The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of substitution in the 1984–2002 period. The result is driven by the skewness of the cluster-based cross-sectional distribution of consumption growth, but cannot be explained by the cross-sectional variance and mean alone. We find that nine clusters are sufficient to explain the equity premium with relative risk aversion coefficient equal to six. The result is robust to various averaging schemes of cluster-based consumption growth used to construct the SDF. Lastly, the analysis reveals that standard approximation schemes of the SDF using individual household data produce unreliable results, implying a negative SDF.     

Regression analysis with partially labelled regressors: carbon dating of the Shroud of Turin

The twelve results from the 1988 radio carbon dating of the Shroud of Turin show surprising heterogeneity. We try to explain this lack of homogeneity by regression on spatial coordinates. However, although the locations of the samples sent to the three laboratories involved are known, the locations of the 12 subsamples within these samples are not. We consider all 387,072 plausible spatial allocations and analyse the resulting distributions of statistics. Plots of robust regression residuals from the forward search indicate that some sets of allocations are implausible. We establish the existence of a trend in the results and suggest how better experimental design would have enabled stronger conclusions to have been drawn from this multi-centre experiment.     

Matching and Network Effects

The matching of individuals in teams is a key element in the functioning of an economy. The network of social ties can potentially transmit important information on abilities and reputations and also help mitigate matching frictions by facilitating interactions among “screened” individuals. We conjecture that the probability of two individuals forming a team falls in the distance between the two individuals in the network of existing social ties. The objective of this paper is to empirically test this conjecture. We examine the formation of coauthor relations among economists over a twenty‐year period. Our principal finding is that a new collaboration emerges faster among two researchers if they are “closer” in the existing coauthor network among economists. This proximity effect on collaboration is strong: Being at a network distance of 2 instead of 3, for instance, raises the probability of initiating a collaboration by 27%. (JEL: C78, D83, D85)     

Medicine as a human science between the singularity of the patient and technical scientific reproducibility

Poiesis &; Praxis - The often-emphasized tension between the singularity of the patient and technical–scientific reproducibility in medicine cannot be resolved without a discussion of the...     

Within-Animal Variation as an Indication of the Minimal Magnitude of the Critical Effect Size for Continuous Toxicological Parameters Applicable in the Benchmark Dose Approach

In this study, the within-animal variation in routinely studied continuous toxicological parameters was estimated from temporal fluctuations in individual healthy nonexposed animals. Assuming that these fluctuations are nonadverse, this within-animal variation may be indicative of the minimal magnitude of the critical effect size (CES). The CES is defined as the breaking point between adverse and nonadverse changes in a continuous toxicological parameter, at the level of the individual organism. The total variation in the data from individual nonexposed animals was divided in variation parts due to known factors (differences in sex, animal, and day) and a residual variation, by means of analysis of variance. Using the residual variation and the estimated analytical measurement error of a toxicological parameter, the within-animal variation can be estimated. The data showed within-animal variations ranging between 0.6% and 34% for different clinical chemistry and hematological parameters in 90-day rat studies. This indicates that different (minimal) CES values may be applicable for different parameters.     

Adaptive choice of scale tests in flexible two-stage designs with applications in experimental ecology and clinical trials

In this paper, the two-sample scale problem is addressed within the rank framework which does not require to specify the underlying continuous distribution. However, since the power of a rank test depends on the underlying distribution, it would be very useful for the researcher to have some information on it in order to use the possibly most suitable test. A two-stage adaptive design is used with adaptive tests where the data from the first stage are used to compute a selector statistic to select the test statistic for stage 2. More precisely, an adaptive scale test due to Hall and Padmanabhan and its components are considered in one-stage and several adaptive and non-adaptive two-stage procedures. A simulation study shows that the two-stage test with the adaptive choice in the second stage and with Liptak combination, when it is not more powerful than the corresponding one-stage test, shows, however, a quite similar power behavior. The test procedures are illustrated using two ecological applications and a clinical trial.     

Changes in Management Ownership and the Valuation Effects of Equity Offerings

Seasoned equity issues trigger share price declines, and this is usually interpreted as evidence of signalling. We find that seasoned equity issues also typically result in much lower managerial ownership in U.S. firms. Jensen and Meckling (1976) predict a stock price decline when managerial ownership falls. We conduct several tests to distinguish agency explanations form signalling explanations, and conclude that both effects are present.     

Integration,Participation, Identity: Immigrant Associations in the Province of Milan

The paper presents some results from a multi‐year research project on immigrant associations in the province of Milan, Italy. The analysis yields numerous issues for reflection and recurrent features of particular significance. The first is the fact that for all the associations surveyed, their main goal and the essential reason for their existence was the desire to integrate their community of membership into the host society. However, such integration did not consist in a desire to be assimilated into Italian society. Quite the opposite: the majority of the associations studied were wholly committed to maintaining ‐‐ and sometimes rediscovering ‐‐ the identity and culture of their reference community. The second main feature is that immigrant associations are crucial nodes in a dense network of relations involving numerous actors of very different kinds: the immigrants themselves, other immigrant associations, third‐sector organizations, and the local authorities. The third and final important issue concerns the representativeness of immigrant associations: whether, that is, they can be considered the legitimate representatives of the community of membership.