The value of coskewness in mutual fund performance evaluation.

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.Coskewness; Mutual funds; Performance measures;

Berlin: Rebuilding Memories in the Contemporary City

The current discourse of the city as image or spectacle is what the municipal authorities, developers and politicians in Berlin are trying to encourage in order to increase the incomes from tourism, office or commercial rents. This kind of urban politics are spaces for cultural consumption, megastores, festivals and spectacles of all kinds, all intended to attract new tourism, urban travelers or metropolitan explorers. The issue in this city is how best to decorate the city to attract better international attention: not the city as an opportunity to be filled with life by its inhabitants and visitants but the city as image in the service of power and profit.Postprint (published version

Tile Vaulting as an alternative

Postprint (published version

The value of coskewness in mutual fund performance evaluation

Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and finds evidence that adding a coskewness factor is economically and statistically significant. It documents that coskewness is sometimes managed and shows persistence of the coskewness policy over time. One of the most striking results is that many negative (positive) alpha funds, measured relative to the CAPM risk adjustments, would be reclassified as positive (negative) alpha funds using a model with coskewness. Therefore, performance ranking based on risk-adjusted returns without considering coskewness could generate an erroneous classification. Moreover, some fund characteristics, such as turnover ratio or category, are related to the likelihood of managing coskewness.Publicad

Performance evaluation considering the coskewness: a stochastic discount factor framework

Purpose – The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003. Design/methodology/approach – The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a fairly recent innovation in the evaluation of investment performance. Findings – The present work complements the research of Farnworth et al. and Fletcher and Forbes, adding a new issue to the SDF, the third co-moment of asset returns. Recent asset pricing studies show the relevance of the component of an asset's skewness related to the market portfolio's skewness, the coskewness, and how it helps to explain the time-variation of ex-ante market risk premiums. It is found that the effects of adding coskewness to evaluate the performance is significant even when factors based on size, book-to-market and momentum are included. Practical implications – The omission of a coskewness factor may lead to erroneous evaluations of a fund's performance, and therefore, issues such as the persistence of performance should be revised. Originality/value – This paper explores, for the first time, the effects of incorporating a coskewness factor in the analysis of investment performance, both in an unconditional and a conditional framework using SDF models.Publicad

Heterogeneous responses to effective tax enforcement : evidence from Spanish firms

Este documento investiga los efectos de supervisar los rastros de información generados por las actividades de las empresas con el objetivo de mejorar el cumplimiento de sus obligaciones tributarias. A partir de la variación cuasiexperimental proporcionada por la Unidad de Grandes Contribuyentes (UGC) existente en España, contrastamos empíricamente las predicciones teóricas relativas a las respuestas de las empresas ante un incremento del esfuerzo de supervisión tributario. Las empresas que facturan más de 6 millones de euros son revisadas por una UGC que dispone de más recursos para verifi car las transacciones reportadas por las empresas. Utilizando los estados contables de casi el universo de empresas españolas para el periodo 1999-2007, encontramos una concentración sustancial de empresas justo debajo del umbral de la UGC. En media, estimamos que las empresas que se concentran en el umbral reducen su ingresos reportados en 101.000 euros (1,7 % de su ingreso total) para evitar caer en el régimen de elevado control tributario. Ajustando por la existencia de costes de evasión soportados por las empresas, estimamos que la empresa marginal que decide situarse en el umbral reduce sus ingresos reportados en 593.000 euros (9,9 %). La respuesta es débil en sectores en los que la mayoría de las ventas se realizan al consumidor fi nal (venta al por menor, restauración) y fuerte en sectores que mayoritariamente venden bienes intermedios a otras empresas (distribución mayorista, manufactura). Este resultado indica que el esfuerzo de supervisión ejercido por la autoridad tributaria y la trazabilidad de la información reportada por las empresas son complementarios, y ambos necesarios para un control tributario efectivo. Finalmente, la evidencia presentada sugiere la declaración inadecuada de gastos asociados a la adquisición de materiales y de los costes laborales para evadir ..This paper investigates the effects of monitoring the information trails generated by firms’ activities in order to improve tax compliance. We use quasi-experimental variation provided by a Large Taxpayers Unit (LTU) in Spain to empirically test the theoretical predictions on firms’ responses to an increase in monitoring effort. Firms with more than €6 million in reported revenue are monitored by the LTU, which devotes more resources to verifying the transactions reported by those fi rms. Using fi nancial statements from practically the entire universe of Spanish firms for the period 1999-2007, we find substantial bunching of firms just below the LTU threshold. On average, we estimate that bunchers reduce their reported revenue by €101,000 (1.7% of total revenue) to avoid falling in the high enforcement regime. Adjusting for resource costs of evasion faced by firms, we estimate that the marginal bunching firm reduces its reported revenue by up to €593,000 (9.9%). The response is weak in sectors where most sales are made to final consumers (retail, restaurants) and strong in sectors where fi rms sell intermediate goods to other businesses (wholesale, manufacturing). This result suggests that the monitoring effort by the tax authorities and the traceability of the information reported by firms are complements, and both are necessary for effective tax enforcement. Finally, we provide suggestive evidence that firms under low monitoring effort also misreport their material and labour expenditures to evade taxes, even in the presence of third-party reportin

The elasticity of taxable income in Spain: 1999-2014

En este artículo se estudia cómo reacciona la renta gravable de los contribuyentes españoles ante cambios en los tipos marginales del IRPF, utilizando como principal fuente de identifi cación la variación proporcionada por tres grandes reformas del impuesto introducidas a lo largo del período 1999-2014. Las estimaciones más fi ables de la elasticidad de la renta gravable con respecto al tipo marginal neto del impuesto para este período se sitúan en el rango comprendido entre 0,45 y 0,64. Esta elasticidad es cerca de tres veces mayor para los contribuyentes autónomos que para los trabajadores, y es mayor para las rentas procedentes de las actividades económicas que para las rentas del trabajo y del capital. La elasticidad de la renta bruta es menor, entre 0,10 y 0,24, mientras que la elasticidad de algunas deducciones como las de planes de pensiones privados excede de 1. Las estimaciones obtenidas son similares cuando se utiliza una amplia variedad de métodos de estimación y restricciones muestrales, y también son robustas frente a los sesgos potenciales creados por la presencia de reversión a la media y heterogeneidad en las tendencias de renta entre contribuyentes.We study how taxable income responds to changes in marginal tax rates, using as a main source of identifying variation three large reforms to the Spanish personal income tax implemented in the period 1999-2014. The most reliable estimates of the elasticity of taxable income (ETI) with respect to the net-of-tax rate for this period are between 0.45 and 0.64. The ETI is about three times larger for selfemployed taxpayers than for employees, and larger for business income than for labor and capital income. The elasticity of broad income (EBI) is smaller, between 0.10 and 0.24, while the elasticity of some tax deductions such as the one for private pension contributions exceeds one. Our estimates are similar across a variety of estimation methods and sample restrictions, and also robust to potential biases created by mean reversion and heterogeneous income trends

Using a construction technique to understand it: thin-tile vaulting

'The conservation and restoration of monuments must have recourse to all the sci-ences and techniques which can contribute to the study and safeguarding of the architectural heritage' [1]. The Venice Charter showed a new understanding of historical constructions’ conservation. In particular, the way that it is defined in the first two articles widen the field to give a prominent place to the conservation of cultural values and traditional techniques. Thirty years later, in 1994, the Nara Document on Authenticity defined conservation attaching great importance to the “efforts designed to understand cultural heritage” [2]. This paper presents the result of research aiming to understand the material performance, con-struction processes and structural behavior of a traditional technique that has given countless examples of architectural heritage and can itself be considered as a cultural and heritage value to be preserved: thin-tile vaulting (or Catalan vaulting). The final outcome of this research is a pavilion entirely built with the mentioned technique. The building exhibits the possibilities of the technique in terms of material expressiveness, formal appearance and structural behavior. The whole process of erecting the building meant necessary research from three perspectives: historical, analytical and experimental. The processes of design, construction and structural analysis are presented in this communica-tion giving a new perspective and broader understanding of the technique to give hints that could help in the conservation and restoration of existing specimens. “…the essential contribution made by the consideration of authenticity in conservation practice is to clarify and illuminate the collective memory of humanity” [2].Postprint (published version