measuring excess capital capacity in agricultural production we introduce the concept excess capital capacity and employ a stochastic input requirement frontier to measure excess capital capacity in agricultural production we also propose a two step estimation method that allows endogenous regressors in stochastic frontier models the first step uses generalized method of moments to get consistent estimates of the frontier parameters in the presence of endogenous regressors the second step uses maximum likelihood to measure excess capital capacity and evaluate the factors that influence it the empirical application to dutch cash crop farms found varying degrees of excess capital capacity the policy implications of excess capital capacity are discussed

battese coelli estimator with endogenous regressors abstract we provide a framework for dealing with the endogeneity problem in the battese coelli estimator for productive efficiency measurement

stock markets and development this paper asks if financial development especially stock market development affects the level and or the growth rate of economic activity it finds a substantial effect on both current wisdom suggests that the growth effects of financial intermediation could be either permanent or transitory for instance the greenwood jovanovic 1990 henceforth gj model has an ak stucture with no diminishing returns to the reproducible factor and a permanent exogenous improvement in financial structure would cause a permanent increase in the rate of growth on the other hand if the returns to the reproducible factor did diminish better intermediation could lead only to level effects since one should not a priori exclude either growth effects or level effects we shall look for both our search for growth effects will use the gj model our search for level effects will rely on an amended version of the mankiw romer and weil 1992 henceforth mrw structure

endogeneity in panel stochastic frontier models an application to the japanese cotton spinning industry abstractwe present a panel stochastic frontier model that handles the endogeneity problem this model can treat the endogeneity of both frontier and inefficiency variables we apply our method to examine the technical efficiency of japanese cotton spinning industry our results indicate that market concentration is endogenous and when its endogeneity is properly handled it has a larger negative impact on the technical efficiency of cotton spinning plants we find that the exogenous model substantially overestimates efficiency in concentrated markets

financial systems financing constraints and investment empirical analysis of oecd countries this paper investigates the influence of cash flow on corporate investment in 11 oecd countries we find that the sensitivity of investment levels to internally available funds differs significantly across countries and is lower in countries with predominantly close bank firm relationships than in countries with predominantly arm s length bank firm relationships at the same time we find no relationship of the levels of financial constraints to indicators of overall financial development our results are consistent with the view that information and incentive problems in the capital market have important effects on corporate investment and that close bank firm relationships can reduce these problems and thus improve the access of firms to external finance

the decision to move house and aggregate housing market dynamics using data on house sales and inventories this paper shows that housing market dynamics are driven mainly by listings and less so by transaction speed thus the decision to move house is key to understanding the housing market the paper builds a model where moving house is essentially an investment in match quality implying that moving depends on macroeconomic developments and housing market conditions the endogeneity of moving means there is a cleansing effect those at the bottom of the match quality distribution move first which generates overshooting in aggregate variables the model is applied to the 1995 2004 housingmarket boom

on the estimation of zero inefficiency stochastic frontier models with endogenous regressors in this paper we investigate endogeneity issues in the zero inefficiency stochastic frontier zisf models by mean of simultaneous equation setting specifically we allow for one or more regressors to be correlated with the statistical noise a modified limited information maximum likelihood liml approach is used to estimate the parameters of the model moreover the firm specific inefficiency score is also provided limited monte carlo simulations show that the proposed estimators perform well in finite sample

foreign direct investment spillovers and technical efficiency in the indonesian pharmaceutical sector firm level evidence the spillovers of foreign direct investment fdi on domestic firms performances have been highly debated for many years this article contributes to this debate by analysing spillovers effects on technical efficiency of indonesian pharmaceutical sector using a unique unbalanced panel of highly disaggregated at five digit international standard industrial classification isic 210 firms over the period 1990 1995 1001 observations the stochastic production frontier spf and the data envelopment analysis dea based on malmquist productivity indices mpi have been used to test the spillovers effects of fdi on technical efficiency the empirical results from the spf show that foreign firms are more efficient than domestic competitors and the presence of the former increases the inefficiency of the latter similarly the results from the mpi demonstrate that fdi has a negative and significant impact on technical efficiency changes in domestic competitors but generate positive spillovers to domestic s

european corporate governance trading off liquidity against control abstract ownership dispersion is a pre requisite for liquid stock markets but it entails a collective action problem individual investors have no incentives to engage in direct monitoring legal devices can provide solutions along three dimensions one they can concentrate or dilute voting power two they can affect liquidity three they can give the right or wrong monitoring incentives this paper shows how these devices are used and how they can depress liquidity legal constraints aimed at strengthening minority protection can reduce the scope for monitoring destroy liquidity and even create incentives for minority abuse for example one share one vote restrictions encourage the formation of pyramidal holding companies the search for solutions that concentrate voting power provide liquidity and protect minorities continues

mortgage debt consumption and illiquid housing markets in the great recession using a model with housing search endogenous credit constraints and mortgage default this paper accounts for the housing crash from 2006 to 2011 and its implications for aggregate and cross sectional consumption during the great recession left tail shocks to labor market uncertainty and tighter down payment requirements emerge as the key drivers an endogenous decline in housing liquidity amplifies the recession by increasing foreclosures contracting credit and depressing consumption balance sheets act as a transmission mechanism from housing to consumption that depends on gross portfolio positions and the leverage distribution low interest rate policies accelerate the recovery in housing and consumption

estimating efficiency in the hospital sector a comparison of three statistical cost frontier models this paper reports the results of an empirical comparison of three statistical cost frontier models using data from 49 spanish public hospitals the models estimated include the deterministic cost frontier a cross section stochastic cost frontier scf in which inefficiency is assumed to follow a half normal distribution and a panel data scf in which inefficiency is assumed to remain constant over time a non frontier model is also estimated the paper compares the estimates of average inefficiency obtained from the frontier models and the implied rankings of hospitals in terms of their costliness actual cost as a proportion of expected cost

price floors and technical inefficiency in india s sugar processing industry in india cane is processed into sugar by cooperatives public enterprises and private for profit firms the indian government sets a unique floor price for each processor that is increasing in the firm s effectiveness in converting cane into sugar the floor price binds for public and private firms but not for cooperatives which rebate profits to members we argue that this price floor policy creates a disincentive for private and public firms to be technically efficient in converting cane to sugar in support of this hypothesis an analysis of 593 indian sugar factories from 1992 to 2007 reveals statistically significant differences in technical efficiency with cooperatives being the most efficient and public firms least efficient we estimate welfare losses due to the technical inefficiency attributable to the price floor policy and argue that it can be eliminated by enacting policy to base price floors upon quality of the cane input received by a factory

housing markets with endogenous search theory and implications abstract in this model buyers and sellers enter a housing market with imperfect elasticity buyers screen houses for sale in two segments of the market select a set of houses for search in each segment and then control their intensities of costly search among houses in their preferred sets their truncated distributions of acceptable match values are assumed to be power law partial equilibrium is calculated explicitly and steady state is characterized analytically the analysis is extended to multiple segments and markets empirical implications include higher average prices and price rent ratios in preferred segments and markets as well as spatial diffusion across segments and markets of average prices price rent ratios and search the predictions are consistent with existing empirical evidence

the online shadow of offline signals which sellers get contacted in online b2b marketplaces this article extends the understanding of what impels buyers to contact particular sellers in online business to business b2b marketplaces which are typically characterized by sparse social structures and concomitant limitations in observing social cues integrating an institutional perspective with signaling theory our core argument is that offline seller characteristics that are visible online in particular geographic location and legal status convey credible signals of seller behavior because they provide buyers with information on sellers local institutional quality and the institutionally induced obligations and controls acting on sellers using unique data from a large italian online b2b marketplace between the fourth quarter of 1999 and july 2001 we find that both sellers local institutional quality and their legal statuses affect a buyer s likelihood of contacting a seller moreover consistent with the idea that a buyer s own local institutional quality generates a relevant reference point against which sellers are evaluated we find that a buyer is progressively more likely to contact sellers the higher their local institutional quality relative to the buyer jointly our findings imply that in online b2b marketplaces signals conveyed by sellers geographic locations and legal statuses may constitute substantive sources of competitive heterogeneity and market segmentation

gmm estimation of stochastic frontier model with endogenous regressors a convenient and simple gmm procedure for estimating stochastic frontier models in the presence of endogenous regressors is proposed monte carlo simulations show that the proposed estimator works very well in finite samples we apply the proposed method to panel data of norwegian dairy farms to illustrate the usefulness of the proposed approach

discount shock price rent dynamics and the business cycle the price rent ratio is highly volatile and predicts future returns for commercial real estate price rent variations in commercial real estate also tend to comove with investment and output we develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient our estimation identifies discount rate shocks as the most important factor in 1 driving price rent variations 2 producing the long horizon predictability of real estate returns and 3 linking the dynamics in commercial real estate to those in the production sector

resource rent taxation and benchmarking a new perspective for the swiss hydropower sector the electricity generation in switzerland is mainly based on hydropower 55 of total production the exploitation of water in the hydropower sector can generate significant so called resource rents these are defined by the surplus return above the value of capital labor materials and energy used to exploit hydropower in switzerland hydropower producers pay to the state a fixed fee per kw gross capacity with this system the substantial differences in costs revenues and in the production characteristics of the hydropower plants are not taken into account in this context the following paper has two main goals 1 to discuss the introduction in the swiss hydropower sector of a new payment system based on a resource rent tax 2 to propose a combination of a rrt system with a benchmarking analysis of the production cost obtained through the estimation of a stochastic frontier variable cost function we estimate a true random effects stochastic frontier variable cost function using panel data in order to overcome the asymmetric information problem in addition using the information on cost efficiency of the single companies we show how to introduce in the rrt scheme a benchmark system which gives incentives to minimize the production costs

search liquidity and the dynamics of house prices and construction the dynamics of house prices sales construction and population growth in response to city specific income shocks are characterized for 106 us cities a dynamic model of search in the housing market in which construction the entry of buyers house prices and sales are determined in equilibrium is then developed the theory generates dynamics qualitatively consistent with the observations and a version calibrated to match key features of the us housing market offers a substantial quantitative improvement over models without search in particular variation in the time it takes to sell induces transaction prices to exhibit serially correlated growth jel d83 r21 r23 r31 we explore the consequences of time consuming search and matching for the dynamics of house prices sales and construction at the city level first we char acterize the impact of city specific income shocks on the short run dynamics of average house prices home sales construction and population growth for a panel of us cities we then develop a model in which the entry of new buyers and the construction of new houses in response to such shocks are endogenously determined our theory generates serial correlation in the growth rates of house prices and construction even if income is strictly mean reverting following shocks 1 when calibrated to data on us cities our model accounts for over 80 percent of the variance of house price movements driven by city specific income shocks and nearly half of the observed autocorrelation of house price growth in our empirical analysis we estimate a structural panel vector autoregressive var model using city level observations on the variables listed above we focus

asset level risk and return in real estate investments relatively little is known in the academic literature about the idiosyncratic returns of individual real estate investments though quite a few commercial properties command prices commensurate with the market values of small to medium publicly traded companies i use purchase and sale data from the national council of real estate investment fiduciaries ncreif to compute holding period price appreciation returns for commercial properties in stark contrast with liquid asset returns idiosyncratic drift and volatility estimates diverge as the holding period shrinks this puzzling phenomenon survives a variety of controls for vintage effects systematic risk heterogeneity and sample selection biases i derive an equilibrium search based illiquid asset pricing model which when calibrated fits the data very well thus a structural model of illiquidity seems crucial to a descriptive theory of real estate investment returns the model can be extended to other illiquid asset classes and used to price derivatives such as debt claims

cost efficiency of electric grid utilities in china a comparison of estimates from sfa mle sfa bayes and stoned cnls with the purpose of estimating the range of cost efficiency levels of the power grid sector in china we assembled a data set including 23 provincial power grid companies spanning from 2005 to 2009 and conducted an empirical study based on the sfa mle sfa bayes and stoned cnls methodologies empirical results show that the average values of efficiency from different models vary from 0 85 to 0 92 depending especially on the assumptions underlying inefficiency content further results demonstrate that there is exogenous technical progress during the sample period and per capita gdp of the province is negatively related to the costs of the electric grid company located in the corresponding province we hope this empirical study will contribute to the debate on an efficiency based regulation scheme which was introduced to the chinese electric grid sector on a pilot base in 2014

the decision to go public an overview abstract firms motives for going public are reviewed and significant cross country differences in the propensity to seek a listing are documented and discussed

corporate control and the market for managerial labour on the decision to go public abstract this paper analyses some of the tradeoffs involved in the decision to go public the main point is that entrepreneurs go public in order to fund larger projects but lose discretion over decisions by becoming accountable to outside investors the analysis focuses on succession and recruiting problems and assumes that the major source of private benefits of control is connected with investments in human capital firms control structure influences their decision to search for new managers this creates an externality between firms and equilibria can be pareto ranked such that the emergence of a superior control structure for all firms is inhibited by coordination failure

preplanned exit strategies in venture capital abstract this paper empirically considers the role of preplanned exits the investor s initial strategy to sell the investee firm via an acquisition or an initial public offering ipo at the time of initial contract with the entrepreneur legal conditions and investor versus investee bargaining power in the allocation of cash flow and control rights in entrepreneurial finance we introduce a sample of 223 entrepreneurial investee firms financed by 35 venture capital funds in 11 continental european countries and these data indicate the following first preplanned acquisition exits are associated with stronger investor veto and control rights a greater probability that convertible securities will be used and a lower probability that common equity will be used the converse is observed for preplanned ipos second investors take fewer control and veto rights and use common equity in countries of german legal origin relative to socialist scandinavian and french legal origin third more experienced entrepreneurs are more likely to get financed with common equity and less likely to be financed with convertible preferred equity while more experienced investors are more likely to use convertible preferred equity and less likely to use common equity

technical efficiency market share and profitability of manufacturing firms in cote d ivoire the technology trap this paper investigates the sources of inefficiency of firms in cote d ivoire and exam ines to what extent these effects translate into poor performance a large majority of firms is technically inefficient producing far below the maximum attainable output level major cost savings can also be realised through enlarging the scale of activities of firms efficiency gains and scale advantages translate into a better competitive position and via their impact on market share into higher profitability however severe growth barriers and imperfect markets keep firms from realising these gains and prevent firms from catching up in technology with respect to their larger older and often foreign owned competitors

the geography of equity listing why do companies list abroad this paper documents aggregate trends in the foreign listings of companies and analyzes their distinctive prelisting characteristics and postlisting performance in 1986 1997 many european companies listed abroad mainly on u s exchanges while the number of u s companies listed in europe decreased european companies that cross list tend to be large and recently privatized firms and expand their foreign sales after listing abroad they differ sharply depending on where they cross list the u s exchanges attract high tech and export oriented companies that expand rapidly without significant leveraging companies cross listing within europe do not grow unusually fast and increase their leverage after cross listing foreign listings are becoming an increasingly important strategic issue for companies and stock exchanges alike as companies become global in their product market and investment strategies direct access to foreign capital markets via an equity listing can yield important benefits at the same time the international integration of capital markets has led to unprecedented levels of competition among stock exchanges in this competitive struggle the winners are the exchanges that manage to attract more foreign listings and the attendant trading volume and business opportunities despite the importance of these issues still little is known about which exchanges succeed in capturing more listings from abroad and why this question is intimately related to a second issue namely which advantages companies expect to get from a foreign listing securing cheap equity capital for new investment allowing controlling shareholders to divest on a liquid market preparing for foreign acquisitions or simply enhancing the compa

inventories in a competitive environment trade is sequential buyers arrive in batches and each batch completes trade before the next arrives producers allocate the available supply among all potential batches of buyers inventories accumulate whenever a batch does not arrive shocks to cost and demand are serially independent there is a stationary relationship between inventories and prices with the following properties larger beginning of period inventories tend to depress prices inventories are positively serially correlated a unit increase in inventories reduces output by less than one unit an increase in inventories leads to an increase in the price spread output tends to vary more than sales

testing for micro efficiency in the housing market using highly granular transaction level data for the norwegian housing market over the period 2002 2014 we investigate whether excessive prices persist or revert in repeat sales excessiveness in prices is detected by comparing selling prices to predicted prices implied by a hedonic model which includes a rich set of attributes persistence is rejected and there is substantial reversion in excessive prices our results also show little scope for profitable arbitrage by investing in apparently underpriced units we suggest that excessive prices are related to the stochastic arrival of interested purchasers at public showings which we show is nonrepeatable

the cyclical behavior of the beveridge curve in the housing market abstract this paper develops a business cycle model of the housing market with search frictions and entry of both buyers and sellers the housing market exhibits a well established cyclical component which features three stylized facts prices move in the same direction as sales and the number of houses for sale but opposite to the time it takes to sell a house these stylized facts imply that in the data housing vacancies and the number of buyers are positively correlated i e that the beveridge curve is upward sloping a baseline search and matching model of the housing market is unable to match these stylized facts because it inherently generates a downward sloping beveridge curve with free entry of both buyers and sellers our model reproduces the positive correlation between prices sales and vacancies and matches the stylized facts qualitatively and quantitatively

a distribution free stochastic frontier model with endogenous regressors abstract we provide a guideline for estimating a distribution free panel data stochastic frontier model in the presence of endogenous variables in particular we consider variations of the within estimator of cornwell et al 1990 to allow endogenous regressors

trading frictions and house price dynamics we model liquidity in housing markets the model provides a simple characterization for the joint process of prices sales and inventory we compare the implications of the model to certain properties of housing markets the model can generate the large price changes and the positive correlation between prices and sales that we see in the data unlike the data prices are negatively autocorrelated and high inventory predicts price appreciation we investigate several amendments to the model informational frictions show promise

segmented housing search we study housing markets with multiple segments searched by heterogeneous clienteles in the san francisco bay area search activity and inventory covary negatively across cities but positively across market segments within cities a quantitative search model shows how the endogenous flow of broad searchers to high inventory segments within their search ranges induces a positive relationship between inventory and search activity across segments with a large common clientele the prevalence of broad searchers shapes the response of housing markets to localized supply and demand shocks broad searchers help spread shocks across many segments and reduce their effect on local market activity

the stock market as a source of capital some lessons from initial public offerings in italy abstract this paper complements the analysis of the decision to go public contained in pagano et al 1995 we compare a larger set of italian initial public offerings including holding companies with size matched private companies even in this larger sample we find evidence that 1 i the new equity capital raised upon listing is not used to finance subsequent investment and growth 2 ii going public reduces the cost of credit 3 iii it is often associated with equity sales by controlling shareholders and is followed by a higher turnover of control than for other companies a novel finding is that the funds raised are used to purchase stakes in other companies and other financial assets

the relative performance of real estate marketing platforms mls versus fsbomadison com we compare house sales on a for sale by owner fsbo platform to multiple listing service mls sales and find that fsbo precommission prices are no lower but that fsbo is less effective in terms of time to sell and probability of a sale we do not find direct evidence of the importance of network size as a reason for the lower effectiveness of fsbo we do find evidence of endogenous platform differentiation patient sellers use fsbo while patient buyers transact more often on the mls where they avoid patient sellers we discuss the implications for platform competition two sided markets and welfare

the flotation of companies on the stock market abstract in some countries the size of the stock market and the number of listed companies have persistently lagged behind the growth of the economy trading externalities can help explain this fact an entrepreneur who goes public increases risk sharing opportunities for others this externality can lead to an inefficiently low number of listed companies and also generate multiple equilibria when flotation decisions are positively correlated across entrepreneurs this happens if these face borrowing constraints and lack liquidity and thus cannot diversify their portfolios unless they go public it also happens if trading shares is costly so that a sufficient number of issues must be listed to lure investors into the market

the measurement and sources of technical inefficiency in the indonesian weaving industry production function models are estimated with a time series of cross section data on indonesian weaving establishments the sources of technical inefficiency are investigated three firm attributes are identified as being potentially related to firm efhciency tbey are firm ownership age and size the importance of these attributes as sources of inefficiency in the indonesian weaving industry is investigated and the implications of the find ings discussed

does the alternative investment market nurture firm growth a comparison between listed and private companies the creation of stock market segments with low admission requirements was welcomed in the 1990s as an essential move to release small and medium sized enterprises from their dependency on banks for external funding thereby removing the financial barriers that hinder their growth and competitiveness but does easier access to public equity really translate into superior real performance we explore this issue by focusing on the alternative investment market aim a junior segment of the london stock exchange that has experienced long lasting growth in capitalization

endogeneity in stochastic frontier models copula approach without external instruments this papers considers an alternative estimation procedures for estimating stochastic frontier models with endogenous regressors when no external instruments are available the approach we propose is based on copula function to directly model the correlation between the endogenous regressors and the composed errors estimation of model parameters is done using maximum likelihood monte carlo simulations are used to assess and compare the finite sample performances of the proposed estimation procedures