changing inequality in markets for workplace amenities among u s industries where earnings rose relatively from 1979 1995 injury rates declined relatively obversely during the 1960s narrowing interindustry wage differentials were associated with an increase in the relative risk of injury in high wage industries evidence from the nlsy suggests similar results among full time workers between 1988 and 1996 between 1973 and 1991 the disamenity of evening night work was increasingly borne by low wage male workers changing earnings inequality has understated changing inequality in the returns to work assuming skill neutral changes in the cost of reducing these disamenities estimates of the implied income elasticities of demand for amenities are well above unity

the changing time series properties of earnings cash flows and accruals has financial reporting become more conservative abstract this paper documents changes in the patterns of earnings cash flows and accruals over the last four decades in the absence of a generally accepted definition of conservatism a number of measures of reporting conservatism are identified and examined these measures rely on the accumulation of nonoperating accruals the timeliness of earnings with respect to bad and good news characteristics of the earnings distribution and the market to book ratio the patterns are consistent with an increase in conservative financial reporting over time the findings have implications for accounting standard setting regulation of financial information and financial statement analysis

allowance trading and energy consumption under a personal carbon trading scheme a dynamic programming approach abstract in response to the challenge of climate change personal carbon trading was put forward as a policy instrument to promote low carbon behavior in the household sector to evaluate the effectiveness of this scheme it is important to gain insight into the allowance trading and energy consumption behavior in a long emission commitment period this paper proposes a dynamic programming model to investigate allowance trading and energy consumption a main feature of the model is its consideration of allowance banking and borrowing activities ten simulated scenarios with different allowance prices price volatility and carbon emission rates are discussed the findings show that consumers would trade more actively when allowance price is volatile it is also found that energy consumption and allowance trading will decrease when the carbon emission rate increases overall the analysis in this paper implies that personal carbon trading scheme would be an effective policy measure to change consumers behavior therefore it would be valuable for decision makers to consider the introduction and implementation of this scheme

a multi criteria decision analysis model for carbon emission quota allocation in china s east coastal areas efficiency and equity abstract the allocation of carbon emission quotas is recognized as a fundamental and critical step towards the establishment of an effective nationwide carbon emissions trading cet market in china this paper aims to examine the quota allocation pertaining to china s east coastal areas these regions are pioneers in reformation and the domestic heavy emitters in this paper a multi criteria decision analysis model is proposed this model is based on the principles of efficiency and equity in order to reflect the true efficiency of carbon emissions a weighted russell direction distance model is employed three criteria namely capacity responsibility and potential are used to evaluate the degrees of equity furthermore different situations are set to evaluate the related indicators the results indicate the following 1 industrial provinces have less carbon emission quota increments 2 the yangtze river delta economic zone has notably improved energy efficiency and future quota increments correspond with the zone s current carbon emissions 3 circum bohai sea economic zone will be a major buyer of carbon emission quotas while pan pearl river delta economic zone currently receives surplus quota 4 the overall allocation of quotas converts from uneven to even as a result of gdp growth these results provide a reference for collaborative regional reductions in carbon emissions and for the construction of a cet market

a new method of estimating risk aversion i show existing evidence on labor supply behavior places an upper bound on risk aversion in the expected utility model i derive a formula for the coefficient of relative risk aversion in terms of the ratio of the income elasticity of labor supply to wage elasticity and degree of complementarity between consumption and labor i bound the degree of complementarity using data on consumption choices when labor supply varies across states using labor supply elasticity estimates i find a mean estimate of 1 then show generating 2 requires that wage increases cause sharper labor supply reductions jel d81 j22

region division of china s carbon market based on the provincial municipal carbon intensity abstract the difference of carbon trading prices among emission trading scheme pilots may hinder the unified carbon market that china s government plans to establish in 2017 to achieve this goal this study develops a regional carbon market mode based on the similarity of thirty provinces municipalities carbon intensity by the aid of logarithmic mean divisia index autoregressive and dynamic time warping models according to the dynamic clustering result we divide these provinces municipalities into three sub markets that are the western eastern and central markets furthermore we propose the carbon emission modes corresponding to each sub market namely the energy dependence mode western market sustainable economy mode eastern market and industrial upgrading mode central market briefly we suggest that the unified market should be firstly divided into some sub markets finally we propose some critical routes as well as corresponding managerial implications for establishing such unified market

why farmers sometimes love risks evidence from india abstractusing a unique data set collected among farmers in india s semiarid tropics we document the surprising prevalence of risk taking behavior in the face of realistically framed high stakes gambles we hypothesize that this apparently anomalous behavior is due to a combination of credit constraints and nonconvexities in production in particular the high stakes nature of the gambles creates the potential for a farmer to undertake a productive investment that would normally be unaffordable and thereby move to a permanently higher level of income we show that the degree to which farmers are willing to accept risk in return for this opportunity appears to relate in an intuitive way to their current agricultural production technology as well as the demographic composition of their household

path towards achieving of china s 2020 carbon emission reduction target a discussion of low carbon energy policies at province level abstract following the announcement of the china s 2020 national target for the reduction of the intensity of carbon dioxide emissions per unit of gdp by 40 45 compared with 2005 levels chinese provincial governments prepared to restructure provincial energy policy and plan their contribution to realizing the state reduction target focusing on fujian and anhui provinces as case studies this paper reviews two contrasting policies as a means for meeting the national reduction target that of the coastal province of fujian proposes to do so largely through the development of nuclear power whilst the coal rich province of anhui proposes to do so through its energy consumption rate rising at a lower rate than that of the rise in gdp in both cases renewable energy makes up a small proportion of their proposed 2020 energy structures the conclusion discusses in depth concerns about nuclear power policy energy efficiency energy consumption strategy and problems in developing renewable energy

equilibrium in securities markets with heterogeneous investors and unspanned income risk abstract in a finite time horizon incomplete market continuous time setting with dividends and investor incomes governed by arithmetic brownian motions we derive closed form solutions for the equilibrium risk free rate and stock price for an economy with finitely many heterogeneous cara investors and unspanned income risk in equilibrium the sharpe ratio is the same as in an otherwise identical complete market economy whereas the risk free rate is lower and consequently the stock price is higher the reduction in the risk free rate is highest when the more risk averse investors face the largest unspanned income risk

conservatism and debt abstract despite the unquestionable influence of conservatism disagreement remains about what economic demands lead to financial reporting conservatism research examining lenders demands for reporting conservatism has been questioned for ignoring conservative contract modifications we document that these modifications exist but are not ubiquitous we find contract modifications are more likely when agency costs are higher and litigation tax and equity demands for conservatism are lower however we find a positive association between unexplained reporting conservatism and contract modifications suggesting contractual modifications alone do not fulfill lenders demands for conservatism

a dynamic model of differential human capital and criminal activity this paper presents a dynamic model of criminal activity individuals are endowed with legal and criminal human capital potential incomes in legal and criminal sectors depend on the level of the relevant human capital the rate of return and random shocks human capital can be enhanced by participating in both sectors legal human capital can also be enhanced through investment human capital is subject to depreciation individuals maximize expected discounted lifetime utility which depends on consumption the model allows analyses of the effects of recessions imprisonment rehabilitation scenarios sanctions and returns to human capital new insights such as hysteresis in criminal behaviour are obtained

the contracting benefits of accounting conservatism to lenders and borrowers abstract this paper examines the ex post and ex ante benefits of accounting conservatism to lenders and borrowers in the debt contracting process i expect conservatism to benefit lenders ex post through the timely signaling of default risk as manifested by accelerated covenant violations and to benefit borrowers ex ante through lower initial interest rates consistent with these predictions i find that more conservative borrowers are more likely to violate debt covenants following a negative price shock and that lenders offer lower interest rates to more conservative borrowers

earnings quality in uk private firms comparative loss recognition timeliness abstract uk private and public companies face substantially equivalent regulation on auditing accounting standards and taxes we hypothesize that private company financial reporting nevertheless is of lower quality due to different market demand regulation notwithstanding a large uk sample supports this hypothesis quality is operationalized using basu s 1997 time series measure of timely loss recognition and a new accruals based method the result is not affected by controls for size leverage industry membership and auditor size or by allowing endogenous listing choice the result enhances understanding of private companies which are predominant in the economy it also provides insight into the economics of accounting standards

new estimates of the elasticity of marginal utility for the uk this paper provides novel empirical evidence on the value of the elasticity of marginal utility eta for the united kingdom eta is a crucial component of the social discount rate sdr which determines the inter temporal trade offs that are acceptable to society using contemporaneous and historical data new estimates are obtained using four revealed preference techniques the equal sacrifice income tax approach the euler equation approach the frisch additive preferences approach and risk aversion in insurance markets a meta analysis indicates parameter homogeneity across approaches and a central estimate of 1 5 for eta the confidence interval excludes unity the value used in official guidance by the uk government the term structure of the sdr is then estimated the result is a short run sdr of 4 5 declining to 4 2 in the very long run this is higher and flatter than the uk official guidance the difference stems from incorrect calibration of social welfare and estimation of the diffusion of growth other things equal the results suggest that current uk guidance might need to be updated

can china achieve its carbon intensity target by 2020 while sustaining economic growth in 2009 the chinese government announced its carbon intensity target for 2020 can china achieve this carbon intensity while sustaining economic growth to address this essential issue the contributions of this study lie in three aspects first we quantitatively capture the relationship between china s economic growth and energy consumption using the cointegration theory and predict china s energy consumption by 2020 according to different economic growth targets second we forecast china s energy structure in 2020 using compositional data and arima models under different scenarios third we deduce china s co2 emission and carbon intensity in 2020 furthermore we investigate whether or not china can realize the carbon intensity target in premise of ensuring economic growth and evaluate the contribution of the energy structure s adjustment to meeting this target finally we put forward some relevant policy implications for achieving china s carbon intensity target

debtholders demand for conservatism evidence from changes in directors fiduciary duties debtholders demand has been widely discussed as a key determinant of conservatism but clear causal evidence is not yet established using a natural experiment setting wherein a delaware court ruled that the fiduciary duties of directors in near insolvent delaware companies extend to creditors we predict and find that firms subject to the ruling significantly increased their accounting conservatism in addition our results suggest that the increase in conservatism is more pronounced in near insolvent delaware firms with stronger boards confirming that the court ruling takes effect through the channel of the board of directors our results are robust to using alternative measures of conservatism and near insolvency status and controlling for potential confounding factors and other stakeholders demand for conservatism overall our study provides empirical evidence to support the causal relation between debtholders demand and accounting conservatism previously suggested in the literature and offers some insights into the role of the board of directors in financial reporting

la crema a case study of mutual fire insurance we analyze a mutual fire insurance mechanism used in andorra which is called la crema in the local language this mechanism relies on households announced property values to determine how much a household is reimbursed in the case of a fire and how payments are apportioned among other households the only pareto efficient allocation reachable through the mechanism requires that all households honestly report the true value of their property however such honest reporting is not an equilibrium except in the extreme case in which the property values are identical for all households nevertheless as the size of the society becomes large the benefits from deviating from truthful reporting vanish and all the nondegenerate equilibria of the mechanism are nearly truthful and approximately pareto efficient

dependents and the demand for life insurance a breadwinner s demand for life insurance depends on the demographic structure of his or her household the author captures the relationship by extending menahem e yaari s life insurance framework to include the preferences of all household members explicitly in many households the insured is the husband and the beneficiaries are his wife and offspring their demand for insurance of the husband s life is derived from a life cycle model in which income is uncertain the results are intuitively appealing in that they describe the explicit calculation made by purchasers of life insurance empirical estimates based on observed life insurance ownership also are encouraging copyright 1989 by american economic association

the role of accruals in asymmetrically timely gain and loss recognition we investigate the role of accrual accounting in the asymmetrically timely recognition incorporation in reported earnings of gains and losses timely recognition requires accruals when it precedes complete realization of the gains and losses in cash we show that nonlinear accruals models incorporating the asymmetry in gain and loss recognition timelier loss recognition or conditional conservatism offer a substantial specification improvement explaining substantially more variation in accruals than equivalent linear specifications conversely conventional linear accruals models by omitting the loss recognition asymmetry exhibit substantial attenuation bias and offer a comparatively poor specification of the accounting accrual process linear specifications also understate the ability of current earnings to predict future cash flows these findings have implications for our understanding of accrual accounting and conservatism as well as for researchers estimating discretionary accruals earnings management and earnings quality

estimation and empirical properties of a firm year measure of accounting conservatism we estimate a firm year measure of accounting conservatism examine its empirical properties as a metric and illustrate applications by testing new hypotheses that shed further light on the nature and effects of conservatism the results are consistent with the measure c score capturing variation in conservatism and also predicting asymmetric earnings timeliness at horizons of up to 3 years ahead cross sectional hypothesis tests suggest firms with longer investment cycles higher idiosyncratic uncertainty and higher information asymmetry have higher accounting conservatism event studies suggest increased conservatism is a response to increases in information asymmetry and idiosyncratic uncertainty

bliss catastrophe and rational policy lotteries with infinite expected utility are inconsistent with the axioms of expected utility theory to rule them out either the set of permissible lotteries must be restricted to exclude at a minimum fat tailed distributions such as that underlying the st petersburg paradox and power laws that are popular in models of climate change or the utility function must be bounded this note explores the second approach and proposes a number of tractable specifications leading to utility functions that are bounded both from above and below this property is intimately related to that of increasing relative risk aversion as first hypothesized by arrow 1965

accounting information in financial contracting the incomplete contract theory perspective this paper reviews theoretical and empirical work on financial contracting that is relevant to accounting researchers its primary objective is to discuss how the use of accounting information in contracts enhances contracting efficiency and to suggest avenues for future research we argue that incomplete contract theory broadens our understanding of both the role accounting information plays in contracting and the mechanisms through which efficiency gains are achieved by discussing its rich theoretical implications we expect incomplete contract theory to prove useful in motivating future research and in offering directions to advance our knowledge of how accounting information affects contract efficiency

expo power utility a flexible form for absolute and relative risk aversion a new utility function which i call expo power is proposed that exhibits decreasing constant or increasing absolute risk aversion and decreasing or increasing relative risk aversion depending on parameter values numerical analysis suggests that the expo power function performs well in incorporating these risk preference structures and that arbitrary risk preference specifications may lead to biased risk response estimates

how can china reach its co2 intensity reduction targets by 2020 a regional allocation based on equity and development in late 2009 the chinese government committed to cut its carbon dioxide emissions per unit of gross domestic product gdp by 40 to 45 of 2005 levels by 2020 this has raised the issue of how to allocate the co2 reduction target regionally to meet the national reduction target to meet this objective the following aspects may be taken into consideration equity principles common but differentiated responsibilities intensity reduction target fulfillment and economic difference and reduction potential among provinces this paper selects per capita gdp accumulated fossil fuel related co2 emissions and energy consumption per unit of industrial added value as indicators for emission reduction capacity responsibility and potential respectively based on these three indicators a comprehensive index is developed and an intensity allocation model constructed as decision makers may have different preferences when allocating the reduction burden we allocate different weights to the indicators analyzing the results using cluster analysis the following aspects may also be considered together with the national regional development strategy to determine how to share the burden the reduction potential of various regions implementation potential of the plans and promotion of a highly efficient low carbon economic development model

monetary rewards and decision cost in experimental economics a survey of thirty one experimental studies which report data on the comparative effects of monetary rewards and opportunity cost shows 1 several studies in which increased rewards shift the central tendency of the data toward the predictions of rational models 2 in virtually all cases rewards reduce the variance of the data around the predicted outcome this is consistent with a model in which rewards are balanced against decision cost in agent behavior and explicates the argument that when rational models fail it can be attributed to low opportunity cost of deviations from the rational prediction

relative risk aversion around the world abstract in this letter the hypothesis of constant relative risk aversion is examined for 15 countries using property liability insurance data for more than half the cases it is shown that crra can not be rejected following that the degree of relative risk aversion is estimated and found to usually lie between one and two

a survey measure of risk aversion abstract we use survey data on the well being of individuals to measure attitudes toward risk risk neutrality cannot be rejected by the data

quantifying regional economic impacts of co2 intensity targets in china we acknowledge the support of the ministry of science and technology of china through the institute for energy environment and economy at tsinghua university and the support from graduate school of tsinghua university which is supporting zhang da s doctoral research as a 22 visiting scholar at the massachusetts institute of technology we are also grateful for the support provided by rio tinto china and social science key research program from national social science foundation china of grant no 09 zd029 we further acknowledge the support of eni s p a icf international and shell founding sponsors of the china energy and climate project for supporting this model development work we would further like to thank dr john reilly dr sergey paltsev dr kyung min nam dr henry chen paul kishimoto and tianyu qi at joint program on the science and policy of global change and participants in the annual meeting of china energy and climate project and ecomod 2012 conference for helpful comments and discussion 23

carbon dioxide mitigation target of china in 2020 and key economic sectors china proposed a co2 mitigation target in 2020 to deal with anthropogenic global climate change chinese policy makers mainly focus on three factors comprising consumption structure changes energy technology development and new energy increments in addition sectoral co2 reduction is increasingly concerned in the world thus it is significant to investigate integrated impacts of three factors to china s co2 mitigation target as well as to identify key economic sectors for achieving this target in this study energy demand and co2 emission in 2020 are predicted five scenarios are generated to illustrate the contributions of three factors in addition twelve key economic sectors for reducing energy demand and co2 emission are identified from both production and final demand perspectives under integrated impacts of three factors china s co2 intensity per unit gross domestic product in 2020 will decrease by about 43 9 in 2020 than 2005 level in the short term china s co2 mitigation will be highly dependent on energy technology development in the long term it will mainly rely on reshaped consumption structure changes and new energy development in addition china s future policies should focus on 12 identified key economic sectors

the association between outside directors institutional investors and the properties of management earnings forecasts we investigate the relation of the board of directors and institutional ownership with the properties of management earnings forecasts we find that firms with more outside directors and greater institutional ownership are more likely to issue a forecast and are inclined to forecast more frequently in addition these forecasts tend to be more specific accurate and less optimistically biased these results are robust to changes specification granger causality tests and simultaneous equation analyses the results are similar in the pre and post regulation fair disclosure reg fd eras additional analysis suggests that concentrated institutional ownership is negatively associated with forecast properties this association is less negative in the post reg fd environment which is consistent with reg fd reducing the ability of firms to privately communicate information to select audiences

economic and social security in the twenty first century with attention to europe a partly heuristic attempt at exploring long run policies aimed at a second best compromise between ex ante risk sharing efficiency and ex post productive efficiency wage subsidies for low skilled workers financed by taxes on high wages are advocated together with improved risk sharing between capital and labour between generations and between the countries belonging to emu the scope of the advocated policies is limited by considerations of moral hazard time consistency and fiscal competition also estimates of some key economic parameters remain very imprecise several avenues of further research are identified

investment dynamics and earnings return properties a structural approach we propose the standard neoclassical model of investment under uncertainty with short run adjustment frictions as a benchmark for earnings return patterns absent accounting influences we show that our proposed benchmark generates a wide range of earnings return patterns documented in accounting research notably our model generates a concave earnings return relation similar to that of basu 1997 and predicts that the earnings return concavity increases with the volatility of firms underlying shock processes and decreases with the level of firms investments we find strong empirical support for these predictions overall our evidence suggests that our proposed benchmark is useful for understanding the joint dynamics of variables of interest to accounting research e g earnings returns investment market to book absent accounting influences a necessary precondition for inferring the effects of accounting from these dynamics

a dynamic small open economy model with involuntary unemployment it is well known that real business cycle small open economy soe models rely on greenwood hercowitz and huffman 1988 preferences to match the countercyclical trade balance observed in open economies as well as other second moments while standard preferences a la king plosser and rebelo 1988 are commonly labelled ineffective owing to their inability to yield the countercyclical trade balance in this paper i show that an soe model with standard preferences and involuntary unemployment with efficient risk sharing can obtain a countercyclical trade balance and match main empirical regularities in small open economies il est bien connu que les modeles de cycles d affaires reels dans une petite economie ouverte peo comptent sur des preferences a la greenwood hercowitz et huffman 1988 pour etre compatibles avec la balance commerciale contre cyclique observee dans les economies ouvertes ainsi que sur d autres second moments alors que les preferences standards a la king plosser et rebelo 1988 sont considerees comme ineffectives a cause de leur inhabilitea engendrer la balance commerciale contre cyclique dans ce texte l auteur montre qu un modele de peo avec preferences standards et chomage involontaire et partage efficient du risque peut engendrer une balance commerciale contre cyclique et s arrimer aux principales regularites observees dans les petites economies ouvertes

optimal hedging with a subjective view an empirical bayesian approach the standard optimal hedging model has been the preferred theoretical model of normative hedging behavior in empirical applications the model is often implemented with the parameter certainty equivalent pce procedure however the pce procedure completely ignores parameter estimation risk and subjective views we develop an empirical bayesian optimal hedging model that not only effectively accommodates parameter estimation risk but also provides hedgers with a theoretically intuitive yet quantitatively rigorous framework to blend their subjective views and a marketwide or firmwide consensus in determining optimal hedging positions ratios

continuous workout mortgages efficient pricing and systemic implications abstract this paper studies the continuous workout mortgage cwm a two in one product a fixed rate home loan coupled with negative equity insurance to advocate its viability in mitigating financial fragility in order to tackle the many issues that cwms embrace we perform a range of tasks we optimally price cwms and take a systemic market based approach stipulating that mortgage values and payments should be linked to housing prices and adjusted downward to prevent negative equity we illustrate that amortizing cwms can be the efficient home financing choice for many households we price cwms as american option style defaulting debt in conjunction with prepayment within a continuous time analytic framework we introduce random prepayments via the intensity approach of jarrow and turnbull 1995 we also model the optimal embedded option to default whose exercise is motivated by decreasing random house prices we adapt the barone adesi and whaley 1987 baw approach to work within amortizing mortgage context we derive new closed form and new analytical approximation methodologies which apply both for pricing cwms as well as for pricing the standard us 30 year fixed rate mortgage frm

asymmetric timeliness of earnings market to book and conservatism in financial reporting abstract using an accounting conservatism theory that reflects accounting s role in practice we investigate the relation between two extensively used measures of conservatism asymmetric timeliness of earnings and the market to book ratio mtb we predict and observe that when asymmetric timeliness is measured cumulatively over long periods its relation with end of period mtb is positive when asymmetric timeliness is measured over short periods its dependence on beginning of period composition of equity value ev is responsible for its negative association with mtb further asymmetric timeliness appears to measure conservatism more efficiently when it is estimated cumulatively over multiple periods

attitudes towards large income risk in welfare states an international comparison using survey data and the instrument developed by barsky et al we estimate the distribution of attitudes towards income risk in a country where many employment and health related risks are generously covered by a tax financed social insurance system norway in 2006 under a constant relative risk aversion assumption the sample average for the coefficient of relative risk aversion is 3 8 with standard deviation 2 3 this number is then contrasted to that for five other oecd countries where risk attitudes have been measured using the same instrument and also prior to the financial crisis chile france italy the netherlands and the usa when we relate this distribution for stated relative risk aversion to that for generosity of social insurance and the risks related to employment and health expenditure a picture emerges suggesting that more extensive welfare states induce higher risk tolerance for foreground risks a relationship that is in line with the theory on risk vulnerability

stocks for the log run and constant relative risk aversion preferences abstract almost stochastic dominance implies that stocks are preferred over bonds in the long run by all preferences with bounded marginal utility unfortunately this analysis excludes the very central constant relative risk aversion crra preferences which have unbounded marginal utility we derive a simple closed form solution for the portfolio choice problem of crra investors which with the empirical parameters implies that stocks are preferred over bonds for all crra investors with relative risk aversion smaller than 3 9 as a by product the analysis offers an alternative derivation of the continuous time capm that does not rely on dynamic programming and allows for ambiguous investment horizons

optimal strategies for carbon reduction at dual levels in china based on a hybrid nonlinear grey prediction and quota allocation model abstract in this research a hybrid nonlinear grey prediction and quota allocation model hngp qam wasdeveloped for supporting optimal planning of china s carbon intensity reduction at both departmentaland provincial levels in 2020 at such dual levels hngp qam can not only help forecast carbon intensityand its uctuations over the concerned period but also facilitate the identi cation of china s carbonintensity reduction target in 2020 and the corresponding quotas for minimizing the total abatement cost two scenarios were developed based on multiple governmental policies and allocation schemes amongprovinces and departments the results showed that the total abatement cost would be 92 07 and98 93 10 9 as well as 180 57 and 194 19 10 9 rmb it is another shortname for china yuan for pro vincial and departmental allocation schemes under the reduction ratios of 40 and 45 respectively furthermore the west the east and the central china would be allocated the emission assignments thatwould be accounting for 48 53 28 26 and 23 21 of the total national emission reduction respectively the obtained results were particularly useful for multi level governments in providing information toidentify the carbon intensity reduction target conducting emission reduction assignments amongprovinces and departments as well as supporting relevant policy making the results also suggested thatthe developed hngp qam be applicable to similar engineering and planning problems 2014 elsevier ltd all rights reserved

relative risk aversion revisited through cross sectional analysis of the asset holdings of individual households this study adds to the evidence available on relative risk aversion it utilizes the national longitudinal surveys nls 1 which have advantages over the data bases used in previous studies assumptions about relative risk aversion are made in a number of theoretical economic and financial models 2 an empirical study by cohn lewellen lease and schlarbaum clls 1975 concluded that relative risk aversion declined as wealth increased across households while a second empirical study by friend and blume f b 1975 concluded from mixed evidence that relative risk aversion remained relatively constant as wealth increased the present study finds that by restricting the sample to higher wealth households and by defining wealth narrowly patterns consistent with decreasing or constant relative risk aversion emerge and these are compatible with the earlier studies however the use of a broader based sample and a more comprehensive measurement of wealth alters the conclusions and a pattern indicative of increasing relative risk aversion emerges thus the paper cautions that constant or decreasing relative risk aversion assumptions in theoretic models may not be realistic descriptions of the risk attitudes of typical u s households first the literature on relative risk aversion will be reviewed second the model used to estimate the coefficient of relative risk aversion will be discussed the third section will present empirical results and contrast them with those of earlier studies finally the material will be summarized and the conclusions indicated

how much do farmers value their independence a farmer s decision to contract or produce independently depends on the distribution of income and the nonpecuniary attributes associated with both business arrangements the benefits to growers from contracting such as risk reduction may be overestimated if the nonpecuniary benefits enjoyed by independent producers such as the right to make management decisions and own the commodity produced are not accounted for this study uses data from a u s national survey of hog producers to estimate 1 the difference in expected net returns between contracting and independent production 2 the premium a representative farmer would pay for the risk reduction provided by a contract and 3 the premium a farmer would pay for the nonpecuniary benefits associated with independent production results indicate that growers have a strong preference for autonomy with moderately risk averse growers being willing to pay more for the attributes of independent production than they would for the risk reducing benefits of a contract

estimation of relative risk aversion across time abstractthis article examines relative risk aversion in the framework of a three moment asset pricing model that accounts for skewness accounting for skewness in calculating risk aversion gives a more accurate series of estimates of risk aversion and helps to reconcile the wide disparity in risk coefficients found in past literature risk aversion coefficients are calculated from 1926 to 2014 using stock market returns this procedure results in a time series of data that can be related to other variables such as real interest rates and changes in demand for various asset classes

managerial overconfidence and accounting conservatism managerial overconfidence overconfident managers overestimate ixwxuhuhwxuqviurpwkhluilupv lqyhvwphqwv 7kxv zh predict that overconfident managers will tend to accelerate good news recognition delay loss recognition and generally use less conservative accounting furthermore we test whether external monitoring helps to mitigate this effect using measures of both conditional and unconditional conservatism we find robust evidence of a negative relation between ceo overconfidence and accounting conservatism we further find that external monitoring does not appear to mitigate this effect our findings add to the growing literature on overconfidence and complements findings in schrand and zechman 2011 that overconfidence affects financial reporting behavior

using tax return data to simulate corporate marginal tax rates abstract we document that simulated corporate marginal tax rates based on financial statement data shevlin t 1990 estimating corporate marginal tax rates with asymmetric tax treatment of gains and losses the journal of the american taxation association 11 51 67 graham j 1996a debt and the marginal tax rate journal of financial economics 41 41 73 are highly correlated with simulated rates based on corporate tax return data we provide algorithms that can be used to estimate the book or tax simulated rates when they are not available we find that the simulated book marginal tax rate does a better job of explaining financial statement debt ratios than does the analogous tax return variable and discuss how the book simulated rate is likely to be an appropriate measure in settings with global long term considerations

wealth information acquisition and portfolio choice i solve with an approximation a grossman stiglitz economy under general preferences thus allowing for wealth effects because information generates increasing returns decreasing absolute risk aversion in conjunction with the availability of costly information is sufficient to explain why wealthier households invest a larger fraction of their wealth in risky assets one no longer needs to resort to decreasing relative risk aversion an empirically questionable assumption furthermore i show how to distinguish empirically between these two explanations finally i find that the availability of costly information exacerbates wealth inequalities copyright 2004 oxford university press

recovering cardinal utility individual choice under uncertainty depends on an agent s attitudes towards risk typically represented by his von neumann morgenstern cardinal utility function u this function is of course an unobservable characteristic what is at least in principal observable is the agent s demand for alternative assets problems of prediction and welfare often require conclusions to be drawn concerning the unobservable characteristics based on observable behaviour to predict the response to a change in the stochastic production plan of a firm or to determine the compensation necessary so as to avoid a loss in welfare due to a change in the capital tax structure knowledge of an agent s attitude towards risk is required it is the purpose of the present paper to demonstrate that as long as the joint distribution of returns of the available assets is known the cardinal utility function can be recovered without ambiguity from asset demands provided that the set of available assets contains a riskless asset the distinguishing characteristic of the recoverability problem as posed here is the possible incompleteness of markets in a framework of complete markets if nominal income and prices vary independently the range of the demand correspondence can be assumed to cover an open subset of the consumption set the utility function can then be immediately recovered up to a monotone transformation over this range given mild regularity conditions on demand behaviour given incomplete markets however this argument fails since the choice set is a lower dimensional subspace of state space we learn only about the agent s preferences within this subspace we show that the existence of a riskless asset and some risky asset implies recoverability of von neumannmorgenstern preferences even if markets are incomplete in the presence of a riskless asset any positive riskless level a of wealth is demanded for some asset prices using arguments from pratt 1964 the ratio u a u a can be recovered without ambiguity for all positive resp non negative values of a and hence an integration argument can be used to recover the cardinal utility function u up to a positive affine transformation beyond the argument based on knowledge of the asset demand correspondence we explore an alternative approach to recoverability we demonstrate that knowledge of the portfolio indifference surfaces permits recovery of the cardinal utility function provided there is a riskless asset the intuition here is that the agent s risk aversion is directly related to the curvature of the indifference curve around the riskless point and the variance of the risky asset s that this approach is in general equivalent to the demand correspondence approach is well known we give a brief proof for twice continuously differentiable and strictly monotone utility functions we point out two results concerning the informational requirements of the argument for recoverability specifically the argument does not require complete knowledge of the distribution of returns independently of the asset demands instead it suffices to know the mean and variance of the returns to just one asset other than the riskless and the return of the riskless asset furthermore if the demand for assets is known only on a subset of the

the recovery of risk preferences from actual choices since its introduction the expected utility hypothesis has been widely used in the construction of economic models more recently attention has focused on the conditions under which it is possible in principle to recover individual investors risk preferences from their demand for assets dybvig and polemarchakis 2 this paper represents a first attempt to recover preferences operationally from data on the actual demand for assets numerous difficulties are encountered in attempting to measure preferences toward risk in a real world setting preferences are revealed through the choices of an individual but in an uncertain world these choices also depend on his expectations of future events hence an immediate problem arises in separating the influences of each on such decisions problems can also arise in measuring other variables such as wealth which influence choices because of these difficulties efforts to classify and measure an individual s risk preferences have been confined to direct assessments in hypothetical environments e g kahneman and tversky 4 and keeney and raiffa 5 pp 203 212 2 in these studies the authors assumed that stated preferences are accurate indicators of actual behavior the question remains however whether individuals actually behave in the way their assessments predict the purpose of this note is to make some progress in answering this question in it an experiment is described which infers an individual s risk preferences from his actual choices in a real world environment specifically the risk aversion of a dealer in u s government securities is assessed directly and then estimated statistically from his actual demand for bills in the weekly treasury auctions the distribution of returns used in the analysis are calculated from the forecasts made by the dealer himself in addition to introducing new procedures for measuring preferences this study provides insights into the reliability of direct assessments in predicting the actual behavior

how china s current carbon trading policy affects carbon price an investigation of the shanghai emission trading scheme pilot abstract to better establish a unified carbon market in china this study evaluates the effect of current carbon trading policy and further investigates the relationship between such policy that is published during the second phase of shanghai environment and energy exchange seee and shanghai emission allowance shea price we aim to analyze whether these policies can improve the operation efficiency of current carbon market by the mean reversion test cox ingersoll ross cir model and event study method we first analyze the potential price discovery function of shea products thereby describing the transmission channel of current policy to shea price then we examine the effect of carbon policies published in different periods on their corresponding shea price by the auto correlation test and cir simulation we find that 3 4 of all auto correlation values are less than 0 after apr 2017 and the minimum cumulative error is 31 3792 under the supply and demand channel these findings imply that shea price has the discovery function at the middle and end of trading period and the current policy affects shea price through its effect on the fundamentals of supply and demand further more than 60 of all r values r value that reflects the response of price to policy are less than 1 which implies that the published policy will improves future shea price accordingly we argue that seee belongs to a policy oriented market and the change of carbon price is closely related to emission allocation policies in this case china s government should further push forward the smooth operation of current carbon market by the aid of incentive policy in the coming period