The value of coskewness in evaluating mutual funds

Recent asset pricing studies demonstrate the relevance of incorporating the 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 funds performance evaluation. We find evidence that adding a coskewness factor is economically and statistically significant. We document that some managers are managing the coskewness and show, in general, a persistent behaviour on time in their coskewness policy. 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, a ranking of funds based on risk adjusted returns without considering coskewness would generate an erroneous classification. Moreover, some fund characteristics, such as the turnover ratio or the category, are related to the likelihood of managing coskewness

Pricing to Market at firm level

This paper tries to contribute to the renewed literature about price differences across countries (the so-called border effect). Specifically, it analyzes the reasons underlying changes in relative prices across export/domestic markets for an open economy. The theoretical benchmark, based on the existence of Pricing to Market strategies, also takes into account some hypotheses about the effects of demand variations and market power on prices. The empirical analysis, using firm panel data for the nineties, points out the positive (though small) impact of the exchange rate on the evolution of price ratio. Additionally, the results also suggest a procyclical behavior of prices in both markets, which is positively affected by the degree of competition. Though data do not allow an in-depth analysis, some hypothesis in terms of foreseeable effects of the European Monetary Union on relative prices are provided.

Domestic and foreign price-marginal cost margins: an application to Spanish manufacturing firms

The objective of this paper is to analyse the differences in price-marginal cost margins of the export and domestic markets by the estimation of a multiproduct cost function. We apply this method to a panel of Spanish export manufacturing firms from the period 1990-1997. Some results emerge from the estimations. First, price-marginal cost margins in domestic markets are larger than foreign margins throughout the period. Second, price-marginal cost margins are procyclical in the domestic market but there is no evidence of this behaviour in the foreign markets. Third, there is no evidence that export firms used the devaluation of the currency to increase their margins. Finally, price-cost margins reveal some degree of heterogeneity across industries in both markets.Marginal cost, price-cost margins, translog cost function, export firm

The effect of international trade on mark-ups distribution

This paper presents empirical evidence about the relationship between market openness and markup distribution of manufacturing firms. The empirical analysis uses a panel data set of Spanish firms in the period 1990-2005, with a structural approach that lets us to identify individual mark-ups. The results point out that tougher competition associated to openness reduces the average of marginal costs and prices, while it increases the average firm size. However, the evidence about the effect on average markups and the dispersion of performance variables is weaker. These results partially support the theoretical predictions by the recent literature on efficiency heterogeneity and international trade and, in particular, Melitz and Ottaviano (2008).markups, marginal costs, size, openness

Markups, bargaining power and offshoring: an empirical assessment

This paper tests the pro-competitive effect of imports on product and labour markets for Spanish manufacturing firms in the period 1990-2005. In doing so, it takes into account the type of imported products: final vs intermediate. Markups are estimated following the procedure suggested by Roeger (1995) and including an efficient bargaining model. The observed heterogeneity among firms is parameterized to consider additional product standardization and market concentration. The results support the Imports as Market Discipline hypothesis for importers of final goods, while firms that offshore intermediate inputs show similar markups to non-importers. Additionally, the union bargaining power is smaller the more final-goods oriented imports are and the more homogeneous is the type of goods elaborated by firms.Markups, offshoring, bargaining power

Markups, bargaining power and offshoring: An empirical assessment

This paper tests the pro-competitive effect of imports on product and labour markets for Spanish manufacturing firms in the period 1990-2005. In doing so, it takes into account the type of imported products: final vs intermediate. Markups are estimated following the procedure suggested by Roeger (1995) and including an efficient bargaining model. The observed heterogeneity among firms is parameterized to consider additional product standardization and market concentration. The results support the Imports as Market Discipline hypothesis for importers of final goods, while firms that offshore intermediate inputs show similar markups to non-importers. Additionally, the union bargaining power is smaller the more final-goods oriented imports are and the more homogeneous is the type of goods elaborated by firms.Markups, Offshoring, Bargaining power.

Accumulation of Heavy Metals in Franciscanas from Buenos Aires Province, Argentina

Marine mammals accumulate heavy metals in their tissues at different concentrations according to trophic levels and environmental conditions. The franciscana (Pontoporia blainvillei) is a small coastal species inhabiting the marine and estuarine areas of the Southwestern Atlantic Ocean. Its diet includes numerous species of small fish, squid and crustaceans. The aims of this study were to (i) assess the heavy metal concentration and burden distribution in different franciscana age classes and sex, and to (ii) evaluate both the accumulation processes and the transplacental transference of zinc, cadmium, copper and total mercury. Heavy metal concentrations (wet weight) were determined in eighteen dolphins by Atomic Absorption Spectrophotometry (AAS), by the cold vapour technique (mercury) or with air/acetylene flame (cadmium, zinc and copper). Liver showed the highest concentrations of mercury (max. 8.8 mg/g), zinc (max. 29.7 mg/g) and copper (max. 19.0 mg/g), whereas the highest cadmium concentrations (max. 6.7 mg/g) were found in kidney. Adults contained the highest concentrations for all heavy metals, followed by juveniles and calves in decreasing order, suggesting an age-related accumulation. No differences (p<0.05) were found between sexes within each age class. Organ burden distribution followed the same pattern for all metals and age classes: liver tissues contained maximum burdens. Mercury concentrations were higher than those of cadmium in both foetuses and newborns; and neither metal could be detected in the foetus. The analysed data suggested differences in the placental transference between metals, being significant for mercury and almost null in the case of cadmium. We can conclude that franciscana accumulates heavy metals and, due to its coastal distribution, it may be considered as a biomonitor of its environment. SPANISH: Los mamíferos marinos acumulan metales pesados en sus tejidos cuyas concentraciones están en relación con su nivel trófico y las condiciones ambientales. La franciscana (Pontoporia blainvillei) es una especie costera que habita áreas marinas y estuariales en el Atlántico Sudoccidental. Su dieta está constituída por peces, como item alimentario principal, calamares y crustáceos. El objetivo del presente trabajo es estudiar la distribución de metales pesados en diferentes clases de edad y en ambos sexos, evaluando procesos de acumulación y cargas de cadmio, mercurio total, cinc y cobre. Las concentraciones de metales pesados (en peso húmedo) fueron determinadas en dieciocho delfines por Espectrofotometría de Absorción Atómica (EAA), usando la técnica de vapor frío (mercurio) o llama de aire/acetileno (cadmio, cinc y cobre). El hígado presentó las concentraciones más altas de mercurio (máx. 8,8 mg/g), cinc (máx. 29,7 mg/g) y cobre (máx. 19,0 mg/g), mientras que las más altas de cadmio (máx. 6,7 mg/g) fueron encontradas en el riñón. Los adultos presentaron los niveles más altos, presentando los juveniles y cachorros concentraciones menores, lo cual sugirió una acumulación con la edad. No se encontraron diferencias significativas (p < 0,05) entre sexos dentro de cada clase de edad. Las cargas de metales pesados en los órganos presentaron la misma disribución para todos los metales y clases de edad. Los valores más altos fueron encontrados en el hígado, incluyendo los correspondientes a cadmio. Las concentraciones de mercurio y cadmio fueron no detectables en el feto, mientras que las de mercurio fueron superiores a las de cadmio en los cachorros. Los datos encontrados en el feto sugieren una transferencia nula a través de la placenta. Podemos concluir que P.blainvillei acumula metales pesados en sus tejidos y debido a su distribución costera, esta especie puede ser considerada como un biomonitor de su ambiente

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;