A túl- és az alulképzés bérhozama 25 európai országban (Returns for over-education and under-education for 25 European countries)

A tanulmányban 25 ország, kétezres évek közepi állapotot tükröző, reprezentatív keresztmetszeti mintáin egyrészt a Duncan-Hoffman-féle modellre támaszkodva megvizsgáljuk, hogy adatbázisunk milyen mértékben tükrözi az illeszkedés bérhozamával foglalkozó irodalom legfontosabb empirikus következtetéseit, másrészt - a Hartog- Oosterbeek-szerzőpáros által javasolt statisztikai próbák segítségével - azt elemezzük, hogy a becslések eredményei alapján mit mondhatunk Mincer emberitőke-, valamint Thurow állásversenymodelljének érvényességéről. Heckman szelekciós torzítást kiküszöbölő becslőfüggvényén alapuló eredményeink jórészt megerősítik az irodalomban vázolt legfontosabb empirikus sajátosságokat, ugyanakkor a statisztikai próbák az országok többségére nézve cáfolják mind az emberi tőke, mind az állásverseny modelljének empirikus érvényességét. / === / Using the Duncan–Hoffman model, the paper estimates returns for educational mismatch using comparable micro data for 25 European countries. The aim is to gauge the extent to which the main empirical regularities shown in other papers on the subject are confirmed by this data base. Based on tests proposed by Hartog and Oosterbeek, the author also considers whether the observed empirical patterns accord with the Mincerian basic human-capital model and Thurow's job-competition model. Heckman's sample-selection estimator shows the returns to be fairly consistent with those found in the literature; the job-competition model and the Mincerian human-capital model can be rejected for most countries.

Demográfiai hatások és implicit hozamok kapcsolata a nyugdíjrendszerekben = The relationship of demographic effects and implicit returns in pension systems

E tanulmány központi témája a nyugdíjrendszerek implicit hozama. Az együtt élő nemzedékek figyelembevételével felépülő nyugdíjmodellekben kétféle implicit hozamot különböztetünk meg. A hosszmetszeti implicit hozamot valamely adott nemzedékhez tartozó, különböző években esedékes pénzáramlások alapján, a keresztmetszeti implicit hozamot pedig több, különböző nemzedék adott évben jellemző pénzáramlásai alapján számíthatjuk ki. A hosszmetszeti és keresztmetszeti implicit hozamok értékeit és a közük lévő összefüggéseket a tőkefedezeti, a névleges egyéni számlás és a hagyományos felosztó-kirovó nyugdíjrendszerek egyszerű elméleti modelljeiben hasonlítjuk össze. A számításokhoz használt modellkeret fontos eleme a várható élettartam figyelembevétele. Az eredmények azt mutatják, hogy a maximális és a várható élettartam eltérésekor a hosszmetszeti és a keresztmetszeti implicit hozamok közötti összefüggések még egyszerű elméleti modellben is meglehetősen összetettek lehetnek. ____ The focus of this study is on the implicit returns of pension systems. Two types are analysed using an overlapping generations model: the calculation of longitudinal\" return is based on cash flows in different years belonging to a given generation, while cross-section\" implicit return is calculated in a given year with cash flows of multiple generations. Values and relationships of longitudinal and cross-section implicit returns are compared in simple theoretical models of fully funded\", notional defined-contribution\" and traditional pay-as-you-go\" pension systems. An important element of the theoretical model is the inclusion of an assumption about life expectancy. Model results point to the complexity of the relation between longitudinal and cross-section implicit returns, if expected and maximum life expectancy differ. The study maps and introduces these complex relationships.

Solvency risk minimizing guaranteed returns in life insurance

Return guarantee constitutes a key ingredient of classical life insurance premium calculation. In the current low interest rate environment insurers face increasingly strong financial incentives to reduce guaranteed returns embedded in life insurance contracts. However, return guarantee lowering efforts are restrained by associated demand effects, since a higher guaranteed return makes the net price of the insurance cover lower. This tradeoff between possibly higher future insurance obligations and the possibility of a larger demand for life insurance products can theoretically also be considered when determining optimal guaranteed returns. In this paper, optimality of return guarantee levels is analyzed from a solvency point of view. Availability and some other properties of optimal solutions for guaranteed returns are explored and compared in a simple model for two measures of solvency risk (company-level and contract-level VaR). The paper concludes that a solvency risk minimizing optimal guaranteed return may theoretically exist, although its practical availability can be impeded by economic and regulatory constraints.

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Essays on international lending and increasing returns to scale

Standard economic theory suggests that capital should flow from rich countries to poor countries. However, capital has predominantly flowed to rich countries. The three essays in this dissertation attempt to explain this phenomenon. The first two essays suggest theoretical explanations for why capital has not flowed to the poor countries. The third essay empirically tests the theoretical explanations.^ The first essay examines the effects of increasing returns to scale on international lending and borrowing with moral hazard. Introducing increasing returns in a two-country general equilibrium model yields possible multiple equilibria and helps explain the possibility of capital flows from a poor to a rich country. I find that a borrowing country may need to borrow sufficient amounts internationally to reach a minimum investment threshold in order to invest domestically.^ The second essay examines how a poor country may invest in sectors with low productivity because of sovereign risk, and how collateral differences across sectors may exacerbate the problem. I model sovereign borrowing with a two-sector economy: one sector with increasing returns to scale (IRS) and one sector with diminishing returns to scale (DRS). Countries with incomes below a threshold will only invest in the DRS sector, and countries with incomes above a threshold will invest mostly in the IRS sector. The results help explain the existence of a bimodal world income distribution.^ The third essay empirically tests the explanations for why capital has not flowed from the rich to the poor countries, with a focus on institutions and initial capital. I find that institutional variables are a very important factor, but in contrast to other studies, I show that institutions do not account for the Lucas Paradox. Evidence of increasing returns still exists, even when controlling for institutions and other variables. In addition, I find that the determinants of capital flows may depend on whether a country is rich or poor.^

Contemporary aspects of dividends: Before and during the financial crisis

The number of dividend paying firms has been on the decline since the popularity of stock repurchases in the 1980s, and the recent financial crisis has brought about a wave of dividend reductions and omissions. This dissertation examined the U.S. firms and American Depository Receipts that are listed on the U.S. equity exchanges according to their dividend paying history in the previous twelve quarters. While accounting for the state of the economy, the firm’s size, profitability, earned equity, and growth opportunities, it determines whether or not the firm will pay a dividend in the next quarter. It also examined the likelihood of a dividend change. Further, returns of firms were examined according to their dividend paying history and the state of the economy using the Fama-French three-factor model. Using forward, backward, and step-wise selection logistic regressions, the results show that firms with a history of regular and uninterrupted dividend payments are likely to continue to pay dividends, while firms that do not have a history of regular dividend payments are not likely to begin to pay dividends or continue to do so. The results of a set of generalized polytomous logistic regressions imply that dividend paying firms are more likely to reduce dividend payments during economic expansions, as opposed to recessions. Also the analysis of returns using the Fama-French three factor model reveals that dividend paying firms are earning significant abnormal positive returns. As a special case, a similar analysis of dividend payment and dividend change was applied to American Depository Receipts that trade on the NYSE, NASDAQ, and AMEX exchanges and are issued by the Bank of New York Mellon. Returns of American Depository Receipts were examined using the Fama-French two-factor model for international firms. The results of the generalized polytomous logistic regression analyses indicate that dividend paying status and economic conditions are also important for dividend level change of American Depository Receipts, and Fama-French two-factor regressions alone do not adequately explain returns for these securities.

Dynamic modeling and analysis of single-stage boost inverters under normal and abnormal conditions

Inverters play key roles in connecting sustainable energy (SE) sources to the local loads and the ac grid. Although there has been a rapid expansion in the use of renewable sources in recent years, fundamental research, on the design of inverters that are specialized for use in these systems, is still needed. Recent advances in power electronics have led to proposing new topologies and switching patterns for single-stage power conversion, which are appropriate for SE sources and energy storage devices. The current source inverter (CSI) topology, along with a newly proposed switching pattern, is capable of converting the low dc voltage to the line ac in only one stage. Simple implementation and high reliability, together with the potential advantages of higher efficiency and lower cost, turns the so-called, single-stage boost inverter (SSBI), into a viable competitor to the existing SE-based power conversion technologies.^ The dynamic model is one of the most essential requirements for performance analysis and control design of any engineering system. Thus, in order to have satisfactory operation, it is necessary to derive a dynamic model for the SSBI system. However, because of the switching behavior and nonlinear elements involved, analysis of the SSBI is a complicated task.^ This research applies the state-space averaging technique to the SSBI to develop the state-space-averaged model of the SSBI under stand-alone and grid-connected modes of operation. Then, a small-signal model is derived by means of the perturbation and linearization method. An experimental hardware set-up, including a laboratory-scaled prototype SSBI, is built and the validity of the obtained models is verified through simulation and experiments. Finally, an eigenvalue sensitivity analysis is performed to investigate the stability and dynamic behavior of the SSBI system over a typical range of operation. ^

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

Psychosocial morbidity in women with abnormal cervical cytology managed by cytological surveillance or initial colposcopy : longitudinal analysis from the TOMBOLA randomised trial

We are grateful for the co-operation and assistance that we received from NHS staff in the co-ordinating centres and clinical sites. We thank the women who participated in TOMBOLA. The TOMBOLA trial was supported by the Medical Research Council (G9700808) and the NHS in England and Scotland. The TOMBOLA Group comprises the following: Grant-holders: University of Aberdeen and NHS Grampian, Aberdeen, Scotland: Maggie Cruickshank, Graeme Murray, David Parkin, Louise Smart, Eric Walker, Norman Waugh (Principal Investigator 2004–2008) University of Nottingham and Nottingham NHS, Nottingham, England: Mark Avis, Claire Chilvers, Katherine Fielding, Rob Hammond, David Jenkins, Jane Johnson, Keith Neal, Ian Russell, Rashmi Seth, Dave Whynes University of Dundee and NHS Tayside, Dundee, Tayside: Ian Duncan, Alistair Robertson (deceased) University of Ottawa, Ottawa, Canada: Julian Little (Principal Investigator 1999–2004) National Cancer Registry, Cork, Ireland: Linda Sharp Bangor University, Bangor, Wales: Ian Russell University of Hull, Hull, England: Leslie G Walker Staff in clinical sites and co-ordinating centres Grampian Breda Anthony, Sarah Bell, Adrienne Bowie, Katrina Brown (deceased), Joe Brown, Kheng Chew, Claire Cochran, Seonaidh Cotton, Jeannie Dean, Kate Dunn, Jane Edwards, David Evans, Julie Fenty, Al Finlayson, Marie Gallagher, Nicola Gray, Maureen Heddle, Alison Innes, Debbie Jobson, Mandy Keillor, Jayne MacGregor, Sheona Mackenzie, Amanda Mackie, Gladys McPherson, Ike Okorocha, Morag Reilly, Joan Rodgers, Alison Thornton, Rachel Yeats Tayside Lindyanne Alexander, Lindsey Buchanan, Susan Henderson, Tine Iterbeke, Susanneke Lucas, Gillian Manderson, Sheila Nicol, Gael Reid, Carol Robinson, Trish Sandilands Nottingham Marg Adrian, Ahmed Al-Sahab, Elaine Bentley, Hazel Brook, Claire Bushby, Rita Cannon, Brenda Cooper, Ruth Dowell, Mark Dunderdale, Dr Gabrawi, Li Guo, Lisa Heideman, Steve Jones, Salli Lawson, Zoë Philips, Christopher Platt, Shakuntala Prabhakaran, John Rippin, Rose Thompson, Elizabeth Williams, Claire Woolley Statistical analysis Seonaidh Cotton, Kirsten Harrild, John Norrie, Linda Sharp External Trial Steering Committee Nicholas Day (chair, 1999–2004), Theresa Marteau (chair 2004-), Mahesh Parmar, Julietta Patnick and Ciaran Woodman.

Risk factors of European non-listed real estate fund returns

Acknowledgements: We thank INREV (the European Association for Investors in Non-Listed Real Estate Vehicles) for funding a previous version of this research and providing non-listed fund data as well as very useful comments. This version is published as Delfim, J.-C. and Hoesli, M., 2015, Risk Factor Analysis of European Non-Listed Real Estate Funds, Amsterdam: INREV. The usual disclaimer applies. We also thank three anonymous reviewers and the guest editor, Graeme Newell, for insightful remarks.

Operational expenditure costs for wave energy projects and impacts on financial returns

This paper examines 'availability' and the input metrics of operational expenditure (OPEX) for wave energy projects and reports on a case study which assesses the impact of these inputs on project profit returns. Case study simulations modelled a 75 MW wave energy project at two locations; the west coast of Ireland and the north coast of Portugal. Access and availability with respect to weather windows at both locations are discussed and their impact on energy output and wave farm operations is quantified. The input metrics used to calculate OPEX of wave energy projects are defined as well as the impact of OPEX on project net present value (NPV) and internal rate of return (IRR). Results indicate that access and resultant availability factors have a significant impact on case study results by reducing energy output and correspondingly financial returns. Furthermore, the technology maturity level designated for a project also impacts on availability factors and consequently energy output and NPV. Case study profits proved to be very sensitive to annual OPEX, especially if overhaul and replacement costs were accounted for. As a result of the impact of 'availability' on project profit returns. Feed-in tariffs will need to be tailored to the location in question as well as the device technology maturity level, with case study simulations indicating that high FIT will be required to support early stage WEC projects. (C) 2012 Elsevier Ltd. All rights reserved.

Abnormal Pedestrian Trajectory analysis based on arbitrary-length clustering

This papers examines the use of trajectory distance measures and clustering techniques to define normal
and abnormal trajectories in the context of pedestrian tracking in public spaces. In order to detect abnormal
trajectories, what is meant by a normal trajectory in a given scene is firstly defined. Then every trajectory
that deviates from this normality is classified as abnormal. By combining Dynamic Time Warping and a
modified K-Means algorithms for arbitrary-length data series, we have developed an algorithm for trajectory
clustering and abnormality detection. The final system performs with an overall accuracy of 83% and 75%
when tested in two different standard datasets.

Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

The benefits of diversification from international real estate securities are generally well established. However, the drivers of international real estate securities returns are insufficiently understood. We jointly examine the empirical implications of three major international asset pricing models that account for broad macroeconomic risk factors. In addition, we develop the hypothesis that an indicator of mispriced credit is significant in explaining the time series variation in international real estate securities returns. We employ the returns generated by a large sample of firms from 20 countries over the period 1999 to 2011 to test our hypothesis. We find support for the predictions of the major international asset pricing models. We also find evidence in favour of our hypothesised link between local credit conditions and the performance of international real estate securities.