768 resultados para Economics, Finance
Resumo:
The article examines the legislative reforms incorporating the Sex Discrimination Act and the Affirmative Action Act introduced during the 1980s. We utilise the Australian Bureau of Statistics Income Distribution Surveys 1981–82 and 1989–90 to reflect pre- and post-legislative reform. The article adopts the Brown, Moon and Zoloth (1980) methodology which treats both the wage and occupational status of the individual as endogenously determined. In the current context this is a particularly flexible framework allowing one to capture both the direct and indirect effects of the legislative reforms. The indirect effect refers to the narrowing of the gender wage gap associated with legislative manipulation of the male-female occupational distributions. The results contrast the slow convergence in the gender wage gap during the 1980s with the much faster pace of the 1970s. The article concludes that despite the focus of the 1980s legislation on employment equity, changes in the male-female occupational distribution over the period are small and the associated impact on gender wage convergence is also small.
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The current study examines the change in the gender wage gap in Australia over the period 1973 to 1990. The Juhn, Murphy and Pierce (1991) decomposition is used in order to evaluate the role and relative contribution of changes in observed and unobserved skills and their prices. The sensitivity of conclusions to the measure of labour market experience and industry and occupation structure are also examined. The analysis concludes that gender-specific effects are dominant in male-female wage convergence although wage-structure effects also play a minor role.
Resumo:
China's market-oriented labor market reform has been in place for about one and a half decades. This study uses individual data for 1981 and 1987 to examine the success of the first half of the reform program. Success is evaluated by examining changes in the wage setting structure in the state-owned sector over the reform period. Have the market reforms stimulated worker incentives by increasing the returns to human capital acquisition? Has the wage structure altered to more closely mimic that of a market economy? In 1987, there is evidence of a structural change in the system of wage determination, with slightly increased rates of return to human capital. However, changes in industrial wage differentials appear to play the dominant role. It is argued that this may be due to labor market reforms, in particular the introduction of the profit related bonus scheme.J. Comp. Econom.,December 1997,25(3), pp. 403–421. Australian National University, Canberra, ACT0200, Australia and University of Tasmania, Hobart, Tasmania, Australia, and University of Aberdeen, Old Aberdeen, Scotland AB24 3QY.
Resumo:
A quasi-maximum likelihood procedure for estimating the parameters of multi-dimensional diffusions is developed in which the transitional density is a multivariate Gaussian density with first and second moments approximating the true moments of the unknown density. For affine drift and diffusion functions, the moments are exactly those of the true transitional density and for nonlinear drift and diffusion functions the approximation is extremely good and is as effective as alternative methods based on likelihood approximations. The estimation procedure generalises to models with latent factors. A conditioning procedure is developed that allows parameter estimation in the absence of proxies.
Resumo:
We study a political economy model which aims to understand the diversity in the growth and technology-adoption experiences in different economies. In this model the cost of technology adoption is endogenous and varies across heterogeneous agents. Agents in the model vote on the proportion of revenues allocated towards such expenditures. In the early stages of development, the political-economy outcome of the model ensures that a sub-optimal proportion of government revenue is used to finance adoption-cost reducing expenditures. This sub-optimality is due to the presence of inequality; agents at the lower end of the distribution favor a larger amount of revenue allocated towards redistribution in the form of lump-sum transfers. Eventually all individuals make the switch to the better technology and their incomes converge. The outcomes of the model therefore explain why public choice is more likely to be conservative in nature; it represents the majority choice given conflicting preferences among agents. Consequently, the transition path towards growth and technology adoption varies across countries depending on initial levels of inequality.
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Based on the theory of international stock market co-movements, this study shows that a profitable trading strategy can be developed. The U.S. market return is considered as overnight information by ordinary investors in the Asian and the European stock markets, and opening prices in local markets reflect the U.S. overnight return. However, smart traders would either judge the impact of overnight information more correctly, or predict unreleased information. Thus, the difference between expected opening prices based on the U.S. return and actual opening prices is counted as smart traders’ prediction power, which is either a buy or a sell signal. Using index futures price data from 12 countries from 2000 to 2011, cumulative returns on the trading strategy are calculated with taking into account transaction costs. The empirical results show that the proposed trading strategy generates higher riskadjusted returns than that of the benchmarks in 12 sample countries. The trading performances for the Asian markets surpass those for the European markets because the U.S. return is the only overnight information for the Asian markets whereas the Asian markets returns are additional information to the European investors.
Resumo:
Language has been of interest to numerous economists since the late 20th century, with the majority of the studies focusing on its effects on immigrants’ labour market outcomes; earnings in particular. However, language is an endogenous variable, which along with its susceptibility to measurement error causes biases in ordinary-least-squares estimates. The instrumental variables method overcomes the shortcomings of ordinary least squares in modelling endogenous explanatory variables. In this dissertation, age at arrival combined with country of origin form an instrument creating a difference-in-difference scenario, to address the issue of endogeneity and attenuation error in language proficiency. The first half of the study aims to investigate the extent to which English speaking ability of immigrants improves their labour market outcomes and social assimilation in Australia, with the use of the 2006 Census. The findings have provided evidence that support the earlier studies. As expected, immigrants in Australia with better language proficiency are able to earn higher income, attain higher level of education, have higher probability of completing tertiary studies, and have more hours of work per week. Language proficiency also improves social integration, leading to higher probability of marriage to a native and higher probability of obtaining citizenship. The second half of the study further investigates whether language proficiency has similar effects on a migrant’s physical and mental wellbeing, health care access and lifestyle choices, with the use of three National Health Surveys. However, only limited evidence has been found with respect to the hypothesised causal relationship between language and health for Australian immigrants.
Resumo:
This thesis advances the knowledge of behavioural economics on the importance of individual characteristics – such as gender, personality or culture – for choices relevant to labour and insurance markets. It does so using economic experiments, survey tools and physiological data, collected in economic laboratories and in the field. More specifically, the thesis includes 5 experimental economic studies investigating individual-specific characteristics (gender, age, personality, cultural background) in decisions influenced by risk attitudes and social preferences. One of these characteristics is the physiological state of decision-makers, measured by heart rate variability. The results show that individual-specific characteristics play an important role for choices affected by social preferences, a finding to a lesser degree observable for risk preferences. This finding is confirmed under revealed incentivised choices and when studying (latent) physiological responses of decision-makers.
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This study investigates whether and how a firm’s ownership and corporate governance affect its timeliness of price discovery, which is referred to as the speed of incorporation of value-relevant information into the stock price. Using a panel data of 1,138 Australian firm-year observations from 2001 to 2008, we predict and find a non-linear relationship between ownership concentration and the timeliness of price discovery. We test the identity of the largest shareholder and find that only firms with family as the largest shareholder exhibit faster price discovery. There is no evidence that suggests that the presence of a second largest shareholder affects the timeliness of price discovery materially. Although we find a positive association between corporate governance quality and the timeliness of price discovery, as expected, there is no interaction effect between the largest shareholding and corporate governance in relation to the timeliness of price discovery. Further tests show no evidence of severe endogeneity problems in our study.
Resumo:
The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.
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This paper investigates the relationship between US MNCs' valuations and anti-Americanism in countries where MNCs' foreign subsidiaries are located. We find that MNCs suffer value-destruction when they enter markets where people express severe anti-Americanism. However, we uncover that geographic diversification into these high anti-Americanism countries significantly increases firm value if the MNC has high levels of intangibles such as technological know-how and marketing expertise. Our findings are consistent with the notion that the advantages from internalizing the cross-border transfer of intangibles are greater when barriers to competition are higher.
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Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.
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Benhabib and Spiegel (1994) examine the role of human capital in the development process empirically using a theory-driven specification rather than the standard production function approach. While they find evidence of a positive impact of human capital on income growth, their result is not robust to the inclusion of inequality as an additional covariate. Using an alternate dataset and different measures of inequality, we find robust support for the hypothesis that human capital matters even when we account for the adverse effect of income inequality on growth.
Resumo:
Does participation in a tournament influence prosocial behaviour in subsequent interactions? We designed an experiment to collect data on charitable donations made by participants out of their earnings from a real-effort tournament. We varied the earnings associated with ranks across our treatments thereby allowing us to observe donations by participants who end up at different ranks but have the same earnings. Prior to finding out how well they performed, participants were also asked to report their expected rank. Controlling for differences in effort and earnings, participants who were ranked first donated significantly more than others, supporting the view that positive affect from winning may increase generosity. However, we find that this effect diminishes when the difference between realised and expected ranks are controlled for, lending support to the idea that positive surprise from winning also increases generosity.
Resumo:
Originally developed in bioinformatics, sequence analysis is being increasingly used in social sciences for the study of life-course processes. The methodology generally employed consists in computing dissimilarities between the trajectories and, if typologies are sought, in clustering the trajectories according to their similarities or dissemblances. The choice of an appropriate dissimilarity measure is a major issue when dealing with sequence analysis for life sequences. Several dissimilarities are available in the literature, but neither of them succeeds to become indisputable. In this paper, instead of deciding upon one dissimilarity measure, we propose to use an optimal convex combination of different dissimilarities. The optimality is automatically determined by the clustering procedure and is defined with respect to the within-class variance.