the effects of entry regulation on oligopolistic interaction the uruguayan banking sector this article develops a methodology to test alternative oligopoly models and to analyze the effects of entry restrictions on conduct this methodology is applied to the uruguayan banking sector whose legal entry barriers were significantly relaxed during the late 1970s the results are consistent with a von stackelberg type of industry where the degree of oligopolistic interaction among the leading firms is reduced as a consequence of the relaxation of the legal entry barriers

controlling risk in global multimanager portfolios the issue of country and sector effects is important for portfolio construction and risk management unlike the many studies that have addressed the issue by analyzing individual stocks this article focuses on analyzing managed portfolios using global data on manager excess returns and portfolio characteristics i examined the relative effects of country versus sector bets on excess return variations i then evaluated alternative portfolio construction strategies by using optimization and simulation methods i found that active country exposure is a larger driver of variations in individual managers excess returns than is active sector exposure using this information money managers can learn current investment industry trends in country and sector selection and fund managers can construct their multimanager portfolios to reduce tracking error by weighting individual managers to limit country exposure in an overall portfolio

cartel unity over the business cycle in this paper cartel behavior in business cycles when some firms are vulnerable to bankruptcy in the downturns is investigated this vulnerability would restrict the set of collusive equilibria that are feasible in a repeated game and possibly result in a breakdown in recessions of all collusive agreements it is demonstrated however that the existence of a low cost producer in the cartel could prevent this breakdown by adjusting market shares across the business cycle and thereby eliminating the possibility of bankruptcy for its inefficient rivals this swing producer could enlarge the set of self enforcing collusive equilibria the results of this paper are seen to be consistent with a wide range of observations on the behavior of cartels over the business cycle

determinants of portfolio performance ii an update 1991 determinants of portfolio performance ii an update financial analysts journal vol 47 no 3 pp 40 48

competitive advantage and collusive optima cost differences may often be important in real oligopolies if side payments are impossible the standard cartel objective total industry profits lacks plausibility when costs differ this essay considers plausible alternatives four different technologies for effecting collusion which are essentially identical when costs are equal define sets of possible profits axiomatic bargaining models are used to select unconstrained optima from among these possibilities simple functional forms are employed low cost firms with large shares in cournot equilibrium may have little to gain from collusion if collusion is effective low cost firms will have relatively low estimated conjectural variations

sector style region explaining stock allocation performance the importance of asset allocation policy in stock bond portfolios is widely recognized drawing a parallel for equity only portfolios this study analyzed the importance of allocation by economic sector and by size and style in purely u s stock portfolios and the importance of regional allocation policy in international stock portfolios the study found that allocation policy explains one third to nearly three quarters of among fund variation in returns nearly 90 percent of across time variation and more than 100 percent of the level of stock portfolio returns

decision support for retirement portfolio management overcoming myopic loss aversion via technology design as firms continue to abandon pensions in favor of employee managed retirement plans tremendous demands are being placed on the decision making proficiency of future retirees as reflected in the equity premium puzzle individual investors tend to hold overly conservative portfolios that provide meager payoffs over time consequently there is growing concern that the vast majority of retirement accounts might be insufficiently funded when employees reach retirement given that most retirement plans can now be managed online a potential solution lies in designing a web based decision support system dss that helps future retirees make more profitable portfolio management decisions this paper reports the results of a study in which 159 retirement plan participants were asked to use an experimental website to manage a portfolio of retirement investments over a simulated 30 year period using a psychological approach toward designing the dss myopic loss aversion is put forth as a theoretical explanation for the psychological mechanisms that encourage investors to hold overly conservative portfolios armed with this knowledge three design features information horizon system restrictiveness and decisional guidance are implemented as part of an overarching design strategy targeted at increasing investors willingness to take calculated risks the results indicate that investor conservatism diminishes when the dss presents prospective probabilities and payoffs over long time horizons in contrast short term information horizons constitute a major stumbling block for investors however when confronted with short term information horizons risk aversion can be successfully counteracted by configuring a dss to either restrict the frequency of decisions or to suggest a relatively aggressive portfolio allocation these findings carry important implications for theory and practice

how do value creation and competition determine whether a firm appropriates value how does competition among economic actors determine the value that each is able to appropriate we provide a formal general framework within which this question can be posed and answered and then provide several results chief among them is a condition that is both required for and guarantees value appropriation we apply our methodology to i assess the familiar notion that uniqueness inimitability and competition imply value appropriation and ii determine the value appropriation possibilities for an innovator whose unique discovery is of use to several others who can compete for the right to use it

on the political economy of uk pension scheme regulation we take the opportunity of the recent consultation exercise on uk defined benefit pension schemes conducted by the pensions regulator to examine the approach to pension scheme portfolio management that it and the related pension protection fund have adopted after summarising the regulatory basis we identify three essential building blocks for further examination the notion of matching liabilities to long term government bonds the use of standard deviation of return as a measure of risk and the idea that strategic asset allocation is the most important decision in portfolio management this last one the brinson axiom we examine these foundations individually and then collectively with the aid of two unobtrusive postulates the first being the efficient markets hypothesis and the second that pension scheme assets should be used to purchase only those securities with minimal default risk from the perspective of what we have elsewhere called the keynes graham schema we conclude that the foundations are unsound and that the conventional approach adopted not only by both the regulator and the protection fund but also by the major actuarial consultancies induces if not actually requires pension schemes to engage in speculation rather than investment

endogenous mergers and collusion in asymmetric market structures recent empirical evidence shows that cartels are often asymmetric while cartel theory suggests that firm symmetry is conducive to collusion including an indivisible cost of cartelization we show that medium asymmetric market structures are more conducive to collusion since they balance the small firms incentives to stay in the cartel against the need to cover the cartel leaders indivisible cartelization cost using an endogenous merger model we also show that forbidding mergers leading to symmetric market structures can induce mergers leading to asymmetric market structures with a higher risk of collusion current antisymmetry merger policy can thus be counterproductive

an integrated stock bond portfolio optimization model abstract a new model for constructing an integrated stock bond portfolio is proposed this serves as an alternative to the popular asset allocation strategy in which the fund is first allocated to indexes corresponding to diverse asset classes and then allocated to individual assets using appropriate models for each asset class our model to the contrary determines the allocation of the fund to individual assets in one stage by solving a large scale mean variance or mean absolute deviation model using newly developed technologies in large scale linear programming and quadratic programming computational experiments show that the new approach can serve as a more reliable and less expensive method to allocate the fund to diverse classes of assets

does asset allocation policy explain 40 90 or 100 percent of performance comments this material comments on does asset allocation policy explain 40 90 or 100 percent of performance

optimal cartel trigger price strategies abstract a dynamical model of industry equilibrium is described in which a cartel deters deviations from collusive output levels by threatening to produce at cournot quantities for a period of fixed duration whenever the market price falls below some trigger price in this model firms can observe only their own production level and a common market price the market demand curve is assumed to have a stochastic component so that an unexpectedly low price may signal either deviations from collusive output levels or a downward demand shock

on the workings of a cartel evidence from the norwegian cement industry using the institutional set up of the norwegian cement industry in particular its sharing rule we are able to identify the workings of a cartel in some detail given data on prices production and exports we are able to identify marginal costs as well as the effectiveness of the cartel we compare our marginal cost estimates which are derived from an equilibrium condition to detailed cost accounting data and find that our estimate of marginal cost is very much in line with the data we then show that the cement cartel has been ineffective in the sense that the sharing rule induces overproduction and exporting below marginal costs in this sense it is consumers not firms that benefi tf rom the sharing rule we find that the ineffectiveness of the cartel is becoming so large that domestic welfare of a merger to monopoly would in fact be positive at around 1968 which is exactly when the merger actually took place however we also show that competition would have resulted in even higher welfare gains over the entire sample

the behavior of stock prices around institutional trades all trades executed by 37 large investment management firms from july 1986 to december 1988 are used to study the price impact and execution cost of the entire sequence package of trades that we interpret as an order we find that market impact and trading cost are related to firm capitalization relative package size and most importantly to the identity of the management firm behind the trade money managers with high demands for immediacy tend to be associated with larger market impact financial economists have long studied the equity trading process and its impact on stock prices much prior empirical research isolates individual trades and analyzes the behavior of the stock price around each trade see for example kraus and stoll 1972a holthausen leftwich and mayers 1987 1990 keim and madhavan 1991 petersen and umlauf 1991 hausman lo and mackinlay 1992 and chan and lakonishok 1993 evaluating the behavior of stock prices around trades provides a means of discriminating among various hypotheses as to the elasticity of the demand for stocks yields an estimate of the cost of executing trades and a measure of the liquidity of a market and permits tests of different models of the determination of quotes and transaction prices for many institutional investors however even a moderately sized position in a stock may represent a large fraction of the stock s trading volume accordingly an investment manager s order is often broken up into several trades it is often misleading therefore to consider an individual trade as the basic unit of analysis in the study of trading activity and its effects on prices this paper uses the record of trades executed by 37 large investment manage

the place of portfolio management in the keynesian canon recent publications such as the two volume oxford handbook of post keynesian economics harcourt and kreisler 2013 and the elgar companion to post keynesian economics king 2012 provide authoritative summaries of the current state of the art on a very wide range of relevant topics in particular the contents pages of these books define the field as seen by adherents the obvious implication being that those topics excluded have not yet acquired the necessary status by passing appropriate academic tests of relevance and coherence inter alia the focus of this article portfolio management is on one of these omitted topics starting from the fundamental recognition of uncertainty we examine the whole range of characteristics of the keynesian approach demonstrating the coherence and applicability of its multidimensional nature in the process pointing by contrast to the one dimensional sterility of the conventional approach our general conclusion is that there is a rightful place in the keynesian canon for portfolio management by which we mean not only investment management but also speculative management where these two qualifiers are used in the keynes graham sense

what determines cartel success following george stigler 1964 many economists assume that incentive problems undermine attempts by firms to collude to raise prices and restrict output but the potential profits from collusion can create a powerful incentive as well theory cannot tell us a priori which effect will dominate whether or when cartels succeed is thus an empirical question we examine a wide variety of empirical studies of cartels to answer the following questions 1 can cartels succeed 2 if so for how long 3 what impact do cartels have 4 what causes cartels to break up we conclude that many cartels do survive and that the distribution of duration is bimodal while the average duration of cartels across a range of studies is about five years many cartels break up very quickly i e in less than a year but there are many others that last between five and ten years and some that last decades limited evidence suggests that cartels are able to increase prices and profits to varying degrees cartels can also affect other non price variables including advertising innovation investment barriers to entry and concentration cartels break up occasionally because of cheating or lack of effective monitoring but the biggest challenges cartels face are entry and adjustment of the collusive agreement in response to changing economic conditions cartels that develop organizational structures that allow them the flexibility to respond to these changing conditions are more likely to survive price wars that erupt are often the result of bargaining issues that arise in such circumstances sophisticated cartel organizations are also able to develop multipronged strategies to monitor one another to deter cheating and a variety of interventions to increase barriers to entry

determinants of portfolio performance in order to delineate investment responsibility and measure performance contribution pension plan sponsors and investment managers need a clear and relevant method of attributing returns to those

price uncertainty and the labor managed firm since the seminal work of ward 19 on the pure model of a labor managed firm lmf a number of authors have extended the theory of the cooperative firm initially the literature focused on the theory of the lmf under certainty domar 4 analyzed the behavior of a multiproduct lmf while vanek 18 and estrin 6 investigated a general theory of labor managed market economies maurice and ferguson 14 and bonin and fukuda 3 analyzed input decisions of the lmf in a multifactor framework and furubotn 7 berman and berman 1 and estrin 5 extended the theory to long run equilibrium recently muzondo 15 bonin 2 paroush and kahana 16 hey and suckling 9 and hey 8 investigated the effects of output price uncertainty on the lmf that uses a single input labor there is an emerging consensus on three fundamental aspects of the theory of the lmf under output price uncertainty first ward s result that the cooperative has a downward sloping supply curve is robust under price uncertainty for example paroush and kahana demonstrated that the cooperative has a perverse response that is an increase in mean output price decreases labor employment and output supply this result was confirmed by bonin and by hey and suckling second in contrast to the risk averse competitive profit maximizing firm muzondo 15 133 demonstrated that the risk averse lmf with a single variable input labor employs more labor and produces more output than a risk neutral lm firm paroush and kahana 16 213 have also found that the cooperative firm even if risk averse produces more and increases its demand for labor than its certainty equivalent twin 2 horowitz 10 argued that a risk averse lmf uses more labor and produces more output than does a risk neutral lmf even in the n factor case 3

non cooperative bargaining theory an introduction the paper provides an informal introduction to some of the main themes of the recent literature on non cooperative or sequential bargaining models it focuses in particular on the relationship between the new approach and the traditional axiomatic approach exemplified by nash bargaining theory it illustrates the new insights offered by the non cooperative approach by reference to a detailed analysis of the manner in which the presence of an outside option available to one of the parties will affect the negotiated outcome finally the difficulties which arise in extending this analysis to two person bargaining with incomplete information and to n person bargaining are discussed this is a revised version of the fourth review of economic studies lecture presented in april 1985 at the joint meeting of the association of university teachers of economics and the royal economic society held in oxford the choice of lecturer is made by a panel whose members are currently professors hahn mirrlees and nobay and the paper is refereed in the usual way this paper aims to provide an informal and elementary introduction to an approach to bargaining which has received a great deal of attention over the past few years the approach involves writing down some particular sequence of moves offers and replies to be made over time in the course of negotiations and then looking for a non cooperative equilibrium in the game thus specified in practice a perfect equilibrium or in games of incomplete information a sequential equilibrium while the approach appears at first sight to be very different in spirit from the traditional axiomatic approach in which a bargaining solution is specified by appealing to a number of general requirements which are deemed appropriate on the basis of some a priori considerations the two approaches are in fact complementary while the

on vertical relations and the timing of technology adoption we study the timing of new technology adoption in markets with input outsourcing and thus with vertical relations we find that technology adoption can take place earlier when firms engage in input outsourcing than when they produce the input in house hence the presence of vertical relations can accelerate the adoption of a new technology we also find that particular features of a vertically related market such as the distribution of bargaining power and the contract type through which trading is conducted can crucially affect the speed of technology adoption

market structure and price cost margins in a paper that has become a standard reference in the structure conductperformance approach to industrial economics cowling and waterson 1976 developed a theoretical rationale for expecting industry profitability to be positively correlated with the level of concentration their model based on a simple algebraic description of oligopoly behaviour has been interpreted as providing a justification for the common empirical practice of cross industry regression analysis of price cost margins in terms of concentration levels in the present paper we show that on further examination this model implies a joint determination of margins and concentration this provides some interesting comparative static results of relevance to inter industry differences in concentration levels equally however it leads to various cautionary insights concerning the meaning of price cost margin versus concentration regressions

the interaction effect of rivalry restraint and competitive advantage on profit why the whole is less than the sum of the parts rivalry restraint based theoretical mechanisms predict that an industry s profits will increase when its firms engage in less price competition or less direct competition with each other competitive advantage based theoretical mechanisms predict that a firm s profits will increase when it creates superior economic value that direct and indirect competitors cannot fully compete away but what is the interaction effect on profit of simultaneously restraining rivalry and increasing competitive advantage do they positively amplify reinforce each other or negatively dampen undermine each other this paper s theoretical model predicts a negative interaction effect with potentially significant implications for theory practice and pedagogy

judo economics reconsidered capacity limitation entry and collusion abstract the capacity investment by a new firm into an established market is explored in a repeated price game if the entrant expects collusion to prevail upon entry it may not practice judo economics but instead choose to install enough capacity to serve the entire market this occurs when collusion involves optimal punishment paths if instead collusion is based upon the static nash equilibrium punishment and the incumbent has excess capacity and the entrant is at a cost disadvantage the entrant will strategically limit its capacity so as to restrain the incumbent s price response to entry

testing rebalancing strategies for stock bond portfolios across different asset allocations abstractwe compare the risk adjusted performance of stock bond portfolios between rebalancing and buy and hold across different asset allocations by reporting statistical significance levels our investigation is based on a 30 year dataset and incorporates the financial markets of the united states the united kingdom and germany to draw useful recommendations to investment management we implement a history based simulation approach which enables us to mimic realistic market conditions even if the portfolio weight of stocks is very low our empirical results show that a frequent rebalancing significantly enhances risk adjusted portfolio performance for all analysed countries and all risk adjusted performance measures

quality premiums and the firm s production decision in real world production processes the price taking firm often produces a stream of products having varying quality the firm may have limited control over the quality distribution and may only observe quality after production decisions have been made often the marketplace can and does price output according to quality examples of the situations in question are beef vegetable fruit and flower production diamond mining craft industries and any production process where factory seconds exist another though less apparent example is where there is a minimum quality standard a common practice in the production of branded goods in this case the price for production with quality below the standard is zero while production under uncertainty 3 5 6 10 11 and hedonic pricing 1 8 have received considerable attention the issue of production when faced with a price quality schedule has not in this paper we adapt the stochastic dominance approach 6 430 9 227 to determine the effect of price quality schedule changes on the optimal input choice of the firm these stochastic dominance results are then extended by relaxing some dominance constraints that have little meaning in the context of price schedule dominance then the theory of monotonic functions 2 13 7 197 is applied to study the effect of a global change from a constant price contract to a price quality schedule contract we also consider in detail the impacts of the commonly used minimum quality standard price quality schedule on production the paper is then summarized and conclusions are drawn

profit sharing in a collusive industry abstract we study a model in which collusive duopolists divide up the monopoly profit according to their relative bargaining power we are particularly interested in how the negotiated profit shares depend on the sizes of the firms if each can produce at the same constant unit cost up to its capacity we show that the profit per unit of capacity of the small firm is higher than that of the large one we also study how the ratio of the negotiated profits depends on the size of demand relative to industry capacity and how this ratio changes with variations in demand

absence of value an analysis of investment allocation decisions by institutional plan sponsors to determine whether the investment decisions of institutional plan sponsors contribute to their asset values this study used a dataset of 80 000 yearly observations of institutional investment product assets accounts and returns for 1984 2007 results show that plan sponsors may not be acting in their stakeholders best interests when they make rebalancing or reallocation decisions investment products that receive contributions subsequently underperform products experiencing withdrawals over one three and five years for investment decisions among equity fixed income and balanced products most of the underperformance can be attributed to product selection tests suggest that these results are not attributable to survivorship or other biases much like individual investors who switch mutual funds at the wrong time institutional investors do not appear to create value from their investment decisions

the output and profit effects of horizontal joint ventures the effects of production joint ventures on their parents profits and total industry output are analyzed using a conjectural variations model joint ventures that represent new producing entities are shown to be more likely because the profits of parents in the same industry are more likely to increase under conditions of cooperative as opposed to rivalrous behavior under the same circumstances industry output increases although a modest rise in cooperation among firms suffices to reverse these effects the precise results are shown also to depend upon the degree of coordination of the output decisions of the joint venture and its parents copyright 1992 by blackwell publishing ltd

on the nature and significance of collusive price leadership abstract with the help of a simple analytical model we are able to analyze and to further clarify the conditions for collusive price leadership as they were originally devised by jesse markham within the confines of this model we show how collusion increases price cost margins but at the same time decreases concentration in the industry

the value of asset allocation advice evidence from the economist s quarterly portfolio poll this study analyzes the economic importance of portfolio advice for an investor with an international and multiple asset investment strategy we construct portfolios based upon the asset allocation and security market advice of major international investment bankers and analyze the performance using weight based techniques our results indicate that portfolio advisers are not able to outperform passive benchmarks they do not realize superior performance either through appropriate timing or selection skills apparent market timing skills as measured by the portfolio change measure are to a large extent an artifact caused by serial correlation in the return indices used likewise the apparent short run performance persistence is more due to the serial correlation in returns than to active portfolio selection strategies

being better vs being different differentiation competition and pricing strategies in the spanish hotel industry we study the effects of vertical and horizontal differentiation on pricing policy in a large sample of hotels in spain we show that hotels with more stars i e vertically differentiated offer smaller discounts over listed prices in addition to charging higher prices similarly hotels that belong to a branded chain i e horizontal differentiation also charge higher prices and provide smaller discounts we show how the degree of local competition moderates the effect of differentiation on pricing policy but only for vertical differentiation differentiation indeed protects hotels from the pressure to reduce prices as competition increases but being better seems to be more effective than just being different

performance attribution measuring dynamic allocation skill classical performance attribution methods do not explicitly assess managers dynamic allocation skill in the factor domain the authors propose a generalized framework for performance attribution that decomposes the allocation effect into value added from both static and dynamic factor exposures and thus yields additional insight into sources of manager alpha

investing in socially responsible companies is a must for public pension funds because there is no better alternative with assets of over us 1 0 trillion and growing public pension funds in the united states have become a major force in the private sector through their holding of equity positions in large publicly traded corporations more recently these funds have been expanding their investment strategy by considering a corporation s long term risks on issues such as environmental protection sustainability and good corporate citizenship and how these factors impact a company s long term performance conventional wisdom argues that the fiduciary responsibility of the pension funds trustees must be solely focused on their beneficiaries and therefore their investment criteria must be based strictly on narrowly defined financial measures it is also asserted that well established financial measurements of corporate performance already include long term risk assessment through discounted present value of future flow of earnings consequently all other criteria are contrary to the best interest of the pension funds beneficiaries in this paper we assert that contrary to conventional wisdom pension funds and for that matter other mutual funds must be concerned with the long term survival and growth of corporations these measures are generally referred to socially responsible investing sri and when applied to corporations it is termed socially responsible corporate conduct srcc we demonstrate that current measurement of future risk assessment invariably understates and quite often completely overlooks these long term risks because of the inherent bias towards short run on the part of financial intermediaries whose compensation depends greatly on short term results furthermore there is ample evidence to suggest that these intermediaries have been engaging in self serving practices and thus failing in their duties to serve their clients i e pension funds best interests because of their large holdings in the total market as well as individual companies these funds cannot easily divest from poorly performing companies without destabilizing the companies stock and overall markets hence they must opt for a strategy of emphasizing investment criteria that encourage companies to take into account long term aspects of their operations in terms of their impact on environment sustainability and community welfare to name a few we argue that an exclusionary and even a primary focus on short term financial criteria is no longer a viable option it also calls for the pension funds to encourage greater transparency and accountability of the entire corporate sector through improved corporate governance thus socially responsible investing practices are not merely discretionary and desirable activities they are a necessary imperative which both the corporations and public pension funds and other large institutional holders will ignore at serious peril to themselves finally the paper considers some of the recent developments where corporations have been responding to these challenges and how their actions might be strengthened through greater disclosure and transparency of corporate activities it also makes recommendations for the pension funds to support further research in creating new measurement standards that further refine the concept of socially responsible investing as a necessary ingredient of long term corporate survival and growth in the context of a changing economic environmental and socio political dynamic

collusion among asymmetric firms the case of different discount factors abstract this study investigates collusive behavior among asymmetric firms for this purpose we develop a selection criterion for deriving a unique collusive outcome and apply it to the case when firms have different discount factors our analysis reveals that for collusion to be self enforcing it is unnecessary that all firms have sufficiently high discount factors but rather only that firms on average have a sufficiently long run view the optimal collusive outcome entails a strict ordering of output quotas in which firms with relatively low discount factors receive a disproportionate share of market demand as found in the case of a common discount factor a fall in a firm s discount factor reduces the likelihood of successful collusion this effect reduces firm profits on the other hand in the event that firms can collude a lowering of a firm s discount factor increases its output quota so that its profits rise

the importance of asset allocation this article discusses the impact on performance of the long term asset allocation policy relative to the impact of active management most of the variation in time series returns for a typical fund comes from general market movement the remaining variation comes about equally from asset allocation policy and active management

asset allocation dynamics and pension fund performance using a data set on more than 300 u k pension funds asset holdings this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes we find evidence of slow mean reversion in the funds portfolio weights toward a common time varying strategic asset allocation we also find surprisingly little cross sectional variation in the average ex post returns arising from the strategic asset allocation market timing and security selection decisions of the fund managers strategic asset allocation accounts for most of the time series variation in portfolio returns while market timing and asset selection appear to have been far less important copyright 1999 by university of chicago press

strategic factor market intelligence an application of information economics to strategy formulation and competitor intelligence this paper develops a model of information acquisition decisions by firms that are competing in a strategic factor market barney 1986 to purchase a scarce resource whose value is unknown and differs across firms the model builds on the argument that more accurate expectations about the firm specific value of resources is other than luck the only way for firms to obtain the specific resources required for competitive advantage we address the more specific question of what types of information firms should gather to accomplish this goal the model generates a series of testable hypotheses about how a firm s optimal mix of different types of information is affected by a number of factors including the level of uncertainty about the value of the resource being acquired the rarity imitability and nonsubstitutability of that resource the level of inscrutability of firms pre existing stocks of resources and firms information gathering and information processing capacities

rear view mirror driving in defined contribution systems the strange formula of the chilean pension funds the pioneering regulation on chilean pension funds under defined contribution program requires private managing institutions to exclusively manage individual accounts and meet a minimum return to their clients the purpose of this study is to empirically investigate the investment behaviour of pension funds and to contribute to the social security debate the findings reveal the benchmark significantly explains funds performance pension funds tend to replicate their asset allocations to exhibit similarities in returns we believe the obligation on fund managers to attain a minimum guaranteed return based on relative performance evaluation encourages them not to deviate from the industry s performance indeed the benchmark explains most of the group performance to hold similar allocations managers may monitor each others through their investment style

global equity fund performance an attribution approach using data on portfolio holdings we examine the performance of 143 global equity funds over 2002 2012 we find that the average global equity manager outperforms the benchmark by 1 2 1 4 a year before fees attribution analysis reveals that the prime source of excess return is selecting stocks that beat their local markets modest contributions come from country selection most notably in emerging markets whereas currency effects are mixed our findings support considering active management in global equity markets at least for institutional accounts that pay annual fees of less than 1

performance attribution and the fundamental law the reported study operationalized the fundamental law of active management in the context of a factor based performance attribution system the system incorporates factor payoffs in the linear regression framework that many portfolio managers and external reviewers use to judge what is being rewarded in the market the study indicates that parameters of the fundamental law can be used to approximate and interpret the results of the regression based performance attribution system the procedure is illustrated by the use of security holdings returns and factor exposure data for two portfolios benchmarked to the s p 500 index for april 1995 to march 2004

do markets differ much this essay reports the results of a crosssection study of differences in accounting profitability that sheds light on some basic controversies in industrial economics most previous cross section studies in this field have been concerned with testing hypotheses about structural coefficients in models meant to apply to essentially all markets as we have learned more about the difficulties of constructing such general models and of performing tests on their structural parameters properly structural cross section analysis has fallen out of fashion in contrast to most of the cross section literature the analysis reported here is fundamentally descriptive it does not attempt directly to estimate or to test hypotheses about structural parameters i hope to show by example that one can perform illuminating analysis of cross section data without a host of controversial maintained hypotheses cross section data can yield interesting stylized facts to guide both general theorizing and empirical analysis of specific industries even if they cannot easily support full blown structural estimation one can view the sort of search for stylized facts conducted here as either a replacement for or an input to interindustry structural estimation depending on one s feeling about the long run potential of that research approach this study also departs from much of the cross section literature by being fundamentally concerned with the importance of various effects not just with coefficient signs and t statistics in particular this essay provides estimates of the relative importance of firm market and market share differences in the determination of business unit divisional profitability in u s manufacturing using 1975 data from the line of business program of the u s federal trade commission ftc i find support neither for the existence of firm effects nor for the importance of market share effects moreover while industry effects apparently exist and are important they appear to be negatively correlated with seller concentration in these data section i relates firm market and share effects to current issues and controversies in industrial economics and thus supplies the motivation for our empirical analysis the remainder of the essay treats the data and

the equal importance of asset allocation and active management what is the relative importance of asset allocation policy versus active portfolio management in explaining variability in performance considerable confusion surrounds both time series and cross sectional regressions and the importance of asset allocation cross sectional regressions naturally remove market movements therefore the cross sectional results in the literature are equivalent to analyses of excess market returns even though the regressions were performed on total returns in contrast time series analyses of total returns do not naturally remove market movements time series analyses of excess market returns and cross sectional analyses of either total or excess market returns however are consistent with each other with market movements removed asset allocation and active management are equally important in determining portfolio return differences within a peer group finally an examination of period by period cross sectional results reveals why researchers using the same regression technique can get widely different results

diversification returns and asset contributions 1992 diversification returns and asset contributions financial analysts journal vol 48 no 3 pp 26 32

deconstructing income and income inequality measures a crosswalk from market income to comprehensive income recent research on levels and trends in the united states in income inequality vary substantially in how they measure income we show the sensitivity of alternative income measures in capturing income trends using a unified data set focusing solely on market income or including realized taxable capital gains based on irs tax return data in more comprehensive household income measures will dramatically increase inequality growth compared to capital gains measures more in keeping with haig simons principles using a measure of yearly accrued capital gains dramatically reduces observed growth in income inequality across the distribution but also equalizes income growth since 1989