencia de Ciencia y Tecnología de la Región de Murcia proyecto 19884/GERM/15

Is Aid for Trade Effective? A Panel Quantile Regression Approach

This paper investigates whether Aid for Trade (AfT) leads to greater exports in recipient countries. Using panel data and panel quantile regression techniques, our results suggest that total AfT disbursements promote the export of goods and services, but is limited primarily to exporters above the .35 quantile of the conditional distribution of exports. When disaggregating by type of AfT, we find that aid to improve trade policy and regulation is not associated with higher exports. Aid to build productive capacity is effective for almost all quantiles of the export distribution but the 10th, with the effect being stronger at the higher tails of the conditional distribution. Aid used to build infrastructure is found to affect exports only at the 0.10 quantile. In contrast, aid disbursed for general budget support (an untargeted type of aid) is not associated with greater export levels irrespective of the quantile

Space and Time in Macroeconomic Panel Data: Young Workers and State-Level Unemployment Revisited

A provocative paper by Shimer (2001) finds that state-level youth shares and unemployment rates are negatively correlated, in contrast to conventional assumptions about demographic effects on labor markets. This paper updates Shimer's regressions and shows that this surprising correlation essentially disappears when the end of the sample period is extended from 1996 to 2005. This shift does not occur because of a change in the underlying economy during the past decade. Rather, the presence of a cross-sectional (that is, spatial) correlation in the state-level data sharply reduces the precision of the earlier estimates, so that the true standard errors are several times larger than those originally reported. Using a longer sample period and some controls for spatial correlation in the regression, point estimates for the youth-share effect on unemployment are positive and close to what a conventional model would imply. Unfortunately, the standard errors remain very large. The difficulty of obtaining precise estimates with these data illustrates a potential pitfall in the use of regional panel data for macroeconomic analysis