design and analysis of simulated consumer choice or allocation experiments an approach based on aggregate data the authors integrate concepts in conjoint analysis and discrete choice theory in econometrics to develop a new approach to the design and analysis of controlled consumer choice or resource allocat

forecasting model of rss3 price in futures market 3 abstract the agricultural futures market affects the rubber price in thailand rubber processors use the agricultural futures market to avoid risks associated with fluctuations in rubber price investors make profits from the difference between the current price and the future price this paper presents the forecasting models for futures price of the natural rubber ribbed smoked sheets no 3 rss3 the results from the most efficient model can inform the decision of investors on buying and selling at the proper time the study employs the least mean squared error as a criterion for the selection of the best prediction model it includes an analysis of factors affecting the rss3 futures prices in thailand s futures market the results show that the previous monthly futures prices and oil prices significantly affected the futures prices in the same direction the net import of natural rubber by japan was the leading indicator for the trend in rubber futures prices in thailand the analytical model was shown to be applicable and would facilitate related studies in forecasting the futures prices of other commodities time series data was found to be suitable for the forecasting model keywords futures price forecasting agricultural futures market

the relative importance of social and institutional conditions in the planning of wind power projects abstract governments around the world try to stimulate the development and use of renewable energy technologies like wind energy while wind turbines are increasingly being implemented however a lack of social acceptance at the local level remains an important challenge for developers of wind power plants this article aims to explore the relative importance of social and institutional conditions and their interdependencies in the operational process of planning wind power schemes the article not only focuses on how negative local social conditions can frustrate public policy cf nimby syndrome but also on how positive local social conditions can compensate for a negative public policy framework we analyzed the cases of implementing wind power of two actors the regional energy distributor and small private investors in the municipality of zeewolde the netherlands both cases illustrate that the formal institutional framework formal rules procedures and instruments is neutral in a certain sense social conditions management styles interests and informal contacts put meaning in this framework the way stakeholders deal with the prevailing institutional structure clarifies social acceptance and therewith implementation

language and the earnings of immigrants several studies most of them employing straightforward regression analysis have concluded that immigrants proficiency in the language of their adopted country is correlated with their productivity as measured by earnings two weaknesses of these studies are potential unobserved heterogeneity which could result in over estimated effects if overall ability is linked with language acquisition and potential measurement error in the language proficiency measures which would probably result in under estimation of language effects the present study which uses panel data for a 10 year period in germany yields evidence that the latter bias tends to be much larger than the former implying that language proficiency is far more important than suggested by the existing literature

forecast accuracy of individual analysts in nine industries the purpose of this paper is to investigate whether financial analysts with superior earnings forecasting ability can be distinguished on the basis of ex post forecast accuracy i explore the question by estimating and comparing average accuracy across individuals and by considering whether the observed distribution of analyst forecast accuracies differs from the distribution expected if their relative performances each year were purely random overall i do not find systematic differences in forecast accuracy across individuals financial press coverage suggests there are superior financial analysts for example institutional investor s annual all american research team includes analysts rated by money managers as superior on a variety of criteria including earnings forecasting ability to pick stocks and the quality of written reports clearly financial analyst services other than forecast accuracy are valued by their clients i focus on only one activity earnings forecasting for two reasons first forecast data are available quantitative and can be evaluated against observable earnings outcomes services such as insightful well written research reports are harder to evaluate quantitatively second academic use of analyst forecasts as earnings expectations data in capital markets empir

composite forecasting approach application for next day electricity price forecasting abstract accurate forecasting of electricity prices can provide significant benefits to energy suppliers when allocating their assets and to energy consumers for defining an optimal portfolio there are numerous methods that efficiently support the forecasting of time series such as electricity prices which have high volatility however the performance of these approaches varies depending on data sets and operational conditions in this work the concept of composite forecasting is presented and implemented in a retrospective study in real industrial forecasting conditions to show the potential of forecast performance improvement and comparable high consistency of a forecast performance across different day peak and day base electricity price data sets for different seasons as individual methods support vector regression artificial neural networks and ridge regression are implemented the forecast performances of these methods are evaluated and compared with their forecast combination using different error measures the results show that composite forecasting processes with inverse root mean squared error combination approach can generate on average a more accurate and robust forecast than using an individual methods or other combination schemas

integration of discrepant sales forecasts the influence of plausibility inferences based on an evoked range abstract the authors hypothesize that when managers integrate two projections to form a sales estimate they evoke and use a sales range to judge inappropriately the plausibility of each projection this judged plausibility as well as the margin of error based on the market research company s typical accuracy is used to assign weights to each projection five experiments find strong evidence for this process and demonstrate a resulting bias

stakeholder interviews with two mavt preference elicitation philosophies in a swiss water infrastructure decision aggregation using swing weighting and disaggregation using uta gms abstract we used two types of preference elicitation methods based on multi attribute value theory mavt for a wastewater infrastructure decision in switzerland we aimed to register the implementation impacts of two preference elicitation philosophies aggregation disaggregation in a large real world case and give guidance on these elicitation approaches for practitioners we conducted two series of face to face interviews with the same ten the first interview set used direct aggregation preference elicitation methods which decomposed an additive value model into the elicitation of weights smart swing variant and marginal value functions bi section method in the second interview series indirect disaggregation was used based on uta gms the weights and marginal value functions for 19 objectives were later simultaneously inferred with linear programming from pairwise comparisons of hypothetical alternatives one aim was to design the uta gms comparisons for many objectives further we aimed to identify differences and commonalities of the two methods concerning the elicited preferences the mavt evaluation results of six real world wastewater infrastructure alternatives and the stakeholders and analysts feedbacks similar best alternatives indicate convergence of the two elicitation methods this demonstrates the applicability of the uta gms elicitation procedure to a very complex decision problem however the two elicitation methods were perceived differently by the respondents and required different effort from the analysts for individual stakeholders preferences were sometimes rather different between the interviews which could be largely explained by the constructive nature of preference formation this indicates the importance of supporting stakeholder learning in the application of mcda

combining day ahead forecasts for british electricity prices abstract this paper considers how well the approach of combining forecasts extends to the context of electricity prices with the increasing popularity of regime switching and time varying parameter models for predicting power prices the multi model and evolutionary considerations that usually support the combining of simpler time series methods may be less applicable when the individual models incorporate these features we address this question with a backtesting analysis on british day ahead prices furthermore given the volatility of power prices and concerns about accurate forecasting under extreme price excursions we evaluate the results using various error metrics including expected shortfall the comparisons are furthermore carefully simulated to consider model selection uncertainty in order to realistically test the value of combining as an ex ante policy overall our results support combining for both accurate operational planning and risk management

the economics of small business finance the roles of private equity and debt markets in the financial growth cycle abstract this article examines the economics of financing small business in private equity and debt markets firms are viewed through a financial growth cycle paradigm in which different capital structures are optimal at different points in the cycle we show the sources of small business finance and how capital structure varies with firm size and age the interconnectedness of small firm finance is discussed along with the impact of the macroeconomic environment we also analyze a number of research and policy issues review the literature and suggest topics for future research

fundamental analysis future earnings and stock prices in this paper we investigate how detailed financial statement data fundamental signals enter the decisions of market participants by examining whether current changes in the signals are informative about subsequent earnings changes our approach is consistent with the view expressed by penman 1992 and others that predicting accounting earnings as opposed to explaining security returns should be the central task of fundamental analysis studying the links between fundamental signals and future earnings changes allows us to test directly the validity of the economic intuition that underlies the original construction of the signals an alternative and less direct approach followed by lev and thiagarajan 1993 henceforth lt is based on an examination of the relations between the fundamental signals and contemporaneous returns

nowcasting the real time informational content of macroeconomic data abstract a formal method is developed for evaluating the marginal impact that intra monthly data releases have on current quarter forecasts nowcasts of real gross domestic product gdp growth the method can track the real time flow of the type of information monitored by central banks because it can handle large data sets with staggered data release dates each time new data are released the nowcasts are updated on the basis of progressively larger data sets that reflecting the unsynchronized data release dates have a jagged edge across the most recent months

measuring the information content of the beige book a mixed data sampling approach studies of the predictive ability of the federal reserve s beige book for aggregate output and employment have proven inconclusive this might be attributed in part to its irregular release schedule we use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the beige book we find that the beige book s national summary and district reports predict gdp and aggregate employment and that most district reports provide information content for regional employment in addition there appears to be an asymmetry in the predictive content of the beige book language

which dreams come true endogeneity industry structure and forecasting accuracy forecasts are plentiful accurate long range forecasts are rare but some forecasts are more accurate than others are and a few are very accurate in this paper we first explore the case of moore s law a forecast that has proven quite accurate for almost 40 years we illustrate how expectations that moore s law will continue to be accurate actually make it accurate based on the insights of this case we hypothesize that two factors facilitate such self fulfilling forecasts and so make accuracy more possible we test these hypotheses on a set of 3142 forecasts about us manufacturing industries during the 1970s we find that high industry concentration and high control over the predicted variable tend to increase the accuracy of forecasts copyright 2003 oxford university press

the effectiveness of alternative preference elicitation procedures in predicting choice in a large scale national study the authors evaluated the effectiveness of several preference elicitation techniques for predicting choices the criteria for accuracy included both individual hit

analyzing the analysts career concerns and biased earnings forecasts this paper examines the career concerns of security analysts we relate long histories of their earnings forecasts to job separations we find that relatively accurate past forecasts lead to favorable career outcomes such as remaining at or moving up to a high status large prestigious brokerage house controlling for accuracy optimistic forecasts relative to the consensus increase the chances of favorable job separations job separations depend much less on accuracy for analysts who cover stocks that are underwritten by their brokerage houses such analysts are also much more likely to be rewarded for optimistic forecasts than other analysts furthermore job separations were much less sensitive to accuracy and somewhat more sensitive to optimism during the stock market mania of the late 1990s these findings suggest that the well documented analyst forecast optimism bias is likely due to incentives to promote stocks

when more is less and less is more the role of ideal point availability and assortment in consumer choice contrary to the common wisdom that more choice is always better selections made from large assortments can lead to weaker preferences building on the extant literature this research identifies ideal point availability as a key factor moderating the impact of assortment on choice it is proposed that in the case of large assortments ideal point availability can simplify choice leading to a stronger preference for the selected alternative in contrast for choices made from smaller assortments ideal point availability is proposed to have the opposite effect leading to weaker preferences data obtained from four experiments lend support for the theory and the empirical predictions advanced in this article

tying the manager s hands constraining opportunistic managerial intervention we discuss and examine empirically a firm level equivalent of the ancient problem of tying the king s hands namely how to avoid managerial intervention that is undertaken to reap private benefits but is harmful to overall value creation that is managerial opportunism the link from managerial intervention to firm level value creation is moderated by employee motivation thus intervention in the form of managers overruling employees or reneging on delegation may demotivate employees particularly when the intervention is perceived as being unfair undertaken for personal gain etc we argue that a number of mechanisms such as managers staking their personal reputation employees controlling important assets strong trade unions etc may function as constraints on managerial proclivities to intervene thus reducing the problem of managerial opportunism we derive four hypotheses from these ideas and test them using path analysis on a rich dataset based on 329 firms in the spanish food and electric electronic industries

combining economic forecasts a method for combining forecasts may or may not account for dependence and differing precision among forecasts in this article we test a variety of such methods in the context of combining forecasts of gnp from four major econometric models the methods include one in which forecasting errors are jointly normally distributed and several variants of this model as well as some simpler procedures and a bayesian approach with a prior distribution based on exchangeability of forecasters the results indicate that a simple average the normal model with an independence assumption and the bayesian model perform better than the other approaches that are studied here

forecaster diversity and the benefits of combining forecasts the expected error variance of a combined forecast is necessarily lower than that of an individual forecast but in practice there may be considerable variation around these expected values this paper introduces a measure of the benefit from combining the probability of a reduction in error variance which recognizes this problem the measure is applied to data on the forecasts and forecasting methods of a panel of u s economists to determine how the benefits of combining vary with the number of forecasts combined and with the diversity in theories and techniques among the component forecasts

the impact of utility balance and endogeneity in conjoint analysis adaptive metric utility balance is at the heart of one of the most widely used and studied methods for conjoint analysis we use formal models simulations and empirical data to suggest that adaptive metric utility balance leads to partworth estimates that are relatively biased smaller partworths are upwardly biased relative to larger partworths such relative biases could lead to erroneous managerial decisions metric utility balanced questions are also more likely to be inefficient and in one empirical example contrary to popular wisdom lead to response errors that are at least as large as nonadaptive orthogonal questions we demonstrate that this bias is because of endogeneity caused by a winner s curse shrinkage estimates do not mitigate these biases combined with adaptive metric utility balance shrinkage estimates of heterogeneous partworths are biased downward relative to homogeneous partworths although biases can affect managerial decisions our data suggest that empirically biases and inefficiencies are of the order of response errors we examine viable alternatives to metric utility balance that researchers can use without biases or inefficiencies to retain the desired properties of 1 individual level adaptation and 2 challenging questions

costly external finance corporate investment and the subprime mortgage credit crisis abstract we study the effect of the recent financial crisis on corporate investment the crisis represents an unexplored negative shock to the supply of external finance for non financial firms corporate investment declines significantly following the onset of the crisis controlling for firm fixed effects and time varying measures of investment opportunities consistent with a causal effect of a supply shock the decline is greatest for firms that have low cash reserves or high net short term debt are financially constrained or operate in industries dependent on external finance to address endogeneity concerns we measure firms financial positions as much as four years prior to the crisis and confirm that similar results do not follow placebo crises in the summers of 2003 2006 nor do similar results follow the negative demand shock caused by september 11 2001 the effects weaken considerably beginning in the third quarter of 2008 when the demand side effects of the crisis became apparent additional analysis suggests an important precautionary savings motive for seemingly excess cash that is generally overlooked in the literature

organizing technological interdependencies a coordination perspective on the firm this paper develops a coordination perspective on the firm the basic idea is to combine insights into the division of labor with insights into the allocation of property rights thus a basic argument is that use rights over productive assets are necessary in order to accumulate the experience needed to perform improvements in production an increase in the division of labor in production accelerates the accumulation of skills from learning by doing in production however an increasing division of labor introduces greater complexity and new kinds of tools and equipment and this in turn can create uncertainty about the best way of coordinating the specialized and interdependent tasks the result may be bottlenecks in production and uneven development of components experimenting with the coordination of tasks is necessary in order to eliminate these problems however such experimentation is best facilitated by a certain structure of property rights coordination by direction provides a cheap way of conducting the experiments needed to collect information on how best to coordinate interdependent activities copyright 2001 by oxford university press

fundamental information analysis fundamental analysis is aimed at determining the value of corporate securities by a careful examination of key value drivers such as earnings risk growth and competitive position in the context of such analysis we identify below a set of financial variables fundamentals claimed by analysts to be useful in security valuation and examine these claims by estimating the incremental value relevance of these variables over earnings our findings support the incremental value relevance of most of the identified fundamentals in fact for the 1980s the fundamentals add approximately 70 on average to the explanatory power of earnings with respect to excess returns we also show that the returns fundamentals relation is considerably strengthened when it is conditioned on macroeconomic variables thereby demonstrating the importance of a contextual capital market analysis for example several fundamentals that appear only weakly value relevant or even irrelevant in the unconditional analysis exhibit strong association with returns under specific economic conditions e g the accounts receivable and the provision for doubtful receivables signals during high inflation from a general examination of the role of fundamentals in security valuation we turn to the related issues of earnings persistence growth and the earnings response coefficient we hypothesize that the funda

subsidiary expansion contraction during times of economic crisis this paper compares two real options within country growth and across country operational flexibility to examine subsidiary expansion contraction during times of economic crisis specifically we examine how the real options orientations of individual subsidiaries interact with the general characteristics of multinational enterprise networks our main findings are that a economic crises can be detrimental for subsidiaries with stronger within country orientations and advantageous for those with stronger across country orientations and b network characteristics are not the sole determinants of subsidiary expansion contraction what really matters is how the real options orientations of individual subsidiaries mesh with the overall characteristics of the network they belong to

marketing information a competitive analysis selling information that is later used in decision making constitutes an increasingly important business in modern economies jensen jensen fred o 1991 information services congram friedman eds the ama handbook of marketing for the service industries chapter 22 ama com new york 423 443 information is sold under a large variety of forms industry reports consulting services database access and or professional opinions given by medical engineering accounting financial and legal professionals among others this paper is the first attempt in marketing to study competition in the rapidly emerging information sector specifically we are interested in answering the following questions 1 is competition fundamentally different when competing firms sell information rather than traditional goods and services and if yes why 2 what are the implications of such differences for decision makers marketers and regulators 3 can we explain some of the observed marketing strategies in the information industry as such the audience of the paper includes academics as well as professionals who are interested in understanding what is specific about competition in information markets familiarity with the practical implications of such differences and understanding of the mechanisms that drive them is essential for those who are faced with the problem of marketing information to answer the above research questions we build a simple game theoretic model that consists of two firms selling information to a population of consumers who are heterogeneous in their willingness to pay for the quality of information the most important features of the model are the following information products sold by the two firms are modeled as random draws from two normal distributions having equal mean the variances of these distributions and their correlatedness constitute the product attribute space which is assumed to be common knowledge consumers are interested in assessing the mean of the distributions and to do so they can buy the sample from any of the firms or they can buy both samples and combine them to obtain a more accurate estimate quality of information is linked to the accuracy of consumers estimate of the mean which in turn is influenced by the accuracy of each sample as well as by their correlatedness consumers utility depends on the quality of information they purchased on their inherent utility for quality taste and on the total price they paid to acquire information knowing consumer preferences firms simultaneously price their information products the main finding of the paper is that information markets face unique competitive structures in particular the qualitative nature of competition changes depending on basic product characteristics while traditional products and services compete either as substitutes or as complements in the relevant product attribute space information may be one or the other depending on its position within the same product attribute space said differently the nature of competition changes qualitatively with a continuous change in basic product attribute levels the intuition behind this finding is the following when purchasing information consumers facing important decisions may find it beneficial to purchase from several information sellers this is more likely to happen when the reliability of information is low and the sources of information are independent under such conditions information products tend to be complements and as a result competition between sellers is relatively mild in the opposite case when information is reliable and or sellers sources are highly correlated consumers are satisfied after consulting a single source in this case information products are substitutes and sellers tend to undercut one another s prices to induce consumers to choose their brand understanding this discontinuity in competitive structures has important implications for decision makers as very different strategies are optimal under different product characteristics under substitution traditional strategies to avoid competition e g differentiation are recommended when the competing products reliability is generally low they are complements firms are better off accommodating competition in fact we find that a firm may benefit from inviting a competitor finally our findings are also important for regulators of information markets as the literature on complementarity suggests price fixing agreements between firms offering complementary products may benefit firms as well as consumers

optimal aggregation of money supply forecasts accuracy profitability and market efficiency we present a general procedure for aggregating expert forecasts which exploits regularities in the structure of information within the forecaster population specific information structures lead to aggregation methods which adjust for additive bias differences in individual accuracy and correlation among forecasts as an application we construct composite predictions of the weekly change in the money supply from forecasts made by twenty major securities dealers for which high positive correlation is found to be a significant characteristic due to instability in the information structure our methods cannot improve on the accuracy of a simple average in this case however they do capture information about the correlation among money supply forecasts which is not fully impounded in short term interest rates forecasts from our models accurately predict the direction of price changes for treasury bills and treasury bill futures after a money supply announcement the adjustment of prices to information in financial markets has been studied at length mostly from the perspective of the efficient markets hypothesis market efficiency tests typically look at the behavior of prices the end product

forecasting with temporal hierarchies this paper introduces the concept of temporal hierarchies for time series forecasting a temporal hierarchy can be constructed for any time series by means of non overlapping temporal aggregation predictions constructed at all aggregation levels are combined with the proposed framework to result in temporally reconciled accurate and robust forecasts the implied combination mitigates modelling uncertainty while the reconciled nature of the forecasts results in a unified prediction that supports aligned decisions at different planning horizons from short term operational up to long term strategic planning the proposed methodology is independent of forecasting models it can embed high level managerial forecasts that incorporate complex and unstructured information with lower level statistical forecasts our results show that forecasting with temporal hierarchies increases accuracy over conventional forecasting particularly under increased modelling uncertainty we discuss organisational implications of the temporally reconciled forecasts using a case study of accident emergency departments

immigrant language fluency in the low skilled labor market using longitudinal linked employer employee data the author investigates the returns to being a native speaker for immigrant men in the low skilled labor market she compares the two main recent immigrant groups in portugal brazilians who are portuguese native speakers and eastern europeans who are not findings show that both wage level and wage growth of the two groups are similar to better understand this surprising result the author studies two mechanisms through which language fluency may lead to higher wages sorting across occupations and across firms brazilians do sort into occupations that require greater language skills however this does not translate into a wage premium considerable workplace segregation occurs in portugal but brazilians are not less segregated from natives than are eastern europeans evidence in this article suggests that language skills are not a major driver of economic assimilation in the low skilled labor market

loss function assumptions in rational expectations tests on financial analysts earnings forecasts abstract prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts the ordinary least squares ols regression based tests used in prior studies assume implicitly that analysts face a quadratic loss function in contrast we argue that analysts likely face a linear loss function and hence try to minimize their absolute forecast errors we conduct and compare rational expectations tests using these two alternative loss functions we reproduce most prior findings of forecast inefficiency with ols regressions but find virtually no evidence of forecast inefficiency with least absolute deviation regressions where we explicitly assume a linear loss function

the performance of immigrants in the canadian labor market in this article we examine the economic assimilation of immigrants to canada we provide new evidence on immigrants who arrived in the 1970s and document an increase in the dispersion of labor market outcomes across immigrants of different vintages over time our results confirm u s evidence of permanent differences across immigrant cohorts what distinguishes the canadian experience is small or negative rates of assimilation for most cohorts over the sample period finally we test the overidentification of the assimilation process specified in previous studies and fail to reject the usual cohort fixed effect specification

aggregating subjective forecasts some empirical results the impact on forecast accuracy of aggregating the subjective forecasts of up to 13 individuals was examined for five forecast weighting methods equal weighting two ex post methods that took advantage of prior information about the individuals relative accuracy and two ex ante methods based on objective and subjective assessments of relative accuracy the individuals were executives managers and sales personnel employed by time inc and the variable forecasted was the number of advertising pages sold annually by time magazine over a 14 year period the results show that both the average forecast error and the variance of the error decrease as additional individuals forecasts are included in the aggregate only two to five individuals forecasts must be included to achieve much of the total improvement available from combining all 13 forecasts three of the differential weighting methods produced more accurate forecasts than equal weighting but the magnitude of the improvement was small implications for realistic forecasting situations are discussed as are conditions under which the use of aggregates seems attractive

automated earnings forecasts beat analysts or combine and conquer prior studies attribute analysts forecast superiority over time series forecasting models to their access to a large set of firm industry and macroeconomic information an information advantage which they use to update their forecasts on a daily weekly or monthly basis a timing advantage this study leverages recently developed mixed data sampling midas regression methods to synthesize a broad spectrum of high frequency data to construct forecasts of firm level earnings we compare the accuracy of these forecasts to those of analysts at short horizons of one quarter or less we find that our midas forecasts are more accurate and have forecast errors that are smaller than analysts when forecast dispersion is high and when the firm size is smaller in addition we find that combining our midas forecasts with analysts forecasts systematically outperforms analysts alone which indicates that our midas models provide information orthogonal to analysts our results provide preliminary support for th

education credentials and immigrant earnings using 1981 to 2001 census data we study how the human capital of immigrants is rewarded in canada we distinguish between years of schooling and degrees obtained in order to estimate sheepskin effects the gain in earnings associated with receipt of a degree controlling for years of schooling we find that immigrant years of schooling and immigrant work experience accumulated before arrival is valued much less than canadian experience of comparable natives however for immigrants the increase in earnings associated with completing educational programs is generally higher than that of comparable natives we provide both signalling and human capital interpretations of this finding a l aide des donnees de recensement entre 1981 et 2001 on examine la facon dont le capital humain des immigrants est reconnu et remunere au canada on fait la distinction entre les annees de scolarite et les grades obtenus afin de calibrer les effets du diplome les gains associes a l obtention du grade apres avoir pris en compte les annees de scolarite on decouvre que les annees de scolarite et d experience accumulees par les immigrants avant leur arrivee recoivent une ponderation moins grande que l experience comparable des canadiens cependant pour les immigrants le fait de completer leur programme a un effet sur l accroissement des revenus qui est plus important que pour les canadiens de souche on suggere des interpretations de ces resultats a partir de theorisations fondees sur le capital humain et la theorie des signaux

averages of forecasts some empirical results an alternative to using a single forecasting method is to average the forecasts obtained from several methods in this paper we investigate empirically the impact of the number and choice of forecasting methods on the accuracy of simple averages it is concluded that the forecasting accuracy improves and that the variability of accuracy among different combinations decreases as the number of methods in the average increases thus combining forecasts seems to be a reasonable practical alternative when as is often the case a true model of the data generating process or a single best forecasting method cannot be or is not for whatever reasons identified

probabilistic decision model of wind power investment and influence of green power market this paper presents results from a model of a representative wind power investor s decision making process using a monte carlo simulation of a project financial analysis data in the form of probability distribution functions pdfs for key input variables were collected from interviews with investors and other professionals active in the u s wind power industry using a formal expert elicitation protocol this study presents the first quantitative estimates of the effect of the u s voluntary renewable energy certificate rec market on renewable energy generation the results indicate that the investment decisions of wind power project developers in the united states are unlikely to have been altered by the voluntary rec market the problem with the current voluntary rec market is that it does not offer developers a reliable risk adjusted revenue stream consequently the claims by u s green power retailers and promoters that voluntary market recs result in additional wind power projects lack credibility even dramatic increases in voluntary market rec prices in the absence of long term contracts were found to have only a small effect on investor behavior

the effect of recessions on firms boundaries the economic theory of the firm offers conflicting predictions of how the two major effects of recessions changes in demand and access to credit affect firm boundaries using data on norwegian firms in the recent recession we find support for both increased and reduced vertical integration of core activities in response to a recessionary shock further we find a negative interaction effect between reductions in access to credit and reductions in demand on insourcing of core activities but no such effect on outsourcing of core activities we argue that this finding may highlight a possible explanation for the conflicting theoretical predictions regarding vertical integration in response to demand and credit shocks

robust min max portfolio strategies for rival forecast and risk scenarios we consider an extension of the markowitz mean variance optimization framework to multiple return and risk scenarios it is well known that asset return forecasts and risk estimates are inherently inaccurate the method proposed provides a means for considering rival representations of the future the optimal portfolio is computed simultaneously with the worst case to take account of all rival scenarios this is a min max strategy which is essentially equivalent to a robust pooling of the scenarios robustness is ensured by the noninferiority of min max for example a basic worst case optimal return is guaranteed in view of multiple return scenarios if robustness happens to have too high a cost guided by the min max pooling it is also possible to explore other pooling alternatives a min max algorithm is used to solve the problem and illustrate the robust character of min max with return and risk scenarios we study the properties of the min max risk return frontier and compare with the potentially suboptimal worst case where the investment strategy and the worst case are computed separately 2000 elsevier science b v all rights reserved jel classixcation c44 c61 c63 g11

uncertainty and the dynamics of r d uncertainty varies strongly over time rising by 50 to 100 in recessions and by up to 200 after major economic and political shocks this paper shows that higher uncertainty reduces the responsiveness of r d to changes in business conditions a caution effect making it more persistent over time thus uncertainty will play a critical role in shaping the dynamics of r d through the business cycle and its response to technology policy i also show that if firms are increasing their level of r d then the effect of uncertainty will be negative while if firms are reducing r d then the effect of uncertainty will be positive

the myth of immigrant women as secondary workers evidence from canada the existing literature on the employment choices and trajectories of women in immigrant families is divided some researchers argue that immigrant women are secondary workers that is they join the labor market mostly as a response to family income shocks and become employed mainly in unskilled jobs to support their husbands investment in local skills long 1980 baker and benjamin 1997 worswick 1999 as men assimilate and financial constraints ease their spouses participation in the labor market is expected to drop to levels similar to those of native born women this view is however at odds with findings in blau et al 2003 among others where married immigrant women make labor supply decisions guided by their own opportunities in the labor market as natives do rather than conditional on the needs of their partners blau and khan 2007 1 to determine the patterns of labor participation and earnings of female immigrants in this paper we exploit a sample of over 800 000 women taken from the canadian census for the period from 1991 to 2006 combining it with information on the skill requirements of the jobs women hold besides employing a large data set this paper is the first one to assess the labor market advancement of immigrant women through the changes in the task content of their occupations in line with recent work in the labor field acemoglu and autor 2011 our findings reveal that labor behavior of female immigrants in canada seems to follow a path of assimilation similar to that of men and that at best only relatively uneducated immigrant women in jobs requiring very basic skills may fit the profile of secondary workers as in kim and varasani 2011 more specifically we find first that the participation rate of immigrant women at arrival is much lower than that of similar natives but that it rises steadily over time second immigrant women participate in unskilled occupations at a much higher rate than canadian women do at first glance this seems consistent with the view that immigrant women are secondary workers however immigrant women in low skill occupations have a significantly higher level of education than canadian women in the same occupations third the patterns of skill assimilation of educated immigrant women indicate their increasing integration into the labor force over time a reduction in the need for physical strength and a gradual increase in the relative amount of analytical skills required in their jobs

consensus forests of corporate earnings analysts forecasts and time series methods an alternative to using a single forecasting method is to average the forecasts made by various methods in this paper we examine empirically combinations of financial analysts forecasts and forecasts from time series methods in order to predict corporate earnings per share we conclude that on average the primary forecasting advantages of analysts over time series methods based on annual data appear to occur over short forecast horizons less than a year neither analysts nor other time series methods substantially outperform a random walk prediction of no change when forecasts are made near the beginning of the fiscal year for predictions in the first half of the fiscal year there is evidence of forecasting benefits from combining time series and analysts forecasts especially if there are few analysts forecasts

average of forecasts an improvement stein rules are used in forming combination forecasts such forecasts have smaller prediction risk under certain conditions than the preferred method of average of forecasts the new composite forecasts will be theoretically biased but are likely to have smaller mean squared error of forecasts as shown in the empirical exercises examined when the forecasts appear to be unbiased and have a common mean lindley type combination is most useful

english deficiency and the native immigrant wage gap using the interaction of language of country of birth and age at arrival as instruments we find strong evidence of a causal effect of english as additional language eal on the native immigrant wage gap for male employees in the uk

firm characteristics and the cyclicality of r d investments the aim of this study is to combine micro aspects of firm behavior with macro aspects of business development and identify market conditions e g price competition and firm characteristics e g type of r d partners that enable a firm to have a pro cyclical anti cyclical or non systematic r d investment behavior the empirical results confirm to large extent a series of hypotheses as to innovation relevant firm characteristics that underline the three different behavior categories and allow us to make profiles of the three types of r d behavior

in the right place at the wrong time the role of firms and luck in young workers careers we examine administrative data on young german workers and their employers to study the long term effects of an early career job loss to account for nonrandom sorting of workers into firms with different turnover rates and for selective job mobility we use changes over time in firm and age specific labor demand as an instrument for displacement we find that wage losses of young job losers are initially 15 percent but drop to zero within five years only workers leaving very large establishments suffer persistent losses a comparison of estimators implies that initial sorting negative selection and voluntary job mobility biases ordinary least squares estimates toward finding permanent negative effects of early displacements

assimilation changes in cohort quality and the earnings of immigrants this paper reexamines the empirical basis for two facts that seem to be found in most cross section studies of immigrant earnings 1 the earnings of immigrants grow rapidly as they assimilate into the united states and 2 this rapid growth leads to many immigrants overtaking the earnings of the natives within 10 15 years after immigration using the 1970 and 1980 u s censuses this paper studies the earnings growth experienced by specific immigrant cohorts during the period 1970 80 it is found that within cohort growth is significantly smaller than the growth predicted by cross section regressions for most immigrant groups this differential is consistent with the hypothesis that there has been a secular decline in the quality of immigrants admitted to the united states

volatility and growth credit constraints and the composition of investment abstract how does uncertainty and credit constraints affect the cyclical composition of investment and thereby volatility and growth this paper addresses this question within a model where firms engage in two types of investment a short term one and a long term one which contributes more to productivity growth because it takes longer to complete long term investment has a relatively less cyclical return but it also has a higher liquidity risk the first effect ensures that the share of long term investment to total investment is countercyclical when financial markets are perfect the second implies that this share may turn procyclical when firms face tight credit constraints a novel propagation mechanism thus emerges through its effect on the cyclical composition of investment tighter credit can lead to both higher volatility and lower mean growth evidence from a panel of countries provides support for the model s key predictions

news good or bad and its impact on volatility predictions over multiple horizons we examine whether the sign and magnitude of intra daily returns have impact on expected volatility the next day or over longer future horizons we first let the data speak namely with minimal interference we capture the mapping between intra daily returns and future volatility we revisit the concept of news impact curves introduced by engle and ng 1993 overall we find that moderately good intra daily news reduces volatility the next day while both very good news unusual high intra daily positive returns and bad news negative returns increase volatility with the latter having a more severe impact the asymmetries disappear over longer horizons we also introduce a new class of parametric models which feature asymmetries and with close ties to arch type models albeit applicable to a mixture of high and low frequency data models featuring asymmetries dominate especially during the 2007 2008 financial crisis

the influence of industry downturns on the propensity of product versus process innovation this article sheds light on how industry fluctuations affect firms propensity to innovate we test two seemingly conflicting arguments that suggest how firms are more or less inclined to engage in innovation activities during industry fluctuations by studying a panel of 622 italian manufacturing firms during the period 1995 2003 we show how differentiating between product and process innovation may help reconcile the theory of opportunity cost of innovation with the cash flow effect argument we find that industry downturns are related to product and process innovation in different ways firms tend to invest in product innovation rather than process innovation in downturns the findings have implications for both theory showing when the opportunity cost of innovation dominates and research design showing the importance of both the input and output measures in innovation studies and how they might influence the results

distributions of forecasting errors of forecast combinations implications for inventory management inventory control systems rely on accurate and robust forecasts of future demand to support decisions such as setting of safety stocks the combination of multiple forecasts is shown to be effective not only in reducing forecast errors but also in being less sensitive to limitations of a single model research on forecast combination has primarily focused on improving accuracy largely ignoring the overall shape and distribution of forecast errors nonetheless these are essential for managing the level of aversion to risk and uncertainty for companies this study examines the forecast error distributions of base and combination forecasts and their implications for inventory performance it explores whether forecast combinations transform the forecast error distribution towards desired properties for safety stock calculations typically based on the assumption of normally distributed errors and unbiased forecasts in addition it considers the similarity between in and out of sample characteristics of such errors and the impact of different lead times the effects of established combination methods are explored empirically using a representative set of forecasting methods and a dataset of 229 weekly demand series from a leading household and personal care uk manufacturer findings suggest that forecast combinations make the in and out of sample behaviour more consistent requiring less safety stock on average than base forecasts furthermore we find that using in sample empirical error distributions of combined forecasts approximates well the out of sample ones in contrast to base forecasts

measuring consumers willingness to pay at the point of purchase abstract economists psychologists and marketing researchers rely on measures of consumers willingness to pay wtp in estimating demand for private and public goods and in designing optimal price schedules existing market research techniques for measuring wtp differ in whether they provide an incentive to consumers to reveal their true wtp and in whether they simulate actual point of purchase contexts the authors present an empirical comparison of several procedures for eliciting wtp that are applicable directly at the point of purchase in particular the authors test the applicability of becker degroot and marschak s 1964 well known incentive compatible procedure for assessing the utility of lotteries to measuring consumers wtp in three studies the authors explore the reliability validity and feasibility of the procedure and show that it yields lower wtp estimates than do non incentive compatible methods such as open ended and double bounded contingent valuation they show experimentally t

premediation analysis of the energy taxation dispute in finland abstract this paper illustrates a real application of negotiation and decision analytic techniques to a long continued dispute between industry and the environmentalists in finland specifically we applied the so called premediation analysis to discover efficient compromise solutions for finland s future energy taxation problem the author s role was to act as a neutral mediator the premediation included the elicitation of the fundamental objectives of the disputants as well as their preferences relating to the issues under negotiation the quantitative analysis pointed out several efficient compromise solutions to the dispute implying that it was worth negotiating rather than unilaterally seeking to influence the state authorities this induced the participants to start unofficial face to face negotiations mediated by the author the compromise achieved together with the contacts created during the post analysis negotiations contributed immediately to the finnish government s first move towards a real ecological tax reform later on the government implemented a refund scheme for the industry that resembled by and large the one outlined in the post analysis negotiations this study thus provides a clear indication of the usefulness of the premediation concept in an unsettled conflict situation where the disputants have not earlier tried to resolve their disagreements by negotiating

you can t take it with you immigrant assimilation and the portability of human capital the national origin of an individual s human capital is a crucial determinant of its value education and labor market experience acquired abroad are significantly less valued than human capital obtained domestically this difference can fully explain the earnings disadvantage of immigrants relative to comparable natives in israel variation in the return to foreign schooling across origin countries may reflect differences in its quality and compatibility with the host labor market the return to foreign experience is generally insignificant acquiring additional education following immigration appears to confer a compound benefit by raising the return to education acquired abroad

biased forecasts or biased earnings the role of reported earnings in explaining apparent bias and over underreaction in analysts earnings forecasts the extensive literature that investigates whether analysts earnings forecasts are biased and or inefficient has produced conflicting evidence and no definitive answers to either question this paper shows how two relatively small but statistically influential asymmetries in the tail and the middle of distributions of analysts forecast errors can exaggerate or obscure evidence consistent with analyst bias and inefficiency leading to inconsistent inferences we identify an empirical link between firms recognition of unexpected accruals and the presence of the two asymmetries in distributions of forecast errors that suggests that firm reporting choices play an important role in determining analysts forecast errors r 2003 elsevier b v all rights reserved

learning to contract evidence from the personal computer industry organizational forms involving more detailed contracts than are found in traditional spot market exchanges appear to be increasingly prevalent there has been relatively little analysis however of the extent to which firms learn how to use contracts to manage their interfirm relationships over time in this paper we conduct a detailed case study of a time series of 11 contracts concluded during 1989 1997 between the same two partners both of whom participate in the personal computer industry to explore whether and how firms learn to contract we find many changes to the structure of the contracts that cannot be fully explained by changes in the assets at risk in the relationship and evidence that these changes are largely the result of processes in which the firms were learning how to work together including learning how to contract with each other the nature of this learning appears to have been quite incremental and local that is not very far sighted we suggest how and when contracts might serve as repositories for knowledge about how to govern collaborations and suggest some boundary conditions for this phenomenon our findings also provide implications for the debate about whether contracts have a positive or negative effect on interorganizational trust we conclude with suggestions for future research

predicting joint choice using individual data choice decisions in the marketplace are often made by a collection of individuals or a group examples include purchase decisions involving families and organizations a particularly unique aspect of a joint choice is that the group s preference is very likely to diverge from preferences of the individuals that constitute the group for a marketing researcher the biggest hurdle in measuring group preference is that it is often infeasible or cost prohibitive to collect data at the group level our objective in this research is to propose a novel methodology to estimate joint preference without the need to collect joint data from the group members our methodology makes use of both stated and inferred preference measures and merges experimental design statistical modeling and utility aggregation theories to capture the psychological processes of preference revision and concession that lead to the joint preference results based on a study involving a cell phone purchase for 214 parent teen dyads demonstrate predictive validity of our proposed method

the value of combining forecasts in inventory management a case study in banking managing inventories in the face of uncertain stochastic demand requires an investment in safety stocks these are related to the accuracy in forecasting future demands and the noise in the demand generation process reducing the demand forecasting error can free up capital and space and reduce the operating costs of managing the inventories a leading bank in hong kong consumes more than three hundred kinds of printed forms for its daily operations a major problem of its inventory control system for the forms management is to forecast the monthly demand of these forms in this study the idea of combining forecasts is introduced and its practical application is addressed the individual forecasts come from well established time series models and the weights for combination are estimated with quadratic programming the combined forecast is found to perform better than any of the individual forecasts

tourism forecasting to combine or not to combine abstract existing non tourism related literature shows that forecast combination can improve forecasting accuracy this study tests this proposition in the tourism context by examining the efficiency of combining forecasts based on three different combination methods the data used for this study relate to tourist arrivals in hong kong from the top ten tourism generating countries regions the forecasts are derived from four different forecasting models autoregressive integrated moving average arima model autoregressive distributed lag model adlm error correction model ecm and vector autoregressive var model all forecasts are ex post and the empirical results show that the relative performance of combination versus single model forecasts varies according to the origin destination tourist flow under consideration which parallels previous findings regarding the relative performance of individual forecasting methods the results also vary with the combination techniques used furthermore although the combined forecasts do not always outperform the best single model forecasts almost all the combined forecasts are not outperformed by the worst single model forecasts this suggests that forecast combination can considerably reduce the risk of forecasting failure this conclusion also implies that combined forecasts are likely to be preferred to single model forecasts in many practical situations

unstable weights in the combination of forecasts the weights used in the combination of forecasts are shown to be very unstable they are generally so unstable that the combined forecasts often do not perform better than some of the individual forecasts or a simple average of the forecasts in practice the instability is found from a series of monte carlo experiments as well as from the nominal gnp forecasts from four well known macro forecasters the monte carlo experiments also show that when the underlying models are known a composite forecast from a composite model is generally more accurate than the combination of the individual forecasts a simple average is shown to be the best technique to use in practice because the weights in the combination are so unstable

labor mobility of immigrants training experience language and opportunities summary statistics observations percent mean sdschooling 419 14 58 2 74age on arrival 419 38 05 9 15white collar in fsu 284 67 78 blue collar in fsu 127 30 31 did not work in fsu 8 1 91 married 363 86 63 english 419 1 76 0 94hebrew before migration 50 11 93 ulpan attendance 386 92 12 ulpan completion 332 79 24 ulpan length months 387 5 61 1 34hebrew1 rst survey 419 2 71 0 82hebrew2 second survey 316 2 98 0 83t able a2 transitions between the labor market states quarters 8 9quarters 3 4 wc bc wt bt ue obs wc 79 57 10 75 3 23 2 15 4 30 93bc 2 58 80 80 1 72 2 87 12 03 349wt 51 28 28 21 0 00 0 00 20 51 39bt 23 81 52 38 0 00 0 00 23 81 21ue 18 93 47 93 6 51 1 78 24 85 169quarters 14 15quarters 8 9 wc bc wt bt ue obs wc 90 52 6 90 0 00 0 86 1 72 116bc 4 56 90 88 0 35 0 70 3 51 285wt 41 18 41 18 0 00 0 00 17 65 17bt 25 00 66 67 0 00 0 00 8 33 12ue 23 86 44 32 0 00 0 00 31 82 88quarters 18 19quarters 14 15 wc bc wt bt ue obs wc 96 72 3 28 0 00 0 00 61bc 2 47 90 12 2 47 4 94 81wt bt 0 00 100 00 0 00 0 00 1ue 30 00 20 00 0 00 50 00 10

financial analysts forecasts of earnings a better surrogate for market expectations abstract the specification of the market expectation of accounting numbers is a common feature of many empirical studies in accounting and finance givoly and lakonishok 1979 found that financial analysts forecasts have information content this study evaluates the quality of analysts forecasts as surrogates for the market expectation of earnings and compares it with that of prediction models commonly used in research results indicate that prediction errors of analysts are more closely associated with security price movements suggesting that analysts forecasts provide a better surrogate for market expectations than forecasts generated by time series models the study also identifies factors that might contribute to the performance of the financial analysts forecasts the broadness of the information set employed by analysts and to a lesser extent their reliance on information released after the end of the fiscal year appear to be important contributors to their performance

the accuracy of combining judgemental and statistical forecasts judgement based forecasts are widely used in practice either alone or in conjunction with computer prepared forecasts this study empirically examines the improvement in accuracy which can be gained from combining judgemental forecasts either with other judgemental or with quantitatively derived forecasts two judgemental forecasting approaches are used by each of two different groups in a laboratory setting to give four sets of judgemental forecasts for the 68 monthly time series of the m competition these are combined either with each other or with forecasts from deseasonalised single exponential smoothing combined forecasts are found to be more accurate than single forecasts with the greatest benefit realised at short forecast horizons and for easier as opposed to harder forecast series averaging was observed to be a far better way of combining judgemental forecasts than a judgemental nonsystematic combination

forecasting aggregate retail sales the case of south africa abstract forecasting aggregate retail sales may improve portfolio investors ability to predict movements in the stock prices of retail chains this paper uses 26 23 single and 3 combination forecasting models to forecast south africa s aggregate seasonal retail sales we use data from 1970 01 2012 05 with 1987 01 2012 05 as the out of sample period unlike the previous literature on retail sales forecasting we not only look at a wide array of linear and nonlinear models but also generate multi step ahead forecasts using a real time recursive estimation scheme over the out of sample period to better mimic the practical scenario faced by economic agents making retailing decisions in addition we deviate from the uniform symmetric quadratic loss function typically used in forecast evaluation exercises by considering loss functions that overweight the forecast error in booms and recessions focusing on the results of single models alone shows that their performances differ greatly across forecast horizons and for different weighting schemes with no unique model performing the best across various scenarios however combination forecast models especially the discounted mean square forecast error method which weighs current information more than past not only produced better forecasts but were also largely unaffected by business cycles and time horizons this result along with individual nonlinear models performing better than linear models led us to conclude that theoretical research on retail sales should look at developing dynamic stochastic general equilibrium models that not only incorporate learning behavior but also allow the behavioral parameters of the model to be state dependent to account for regime switching behavior across alternative states of the economy

the cost of simplifying preference models formulas are derived which estimate the accuracy of conjoint analysis in predicting preferences in a validation sample this accuracy turns out to depend on among other things which model of preference is used e g whether interactions are added whether partworth or linear functions are used i first show a paradoxical result that simpler models often yield higher predictive accuracy even when a more complex model is the true one the reason for this is that the additional parameters of the complex model are estimated with larger variance which tends to overwhelm the benefits of using the true model i then shift my criterion from predicting an individual s preferences to predicting market share which is of most interest to managers under this criterion my conclusions reverse and i show that a true model even when complex is much more likely to yield higher predictive accuracy than a simpler incorrect model this reverses some previous conclusions in marketing and confirms that finding the