Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling

We will focus on estimating the integrated covariance of two diffusion processes observed in a nonsynchronous manner. The observation data is contaminated by some noise, which is possibly correlated with the returns of the diffusion processes, while the sampling times also possibly depend on the observed processes. In a high-frequency setting, we consider a modified version of the pre-averaged Hayashi-Yoshida estimator, and we show that such a kind of estimators has the consistency and the asymptotic mixed normality, and attains the optimal rate of convergence.Comment: 45 pages. arXiv admin note: text overlap with arXiv:1302.520

To steal or not to steal: Firm attributes, legal environment, and valuation

Newly released data on corporate governance and disclosure practices reveal wide within-country variation, with the variation increasing as legal environment gets less investor friendly. This paper examines why firms practice high-quality governance when law does not require it; firm attributes that are related to the quality of governance; how the attributes interact with legal environment; and the relation between firm valuation and corporate governance. A simple model, in which a controlling shareholder trades off private benefits of diversion against costs that vary across countries and time, identifies three relevant firm attributes: investment opportunities, external financing, and ownership structure. Using firm-level governance and transparency data on 859 firms in 27 countries, we find that firms with greater growth opportunities, greater needs for external financing, and more concentrated cash flow rights practice higher-quality governance and disclose more. Moreover, firms that score higher in governance and transparency rankings are valued higher in the stock market. Equally important, all these relations are stronger in countries that are less investor friendly, demonstrating that firms do adapt to poor legal environments to establish efficient governance practices.http://deepblue.lib.umich.edu/bitstream/2027.42/39939/3/wp554.pd

Is there a pensions crisis in the UK?

The UK pension system is traditionally seen as offering a good example to other countries, having features such as a low social security burden of the public sector as well as a high coverage of well-financed voluntary private schemes. But recent developments suggest that the model has shown weaknesses. The most pressing current issue is underfunding of defined benefit occupational schemes following the bear market; but there are also the ongoing crises of mis-selling of personal pensions and the failure of Equitable Life insurance company. In this paper we seek to investigate whether there is indeed a crisis and what the locus of the true crisis is. We find that there are important longer-term weaknesses of the UK system as well as these current difficulties, focusing on social security as well as private pensions. Pitfalls faced by UK policymakers offer important lessons to other countries seeking to set up or expand private pension provision

Extending the original position : revisiting the Pattanaik critique of Vickrey/Harsanyi utilitarianism

Harsanyi's original position treats personal identity, upon which each individual's utility depends, as risky. Pattanaik's critique is related to the problem of scaling "state-dependent" von Neumann-Morgenstern utility when determining subjective probabilities. But a unique social welfare functional, incorporating both level and unit interpersonal comparisons, emerges from contemplating an "extended" original position allowing the probability of becoming each person to be chosen. Moreover, the paper suggests the relevance of a "Harsanyi ethical type space", with types as both causes and objects of preference

A test for the rank of the volatility process: the random perturbation approach

In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Ito semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Ito semimartingale, which opens the way for rank testing. We develop the complete limit theory for the test statistic and apply it to various null and alternative hypotheses. Finally, we demonstrate a homoscedasticity test for the rank process.Comment: 30 page

On the existence of Bayesian Cournot equilibrium

We show that even in very simple oligopolies with differential information a (Bayesian) Cournot equilibrium in pure strategies may not exist, or be unique. However, we find sufficient conditions for existence, and for uniqueness, of Cournot equilibrium in a certain class of industries. More general results arise when negative prices are allowed

Tuomi Logistiikan taloustiimin perehdytyksen kehittäminen

Tuomi Logistiikka Oy on Tampereen kaupungin ja Pirkanmaan sairaanhoitopiirin omistama hankinta- ja logistiikkayhtiö. Yhtiön tukipalveluiden yhtenä osa-alueena toimii taloustiimi, joka koostuu talouspäälliköstä, controllerista, assistant controllerista ja talousassistenteista. Taloustiimin keskuudessa oli lähtötilanteessa paljon hiljaista tietoa, eikä kirjallisia työohjeita ollut. Materiaalien ja näkyvien käytänteiden puuttuessa perehdyttäminen koettiin hankalaksi ja laadultaan epätasaiseksi. Perehdytyksen toteutustapa, muodot ja sisältö vaihtelivat tilanteesta toiseen ja olivat riippuvaisia perehdytyksen toteuttamisesta vastuussa olleen henkilön omista tottumuksista ja työtavoista. Tämän toiminnallisen opinnäytetyön tarkoituksena oli kirjoittaa puuttuvia työohjeita taloustiimin talousassistentin tehtäviin. Tarkoituksena oli myös luoda tiimille intranet, johon tarvittavat työohjeet kerättiin. Opinnäytetyön tavoitteena oli kehittää taloustiimin työntekijöiden perehdytystä ja sitä kautta kehittää osaamista ja työn tuloksellisuutta. Opinnäytetyön aluksi kerättiin taloustiimin työntekijöiltä tietoa heidän perehdytyksestään sekä kehittämiskohteista. Tiedonkeruu suoritettiin keskustellen ja sähköpostin välityksellä. Intranet luotiin alisivustona yrityksen yhteiseen intranettiin. Taloustiimin intranet luotiin visuaalisesti yhteneväksi Tuomi Logistiikan yhteisen intranetin kanssa. Intranettiin luotiin seuraavat osiot: taloustiimin esittely, ilmoitukset, uutiset, linkit, yhteystiedot, laskutuksen ohjeet ja HR-ohjeet. Puuttuvat työohjeet kirjoitettiin sähköiseen muotoon ja kerättiin intranettiin kaikkien saataville.Tuomi Logistiikka Oy provides procurement and logistics services to the owners: the City of Tampere and the Pirkanmaa Hospital District. The financial team is part of the support services in the company, consisting of professionals such as the financial manager, a controller, an assistant controller and assistants. There was a lot of tacit knowledge in the financial team but shortage of documents, written instructions and guidance. The lack of directions, formal guidelines and conventions caused difficulties in briefing and coaching the employees. The quality, methods, forms and contents of briefing and coaching varied a lot and depended on the person who was responsible for training a new employee. Personal habits, practices, understanding and impressions determined what was taught, when and how. It was obvious that this was an inefficient, inadequate and prolonged way of training. The purpose of this study was to collect all the essential, but too fragmentary information and write down the missing instructions and guidelines for the financial assistant’s job. Another purpose of this study was to develop the internal website (intranet) for the financial team of Tuomi Logistiikka. All the instructions and documents were supposed to be easily found on the new intranet. The aim of this study was to develop the orientation and training of the employees within the team and thereby increase professional skills and productivity. The financial team’s intranet was visually and functionally modified to be an essential part of the company’s main intranet. The new intranet includes the following substance sections: the introduction of the financial team, notifications, news,links, contact information, invoicing instructions and guidelines for human resources

Outward FDI and domestic input distortions: evidence from Chinese Firms

Session 5: 3-A (Invited)This paper studies how discriminations against private enterprises (i.e., non-state-owned enterprises or non-SOEs) in the domestic market affect .rms. investment and production strategies abroad. We first document three puzzling empirical findings using data on Chinese multinational companies (MNCs). First, private MNCs are less productive than state-owned MNCs. Second, SOEs are less likely to undertake FDI. Third, relative size of state-owned MNCs (compared with non-exporting or non-FDI firms) is larger than that of private MNCs. A theoretical model is built to rationalize these facts. The economic force is that distortions in the domestic input market incentivize private firms to invest and produce abroad, which results in less tougher self-selection into FDI for those .rms. Compared with state-owned MNCs, private MNCs allocate output disproportionately more in the foreign market, and their size increases disproportionately when they become MNCs. All such theoretical pre- dictions are strongly supported by the firm-level data of China.postprin

Effects of international diffusion of a general purpose technology on wage inequality

This paper studies the effects of the diffusion of a General Purpose Technology (GPT) that spreads first within the developed North country of its origin, and then to a developing South country. In the developed general equilibrium growth model, each final good can be produced by one of two technologies. Each technology is characterized by a specific labor complemented by a specific set of intermediate goods, which are enhanced periodically by Schumpeterian R&D activities. When quality reaches a threshold level, a GPT arises in one of the technologies and spreads first to the other technology within the North. Then, it propagates to the South, following a similar sequence. Since diffusion is not even, neither intra- nor inter-country, the GPT produces successive changes in the direction of technological knowledge and in inter- and intra-country wage inequality. Through this mechanism the different observed paths of wage inequality can be accommodated

Tullock contests with asymmetric information

We show that under standard assumptions a Tullock contest with asymmetric information has a pure strategy Bayesian equilibrium. Moreover, two-player common-value Tullock contests in which one of the players has an information advantage have a unique equilibrium. In equilibrium both players exert the same expected effort, and although the player with information advantage wins the prize with probability less than one-half, his payoff is greater or equal to that of his opponent. In common-value Tullock contests with more players any information advantage is rewarded, but the other properties of two players contests do not holdMoreno gratefully acknowledges financial support from the Ministerio de Ciencia e Innovación, grant ECO2011-­2976