A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors.Performance measurement, Robust statistical inference, Cross-sectional dependence

A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors

We present a regression-based generalization of the calendar time portfolio approach which allowsfor the inclusion of continuous and multivariate investor or firm characteristics in the analysis. Ourmethod is simple to apply and it ensures that the statistical results are heteroscedasticity consistentand robust to very general forms of cross-sectional and temporal dependence. Furthermore, ourregression-based technique also remedies several well-known weaknesses of the traditional calendartime portfolio approach. By considering a new, unique dataset on more than 40,000 Europeanprivate investors, we illustrate empirically that erroneously ignoring cross-sectional dependenceinherent in microeconometric panel data can lead to severely biased statistical results. Moreoverwe use our method to validate some of the most popular hypotheses on the performance of privateinvestors

How Much of the Diversification Discount Can be Explained by Poor Corporate Governance?

We investigate whether the diversification discount is simply a proxy for poor corporate governance. We find that the negative value impact of diversification is amplified by adverse governance variables such as low CEO ownership, low board independence, and board classification, and that approximately 25% to 30% of the diversification discount can be attributed to suboptimal governance choices by conglomerate firms. Our methodology includes a dynamic panel GMM estimator that accounts for the endogeneity of the diversification decision and corporate governance, plus an event study analysis of diversifying mergers. Even after controlling for governance, the diversification discount remains negative and significant

How Much of the Diversification Discount Can be Explained by Poor Corporate Governance?

We investigate whether the diversification discount is simply a proxy for poor corporate governance. We find that the negative value impact of diversification is amplified by adverse governance variables such as low CEO ownership, low board independence, and board classification, and that approximately 25% to 30% of the diversification discount can be attributed to suboptimal governance choices by conglomerate firms. Our methodology includes a dynamic panel GMM estimator that accounts for the endogeneity of the diversification decision and corporate governance, plus an event study analysis of diversifying mergers. Even after controlling for governance, the diversification discount remains negative and significant

Is Aid for Trade Effective? A Panel Quantile Regression Approach

This paper investigates whether Aid for Trade (AfT) leads to greater exports in recipient countries. Using panel data and panel quantile regression techniques, our results suggest that total AfT disbursements promote the export of goods and services, but is limited primarily to exporters above the .35 quantile of the conditional distribution of exports. When disaggregating by type of AfT, we find that aid to improve trade policy and regulation is not associated with higher exports. Aid to build productive capacity is effective for almost all quantiles of the export distribution but the 10th, with the effect being stronger at the higher tails of the conditional distribution. Aid used to build infrastructure is found to affect exports only at the 0.10 quantile. In contrast, aid disbursed for general budget support (an untargeted type of aid) is not associated with greater export levels irrespective of the quantile

The influence of aggressiveness on the performance of football teams in Spain

La agresividad es un concepto complejo de definir, y que engloba aquellas acciones encaminadas a dañar al rival. Pueden estar justificadas como un instrumento para conseguir el objetivo del equipo o ser una manifestación de violencia explícita. El objeto de esta investigación es comprobar si esa creencia sobre el juego agresivo tiene soporte empírico, al analizar su influencia en la variación en el marcador en los partidos disputados en la 1ª división de la liga española de fútbol durante las temporadas 2007/2008 y 2008/2009. Para ello, se distingue entre agresión instrumental y hostil como diferentes niveles de agresividad. Además, se mide el rendimiento de los equipos en relación al cambio en el marcador, una variable reflejada directamente sobre los goles, y no sobre otras variables de juego que pueden o no traducirse en cambios en el marcador. Los resultados muestran, globalmente, que la agresividad tiene efectos negativos sobre el rendimiento.Aggressiveness is a complex concept to define and one which includes actions intended to harm a rival. Such actions can be justified as a means to achieving the goals of the team, or simply a manifestation of explicit violence. The aim of this research was to test whether the belief that aggressive play reaps benefits has empirical support byanalyzing its influence on the variation in the scoring of all matches in the 1st division of the Spanish football league, for the 2007/2008 and 2008/2009 seasons. In order to do so, we distinguished between instrumental and hostile aggression as different levels of aggressiveness. Furthermore, we measured the performance of teams through changes in the scoreboard, that is to say, when a goal is scored. Results derived from the estimation of five different models showed, overall, that aggressiveness has a negative impact on team performance.Financiación recibida del proyecto ECO2015-65637-P (MINECO/FEDER). Asimismo, este trabajo es el resultado de la actividad desarrollada en el marco del Programa de Ayudas a Grupos de Excelencia de la Región de Murcia, de la Fundación Séneca, Agencia de Ciencia y Tecnología de la Región de Murcia proyecto 19884/GERM/15

The Coevolution of Finance and Property Rights: Evidence from Transition Economies

The transition from communism to capitalism was necessarily accompanied by a sudden and abrupt increase in the financialization of society. This increase occurred in an environment that, even now, still has little experience with or expertise in financialization. Given that financialization occurred simultaneously with the growth and evolution of other political and economic institutions, the question arises: What was the effect on these other nascent institutions like property rights? This article empirically analyzes the relationship between financialization and property rights in transition countries. Using a unique monthly database of twenty transition countries over a period from 1989 to 2012, this article finds that the influence of financialization depends on which definition of “financialization” is used. In particular, increases in basic financial intermediation improved property rights. However, higher-order “financialization,” proxied here by the size of capital markets and the wages in the financial sector, appeared to have a negative impact on the development of broad-based property rights in transition