what are asset demand tests of expected utility really testing assuming the classic contingent claim setting a number of financial asset demand tests of expected utility have been developed and implemented in experimental settings however the domain of preferences of these asset demand tests differ from the mixture space of distributions assumed in the traditional binary lottery laboratory tests of von neumann morgenstern expected utility preferences we derive new sets axioms that are necessary and sufficient for preferences over contingent claims to be representable by an expected utility function we also indicate the additional axioms required to extend the representation to the more general case of preferences over risky prospects

vertical organization of production and firm growth this paper empirically explores if different vertical organizational forms i e vertical integration versus dis integration give rise to unlike growth behaviors within the same industry an econometric analysis is conducted in a sample of around 500 italian machine tool mt builders for the period 1998 2007 implementing instrumental variables to control for the endogeneity of the organizational form in the relation ceteris paribus vertically integrated firms result to be characterized by a less dispersed distribution of growth rates than their dis integrated counterparts several concurring factors such as adjustment costs organizational slacks and a better management of fluctuations in the markets of intermediate and final products may explain the more a stablea growth profile of vertically integrated firms by means of analyzing how different organizational forms map into the distribution of output growth rates this work provides insight into the firm dynamics in a mature industry in which both vertically integrated and dis integrated firms coexist

a test for risk averse expected utility we provide a universal condition for rationalizability by risk averse expected utility preference in a demand based framework with multiple commodities our test can be viewed as a natural counterpart of a classical test of expected utility due to fishburn 1975 in a demand setting

on the relationship between firm size and export intensity export marketing literature supports the view that firm size is positively related to export intensity although the empirical findings have been mixed a number of theoretical arguments are used to support this proposition i e international marketing economies of scale limited managerial and financial resources of small firms decisionmaker s risk perception based on a large survey of the italian manufacturing industry the article falsifies the proposition and challenges some widely held assumptions in export marketing literature

measuring economic welfare is theory a cookbook for empirical analysis welfare economics is first and foremost a policy science in his classic treatise a k sen says welfare economics is concerned with policy recommendations gunnar myrdal in discussing the economist and the politician proposes that the politician may reasonably expect from the economist that he should explain the actual situation and state the effects of different modes of action in relation to the same initial situation empirical welfare economics should provide guidance to policy makers in evaluating actual policies in real markets using available data and reasonable methods real markets are characterized by multimarket spillovers dynamic responses to economic policy uncertainty and incomplete market structures while theoretical models

nonparametric test of the expected utility hypothesis a nonparametric test of the expected utility hypothesis is developed in this paper the expected utility hypothesis is shown to hold if there exists a feasible solution to a particular system of linear inequalities furthermore when a feasible solution exists boundaries on the coefficient of absolute risk aversion can be calculated explicitly the test is applied to data on land allocations modeled as choices over lottery sets results contrary to those obtained in many laboratory experiments show that in most cases the expected utility hypothesis cannot be rejected

the relationship between firm growth size and age estimates for 100 manufacturing industries this study uses a sample of all firms operating in 100 manufacturing industries to examine some aspects of firm dynamics it finds that firm growth the variability of firm growth and the probability that a firm will fail decrease with firm age it also finds that firm growth decreases at a diminishing rate with firm size even after controlling for the exit of slow growing firms from the sample gibrat s law therefore fails although the severity of the failure decreases with firm size copyright 1987 by blackwell publishing ltd

sectoral patterns of technical change towards a taxonomy and a theory abstract the purpose of the paper is to describe and explain sectoral patterns of technical change as revealed by data on about 2000 significant innovations in britain since 1945 most technological knowledge turns out not to be information that is generally applicable and easily reproducible but specific to firms and applications cumulative in development and varied amongst sectors in source and direction innovating firms principally in electronics and chemicals are relatively big and they develop innovations over a wide range of specific product groups within their principal sector but relatively few outside firms principally in mechanical and instrument engineering are relatively small and specialised and they exist in symbiosis with large firms in scale intensive sectors like metal manufacture and vehicles who make a significant contribution to their own process technology in textile firms on the other hand most process innovations come from suppliers these characteristics and variations can be classified in a three part taxonomy based on firms 1 supplier dominated 2 production intensive 3 science based they can be explained by sources of technology requirements of users and possibilities for appropriation this explanation has implications for our understanding of the sources and directions of technical change firms diversification behaviour the dynamic relationship between technology and industrial structure and the formation of technological skills and advantages at the level of the firm the region and the country

corporate growth and industrial dynamics evidence from french manufacturing this work explores basic properties of the size and growth rates distributions of firms at the aggregate and disaggregate levels using an extensive dataset on french manufacturing firms we investigate which properties of firm size distributions and growth dynamics characterize the aggregate dynamics and are at the same time robust under disaggregation our analysis is based on non linear robust regression methods which have never been applied before to this kind of data the growth rates distributions we observe are well described by a subbotin distribution with a shape parameter significantly lower than 1 suggesting a noticeable departure from the laplace behavior reported in previous works on italian and us data at the same time the variance of growth rates depends negatively on size and the relationship does not seem to be linear with larger firms possibly displaying lower variability in their growth dynamics at the disaggregate level we observe significant heterogeneity in the firm size distributions across sectors while the shape of the sectoral growth rates density displays a surprising degree of homogeneity

risk preferences and the macroeconomic announcement premium this paper develops a revealed preference theory for the equity premium around macroeconomic announcements stock returns realized around pre scheduled macroeconomic announcements such as the employment report and the fomc statements account for 55 of the market equity premium we provide a characterization theorem for the set of intertemporal preferences that generates a nonnegative announcement premium our theory establishes that the announcement premium identifies a significant deviation from time separable expected utility and provides asset market based evidence for a large class of non expected utility models we also provide conditions under which asset prices may rise prior to some macroeconomic announcements and exhibit a pre announcement drift

non parametric tests of consumer behaviour the neoclassical model of consumer behaviour postulates that a consumer s choice behaviour can be described as deriving from utility maximization subject to a budget constraint one is then naturally led to ask what this model implies about observed behaviour this question has been addressed from two quite distinct approaches the first approach originating in the work of slutsky 1915 and antonelli 1886 derives necessary and sufficient conditions involving the derivatives of the demand functions the second approach originating in the work of samuelson 1938 1947 1948 derives algebraic conditions on the demand functions implied by maximizing behaviour

impact of global economic crisis on firm growth the global economic crisis has had an adverse effect on and may continue to affect the entrepreneurial sector all over the world however even in a recessionary period there will always be some firms growing faster than others it is therefore imperative to understand the variables and processes that make some firms grow faster or more resilient to crisis than others in this paper we focus on firm size and its contributions to growth we examine whether growth rates of manufacturing and service industries are independent of firm size during the period of economic crisis based on a large sample of surviving firms in the manufacturing and hospitality industries the results of two step dynamic panel suggest that turnover growth is positively associated with companies size during the observed period of economic recession 2008 2013 in both industries large and medium sized firms exhibit higher growth than do small firms

empirical tests for stochastic dominance efficiency we derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets the tests can be computed using straightforward linear programming bootstrapping techniques and asymptotic distribution theory can approximate the sampling properties of the test results and allow for statistical inference our results could provide a stimulus to the further proliferation of stochastic dominance for the problem of portfolio selection and evaluation using our tests the fama and french market portfolio is significantly inefficient relative to benchmark portfolios formed on market capitalization and book to market equity ratio

expected utility maximization and demand behavior abstract this paper extends the non parametric approach to consumer demand analysis to the case of expected utility maximization we provide necessary and sufficient conditions for a set of price quantity pairs to be consistent with expected utility maximization and investigate their relationship to revealed preference conditions extensions to incomplete markets and intertemporal resolution of uncertainty are also considered

explaining the distribution of firm growth rates empirical analyses on aggregated datasets have revealed a common exponential behavior in the shape of the probability density of corporate growth rates we present clear cut evidence on this topic using disaggregated data we explain the observed regularities proposing a model in which firms ability to take up new business opportunities increases with the number of opportunities already exploited a theoretical result is presented for the limiting case in which the number of firms and opportunities go to infinity moreover using simulations we show that even in a small industry the agreement with asymptotic results is almost complete

comparative analysis of firm demographics and survival evidence from micro level sources in oecd countries in this paper we present cross country evidence on firm size distribution firm demographic and post entry performance for 10 oecd countries we use harmonized firm level data drawn from business registers or social security records these data enable international comparisons and the identification of idiosyncratic country effects while average firm size differs across countries due to both sectoral specialization and within sector characteristics we find similar degrees of firm churning across countries in most of them about 20 of firms enter and exit most markets every year and about 20 40 of entering firms fail within the first 2 years of life however post entry growth of successful entrants is much higher in the usa than in europe which may be indicative of barriers to firm growth as opposed to barriers to entry

do firm sizes and profit rates converge evidence on gibrat s law and the persistence of profits in the long run three panel unit root tests are applied to a 31 year firm size growth and profit rate data set for 96 large quoted uk firms all tests reject the unit root null for log size if the augmented dickey fuller autoregressions exclude a linear time trend if a linear trend is included the results are more ambiguous and appear to differ systematically between tests the view that firm growth is either random or near random does not receive unequivocal support in all tests there is however strong and consistent evidence of mean reversion in profit rates

savage in the market we develop a behavioral axiomatic characterization of subjective expected utility seu under risk aversion given is an individual agent s behavior in the market assume a finite collection of asset purchases with corresponding prices we show that such behavior satisfies a revealed preference axiom if and only if there exists a seu model a subjective probability over states and a concave utility function over money that accounts for the given asset purchases

gibrat s law redux think profitability instead of growth we argue that firm profitability can be conveniently characterized by one and the same diffusion process for all firms akin to gibrat s seminal idea of a common stochastic description for the dynamics of firm growth here we show that the diffusion of profit rates applies across all surviving corporations irrespective of their size or industry which is not true for growth rates the diffusion process is empirically consistent with both the cross sectional distribution of profit rates and the individual time series of corporate profit rates leading to the notion of a statistical equilibrium this has stark and unexpected implications for our understanding of individual destinies since the model and data suggest that idiosyncratic efforts have no impact on the aggregate distributional outcome instead idiosyncratic efforts merely affect the individual persistence of abnormal profits from the system wide norm put differently corporations have to participate in the same game and can merely choose the speed at which they play it but they cannot bend the rules

exploring the processes of firm growth evidence from a vector auto regression this article offers many new insights into the processes of firm growth by applying a vector autoregression model to longitudinal panel data on french manufacturing firms we observe the coevolution of key variables such as growth of employment sales gross operating surplus and labor productivity growth preliminary results suggest that employment growth is succeeded by the growth of sales which in turn is followed by growth of profits generally speaking however growth of profits is not followed by much employment growth or sales growth quantile regressions highlight some asymmetries between negative growth and fast growth firms

innovation and corporate growth in the evolution of the drug industry abstract this work studies the processes of growth of the worlds top 150 pharmaceutical firms on the grounds of an original database which also allows disaggregate analysis at the level of single therapeutical classes and chemical entities our findings show that the industry whose long term evolution is driven by innovation imitation and permanent creation of new markets displays i fat tails in the distribution of growth shocks present at all levels of aggregation with relatively rare big spurs of growth ii a significant autocorrelation of growth rates iii a fall of variance of growth rates with size entirely dependent on corporate diversification patterns in turn plausibly shaped by the competence scope of each firm and iv different lifecycles of diverse types of products and persistent forms of heterogeneity across firms in terms of innovative output which however do not not seem to affect comparative growth performances

a comprehensive approach to revealed preference theory we develop a version of afriat s theorem that is applicable in a variety of choice environments beyond the setting of classical consumer theory this allows us to devise tests for rationalizability in environments where the set of alternatives is not the positive orthant of a euclidean space and where the rationalizing utility function is required to satisfy properties appropriate to that environment we show that our results are applicable amongst others to choice data on lotteries contingent consumption and intertemporal consumption

revealed preferences over risk and uncertainty ludovic renou would like to acknowledge financial support from the french national research agency anr under the grant cigne anr 15 ce38 0007 01

asset demand based tests of expected utility maximization we provide conditions under which contingent claim and asset demands are consistent with state independent expected utility maximization the paper focuses on the case of a single commodity and demands are allowed to be functions of probabilities and not just prices and income we extend prior analyses by deriving three distinct tests for demands to be rationalized by expected utility i a contingent claim analogue to the certainty strong axiom of revealed preference ii a characterization of the functional form for demand and iii necessary and sufficient conditions based on the slutsky matrix jel d01 d11 d81 the neoclassical certainty model of consumer behavior postulates that a consum er s demand can be described as having been derived from utility maximization sub ject to a budget constraint one is then naturally led to ask what this model implies about observed demand behavior this question has been addressed using two quite distinct approaches the first originating in the work of slutsky 1915 and antonelli 1886 derives necessary and sufficient conditions for utility maximization assum ing knowledge of the consumer s demand functions the second approach known as revealed preference following the classic work of samuelson 1938 provides necessary and sufficient restrictions on a finite set of demand price pairs such that the demand behavior of a consumer is consistent with utility maximization in this paper we extend both approaches to a classic portfolio choice problem where consumers possess state independent expected utility preferences and there is a single commodity in each state we focus only on the complete market case where the financial asset setting is equivalent to the contingent claim setting and hence it is only necessary to discuss demand tests for the latter we depart from the standard contingent claim theory by assuming that state of nature probabilities are not fixed and we model demand as a function of probabilities as well as prices and income for the revealed preference approach with the restriction of a single commodity in each state we derive a much simpler test for expected utility maximization than those that currently exist in the literature for example the formulation of green and

does economic liberalisation endanger indigenous technological developments an analysis of the indian experience abstract india s recent economic liberalisation measures have raised concerns that enterprises will begin to neglect the development of indigenous technologies and will make increasing use of imported technologies and or of standardised technologies this paper argues that the comparative advantages of the different types of technologies will depend on certain enterprise level characteristics including age and size and consequently enterprises that use the technologies based on their in house r d efforts may perform well even under a liberalised regime empirical tests using data of enterprises in three major industry groups gave results consistent with these arguments over the period 1991 1998 the growth performance of enterprises that make products based on their in house r d efforts have compared favourably with those of other enterprises in two of the industries moreover the share of the r d based products in enterprises overall sales has been maintained in both the industries for which this test could be undertaken

invariances and diversities in the evolution of manufacturing industries this work explores and compares some basic properties of corporate growth process at both aggregate manufacturing level and disaggregated sectoral levels using an extensive dataset on italian manufacturing firms we investigate which properties of firm growth dynamics are robust under disaggregation we compare the results obtained with three different definitions of firm size namely total sales number of employees and value added our analysis suggests that while different sectors are characterized by significant differences in firm size distributions in the degrees of concentration and in the autoregressive structure of the growth processes there are also regularities which hold across all of them such as the approximate unit root nature of the growth process and the power exponential shape of the growth rates density together these stylized facts suggest challenging puzzles on the drivers of corporate growth and the resulting industrial structures