anthropologie_03/07/2009

3 juillet 2009

(source: Revues.org)

Diffusée sans discontinuité depuis 1951 par l’Université Libre de Bruxelles, Civilisations publie, en français et en anglais, des articles relevant des différents champs de l’anthropologie. Relancée depuis 2002 avec un nouveau comité éditorial et un nouveau sous-titre (Revue internationale d’anthropologie et de sciences humaines), la revue encourage désormais particulièrement la publication d’articles où les approches de l’anthropologie s’articulent à celles d’autres sciences sociales. Le site de la revue offre à lire huit numéros dont cinq en texte intégral. Les numéros plus anciens seront mis en ligne progressivement.
http://civilisations.revues.org


game-theory_03/07/2009

3 juillet 2009

Source : NEP (New Economics Papers) | RePEc

  1. Date: 2009-06-10
    By: Heller, Yuval
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:15646&r=gth
    We prove that every undiscounted multi-player stopping game in discrete time admits an approximate correlated equilibrium. Moreover, the equilibrium has five appealing properties: (1) “Trembling-hand” perfectness – players do not use non-credible threats; (2) Normal-form correlation – communication is required only before the game starts; (3) Uniformness – it is an approximate equilibrium in any long enough finite-horizon game and in any discounted game with high enough discount factor; (4) Universal correlation device -the device does not depend on the specific parameters of the game. (5) Canonical – the signal each player receives is equivalent to the strategy he plays in equilibrium.
    Keywords: stochastic games; stopping games; correlated equilibrium; perfect equilibrium; Ramsey Theorem.
    JEL: C73
  2. Date: 2009-01
    By: Joseph Abdou (Centre d’Economie de la Sorbonne – Paris School of Economics)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09041&r=gth
    We study the structure of unstable local effectivity functions defined for n players and p alternatives. A stability index based on the notion of cycle is introduced. In the particular case of simple games, the stability index is closely related to the Nakamura Number. In general it may be any integer between 2 and p. We prove that the stability index for maximal effectivity functions and for maximal local effectivity functions is either 2 or 3.
    Keywords: Stability index, acyclicity, strong Nash equilibrium, core, solvability, consistency, simple game, effectivity function.
    JEL: C70
  3. Date: 2009-05-31
    By: Srihari Govindan
    Robert Wilson
    URL: http://d.repec.org/n?u=RePEc:cla:levarc:814577000000000231&r=gth
  4. Date: 2009-05-26
    By: Jung, Hanjoon Michael
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:15443&r=gth
    We propose a complete version of the sequential equilibrium (CSE) and its alternative solution concept (WCSE) for general finite-period games with observed actions. The sequential equilibrium (SE) is not a complete solution concept in that it might not be a Nash equilibrium in the general games that allow a continuum of types and strategies. The CSE is always a Nash equilibrium and is equivalent to the SE in finite games. So, the CSE is a complete solution concept in the general games as a version of the SE. The WCSE is a weak, but simple version of the CSE. It is also a complete solution concept and functions as an alternative solution concept to the CSE. Their relation with converted versions of the perfect equilibrium and the perfect Bayesian equilibrium are discussed
    Keywords: Complete Belief; Complete Sequential Equilibirum; Finite-period game; Solution Concept; Sequential Convergency; Sequential Equilibrium.
    JEL: C72
  5. Date: 2009-05
    By: Bernard De Meyer (Centre d’Economie de la Sorbonne)
    Ehud Lehrer (School of Mathematical Sciences – Tel Aviv University)
    Dinah Rosenberg (LAGA Institut Galilée – Université Paris 13)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09035&r=gth
    In a Bayesian game some players might receive a noisy signal regarding the specific game actually being played before it starts. We study zero-sum games where each player receives a partial information about his own type and no information about that of the other player and analyze the impact the signals have on the payoffs. It turns out that the functions that evaluate the value of information share two property. The first is Blackwell monotonicity, which means that each player gains from knowing more. The second is concavity on the space of conditional probabilities.
    Keywords: Value of information, Blackwell monotonicity, concavity.
    JEL: C72
  6. Date: 2008-03-26
    By: De Marco, Giuseppe
    Romaniello, Maria
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:14725&r=gth
    In Hart and Kurz (1983), stability and formation of coalition structures has been investigated in a noncooperative framework in which the strategy of each player is the coalition he wishes to join. However, given a strategy profile, the coalition structure formed is not unequivocally determined. In order to solve this problem, they proposed two rules of coalition structure formation: the $\gamma$ and the $\delta$ models. \par In this paper we look at evolutionary games arising from the $\gamma$ model for situations in which each player can choose mixed strategies and has vague expectations about the formation rule of the coalitions in which is not involved; players determine at every instant their strategies and we study how, for every player, subjective beliefs on the set of coalition structures evolve coherently to the strategic choices. Coherency is regarded as a viability constraint for the differential inclusions des cribing the evolutionary game. Therefore, we investigate viability properties of the constraints and characterize velocities of pairs belief/strategies which guarantee that coherency of beliefs is always satisfied. Finally, among many coherent belief revisions (evolutions), we investigate those characterized by minimal change and provide existence results.
    Keywords: Coalition formation; coherent beliefs; differential inclusions; viability theory; minimal change belief revision
    JEL: D71
  7. Date: 2008-12-08
    By: Du, Songzi
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:12698&r=gth
    In this note we characterize the strategic implication of intrinsic correlation, introduced by Brandenburger and Friedenberg (2008), in the subjective correlated equilibrium setting of a complete information game. Intrinsic correlation restricts correlation devices to variables within the game, i.e. players’s beliefs (and higher order beliefs) about each other’s strategies, in contrast to signals or sunspots from the “outside.” The characterization is a strengthening of best-response set with an injectivity condition for a certain subset identified by an iterative procedure. We also give an iterative procedure, analogous to the iterated removals of dominated strategies, that arrives at strategies consistent with our characterization, which always exist.
    Keywords: game theory; correlated equilibrium; rationalizability; intrinsic correlation; higher order beliefs; redundant types; epistemics
    JEL: C70
  8. Date: 2009-01
    By: Victor C. Domansky (St. Petersburg Institute for Economics and Mathematics – Russian Academy of Sciences)
    Victoria L. Kreps (St. Petersburg Institute for Economics and Mathematics – Russian Academy of Sciences)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09040&r=gth
    This paper is concerned with multistage bidding models introduced by De Meyer and Moussa Saley (2002) to analyze the evolution of the price system at finance markets with asymmetric information. The zero-sum repeated games with incomplete information are considered modeling the bidding with countable sets of possible prices and admissible bids. It is shown that, if the liquidation price of a share has a finite variance, then the sequence of values of n-step games is bounded and converges to the value of the game with infinite number of steps. We construct explicitly the optimal strategies for this game. The optimal strategy of Player 1 (the insider) generates a symmetric random walk of posterior mathematical expectations of liquidation price with absorption. The expected duration of this random walk is equal to the initial variance of liquidation price. The guaranteed total gain of Player 1 (the value of the game) is equa l to this expected duration multiplied with the fixed gain per step.
    Keywords: Multistage bidding, asymmetric information, repeated games, optimal strategy.
    JEL: C73
  9. Date: 2007-12
    By: Angelo Antoci (Department of Economics, University of Sassari)
    Antonio Gay (University of Florence)
    Massimiliano Landi (School of Economics, Singapore Management University)
    Pier Luigi Sacco (IUAV, Venice)
    URL: http://d.repec.org/n?u=RePEc:siu:wpaper:25-2007&r=gth
    We consider a deterministic evolutionary model where players form expectations about future play. Players are not fully rational and have expectations that change over time in response to current payoffs and feedback from the past. We provide a complete characterization of the qualitative dynamics so induced for a two strategies population game,and relate our findings to standard evolutionary dynamics and equilibrium selection when agents have rational forward looking expectations
    Keywords: evolutionary games; dynamic systems; bounded rationality
    JEL: C73
  10. Date: 2009-05
    By: Joseph Abdou (Centre d’Economie de la Sorbonne – Paris School of Economics)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09042&r=gth
    A power system is modeled by an interaction form, the solution of which is called a settlement. By stability we mean the existence of some settlement for any preference profile. Like in other models of power structure, instability is equivalent to the existence of a cycle. Structural properties of the system like maximality, regularity, superadditivity and exactness are defined and used to determine the type of instability that may affect the system. A stability index is introduced. Loosely speaking this index measures the difficulty of the emergence of configurations that produce a deadlock. As applications we have a characterization of solvable game forms, an analysis of the structure of their instability and a localization of their stability index in case where solvability fails.
    Keywords: Interaction form, effectivity function, stability index, Nash equilibrium, strong equilibrium, solvability, acyclicity, Nakamura number, collusion.
    JEL: C70
  11. Date: 2009-06
    By: Michi Nishihara (Graduate School of Economics, Osaka University)
    URL: http://d.repec.org/n?u=RePEc:osk:wpaper:0916&r=gth
    This paper derives a preemptive equilibrium in strategic investment in alternative projects. The problem is formulated in a real options model with a multidimensional state variable that represents project-specific uncertainty. The proposed method enables us to evaluate the value of potential alternatives. The results not only extend previous studies with a one-dimensional state variable but also reveal new findings. Preemptive investment takes place earlier and the project value becomes lower if the numbers of both firms and projects increase by the same amount. Interestingly, a strong correlation among profits from projects, unlike in a monopoly, plays a positive role in moderating preemptive competition.
    Keywords: strategic real options, preemption, alternative projects, stopping game.
    JEL: C73
  12. Date: 2009-06-08
    By: Karl H. Schlag
    Andriy Zapechelnyuk
    URL: http://d.repec.org/n?u=RePEc:cla:levarc:814577000000000259&r=gth
  13. Date: 2009-06-08
    By: Dieter Balkenborg
    Josef Hofbauer
    Christoph Kuzmics
    URL: http://d.repec.org/n?u=RePEc:cla:levarc:814577000000000248&r=gth

économie_02/07/2009

2 juillet 2009

(Source: NBER, National Bureau of Economic Research: Working Papers)

1.  Buy Local?    The Geography of Successful and Unsuccessful Venture
Capital Expansion
by Henry Chen, Paul Gompers, Anna Kovner, Josh Lerner  -  #15102 (CF PR)

Abstract:

We document geographic concentration by both venture capital firms and venture capital-financed companies in three cities – San Francisco, Boston, and New York.  We find that firms open new satellite offices based on the success rate of venture capital-backed investments in an area.  Geography is also significantly related to outcomes.  Venture capital firms based in locales that are venture capital centers outperform, regardless of the stage of the investment.  Ironically, this outperformance arises from outsized performance outside of the venture capital firms’ office locations, including in peripheral locations.  If the goal of state and local policy makers is to encourage venture capital investment, outperformance of non-local investments suggests that policy makers might want to mitigate costs associated with established venture capitalists investing in their geographies rather than encouraging the establishment of new venture capital firms

http://papers.nber.org/papers/W15102

2.  The Complementarity between Cities and Skills by Edward L. Glaeser, Matthew G. Resseger  -  #15103 (PE)

Abstract:

There is a strong connection between per worker productivity and metropolitan area population, which is commonly interpreted as
evidence for the existence of agglomeration economies.    This
correlation is particularly strong in cities with higher levels of skill and virtually non-existent in less skilled metropolitan areas.
This fact is particularly compatible with the view that urban density is important because proximity spreads knowledge, which either makes
workers more skilled or entrepreneurs more productive.     Bigger
cities certainly attract more skilled workers, and there is some evidence suggesting that human capital accumulates more quickly in urban areas.

http://papers.nber.org/papers/W15103

3.  Yet Another Tale of Two Cities: Buenos Aires and Chicago by Filipe Campante, Edward L. Glaeser  -  #15104 (PE)

Abstract:

Buenos Aires and Chicago grew during the nineteenth century for remarkably similar reasons.  Both cities were conduits for moving meat and grain from fertile hinterlands to eastern markets.  However, despite their initial similarities, Chicago was vastly more prosperous for most of the 20th century.  Can the differences between the cities after 1930 be explained by differences in the cities before that date? We highlight four major differences between Buenos Aires and Chicago in 1914.  Chicago was slightly richer, and
significantly better educated.    Chicago was more industrially
developed, with about 2.25 times more capital per worker.  Finally, Chicago’s political situation was far more stable and it wasn’t a
political capital.   Human capital seems to explain the lion’s share
of the divergent path of the two cities and their countries, both because of its direct effect and because of the connection between
education and political instability.

http://papers.nber.org/papers/W15104

4.  The Long-Term Effects of Military Conscription on Mortality:
Estimates from the Vietnam-era Draft Lottery by Dalton Conley, Jennifer A. Heerwig  -  #15105 (HE)

Abstract:

Research on the effects of Vietnam military service suggests that Vietnam veterans experienced significantly higher mortality than both non-Vietnam veterans and the civilian population at large.  These results, however, may be biased by non-random selection into the military if unobserved background differences between veterans and non-veterans affect mortality directly.  The present study generates unbiased estimates of the causal impact of Vietnam era draft
eligibility on male mortality.    Using records from the Vietnam draft
lottery to assign decedents born 1950-1952 draft lottery numbers, the study estimates excess mortality among observed draft eligible male decedents as compared to the (1) expected proportion of draft eligible decedents given Vietnam draft eligibility cutoffs and (2) observed proportion of draft eligible female decedents.  The results demonstrate that there appears to be no effect of draft exposure on mortality (even cause-specific death rates).  When we examine population subgroups–including splits by race, educational attainment, nativity and marital status–we find weak evidence for an interaction between education and draft eligibility.  On the whole, these results suggest that previous research, which has shown that Vietnam-era veterans experienced significantly higher mortality than non-veterans, may be biased by non-random selection into the military and may thus overstate the need for compensatory government pensions.

http://papers.nber.org/papers/W15105

5.  The Effects of Consumer-Directed Health Plans on Health Care Spending by Anthony T. Lo Sasso, Lorens A. Helmchen, Robert Kaestner  -  #15106 (HE)

Abstract:

We use unique data from an insurer that exclusively offers high-deductible, “consumer-directed” health plans to identify the effect of plan features, notably the spending account, on health care spending.  Our results show that the marginal dollar in the spending
account is entirely spent on outpatient and pharmacy services.    In
contrast, inpatient and out-of-pocket spending were not responsive to the amount in the spending account.  Our results represent the first plausibly causal estimates of the components of consumer-driven health plans on health spending.  The magnitudes of the effects suggest important moral hazard consequences to higher spending account levels.

http://papers.nber.org/papers/W15106

6.  Estimating the Impact of Trade and Offshoring on American Workers Using the Current Population Surveys by Avraham Ebenstein, Ann Harrison, Margaret McMillan, Shannon Phillips  -  #15107 (EEE ITI)

Abstract:

In this paper, we link industry-level data on offshoring activities of U.S. multinational firms, import penetration, and export shares with individual level worker data from the Current Population Surveys.  We examine whether increasing globalization through offshoring or trade has led to reallocation of labor, both within and out of manufacturing, and measure its impact on the wages of domestic workers.  We also control for the “routineness” of individual occupations.  Our results suggest that (1) offshoring to high wage countries is positively correlated with U.S. manufacturing employment
(2) offshoring to low wage countries is associated with U.S.
employment declines (3) wages for workers who remain in manufacturing are generally positively affected by offshoring; in particular, we find that wages are positively associated with an increase in U.S.
multinational employment in high income locations (4) much of the negative effects of globalization operate through downward pressure on wages of workers who leave manufacturing to take jobs in agriculture or services and (5) the downward pressure on aggregate U.S. wages operating through import competition has been quite important for some occupations.  This effect has been overlooked because it operates across, not within, industries.

http://papers.nber.org/papers/W15107

7.  Default, Framing and Spillover Effects:  The Case of Lifecycle Funds in 401(k) Plans by Olivia S. Mitchell, Gary R. Mottola, Stephen P. Utkus, Takeshi Yamaguchi  -  #15108 (AG LS PE)

Abstract:

Important behavioral factors such as default and framing effects are increasingly being employed to optimize decision-making in a variety
of settings, including individually-directed retirement plans.    Yet
such approaches may have unintended “spillover” effects, as we show with regard to the introduction of lifecycle funds in U.S. 401(k)
plans.    As anticipated, lifecycle funds do reshape individual
portfolio choices through large default and framing effects.  But unexpectedly, they also create a new class of investors which holds these funds as part of more complex portfolios.  Our results are directly relevant to those interested in retirement plan design and retirement security; they also highlight the importance of assessing such spillover effects in other consequential settings where behavioral economics techniques may be employed.

http://papers.nber.org/papers/W15108

8.  Tax reform, delocation and heterogeneous firms by Richard Baldwin, Toshihiro Okubo  -  #15109 (ITI)

Abstract:

The standard international tax model is extended to allow for heterogeneous firms when agglomeration forces are important thus allowing us to study the relocation effects of taxes that vary according to firm size.  We show that allowing for heterogeneity permits a given tax scheme to have an endogenously different effect on the location decision of small and big firms, with the biggest firms being endogenously more likely to relocate in reaction to high
taxes.    We show that a reform which flattens the tax-firm-size
profile can raise tax revenue without inducing any relocation.

http://papers.nber.org/papers/W15109

9.  Risk Allocation, Debt Fueled Expansion and Financial Crisis by Paul Beaudry, Amartya Lahiri  -  #15110 (EFG)

Abstract:

In this paper we discuss how several macroeconomic features of the
2001-2009 period may have resulted from a process in which financial markets were trying to allocate risk between heterogeneous agents when productive investment opportunities are scarce.  We begin by showing how heterogeneity in terms of risk tolerance can cause financial markets to propagate transitory shocks and induce higher output volatility, albeit with a higher mean.  We then show how this simple heterogeneous agent framework can explain an expansion driven by the growth in consumer debt, and why the equilibrium path of such an economy is likely fragile.  In particular, we demonstrate that the emergence of a small amount of asymmetric information can make the economy susceptible to changes in expectations that can induce large reversals of financial flows, the freezing of assets and a recession that can persist despite high productivity.

http://papers.nber.org/papers/W15110

10.  Risk Sharing, Inequality and Fertility by Roozbeh Hosseini, Larry E. Jones, Ali Shourideh  -  #15111 (EFG PE)

Abstract:

We use an extended Barro-Becker model of endogenous fertility, in which parents are heterogeneous in their labor productivity, to study the efficient degree of consumption inequality in the long run.  In our environment a utilitarian planner allows for consumption
inequality even when labor productivity is public information.    We
show that adding private information does not alter this result.  We also show that the informationally constrained optimal insurance contract has a resetting property – whenever a family line experiences the highest shock, the continuation utility of each child is reset to a (high) level that is independent of history.  This implies that there is a non-trivial, stationary distribution over
continuation utilities and there is no mass at misery.    The novelty
of our approach is that the no-immiseration result is achieved without requiring that the objectives of the planner and the private agents disagree.  Because there is no discrepancy between planner and private agents’ objectives, the policy implications for implementation of the efficient allocation differ from previous
results in the literature.  Two examples of these are:    1) estate
taxes are positive and 2) there are positive taxes on family size.

http://papers.nber.org/papers/W15111


finance_02/07/2009

2 juillet 2009

Source : NEP (New Economics Papers) | RePEc

  1. Date: 2009-06
    By: Peter C.B. Phillips (Cowles Foundation, Yale University)
    Yangru Wu (Rutgers Business School – Newarks and New Brunswick, Rutgers University)
    Jun Yu (School of Economics, Singapore Management University)
    URL: http://d.repec.org/n?u=RePEc:cwl:cwldpp:1699&r=fmk
    A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to Nasdaq stock price index in the 1990s provides confirmation of explosiveness and date-stamps the origination of financial exuberance to mid -1995, prior to the famous remark in December 1996 by Alan Greenspan about irrational exuberance in financial markets, there by giving the remark empirical content.
    Keywords: Explosive root, Irrational exuberance, Mildly explosive process, Nasdaq bubble, Periodically collapsing bubble, Sup test, Unit root test
    JEL: G10
  2. Date: 2009-06
    By: Chirok Han (Dept. of Economics, Korea University)
    Jin Seo Cho (Dept. of Economics, Korea University)
    Peter C.B. Phillips (Cowles Foundation, Yale University)
    URL: http://d.repec.org/n?u=RePEc:cwl:cwldpp:1701&r=fmk
    Statistics are developed to test for the presence of an asymptotic discontinuity (or infinite density or peakedness) in a probability density at the median. The approach makes use of work by Knight (1998) on L_1 estimation asymptotics in conjunction with non-parametric kernel density estimation methods. The size and power of the tests are assessed, and conditions under which the tests have good performance are explored in simulations. The new methods are applied to stock returns of leading companies across major U.S. industry groups. The results confirm the presence of infinite density at the median as a new significant empirical evidence for stock return distributions.
    Keywords: Asymptotic leptokurtosis, Infinite density at the median, Least absolute deviations, Kernel density estimation, Stock returns, Stylized facts
    JEL: C12
  3. Date: 2009-06-01
    By: POPESCU, Ion (Universitatea Spiru Haret, Facultatea de Finante si Banci)
    STOICA, Victor (Universitatea Spiru Haret, Facultatea de Finante si Banci)
    MERUTA, Alexandrina (Universitatea Spiru Haret, Facultatea de Finante si Banci)
    URL: http://d.repec.org/n?u=RePEc:ris:sphedp:2009_012&r=fmk
    The aim is to try to solve the dilemma if could be predictable exchange crisis from 2007 in the conditions of market globalization, including stock exchange, under the risk of system. In such circumstances, the value judgments based on those three major developments (The Big Three) recorded in three representative locations: New York Stock Exchange (NYSE), London Stock Exchange (LSE) and Tokyo Stock Exchange (TSE). The analysis led to a technique conslusion, namely the level of support is a time of stability in the case of the fall, but this may be reduced through investor-buyers intervention, who estimated that the level of the lowest possible has been achieved: creating a sliding side of the course, forming the support level; ceiling being exceeded arose danger that the phenomenon of decline to continue. How the three stock exchanges: NYSE, LSE and TSE hold together more than 50% of total mondial capitalization was natu ral that the downfall stock exchange triggered in the United States to spread almost instantaneously throughout the world. An example is even the german index the Frankfurt DAX. Bucharest Stock Exchange has made no exceptional leadership leading the Romanian Banking Association (ARB) and National Bank of Romania (NBR) to discuss the technical level of a system with fluidity of internal markets, respectively those monetary and foreign exchange in times of turbulence.
    Keywords: trend; history of maximum (minimum); point of resistance; upward tunnel (downward); peak; DJIA; FTSE; Nikkei 225
    JEL: G15
  4. Date: 2009-05
    By: Kateryna Shapovalova (Centre d’Economie de la Sorbonne)
    Alexander Subbotin (Centre d’Economie de la Sorbonne et Higher School of Economics)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09037&r=fmk
    It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains the stock returns premium as a sum of three components due to different risk factors : the traditional CAPM market beta, and the betas to the returns on two portfolios, “Small Minus Big” (the differential in the stock returns for small and big companies) and “High Minus Low” (the differential in the stock returns for the companies with high and low book-to-price ratio). The authors argue that this model is sufficient to capture the impact on returns of companies’ accounting fundamentals, such as earnings-to-price, cash flow-to-pric e, past sales growth, long term and short-term past earnings. Using a panel of stock returns and accounting data from 1979 to 2008 for the companies listed on NYSE, we show that this is not the case, at least at individual stocks’ level. According to our findings, fundamental characteristics of companies’ performance are of higher importance to predict future expected returns than sensitivities to the Fama and French risk factors. We explain this finding within the rational pricing paradigm : contemporaneous accounting fundamentals may be better proxies for the future sensitivity to risk factors, than the historical covariance estimates.
    Keywords: Accounting fundamentals, equity performance, style analysis, value and growth, cost of capital.
    JEL: E44
  5. Date: 2008-03
    By: Anthony Tay (School of Economics, Singapore Management University)
    Jacques Olivier (HEC Paris and CEPR)
    URL: http://d.repec.org/n?u=RePEc:siu:wpaper:10-2008&r=fmk
    This paper re-examines the incentives of mutual fund managers arising from investor flows. We provide evidence that the convexity of the flow-performance relationship varies with economic activity. We show that the effect is economically large and is not driven by abnormal years. We test two possible channels through which this pattern may arise. We investigate implications of the time-varying convexity for the incentives of managers to alter strategically the risk of their portfolios. We provide evidence that poor mid-year performers increase the risk of the portfolio only when economic activity is strong. Finally, we briefly discuss some methodological implications.
    Keywords: Mutual funds, Incentives, Flow-Performance Relationship, Convexity, Business Cycles
    JEL: G11
  6. Date: 2009-05
    By: Benjamin Hamidi (Centre d’Economie de la Sorbonne et A.A.Advisors-QCG (ABN AMRO)Variances)
    Bertrand Maillet (Centre d’Economie de la Sorbonne, A.A.Advisors-QCG (ABN AMRO)Variances et IEF)
    Jean-Luc Prigent (THEMA – Université de Cergy)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09034&r=fmk
    Controlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987 ; Black and Perold, 1992) : the so-called “Constant Proportion Portfolio Insurance” (CPPI). However, financial results produced by this strategy crucially depend upon the leverage – called the multiple – likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order to remain the risk exposure constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones : the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditiona l strategies.
    Keywords: CPPI, portfolio insurance, VaR, CAViaR, quantile regression, dynamic quantile model.
    JEL: G11
  7. Date: 2009-05
    By: Fares Triki (Centre d’Economie de la Sorbonne – Paris School of Economics)
    URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:09039&r=fmk
    This paper investigates the relation between liquidity and asset prices. It shows that, when banks balance sheets are marked to market and banks are targeting a financial leverage level – a situation similar to current environment – formation of Leverage Bubble phenomenon and suggests a new regulation rule based on a Dynamic Leverage Ratio (DLR) rule.
    Keywords: Financial crises, rational bubbles, dynamic leverage ratio, mark to market accounting, asset pricing, macroprudential regulation, market liquidity.
    JEL: G14
  8. Date: 2009-05
    By: Francesco Audrino
    Kameliya Filipova
    URL: http://d.repec.org/n?u=RePEc:usg:dp2009:2009-10&r=fmk
    We propose an empirical approach to determine the various economic sources driving the US yield curve. We allow the conditional dynamics of the yield at different maturities to change in reaction to past information coming from several relevant predictor variables. We consider both endogenous, yield curve factors and exogenous, macroeconomic factors as predictors in our model, letting the data themselves choose the most important variables. We find clear, different economic patterns in the local dynamics and regime specification of the yields depending on the maturity. Moreover, we present strong empirical evidence for the accuracy of the model in fitting in-sample and predicting out-of-sample the yield curve in comparison to several alternative approaches.
    Keywords: Yield curve modeling and forecasting; Macroeconomic variables; Tree-structured models; Threshold regimes; GARCH; Bagging
    JEL: C22

[book reviews] business_01/07/2009

1 juillet 2009

(source: Library Journal, 15/06/2009)

Culwell, Lori. Million Dollar Website: Simple Steps To Help You Compete with the Big Boys—Even on a Small Business Budget. Berkley: Penguin Group (USA). 2009. c.240p. ISBN 978-0-7352-0441-6. pap. $19.95.
This do-it-yourself guide shares the web-design best practices of successful enterprises, especially Fortune 500 companies, and offers advice, tips, and free Internet tools for entrepreneurs to create or redesign their web sites. Culwell, an experienced web site consultant to major corporations, believes that the same “big picture” strategies that have proved fruitful for these larger concerns, such as branding, the targeting of specific audiences, and the identification of keywords, can lead to success for any business’s web site. Culwell also discusses content, aesthetics, and personalization features. Key factors are the effective uses of web site statistics and user feedback. In addition, the book discusses affiliate marketing, search engine optimization, and Web 2.0 applications as important methods to drive traffic. This easy-to-use book is recommended for small business owners as well as anyone else wanting to establish a productive and winning web presence.

Miller, Michael. Selling Online 2.0: Migrating from eBay to Amazon, craigslist, and Your Own E-Commerce Website. Que: Pearson. 2009. 360p. illus. index. ISBN 978-0-7897-3974-2. pap. $21.95.
This detailed guide offers sellers alternatives to eBay auctions, and, more importantly, strategies to assess which online retail web sites are the best for selling which products and services. Although the book does not address doing business using social networking web sites, such as Facebook or Second Life, the analytical techniques presented here will assist business professionals with making decisions about using all such Web 2.0 applications. Miller also discusses multichannel selling and preparing business plans. Because many more sales transactions are taking place online than ever before, his book is a recommended read for all retailers.

Shih, Clara. The Facebook Era: Tapping Online Social Networks To Build Better Products, Reach New Audiences, and Sell More Stuff. Prentice-Hall. 2009. 256p. illus. index. ISBN 978-0-13-715222-3. pap. $24.99.
Web 2.0, the next generation of the Internet that is characterized by social networking sites, has revolutionized the ways individuals communicate. It has also transformed the way business is conducted, especially by companies that have used social networks’ information about people and affiliations to form customer profiles and profitable customer relationships. Shih, a Web 2.0 business applications pioneer, shows readers how to use the power of social networks in business functions, such as sales, marketing, recruitment, and identification of opportunities. Companies’ future abilities to compete may be dependent upon the implementation of strategies in this book, which recommends it to all business professionals.

Snyder, Scott. The New World of Wireless: How To Compete in the 4G Revolution. Wharton. Sept. 2009. c.208p. illus. ISBN 978-0-13-700379-2. $34.99.
Modern business is being revolutionized by high-speed wireless technologies that are dramatically transforming the ways business is done. Snyder believes that “digital swarms”—self-organized, interconnected groups of individuals and wireless devices—are evolving in forward-thinking enterprises. Companies that welcome wireless capabilities and use these technologies in combination with others, including Web 2.0 applications, to rethink their organizational structures and gain competitive advantage will be best positioned to succeed now, and all the more so when the fourth generation (4g) of wireless technologies emerges. The book is enhanced by many case studies and “Key Insight” sidebars. Recommended for all business professionals.


[book reviews] sciences-sociales_01/07/2009

1 juillet 2009

(source: Library Journal, 15/06/2009)

Economics

Anderson, Chris. Free: The Future of a Radical Price. Hyperion. Jul. 2009. c.288p. illus. index. ISBN 978-1-4013-2290-8. $26.99. BUS
While the best things in life may be free, a business model based on giving stuff away seems a little crazy. But Anderson (editor in chief, Wired), who made a big splash with The Long Tail, tells us that this business model is already here. In The Long Tail, he showed how online businesses were making good by selling less of more, that is, by selling a huge range of niche or low-volume products that added up to big bucks. Here he demonstrates that the concept of making money by giving things away has already taken hold in the digital world. VERDICT With explanations of basic economic principles like supply and demand and an analysis of the differences between products in the physical world and those in the digital world, Anderson makes the Free premise sound quite reasonable. Lots of companies are making lots of money from “free.” Google and Yahoo, for instance, have some of the biggest computer server complexes in the world, yet they let us use their email, news, and search services every day. While this book may not be free, it will generate interest among both academic and general readers.—Carol J. Elsen, Univ. of Wisconsin, Whitewater

Leopold, Les. The Looting of America: How Wall Street’s Game of Fantasy Finance Destroyed Our Jobs, Pensions, and Prosperity—and What We Can Do About It. Chelsea Green. Jun. 2009. c.224p. index. ISBN 978-1-60358-205-6. pap. $14.95. BUS
Leopold (founding director, Labor Inst. & Public Health Inst.; The Man Who Hated Work and Loved Labor) spends much of this text providing an excellent “lemonade stand” explanation of the history and mechanics of the various mortgage-related securities and their derivatives that have come under scrutiny as a result of the current financial crisis. Many readers will find the simplicity of this exercise a welcome parry to the mass media refrain that only the most highly trained Wall Street professionals can comprehend these financial instruments. The Whitefish Bay, WI, school board’s foray into these unregulated markets supplies Leopold with a suitably disastrous example of how such securities and derivatives multiplied exponentially the losses resulting from the mortgage default surge that began in 2007. VERDICT Leopold uses the Whitefish Bay study to good effect. Although he doesn’t fulfill the promise of the subtitle in any special way, his clear and basic explanations will at least help readers understand the financial jargon bandied about so readily over the last couple of years.—Steve Wilson, Dayton Metro Lib., Dayton

Plotkin, Robert. The Genie in the Machine: How Computer-Automated Inventing Is Revolutionizing Law & Business. Stanford Law & Politics: Stanford Univ. 2009. c.288p. index. ISBN 978-0-8047-5699-0. $29.95. BUS
There is little argument that invention spurs innovation, competition, and economic growth. With technology today, however, inventors can simply input a problem (a “wish”) into a program and have the computer (a “genie”) generate, or “invent,” the ultimate solution. Who or what, then, is the true inventor of the final product? Plotkin, an intellectual property attorney, tackles this intriguing question by stating that patent law today does not lend itself to such broad interpretation. Further, the author convincingly illustrates an urgent need to reform current law so that it is neither too strong nor too weak in order to protect the future rights of inventors, businesses, and consumers. VERDICT Plotkin posits that “Computer Automated Inventing” or “Artificial Invention Technology” does not replace the human mind; rather, it augments and partners with its human counterpart to build a better mousetrap, whatever that might be. From toothbrushes to auto assembly, the author uses easy-to-understand analogies that most lay readers will understand. Recommended for committed readers in business, computer science, or law.—Judy Brink-Drescher, Dowling Coll., Oakdale, NY

Shell, Ellen Ruppel. Cheap: The High Cost of Discount Culture. Penguin Pr: Penguin Group (USA). Jul. 2009. c.320p. bibliog. index. ISBN 978-1-59420-215-5. $25.95. BUS
Just in time for the current economic recession, Shell (The Hungry Gene: The Insider Story of the Obesity Industry) investigates America’s fixation with discount retail prices. Historically, consumers have believed that “buying cheap” was “buying smart,” but Shell assembles convincing evidence that our appetite for cheap products has led to an explosion of “shoddy clothes, unreliable electronics, wobbly furniture and questionable food.” She points out that the rise of the Industrial Revolution in this country saw the simultaneous rise of mass production, which fostered the aims of early retail pioneers such as John Wanamaker and F.W. Woolworth. Now, with its cheap labor force producing cheap goods for the American market, China is largely responsible for much of the discount boom prevalent today. Ironically, Americans have significantly curtailed their buying, thus impacting retailers and in turn causing enormous problems for the Chinese economy. Shell rightly concludes that “technology, globalization and deregulation have made competition a death march,” forcing companies to eliminate jobs, lower quality standards, and depress wages, all with the purpose of creating cheaper goods, resulting in a kind of unending vicious cycle. VERDICT This highly intelligent and disturbing book provides invaluable insight into our consumer culture and should be mandatory reading for anyone trying to figure out our current financial mess. As Shell proves, the hunt for cheap products has hurt us all. Highly recommended for smart readers. —Richard Drezen, formerly with the Washington Post/New York City Bureau

Yellin, Emily. Your Call Is (Not That) Important to Us: Customer Service and What It Reveals About the World and Our Lives. Free Pr: S. & S. 2009. c.320p. ISBN 978-1-4165-4689-4. $26. BUS
Telephone customer service has been with us nearly as long as the telephone, and complaints about telephone customer service have been around for just about as long. From wry poems about the “hello girls” who used to connect each and every call at the turn of the 20th century to the consumer activist blogs of today, Yellin documents the history of disconnect between customers and telephone agents. Almost everyone who has picked up a phone can empathize with such tales of woe as when Vincent Ferrari made national headlines after recording an AOL representative’s seemingly pathological refusal to let Ferrari cancel his Internet service. But Yellin also introduces us to the agents themselves—Mormon housewives and Argentinean college students who absorb eight to ten hours of verbal abuse a day trapped between irate customers and often indifferent companies. We also meet virtual agents like Amtrak’s “Julie” and learn why they will probably be the future of customer service and how they can’t possibly replace real, even if sometimes only human, people. VERDICT This fascinating history of humanity and technology meeting head-on will be of interest to a wide variety of readers and is highly recommended.—Robert Perret, Univ. of Idaho, Moscow

Political Science

Brookhiser, Richard. Right Time, Right Place: Coming of Age with William F. Buckley Jr. and the Conservative Movement. Basic Bks: Perseus. Jun. 2009. c.272p. ISBN 978-0-465-01355-5. $27.50.
Meehan III, William F. Conversations with William F. Buckley, Jr. Univ. Pr. of Mississippi. Jun. 2009. c.204p. index. ISBN 978-1-60473-224-5. pap. $22. POL SCI
William F. Buckley’s 2008 death will surely lead to an extension of the already considerable Buckley bookshelf, which he himself populated during a career spanning six decades, years when he began the National Review, produced television’s Firing Line, and godfathered the conservative movement that came to dominate American politics. These two books are among the first to join Buckley’s own on that shelf. Buckley bibliographer Meehan has gathered 15 interviews from 1970 to 2005 for Mississippi’s long-running “Literary Conversations” series. Readers who agreed with Buckley’s politics and enjoyed his wit will savor the collection of conversations. Those who disagreed, and dismissed Buckley, may be surprised at how well they like him here and surprised again at some of his opinions, which address topics ranging widely from politics to writing to sailing to music to any number of other areas. Among his opinions, stated in a 1970 interview: “It is still hard as hell to find a young conservative with writing talent.” The prior year he’d found Brookhiser, who had submitted an article to National Review, which Buckley published as a cover story in 1970 when Brookhiser had just turned 15 years old. Brookhiser, known for a series of popular biographies that began with Founding Father: Rediscovering George Washington, joined the National Review staff in 1977 and at one point was Buckley’s heir apparent; he is still a senior editor at the magazine. His is an engaging memoir of the conservative movement, of one of its engines (the National Review), and of Brookhiser’s somewhat oedipal relationship with Buckley. VERDICT Meehan’s book is a highly recommended introduction to a wide-ranging man, while Brookhiser’s work is recommended for any reader trying to get a better understanding of the conservative movement in late 20th-century America. Recommended for all interested readers.—Bob Nardini, Nashville, TN

Mattson, Kevin. “What the Heck Are You Up To, Mr. President?”: Jimmy Carter, America’s “Malaise,” and the Speech That Should Have Changed the Country. Bloomsbury, dist. by Macmillan. Jul. 2009. c.272p. bibliog. index. ISBN 978-1-59691-521-3. $25. POL SCI
Mattson (contemporary history, Ohio Univ.; Rebels All!) revisits the 1970s, the Carter presidency, and the major television address that has come to symbolize Carter’s term in office—the “malaise” speech of July 15, 1979. In terms of content and delivery, it was an effective performance. The author reminds us that Carter never uttered the word malaise in his address and that his popularity actually rose after delivering it. Moreover, Mattson argues that the content of the speech still resonates with ongoing concerns over consumer wants, the nation’s dependence on oil, and a loss of trust in government. Unfortunately, after delivering this key speech, Carter undermined it by an unexpected mass purge of his cabinet. Carter’s image became that of the amateur blunderer, allowing Ronald Reagan, a smiling and friendly grandfather on a horse, to ride into Washington to lead the nation. VERDICT With background to the speech that is itself fascinating to read, this book becomes a page-turner for those interested in the decadent disco decade, Jimmy Carter himself, and the modern presidency.—William D. Pederson, Louisiana State Univ., Shreveport

Noveck, Beth Simone. Wiki Government: How Technology Can Make Government Better, Democracy Stronger, and Citizens More Powerful. Brookings Inst. 2009. c.200p. illus. index. ISBN 978-0-8157-0275-7. $28.95. POL SCI
Noveck (director, Inst. for Information Law & Policy; New York Law Sch.) reports on the unexpected success of a pilot initiative to develop a type of Web 2.0 collaborative model for the patent review process, easing the monumental work of patent examiners with the peer-to-patent initiative. Noveck initially proposed this peer-to-patent initiative in a blog post and subsequently refined it into a platform for e-government with authentic citizen participation. Here she presents what she considers the best practices for online community experts contributing to the evaluation of patent claims, together with examples that show the importance of interfaces that foster group work. She also points to probable governmental applications, like substantive commenting on regulatory issues for the environment or education. VERDICT Noveck’s approach to e-governance is to study where citizen online collaboration can have an impact, and she shows that one can design for participatory democracy with compelling results. Buyer beware if you are looking for a Wiki how to—this is not the essence of Noveck’s book. Well reasoned but clearly for informed readers only.—Jim Hahn, Univ. of Illinois Lib., Urbana

Social Sciences

My Diva: 65 Gay Men on the Women Who Inspire Them. Terrace: Univ. of Wisconsin. 2009. c.320p. ed. by Michael Montlack. ISBN 978-0-299-23120-0. $24.95. SOC SCI
A diva. Every good gay man has one, it seems, and, to paraphrase the editor, it’s amazing that no one thought of this before. Montlack (English, Berkeley Coll.) has assembled essays, chiefly by up-and-coming writers, that explore the symbiotic relationship between the gay male and the diva—those beloved, larger-than-life ladies who have served as role models, muses, and even therapists. Sounds like a hoot, but this is more than a camp fest. The essays, mostly three to five pages, are touching and thoughtful as well as funny, as they lovingly detail what each author’s personal diva has meant to him. Show business and popular culture icons abound, with most of the usual suspects present (Liza, Marlene, Cher, both Bettes, and Joan), as well as choices from history and politics (Elizabeth I, Eva Perón), the culinary arts (Julia Child, Jennifer Patterson), and even fictitious figures (Auntie Mame, Princess Leia, Endora). VERDICT This is one of those delightful books you can open at random and be amused, enlightened, or moved by. The concept seems too rich to be confined to one volume; don’t be surprised if a sequel appears in a year or two. Highly recommended for all LGBT readers.—Richard J. Violette Special Libs. Cataloguing, Inc. & Greater Victoria P.L., Victoria, B.C.