Using Samples of Unequal Length in Generalized Method of Moments Estimation

Many applications in financial economics use data series with different starting or ending dates. This paper describes an estimation method, based on the generalized method of moments (GMM), which makes use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, symptotically normal, and more efficient asymptotically than standard GMM. We illustrate these estimators in an application to mutual fund performance evaluation. Both estimators are extended to general patterns of missing data, and shown to be more efficient than estimators that ignore intervals of the data, and thus more efficient than standard GMM

Using Samples of Unequal Length in Generalized Method of Moments Estimation

This paper describes estimation methods, based on the generalized method of moments (GMM), applicable in settings where time series have different starting or ending dates. We introduce two estimators that are more efficient asymptotically than standard GMM. We apply these to estimating predictive regressions in international data and show that the use of the full sample affects inference for assets with data available over the full period as well as for assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones

Does Mutual Fund Performance Vary over the Business Cycle?

Conditional factor models allow both risk loadings and performance over a period to be a func- tion of information available at the start of the period. Much of the literature to date has allowed risk loadings to be time-varying while imposing the assumption that conditional performance is constant. We develop a new methodology that allows conditional performance to be a function of information available at the start of the period. This methodology uses the Euler equation restriction that comes out of the factor model rather than the beta pricing formula itself. The Euler equation restrictions that we develop can be estimated using GMM. It is also possible to allow the factor returns to have longer data series than the mutual fund series as in Stambaugh (1997). We use our method to assess the conditional performance of funds in the Elton, Gruber and Blake (1996) mutual fund data set. Using dividend yield to track the business cycle, we nd that conditional mutual fund performance moves with the business cycle, with all fund types except growth performing better in downturns than in peaks. The converse holds for growth funds, which do better in peaks than in downturns

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, asymptotically normal, and more efficient asymptotically than standard GMM. We apply these methods to estimating predictive regressions in international data and show that the use of the full sample affects point estimates and standard errors for both assets with data available for the full period and assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones.

Corporate volunteering climate: mobilizing employee passion for societal causes and inspiring future charitable action

As a society, we grapple with a host of national and global social issues — ranging from hunger and poverty to education to financial stability. Today’s corporations are playing an increasing role in efforts to address such concerns, predominantly through corporate volunteering. Yet, because research on corporate volunteering has been primarily focused on the individual volunteer experience, we still know relatively little about how corporate volunteering can help address grand challenges. In this study, we introduce the concept of corporate volunteering climate in order to examine the broader, more system-level functioning of corporate volunteering in workplaces. Drawing on the sensemaking process, we theorize about how a corporate volunteering climate develops — to what extent is it driven by company-level policies versus employee convictions for a cause? We also explore the potential influence of corporate volunteering climate for volunteers and non-volunteers, both in terms of the workplace (through employee affective commitment) and in terms of the broader community (through employee intentions to volunteer, both in corporate opportunities and on personal time). The results of a study conducted with United Way Worldwide suggest that corporate volunteering climate not only arises through either employees’ belief in the cause or corporate policies, but also that these forces act as substitutes for one another. Moreover, by fostering a sense of collective pride among employees, this climate is related to affective commitment, as well as both corporate and personal volunteering intentions

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Many applications in financial economics use data series with different starting or ending dates. This paper describes an estimation method, based on the generalized method of moments (GMM), which makes use of all available data for each moment condition. We introduce two asymptotically equivalent estimators that are consistent, symptotically normal, and more efficient asymptotically than standard GMM. We illustrate these estimators in an application to mutual fund performance evaluation. Both estimators are extended to general patterns of missing data, and shown to be more efficient than estimators that ignore intervals of the data, and thus more efficient than standard GMM

Northern Borneo stalagmite records reveal West Pacific hydroclimate across MIS 5 and 6

Over the past decades, tropical stalagmite δ^(18)O records have provided valuable insight on glacial and interglacial hydrological variability and its relationship to a variety of natural climate forcings. The transition out of the penultimate glaciation (MIS 6) represents an important target for tropical hydroclimate reconstructions, yet relatively few such reconstructions resolve this transition. Particularly, comparisons between Termination 1 and 2 provide critical insight on the extent and influence of proposed climate mechanisms determined from paleorecords and model experiments spanning the recent deglaciation. Here we present a new compilation of western tropical Pacific hydrology spanning 0–160 ky BP, constructed from eleven different U/Th-dated stalagmite δ^(18)O records from Gunung Mulu National Park in northern Borneo. The reconstruction exhibits significant precessional power in phase with boreal fall insolation strength over the 0–160 ky BP period, identifying precessional insolation forcing as the dominant driver of hydroclimate variability in northern Borneo on orbital timescales. A comparison with a network of paleoclimate records from the circum-Pacific suggests the insolation sensitivity may arise from changes in the Walker circulation system. Distinct millennial-scale increases in stalagmite δ^(18)O, indicative of reduced regional convection, occur within glacial terminations and may reflect a response to shifts in inter-hemispheric temperature gradients. Our results imply that hydroclimate in this region is sensitive to external forcing, with a response dominated by large-scale temperature gradients

News and Perspectives: Words matter in primatology

Postings on social media on Twitter (now X), BioAnthropology News (Facebook), and other venues, as well as recent publications in prominent journals, show that primatologists, ecologists, and other researchers are questioning the terms “Old World” and “New World” due to their colonial implications and history. The terms are offensive if they result in erasing Indigenous voices and history, ignoring the fact that Indigenous peoples were in the Americas long before European colonization. Language use is not without context, but alternative terminology is not always obvious and available. In this perspective, we share opinions expressed by an international group of primatologists who considered questions about the use of these terms, whether primatologists should adjust language use, and how to move forward. The diversity of opinions provides insight into how conventional terms used in primatological research and conservation may impact our effectiveness in these domains