Risk Everywhere Bollerslev, Tim; Hood, Benjamin; Huss, John ...
The Review of financial studies,
07/2018, Letnik:
31, Številka:
7
Journal Article
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Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades, we document strong similarities in realized ...volatility patterns within and across asset classes. Exploiting these similarities through panel-based estimation of new realized volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and conventional procedures that do not incorporate the similarities in volatilities. We develop a utility-based framework for evaluating risk models that shows significant economic gains from our new risk model. Lastly, we evaluate the effects of transaction costs and trading speed in implementing different risk models.
The Adjustment of Labor Markets to Robots Dauth, Wolfgang; Findeisen, Sebastian; Suedekum, Jens ...
Journal of the European Economic Association,
12/2021, Letnik:
19, Številka:
6
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Abstract
We use detailed administrative data to study the adjustment of local labor markets to industrial robots in Germany. Robot exposure, as predicted by a shift-share variable, is associated with ...displacement effects in manufacturing, but those are fully offset by new jobs in services. The incidence mostly falls on young workers just entering the labor force. Automation is related to more stable employment within firms for incumbents, and this is driven by workers taking over new tasks in their original plants. Several measures indicate that those new jobs are of higher quality than the previous ones. Young workers also adapt their educational choices, and substitute away from vocational training towards colleges and universities. Finally, industrial robots have benefited workers in occupations with complementary tasks, such as managers or technical scientists.
Home Bias and Local Contagion Sialm, Clemens; Sun, Zheng; Zheng, Lu
The Review of financial studies,
10/2020, Letnik:
33, Številka:
10
Journal Article
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Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their ...investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.
Does Austerity Pay Off? Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes
The review of economics and statistics,
05/2020, Letnik:
102, Številka:
2
Journal Article
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We investigate empirically how fiscal shocks—unanticipated and exogenous changes of government consumption growth—affect the sovereign default premium. For this purpose, we assemble a new data set ...for 38 emerging and developed economies. It contains approximately 3,000 observations for the sovereign default premium and three alternative measures of fiscal shocks. We condition our estimates on whether shocks are positive or negative and initial conditions in terms of fiscal stress. An increase of government consumption barely affects the default premium. A reduction raises the premium if fiscal stress is severe but decreases it if initial conditions are benign.
Abstract
This paper estimates the effects of economic downturns on the expansion of Pentecostal Evangelicalism in Brazil. Regions more exposed to economic distress experienced a persistent rise both ...in Pentecostal affiliation and in the vote share of candidates connected to Pentecostal churches in national legislative elections. Once elected, these politicians carry out an agenda with greater emphasis on issues that are sensitive to fundamental religious principles. We, therefore, find that recessions led to the rise of religious fundamentalism in tandem with the transfer of political capital to elected Pentecostal leaders.
We examine how the political connections of acquirers influence the process and outcomes of privatization in China. We find that politically connected acquirers receive preferential treatment and ...acquire higher quality firms during full privatization, and document evidence of post-privatization tunneling from target firms to acquirers. We show that the excessive tunneling by politically connected acquirers is associated with lower performance after privatization. Overall, our results suggest that individuals are likely to abuse their political connections to exploit the opportunities arising from privatization. We recommend that policymakers constrain the influence of political connections in the privatization process.
Summary
This work examines the relationship between national identity and conflict during international sporting tournaments and the impact of referees as an institutional countermeasure. The ...empirical analysis covers the FIFA World, Confederations and Under 20's World Cups and Olympic tournaments from 1994 to 2014, resulting in 1152 individual matches. We use the issuing of cards (red and yellow) and the number of sanctions (fouls) as a conflict proxy, plus macro‐level national identity markers to determine between team variations. Our results indicate that national identity is robustly significant in the prediction of conflict, whereas the match‐specific variables seem to be of less importance. Additionally, we observe that referees are a highly successful control of on‐field aggression.
Over the past two decades, Zapatista indigenous community members have asserted their autonomy and self-determination by using everyday practices as part of their struggle for lekil kuxlejal, a ...dignified collective life connected to a specific territory. This in-depth ethnography summarizes Mariana Mora’s more than ten years of extended research and solidarity work in Chiapas, with Tseltal and Tojolabal community members helping to design and evaluate her fieldwork. The result of that collaboration—a work of activist anthropology—reveals how Zapatista kuxlejal (or life) politics unsettle key racialized effects of the Mexican neoliberal state. Through detailed narratives, thick descriptions, and testimonies, Kuxlejal Politics focuses on central spheres of Zapatista indigenous autonomy, particularly governing practices, agrarian reform, women’s collective work, and the implementation of justice, as well as health and education projects. Mora situates the proposals, possibilities, and challenges associated with these decolonializing cultural politics in relation to the racialized restructuring that has characterized the Mexican state over the past twenty years. She demonstrates how, despite official multicultural policies designed to offset the historical exclusion of indigenous people, the Mexican state actually refueled racialized subordination through ostensibly color-blind policies, including neoliberal land reform and poverty alleviation programs. Mora’s findings allow her to critically analyze the deeply complex and often contradictory ways in which the Zapatistas have reconceptualized the political and contested the ordering of Mexican society along lines of gender, race, ethnicity, and class.
Antitrust authorities must decide whether and how to consider the national identities of firms. Authorities may follow a neutral enforcement approach or focus on either foreign or domestic firms. We ...investigate these issues in the context of cartel enforcement against EU, US, and rest-of-the-world (ROW) firms by the European Union and the United States—the two jurisdictions with the longest and most robust enforcement histories. Our results suggest a mix of behaviors. The European Union is more likely to fine domestic and ROW firms than US firms, and the United States is no more likely to fine EU firms than domestic firms but disproportionately targets ROW firms. With respect to the size of fines, EU enforcement outcomes show no significant differences among categories of firms. The United States, however, levies significantly higher fines on foreign firms than domestic firms, whether from the European Union or the rest of the world.
Summary
What motivates donations to political parties? Two views prevail. Donors are perceived either as ideologically motivated consumers or as privilege‐seeking investors. To investigate ...differences in donor motivation between corporations and individuals, we analyze data from Germany. For the period from 1994 to 2014, we find that corporations act more like investors than individuals do. First, we test whether corporations or individuals are more inclined to give more to incumbent parties than to parties outside the governing coalition. Giving to incumbent parties whose representatives hold public offices may be more attractive for investing donors. Second, we test for differences between corporations and individuals in the relative increase in donations from non‐election years to election years. Investor donations may be more volatile than consumer donations. We find that only corporations donate more to incumbent parties and that corporations increase their party donations from non‐election years to election years more than individuals do. These differences in the behavior of corporate and individual donors provide some evidence for potentially undesirable exchanges between corporations as investors and parties. Further, the differences between individual and corporate donors tend to be more consistent for parties to the right on the political spectrum.
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