Home advantage in Turkish professional soccer

Home advantage is known to play an important role in the outcome of professional soccer games, and to vary considerably worldwide. In the Turkish Super League over the last 12 years, 61.5% of the total points gained have been won by the home team, a figure similar to the worldwide average and to the Premier League in England. It is lower (57.7%) for games played between teams from Istanbul and especially high for games involving teams from cities in the more remote and ethically distinct parts of Turkey (Van and Diyarbakir). Match performance data show that although home teams in Turkey take 26% more shots at goal than away teams, the success rates for shots do not differ. For fouls and disciplinary cards, home and away teams do not differ significantly in Turkey, a finding that that differs from games in England, perhaps due to less referee bias.Home advantage,professional soccer

Habit Formation: A Kind of Prudence?

In this paper we have examined the relationship between habit formation and Kimball's concept of prudence. Using first, Kimball's two-period model we have shown that habit formation leads to a larger prudence premium and greater precautionary saving, provided that the individual has decreasing absolute prudence. Then, we have extended the model to investigate the relationship between prudence and habit formation in a multi-period framework. We have shown that, even when there is no habit formation, the prudence premium is not unambiguously positive unless the marginal propensity out of wealth is constant. Then we have found that it is not possible to conclude, even with the utility function exhibiting a simple form of habit formation, that habits increase or decrease the precautionary premium ''in the sense of Kimball'' when there exists multiple periods. Dans cet article, nous avons examiné la relation entre la formation d'habitudes et le concept de prudence de Kimball. En utilisant d'abord le modèle de deux périodes de Kimball, nous avons démontré que la formation d'habitudes mène à une prime de prudence plus élevée et une plus grande épargne précautionnelle, pourvu que l'individu ait une prudence absolue décroissante. Nous avons ensuite développé le modèle afin d'investiguer la relation entre prudence et formation d'habitudes dans un sytème à multiples périodes. Nous avons démontré que, même s'il n'y a pas de formation d'habitudes, la prime de prudence n'est pas positive sauf si la propension marginale à la richesse est constante. Par la suite, nous avons trouvé qu'il n'est pas possible de conclure, même dans le cas d'une fonction d'utilité avec une simple formation d'habitudes, que les habitudes augmentent ou diminuent la prime précutionnelle à la Kimball quand il y a de multiples périodes.Habit formation, prudence, Formation d'habitudes, prudence

Consumption with Liquidity Constraints and Habit Formation

In an intertemporal consumption-saving model with uncertainty, liquidity constraints and habit formation, we have shown that habits can be a cushion against liquidity constraints by pushing even the impatient individual towards a choice of lower level of consumption. Dans un modèle intertemporel de consommation et d'épargne avec incertitude, contraintes de liquidité et formation d'habitudes, nous avons démontré que les habitudes peuvent être un coussin contre les contraintes de liquidités en poussant même un individu impatient vers un choix d'un montant de consommation moins élevé.Habit formation, liquidity constraints, income uncertainty, Formation d'habitudes, contrainte de liquidité, incertitude de revenu

Consumption with Habit Formation

In a representative-agent model of intertemporal consumption-saving with stochastic income and habit formation, we have shown that precautionary savings observed in the data cannot be attributed only to income uncertainty, but also to the time-non-separability of preferences. We have found that, with habit-forming preferences, consumption depends not only on permanent income but also on past consumption and the stronger the habits the lower the effect of income uncertainty on consumption. For a given constant coefficient of risk aversion, habit-forming consumer will have smaller precautionary savings per unit of income risk faced than the one with time-separable preferences. By allowing habit forming preferences in consumption, a closed form solution, explaining excess-sensitivity, excess-smoothness and excess-growth puzzles of consumption, and thus, providing a better framework for empirically testing the behavior of consumption over the business cycle, is found with only i.i.d. income innovations. Dans un modèle intertemporel de consommation et d'épargne avec revenu stochastique et formation d'habitudes, nous avons démontré que l'épargne précautionnelle observée dans les données peut être attribuée non seulement à l'incertitude de revenu0501s aussi à l'inséparabilité des préférences. Nous avons trouvé que, avec les préférences qui forment des habitudes, la consommation dépend non seulement du revenu permanent0501s aussi de niveaux de consommations passés. De plus, plus les habitudes sont résistantes, moins grand sera l'effet de l'incertitude de revenu sur la consommation. Pour un coéfficient constant fixé de l'aversion au risque, le consommateur avec habitudes va avoir une épargne précautionnelle plus basse par unité de risque de revenu par rapport à celle avec des préférences temps-séparables. En introduisant la formation d'habitudes dans la consommation, et en supposant seulement des innovations i.i.d., nous avons trouvé une solution fermée qui explique les trois énigmes de consommation, l'excès de sensitivité, l'excès de lisseté et l'excès de croissance anticipée, et qui propose un meilleur modèle pour tester le trajet de la consommation pendant le cycle économique.Intertemporal consumption-saving, habit formation, dynamic programming, Consommation/épargne intertemporelles, formation d'habitudes, programmation dynamique

Consumption with Durability

Using a dynamic programming framework, in an intertemporal consumption-saving model with income uncertainty and durability, we have found a closed form solution for consumption. Also, the precautionary savings term arising from the riskiness of income is formally derived. With durability assumption, consumption has a higher response to permanent income than the one in the standard model, and also responds to a distributed lag of past permanent incomes with alternating signs. Furthermore, the effect of income uncertainty is greater on consumption relative to the case with time-separable preferences. That is, as the strength of durability increases, the level of precautionary savings against income uncertainty will be higher. En utilisant la programmation dynamique, dans un modèle intertemporel de consommation et d'épargne avec incertitude de revenu et durabilité, nous avons trouvé une solution fermée pour la consommation et dérivé l'épargne précautionnelle. Avec l'hypothèse de durabilité, la consommation a une réaction plus intense au revenu permanent par rapport au modèle standard et aussi réagit aux niveaux passés du revenu permanent avec une alternation de signe. En plus, l'effet de l'incertitude de revenu sur la consommation est plus élevé par rapport au cas avec les préférences temps non séparables. C'est-à-dire, quand la force de durabilité augmente, le niveau de l'épargne précautionnelle contre l'incertitude de revenu doit être plus élevé.Durability, precautionary savings, Durabilité, épargne précautionnelle

Consumption-Leisure Choice with Habit Formation

In an intertemporal consumption-leisure choice model with wage uncertainty, and habit-forming consumption, we have shown that, consumption and leisure do move in opposite directions, consistent with the observed pro-cyclicy of aggregate hours worked. Dans un modèle intertemporel de consommation et de loisir avec incertitude salariale et formation d'habitudes, nous avons démontré que la consommation et le loisir se déplacent vers des directions opposées, ce qui est consistant avec la procyclicité observée des heures travaillées.Habit formation, consumption-leisure choice, Formation d'habitudes, choix de consommation/loisir

Habit Formation with Recursive Preferences

In the literature of financial economics, there has not been introduced yet a model which is capable of explaining at the same time high risk premium and low risk-free rate. Mehra and Prescott (1985) have found that it requires implausibly high levels of risk aversion on the part of the representative agent in order to reconcile these two puzzles. On the other hand, if the extremely risk averse agent hypothesis is taken to be true, then the classical consumption theory cannot explain empirically the risk-free interest rate puzzle unless a negative time preference rate is assumed. In this paper, we introduce habit formation into the consumption portfolio choice problem of infinitely lived representative agent with the Epstein-Zin preferences. We propose a better performing model than the one with the conventional additive and homogenous von Neuman Morgenstern intertemporal utility function in dealing with these two puzzles. It is well known that the specification of recursive preferences has the advantage of partially disentangling the intertemporal substitution and the risk aversion. On the other hand, a utility function with habit forming preferences implies temporal non-separability, since high past levels of consumption decrease the instantaneous utility level. This, in turn, modifies the optimality conditions and the expression of the risk premium. L'une des critiques habituelles adressées à la fonction d'utilité additive est qu'elle ne permet pas de distinguer l'aversion pour le risque de l'élasticité de substitution intertemporelle; plus exactement le paramètre de l'aversion pour le risque est à la fois l'inverse de l'élasticité de substitution intertemporelle. Cette critique est particulièrement pertinente lorsqu'il s'agit de rendre compte du taux d'intérêt sans risque et de la prime de risque. Mon intérêt dans ce travail est d'incorporer l'hypothèse de formation d'habitudes avec des préférences récursives dans un modèle du facteur d'escompte stochastique. L'idée générale est le fait que l'aversion de risque peut varier avec le temps. Avec une aversion de risque qui n'est pas constante, on peut expliquer la prévisibilité des excès-rendements des actifs risqués. Cette transformation est une bonne candidate capable de produire une aversion de risque temps-variée et qui peut apporter une meilleure performance aux études empiriques.Recursive preferences, habit formation, risk aversion, Préférences récursives, formation d'habitudes, aversion au risque

Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis

Although the market for Canadian paintings is now of substantial magnitude, with several works having recently sold for well over a million dollars, it remains true that with very few exceptions, the works of Canadian painters are bought and sold only in Canada and held only by Canadian collectors. This market can thus be viewed as almost exclusively local, and it is therefore not clear that there should be any linkage between price movements for Canadian art and those for the mainstream international market in old master, impressionist, and modern art. This paper investigates the presence and nature of such time series dependence econometrically, both in terms of long term trends as reflected in the co-integrating relationship between Canadian and the international market, and in terms of short-run co-movements as represented in correlations. The possibility that the local market "follows" the international one is also considered through an analysis of Granger-Causality. For Canadian art prices we use a new hedonic index that has been computed using an updated version of the data set of Hodgson and Vorkink (2004), while for the international prices, we use an index provided by Mei and Moses.Alternative investments, Economics of art markets, Market for paintings, Time series analysis, CAPM,

Home advantage in Turkish professional soccer

Home advantage is known to play an important role in the outcome of professional soccer games, and to vary considerably worldwide. In the Turkish Super League over the last 12 years, 61.5% of the total points gained have been won by the home team, a figure similar to the worldwide average and to the Premier League in England. It is lower (57.7%) for games played between teams from Istanbul and especially high for games involving teams from cities in the more remote and ethically distinct parts of Turkey (Van and Diyarbakir). Match performance data show that although home teams in Turkey take 26% more shots at goal than away teams, the success rates for shots do not differ. For fouls and disciplinary cards, home and away teams do not differ significantly in Turkey, a finding that that differs from games in England, perhaps due to less referee bias

Home advantage in Turkish professional soccer

Home advantage is known to play an important role in the outcome of professional soccer games, and to vary considerably worldwide. In the Turkish Super League over the last 12 years, 61.5% of the total points gained have been won by the home team, a figure similar to the worldwide average and to the Premier League in England. It is lower (57.7%) for games played between teams from Istanbul and especially high for games involving teams from cities in the more remote and ethically distinct parts of Turkey (Van and Diyarbakir). Match performance data show that although home teams in Turkey take 26% more shots at goal than away teams, the success rates for shots do not differ. For fouls and disciplinary cards, home and away teams do not differ significantly in Turkey, a finding that that differs from games in England, perhaps due to less referee bias