20 research outputs found
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 examinĂ© la relation entre la formation d'habitudes et le concept de prudence de Kimball. En utilisant d'abord le modĂšle de deux pĂ©riodes de Kimball, nous avons dĂ©montrĂ© que la formation d'habitudes mĂšne Ă une prime de prudence plus Ă©levĂ©e et une plus grande Ă©pargne prĂ©cautionnelle, pourvu que l'individu ait une prudence absolue dĂ©croissante. Nous avons ensuite dĂ©veloppĂ© le modĂšle afin d'investiguer la relation entre prudence et formation d'habitudes dans un sytĂšme Ă multiples pĂ©riodes. Nous avons dĂ©montrĂ© que, mĂȘme s'il n'y a pas de formation d'habitudes, la prime de prudence n'est pas positive sauf si la propension marginale Ă la richesse est constante. Par la suite, nous avons trouvĂ© qu'il n'est pas possible de conclure, mĂȘme dans le cas d'une fonction d'utilitĂ© avec une simple formation d'habitudes, que les habitudes augmentent ou diminuent la prime prĂ©cutionnelle Ă la Kimball quand il y a de multiples pĂ©riodes.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 modĂšle intertemporel de consommation et d'Ă©pargne avec incertitude, contraintes de liquiditĂ© et formation d'habitudes, nous avons dĂ©montrĂ© que les habitudes peuvent ĂȘtre un coussin contre les contraintes de liquiditĂ©s en poussant mĂȘme un individu impatient vers un choix d'un montant de consommation moins Ă©levĂ©.Habit formation, liquidity constraints, income uncertainty, Formation d'habitudes, contrainte de liquiditĂ©, 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 modĂšle intertemporel de consommation et d'Ă©pargne avec revenu stochastique et formation d'habitudes, nous avons dĂ©montrĂ© que l'Ă©pargne prĂ©cautionnelle observĂ©e dans les donnĂ©es peut ĂȘtre attribuĂ©e non seulement Ă l'incertitude de revenu0501s aussi Ă l'insĂ©parabilitĂ© des prĂ©fĂ©rences. Nous avons trouvĂ© que, avec les prĂ©fĂ©rences qui forment des habitudes, la consommation dĂ©pend non seulement du revenu permanent0501s aussi de niveaux de consommations passĂ©s. De plus, plus les habitudes sont rĂ©sistantes, moins grand sera l'effet de l'incertitude de revenu sur la consommation. Pour un coĂ©fficient constant fixĂ© de l'aversion au risque, le consommateur avec habitudes va avoir une Ă©pargne prĂ©cautionnelle plus basse par unitĂ© de risque de revenu par rapport Ă celle avec des prĂ©fĂ©rences temps-sĂ©parables. En introduisant la formation d'habitudes dans la consommation, et en supposant seulement des innovations i.i.d., nous avons trouvĂ© une solution fermĂ©e qui explique les trois Ă©nigmes de consommation, l'excĂšs de sensitivitĂ©, l'excĂšs de lissetĂ© et l'excĂšs de croissance anticipĂ©e, et qui propose un meilleur modĂšle pour tester le trajet de la consommation pendant le cycle Ă©conomique.Intertemporal consumption-saving, habit formation, dynamic programming, Consommation/Ă©pargne 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 modĂšle intertemporel de consommation et d'Ă©pargne avec incertitude de revenu et durabilitĂ©, nous avons trouvĂ© une solution fermĂ©e pour la consommation et dĂ©rivĂ© l'Ă©pargne prĂ©cautionnelle. Avec l'hypothĂšse de durabilitĂ©, la consommation a une rĂ©action plus intense au revenu permanent par rapport au modĂšle standard et aussi rĂ©agit aux niveaux passĂ©s du revenu permanent avec une alternation de signe. En plus, l'effet de l'incertitude de revenu sur la consommation est plus Ă©levĂ© par rapport au cas avec les prĂ©fĂ©rences temps non sĂ©parables. C'est-Ă -dire, quand la force de durabilitĂ© augmente, le niveau de l'Ă©pargne prĂ©cautionnelle contre l'incertitude de revenu doit ĂȘtre plus Ă©levĂ©.Durability, precautionary savings, DurabilitĂ©, Ă©pargne prĂ©cautionnelle
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 modÚle 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 adressĂ©es Ă la fonction d'utilitĂ© additive est qu'elle ne permet pas de distinguer l'aversion pour le risque de l'Ă©lasticitĂ© de substitution intertemporelle; plus exactement le paramĂštre de l'aversion pour le risque est Ă la fois l'inverse de l'Ă©lasticitĂ© de substitution intertemporelle. Cette critique est particuliĂšrement pertinente lorsqu'il s'agit de rendre compte du taux d'intĂ©rĂȘt sans risque et de la prime de risque. Mon intĂ©rĂȘt dans ce travail est d'incorporer l'hypothĂšse de formation d'habitudes avec des prĂ©fĂ©rences rĂ©cursives dans un modĂšle du facteur d'escompte stochastique. L'idĂ©e gĂ©nĂ©rale 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 prĂ©visibilitĂ© des excĂšs-rendements des actifs risquĂ©s. Cette transformation est une bonne candidate capable de produire une aversion de risque temps-variĂ©e et qui peut apporter une meilleure performance aux Ă©tudes empiriques.Recursive preferences, habit formation, risk aversion, PrĂ©fĂ©rences rĂ©cursives, 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