Institutional Herding Sias, Richard W.
The Review of financial studies,
04/2004, Volume:
17, Issue:
1
Journal Article
Peer reviewed
Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. We attribute this to institutional investors following each other ...into and out of the same securities ("herding") and institutional investors following their own lag trades. Although institutional investors are "momentum" traders, little of their herding results from momentum trading. Moreover, institutional demand is more strongly related to lag institutional demand than lag returns. Results are most consistent with the hypothesis that institutions herd as a result of inferring information from each other's trades.
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Although institutional investors have a preference for large capitalization stocks, over time they have shifted their preferences toward smaller, riskier securities. These changes in aggregate ...preferences have arisen primarily from changes in the preferences of each class of institution, rather than changes in the importance of different classes. Evidence also suggests that recent growth in institutional investment combined with this shift in preferences helps explain why markets in general, and smaller stocks in particular, have exhibited greater firm-specific risk and liquidity in recent years. Additional analyses suggest that institutional investors moved toward smaller securities because such securities offer "greener pastures."
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This study uses employment data to examine why some industries host more new high-growth firms than others. Using a unique data base of 201 industries over a 15-year period, we find that increases in ...the proportion of employment of scientists and engineers in industries are positively associated with counts of fast-growing new firms; however, we do not detect a relationship between fluctuations in the proportion of employment in sales and production occupations and counts of fast-growing new firms. The findings suggest that technological innovation is an important determinant of entrepreneurial opportunity. Further, they suggest that private new firms are an important means of organizing commercial innovation and that new firms may be less constrained by complementary assets than has been previously understood.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
4.
The Economic Value of Volatility Timing Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara
The Journal of finance (New York),
February 2001, Volume:
56, Issue:
1
Journal Article
Peer reviewed
Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using ...conditional mean-variance analysis to assess the value of voltality timing to short-horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.
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Fritsch M. and Falck O. (2007) New business formation by industry over space and time: a multidimensional analysis, Regional Studies
41, 1-16. A multidimensional approach is applied to analyse ...simultaneously the effects of three groups of determinants on new business formation: industry, space, and changes over time. The data are for West Germany and covers the period from 1983 to 1997. Analysis indicates that the positive impact of small business employment found in many previous studies may be mainly explained by minimum efficient size in the respective industry. Moreover, innovation activities and the technological regime play an important role in new business formation processes. There are some differences with regard to the impact of a number of variables on start-ups in manufacturing and the service sector. While a high level of short-term unemployment has a positive impact on the number of start-ups in the service sector, no significant impact for long-term unemployment could be found.
Fritsch M. et Falck O. (2007) La création d'entreprise dans l'espace et sur le temps: une analyse multidimensionnelle, Regional Studies
41, 1-16. On se sert d'une façon multidimensionnelle afin d'analyser simultanément les effets de trois groupes de déterminants de la création d'entreprise: à savoir, l'industrie, l'espace et l'évolution sur le temps. Les données se rapportent à l'Allemagne de l'Ouest pour la période de 1983 à 1997. L'analyse indique que l'effet emploi positif dans les petites entreprises, qui est à noter dans beaucoup des études antérieures, pourrait s'expliquer par la taille efficace minimale dans l'industrie en question. Qui plus est, les activités innovatrices et le credo technologique jouent un rôle non-négligeable dans la création d'entreprise. Il existe des différences quant à l'impact de nombreuses variables sur la création d'entreprise industrielle et dans le secteur tertiaire. Alors qu'un niveau de chômage élevé à court terme a un effet positif sur la création d'entreprise dans le tertiaire, il ne s'avère aucun effet important quant au chômage de longue durée.
Création d'entreprise Economie industrielle Economie régionale Esprit d'entreprise
Fritsch M. und Falck O. (2007) Betriebsgründungen in Branchen, Regionen und über die Zeit: Eine mehrdimensionale Analyse, Regional Studies
41, 1-16. Wir analysieren das Gründungsgeschehen mit einem mehrdimensionalen Ansatz, der simultan den Einfluss dreier Gruppen von Einflussfaktoren berücksichtigt: Branchenzugehörigkeit, Region und Änderungen über die Zeit. Die Daten beziehen sich auf Westdeutschland und decken den Zeitraum 1983 bis 1997 ab. Unsere Untersuchung zeigt, dass der positive Einfluss von Beschäftigung im kleinbetrieblichen Sektor auf das Gründungsgeschehen, der in vielen früheren Studien festgestellt wurde, vor allem auf die Bedeutung der mindestoptimalen Betriebsgröße in der jeweiligen Branche zurückgeführt werden kann. Darüber hinaus stellen wir fest, dass den regionalen Innovationsaktivitäten und dem Charakter des technologischen Regimes eine wichtige Rolle für Gründungsaktivitäten zukommt. Es zeigen sich einige Unterschiede hinsichtlich des Einflusses von Variablen auf die Gründungen im Industrie- und Dienstleistungssektor. Während ein hohes Niveau an Kurzzeit-Arbeitslosigkeit einen positiven Effekt auf die Anzahl der Gründungen im Dienstleistungssektor hat, kann für die Langzeit-Arbeitslosigkeit kein signifikanter Einfluss festgestellt werden.
Betriebsgründungen Industrieökonomik Regionalökonomik Entrepreneurship
Fritsch M. y Falck O. (2007) Formación de nuevas empresas por la industria a través del espacio y el tiempo: un análisis multidimensional, Regional Studies
41, 1-16. Adoptamos un enfoque multidimensional para analizar a la vez los efectos de tres grupos de determinantes sobre una nueva formación comercial: industria, espacio y cambios temporales. Los datos proceden de Alemania del oeste y abarcan el periodo de 1983 a 1997. En nuestro análisis se observa que el impacto positivo del empleo en pequeñas empresas, que se observa en muchos estudios anteriores, se podría explicar principalmente por el tamaño mínimo de eficacia en la industria correspondiente. Asimismo las actividades de innovación y el régimen tecnológico desempeñan un papel importante en los procesos de formación de nuevas empresas. Existen diferencias con respecto al impacto de determinadas variables en empresas emergentes del sector de manufacturación y servicios. Aunque a corto plazo un alto nivel de desempleo tiene un impacto positivo en el número de empresas emergentes del sector de servicios, no se observó un impacto significativo del desempleo a largo plazo.
Formación de nuevas empresas Economía industrial Economía regional Interés empresarial
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. Manufacturing industry in Northern Ireland receives extensive financial support from government with the objective of improving the economic performance of the plants that are directly assisted. ...Many studies have tried to assess the impact of such assistance, but without the counterfactual evidence it is difficult to ascertain whether or not such support does improve performance. The aim of this paper is to use a unique matched data set to establish if such assistance has made a difference to total factor productivity in Northern Ireland manufacturing plants.
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This study develops a comprehensive model of farmland value determination to analyze the effects of various economic variables such as net farm income, government payments, macroeconomic factors, and ...demographic conditions on farmland values for the counties along the Snake River valley in Idaho. Land values, net farm income, and population show considerable variation among the counties. Therefore, use of county level cross-sectional and time-series data helps to assess the impacts of various factors on land values more accurately. The empirical results show that net farm income, wheat yield, population, and credit availability have positive effects, and property tax rates, interest rates, and debt to asset ratio have negative effects on farmland values.
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Objective: To describe the prevalence of neural tube defects (NTDs) in Victoria, and to evaluate women's knowledge and awareness of the importance of folate after the introduction of voluntary food ...fortification.
Design and setting: Descriptive study, set in Victoria, Australia, based on routinely collected data from the Victorian Birth Defects Register (VBDR) for 1998–2006, and responses by women aged 18–50 years to five questions relating to folate on the 2005 and 2006 Victorian Population Health Surveys (2314 and 2488 women, respectively).
Main outcome measures: Prevalence of NTDs, and extent of women's knowledge of the importance of folate in NTD prevention, comparing the period before and since voluntary food fortification and a folate awareness campaign.
Results: The total prevalence of pregnancies affected by NTDs declined from approximately 17 to 14 per 10 000 births from 1997 to 1999 (coinciding with the period when voluntary food fortification was introduced, and a 1‐year folate awareness campaign was held). It has since remained static. Over the 9‐year study period, the termination of pregnancy rate was 79%, resulting in three NTD‐affected babies per 10 000 livebirths. Compared with women aged 30–34 years (the reference group), those aged 20–24 years had the greatest likelihood of having a baby with an NTD (adjusted odds ratio, 1.70; 95% CI, 1.33–2.18; P < 0.001). Women aged 18–24 years had the lowest rate of folate supplement use (15.9% in 2006), while women aged 30–34 years had the highest rate (30.3% in 2006).
Conclusions: There has been no further reduction in prevalence of NTDs in Victoria since 1999, and this prevalence remains well above that achievable through adequate folate intake. Accurate knowledge of folate consumption, population‐based NTD prevalence data and folate awareness data are essential in monitoring the effectiveness of the mandatory fortification program to be implemented in Australia in the next 2 years.
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