On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Understanding Recent Developments in the Turkish Labor Market: Empirical Essays with a Gender Focus

This dissertation comprises three essays on the Turkish labor market. The first essay characterizes the distinctive characteristics of the Turkish labor market with the aim of understanding the factors lying behind its long-standing poor performance relative to its European counterparts. The analysis is based on a cross-country comparison among selected European Union countries. Among all the indicators of labor market flexibility, non-wage cost rigidities are regarded as one of the most important factors in slowing down employment creation in Turkey. The second essay focuses on an employment subsidy policy which introduces a reduction in non-wage costs through social security premium incentives granted to women and young men. Exploiting a difference-in-difference-in differences strategy, I evaluate the effectiveness of this policy in creating employment for the target group. The results, net of the recent crisis effect, suggest that the policy accounts for a 1.4% to 1.6% increase in the probability of being hired for women aged 30 to 34 above men of the same age group in the periods shortly after the announcement of the policy. In the third essay of the dissertation, I analyze the labor supply response of married women to their husbands' job losses (AWE). I empirically test the hypothesis of added worker effect for the global economic crisis of 2008 by relying on the Turkey context. Identification is achieved by exploiting the exogenous variation in the output of male-dominated sectors hard-hit by the crisis and the gender-segmentation that characterizes the Turkish labor market. Findings based on the instrumental variable approach suggest that the added worker effect explains up to 64% of the observed increase in female labor force participation in Turkey. The size of the effect depends on how long it takes for wives to adjust their labor supply to their husbands' job losses.

The market manipulation regime in the European Union

Market manipulation is an illegal practice that enables a person can profit from practices that artificially raise or lower the prices of an instrument in the financial markets. Its prohibition is based on the 2003 Market Abuse Directive in the EU. The current market manipulation regime was broadly considered as a big success except for enforcement and supervisory inconsistencies in the Member States at the initial. A review of the market manipulation regime began at the end of 2007, which became quickly incorporated into the wider EU crisis-era reform program. A number of weaknesses of current regime have been identified, which include regulatory gaps caused by the development of trading venues and financial products, regulatory gaps concerning cross-border and cross-markets manipulation (particular commodity markets), legal uncertainty as a result of various implementation, and inefficient supervision and enforcement. On 12 June 2014, a new regulatory package of market abuse, Market Abuse Regulation and Directive on criminal sanctions for market abuse, has been adopted. And several changes will be made concerning the EU market manipulation regime. A wider scope of the regime and a new prohibition of attempted market manipulation will ensure the prevention of market manipulation at large. The AMPs will be subject to strict scrutiny of ESMA to reduce divergences in implementation. In order to enhance efficiency of supervision and enforcement, powers of national competent authorities will be strengthened, ESMA is imposed more power to settle disagreement between national regulators, and the administrative and criminal sanctioning regimes are both further harmonized. In addition, the protection of fundamental rights is stressed by the new market manipulation regime, and some measures are provided to guarantee its realization. Further, the success EU market manipulation regime could be of significant reference to China, helping China to refine its immature regime.

A Comparative Study of Central and Eastern European Social Policy Concernig Mental Disability

The main goal of this project was to identity whether an imported system of social policy can be suitable for a host country, and if not why not. Romanian social policy concerning the mentally disabled represents a paradoxical situation in that while social policy is designed to ensure both an institutional structure and a juridical environment, in practice it is far from successful. The central question which Ms. Ciumageanu asked therefore was whether this failure was due to systemic factors, or whether the problem lay in reworking an imported social policy system to meet local needs. She took a comparative approach, also considering both the Scandinavian model of social policy, particularly the Danish model which has been adopted in Romania, and the Hungarian system, which has inherited a similar universal welfare system and perpetuated it to some extent. In order to verify her hypothesis, she also studied the transformation of the welfare system in Great Britain, which meant a shift from state responsibility towards community care. In all these she concentrated on two major aspects: the structural design within the different countries and, at a micro level, the societal response. Following her analyses of the various in the other countries concerned, Ms. Ciumageanu concluded that the major differences lie first in the difference between the stages of policy design. Here Denmark is the most advanced and Romania the most backwards. Denmark has a fairly elaborate infrastructure, Britain a system with may gaps to bridge, and Hungary and Romania are struggling with severe difficulties owing both to the inherited structure and the limits imposed by an inadequate GDP. While in Denmark and Britain, mental patients are integrated into an elaborate system of care, designed and administered by the state (in Denmark) or communities (in Britain), in Hungary and Romania, the state designs and fails to implement the policy and community support is minimal, partly due to the lack of a fully developed civil society. At the micro level the differences are similar. While in Denmark and Britain there is a consensus about the roles of the state and of civil societies (although at different levels in the two countries, with the state being more supportive in Denmark), in Romania and to a considerable extent in Hungary, civil society tends to expect too much from the state, which in its turn is withdrawing faster from its social roles than from its economic ones, generating a gap between the welfare state and the market economy and disadvantaging the expected transition from a welfare state to a welfare society and, implicitly, the societal response towards those mentally disabled persons in it. On an intermediate level, the factors influencing social policy as a whole were much the same for Hungary and Romania. Economic factors include the accumulated economic resources of both state and citizens, and the inherited pattern of redistribution, as well as the infrastructure; institutional resources include the role of the state and the efficiency of the state bureaucracy, the strength and efficiency of the state apparatus, political stability and the complexity of political democratisation, the introduction of market institutions, the strength of civil society and civic sector institutions. From the standpoint of the societal response, some factors were common to all countries, particularly the historical context, the collective and institutional memories and established patterns of behaviour. In the specific case of Romania, general structural and environmental factors - industrialisation and forced urbanisation - have had a definite influence on family structure, values and behavioural patterns. The analysis of Romanian social policy revealed several causes for failure to date. The first was the instability of the policy and the failure to consider the structural network involved in developing it, rather than just the results obtained. The second was the failure to take into account the relationship between the individual and the group in all its aspects, followed by the lack of active assistance for prevention, re-socialisation or professional integration of persons with mental disabilities. Finally, the state fails to recognise its inability to support an expensive psychiatric enterprise and does not provide any incentive to the private sector. This creates tremendous social costs for both the state and the individual. NGOs working in the field in Romania have been somewhat more successful but are still limited by their lack of funding and personnel and the idea of a combined system is as yet utopian in the circumstances in the country.

U.S. utilities' experiences with the implementation of energy efficiency programs

In the U.S., many electric utility companies are offering demand-side management (DSM) programs to their customers as ways to save money and energy. However, it is challenging to compare these programs between utility companies throughout the U.S. because of the variability of state energy policies. For example, some states in the U.S. have deregulated electricity markets and others do not. In addition, utility companies within a state differ depending on ownership and size. This study examines 12 utilities’ experiences with DSM programs and compares the programs’ annual energy savings results that the selected utilities reported to the Energy Information Administration (EIA). The 2009 EIA data suggests that DSM program effectiveness is not significantly affected by electricity market deregulation or utility ownership. However, DSM programs seem to generally be more effective when administered by utilities located in states with energy savings requirements and DSM program mandates.

IS THE U.S. SHALE GAS BOOM HAVING AN EFFECT ON THE EUROPEAN GAS MARKET?

This thesis focuses on the impact of the American shale gas boom on the European natural gas market. The study presents different tests in order to analyze the dynamics of natural gas prices in the U.S., U.K. and German natural gas market. The question of cointegration between these different markets are analyzed using several tests. More specifically, the ADF tests for the presence of a unit root. The error correction model test and the Johansen cointegration procedure are applied in order to accept or reject the hypothesis of an integrated market. The results suggest no evidence of cointegration between these markets. There currently is no evidence of an impact of the U.S. shale gas boom on the European market.

What Does the Market Learn from Stock Offering Revisions?

We examine the disclosure of size revisions of seasoned stock offerings to see what information revisions impart to investros. Revisions could deliver firm-originated infoirmation, which discloses something managers know about the firm. Alternatively, they could disseminate market-originated information, which is information market participants have but which is not conveyed until trading takes place. Our results reject the notion that revisions reveal firm-originated news. Instead, the results are consistent with the market-originated news hypothesis and suggest a mechanism that investros and underwriters use to learn about the demand for an offering.

Corporate aging and investment decisions

Paper I: Corporate aging and internal resource allocation Abstract Various observers argue that established firms are at a disadvantage in pursuing new growth opportunities. In this paper, we provide systematic evidence that established firms allocate fewer resources to high-growth lines of business. However, we find no evidence of inefficient resource allocation in established firms. Redirecting resources from high-growth to low-growth lines of business does not result in lower profitability. Also, resource allocation towards new growth opportunities does not increase when managers of established firms are exposed to takeover and product market threats. Rather, it seems that conservative resource allocation strategies are driven by pressures to meet investors’ expectations. Our empirical evidence, thus, favors the hypothesis that established firms wisely choose to allocate fewer resources to new growth opportunities as external pressures force them to focus on efficiency rather than novelty (Holmström 1989). Paper II: Corporate aging and asset sales Abstract This paper asks whether divestitures are motivated by strategic considerations about the scope of the firm’s activities. Limited managerial capacity implies that exploiting core competences becomes comparatively more attractive than exploring new growth opportunities as firms mature. Divestitures help stablished firms free management time and increase the focus on core competences. The testable implication of this attention hypothesis is that established firms are the main sellers of assets, that their divestiture activity increases when managerial capacity is scarcer, that they sell non-core activities, and that they return the divestiture proceeds to the providers of capital instead of reinvesting them in the firm. We find strong empirical support for these predictions. Paper III: Corporate aging and lobbying expenditures Abstract Creative destruction forces constantly challenge established firms, especially in competitive markets. This paper asks whether corporate lobbying is a competitive weapon of established firms to counteract the decline in rents over time. We find a statistically and economically significant positive relation between firm age and lobbying expenditures. Moreover, the documented age-effect is weaker when firms have unique products or operate in concentrated product markets. To address endogeneity, we use industry distress as an exogenous nonlegislative shock to future rents and show that established firms are relatively more likely to lobby when in distress. Finally, we provide empirical evidence that corporate lobbying efforts by established firms forestall the creative destruction process. In sum, our findings suggest that corporate lobbying is a competitive weapon of established firms to retain profitability in competitive environments.

The effect of brain size evolution on feeding propensity, digestive efficiency, and juvenile growth

One key hypothesis in the study of brain size evolution is the expensive tissue hypothesis; the idea that increased investment into the brain should be compensated by decreased investment into other costly organs, for instance the gut. Although the hypothesis is supported by both comparative and experimental evidence, little is known about the potential changes in energetic requirements or digestive traits following such evolutionary shifts in brain and gut size. Organisms may meet the greater metabolic requirements of larger brains despite smaller guts via increased food intake or better digestion. But increased investment in the brain may also hamper somatic growth. To test these hypotheses we here used guppy (Poecilia reticulata) brain size selection lines with a pronounced negative association between brain and gut size and investigated feeding propensity, digestive efficiency (DE), and juvenile growth rate. We did not find any difference in feeding propensity or DE between large- and small-brained individuals. Instead, we found that large-brained females had slower growth during the first 10 weeks after birth. Our study provides experimental support that investment into larger brains at the expense of gut tissue carries costs that are not necessarily compensated by a more efficient digestive system.

Tooth loss, chewing efficiency and cognitive impairment in geriatric patients.

BACKGROUND Patients with dementia have poorer oral health and fewer teeth than their peers without cognitive impairment. OBJECTIVE The hypothesis of this study is that the number of natural teeth and the chewing efficiency are associated with cognitive functioning. METHODS This cross-sectional study included 29 patients diagnosed with dementia aged 75 years or older and 22 controls who were either cognitively normal (n = 19) or with mild cognitive impairment (n = 3). Neuropsychological, nutritional and dental assessments were performed. The chewing efficiency was evaluated with a two-colour mixing test. RESULTS Demented patients and controls presented with a mean of 4.9 and 6.5 teeth, respectively (n.s.). The number of natural teeth was not associated with dementia (p = 0.553). Same results were found for age (p = 0.746) and sex (p = 0.901). The chewing efficiency by visual inspection proved worse in participants with dementia than in the controls (p < 0.011) and explained 9.3% of the variance in the diagnosis of dementia. Neither dental state nor chewing efficiency was related to the nutritional state. CONCLUSION Chewing efficiency seems stronger associated with cognitive impairment than the number of teeth. Hence, in a more holistic approach for the geriatric assessment, the dental examination may be complemented by a chewing efficiency test.

Are Shirking and Leisure Substitutable? An Empirical Test of Efficiency Wages Based on Urban Economic Theory

Recent theoretical work has examined the spatial distribution of unemployment using the efficiency wage model as the mechanism by which unemployment arises in the urban economy. This paper extends the standard efficiency wage model in order to allow for behavioral substitution between leisure time at home and effort at work. In equilibrium, residing at a location with a long commute affects the time available for leisure at home and therefore affects the trade-off between effort at work and risk of unemployment. This model implies an empirical relationship between expected commutes and labor market outcomes, which is tested using the Public Use Microdata sample of the 2000 U.S. Decennial Census. The empirical results suggest that efficiency wages operate primarily for blue collar workers, i.e. workers who tend to be in occupations that face higher levels of supervision. For this subset of workers, longer commutes imply higher levels of unemployment and higher wages, which are both consistent with shirking and leisure being substitutable.

Efficiency in Deregulated Electricity Markets: Offer Cost Minimization vs. Payment Cost Minimization Auction

This study of the wholesale electricity market compares the efficiency performance of the auction mechanism currently in place in U.S. markets with the performance of a proposed mechanism. The analysis highlights the importance of considering strategic behavior when comparing different institutional systems. We find that in concentrated markets, neither auction mechanism can guarantee an efficient allocation. The advantage of the current mechanism increases with increased price competition if market demand is perfectly inelastic. However, if market demand has some responsiveness to price, the superiority of the current auction with respect to efficiency is not that obvious. We present a case where the proposed auction outperforms the current mechanism on efficiency even if all offers reflect true production costs. We also find that a market designer might face a choice problem with a tradeoff between lower electricity cost and production efficiency. Some implications for social welfare are discussed as well.

Technical Efficiency in the Indian Textiles Industry: A Nonparametric Analysis of Firm-Level Data

The Indian textiles industry is now at the crossroads with the phasing out of quota regime that prevailed under the Multi-Fiber Agreement (MFA) until the end of 2004. In the face of a full integration of the textiles sector in the WTO, maintaining and enhancing productive efficiency is a precondition for competitiveness of the Indian firms in the new liberalized world market. In this paper we use data obtained from the Annual Survey of Industries for a number of years to measure the levels of technical efficiency in the Indian textiles industry at the firm level. We use both a grand frontier applicable to all firms and a group frontier specific to firms from any individual state, ownership, or organization type in order to evaluate their efficiencies. This permits us to separately identify how locational, proprietary, and organizational characteristics of a firm affect its performance.

Shirking, Commuting and Labor Market Outcomes

Recent theoretical work has examined the spatial distribution of unemployment using the efficiency wage model as the mechanism by which unemployment arises in the urban economy. This paper extends the standard efficiency wage model in order to allow for behavioral substitution between leisure time at home and effort at work. In equilibrium, residing at a location with a long commute affects the time available for leisure at home and therefore affects the trade-off between effort at work and risk of unemployment. This model implies an empirical relationship between expected commutes and labor market outcomes, which is tested using the metropolitan sample of the American Housing Survey. No evidence is found to suggest a consistent impact of efficiency wages on the spatial pattern of unemployment or earnings.

Bank Performance: Market Power or Efficient Structure?

Regulatory change not seen since the Great Depression swept the U.S. banking industry beginning in the early 1980s, culminating with the Interstate Banking and Branching Efficiency Act of 1994. Significant consolidations have occurred in the banking industry. This paper considers the market-power versus the efficient-structure theories of the positive correlation between banking concentration and performance on a state-by-state basis. Temporal causality tests imply that bank concentration leads bank profitability, supporting the market-power, rather than the efficient-structure, theory of that positive correlation. Our finding suggests that bank regulators, by focusing on local banking markets, missed the initial stages of an important structural change at the state level.