On a neglected aspect of portfolio choice: the role of the invested capital

In return-based portfolio choice models à la Markowitz, the amount of capital invested does not play a role, while in expected utility models it does. The aim of this paper is to bring out the connection between the amount of capital invested and the portfolio formation. In a general one-period framework, which also comprises illiquid assets held by the investor and the period income, we present results in finding the optimal portfolio weights and study the influence of the invested capital, the illiquid assets and the income on the portfolio formation. Special emphasis is put on HARA utility functions and the dependence of the amount invested risklessly on the invested capital. As a side result, we find that Markowitz portfolio choice is not fully compatible with expected utility reasoning.     

Chinese Transnationalism in Britain: A Longer History

This article looks at the early history of the British Chinese community in the light of transnational studies. It questions the belief that homeland and intradiasporic economic ties are predominantly new, save on the rare occasions that elites maintained them, and that early political transnationalism was less common still and even more sure to be elite based. In so doing, it draws attention to the role played by political elites in galvanising migrant communities. It also analyses the role played by class-based organisations in constructing transnational ties, a form of Chinese transnationalism that other studies fail to note. It finds that transnational practices and institutions pervaded the early community in its immigrant phases, both from below and from above. This immigration was overwhelmingly proletarian, but nonetheless transnational. Though basically economic, the transnational community was also political. Capturing a mass base among Chinese overseas was a central strategy of late-Qing dissidents. Crucially, China's early radicals shared a Cantonese origin with their compatriots in Britain, North America, Australia, and elsewhere. The article's findings challenge transnational theories, which stress contemporaneity, economics, and elites. The political cultivation of Chinese in Southeast Asia by Republicans and Communists has been the subject of numerous studies. Far less is known about analogous activities in Europe. By exploring early Republican and Communist influences on the Chinese in Britain, this article traces further paths along which diasporic nationalism spread.     

Activism and Willingness to Help in Union Organizing: Who Are the Activists?

Research on union renewal often cites a critical role for lay activism. This study examines determinants of activism and activism intentions among a broadly representative sample of U.S. union members. Hypotheses are developed from theory and previous research on union commitment and participation. Results for current activism are generally consistent with prior work. Extending the model to future intentions to help with organizing, an interesting contrast is that pro-union attitude influences appear much more important than do union instrumentality perceptions. This suggests that “covenant” rather than “exchange” concerns are more salient for this form of activism. Findings for ideological orientation support this interpretation.     

纳粹屠杀与南京暴行的研究:范式转变与比较启示

相对于第二次世界大战期间侵华日军南京暴行,纳粹屠杀的研究成果更为丰富、多样和体系化,研究范式经历了从"极权主义"到"结构主义",再到"魅力权威"的转变.这一转变将加害者从希特勒及纳粹领导层扩展到整个德国社会,进而产生了颠覆性的结果,即第三帝国的犯罪不仅是大规模受害者意义上的"大",而且还在于参与者的多;这一转变还揭示纳粹屠杀的受害者不仅仅是犹太人,还包括境内外大量的非犹太人.这一事实表明除了反犹主义外,第三帝国的系列意识形态信条,如民族主义、殖民主义等构造了众多德国人愿意参与纳粹犯罪的条件.民族主义的心态和认同导致了受害者和加害者之间共有的人性感的降低,进而导致后者的道德标准的丧失;殖民活动与种族上的"他者"的出现使优越感和轻蔑的态度盛行,这些心态提供了纳粹屠杀和南京暴行比较研究的重要起点,而殖民地经历及暴力制度文化则是比较研究的重要内容.     

Unternehmensbewertung unter Unsicherheit: Zur entscheidungstheoretischen Fundierung der Risikoanalyse

Zusammenfassung  Zur Bewertung von Unternehmen beziehungsweise von risikobehafteten Zahlungsstr?men gibt es im Wesentlichen vier Ans?tze, n?mlich erstens der rein individualistische Ansatz unter ausschlie?licher Verwendung multiattributiver (= multivariater) Risikonutzenfunktionen, zweitens hybride Ans?tze, die den individualistischen Ansatz mit einem perfekten Geldmarkt zu verbinden suchen, drittens die CAPM-basierte Methodik und schlie?lich viertens der auf der no-arbitrage Bedingung aufbauende Ansatz im Rahmen eines reichhaltigen (perfekten und vollst?ndigen) Kapitalmarkts. Die Arbeit besch?ftigt sich mit einem wichtigen Aspekt des hybriden (semi-subjektiven, semi-objektiven, ...) Ansatzes. Bei Existenz eines perfekten Geldmarkts kann der zu bewertende Zahlungsstrom durch risikolose Anlage-beziehungsweise Verschuldungsaktivit?ten transformiert werden; dabei bleibt die intertemporale Abh?ngigkeitsstruktur unberührt. Beeinflussen derartige Transformationen das für Bewertungsfragen relevante Sicherheits?quivalent nicht, so bezeichnen wir die zu Grunde liegende multiattributive Risikonutzenfunktion als geldmarktinvariant. Die Klasse der geldmarktinvarianten Risikonutzenfunktionen wird vollst?ndig charakterisiert. Ferner wird die entscheidungstheoretische Fundierung der Risikoanalyse gekl?rt.

---

On the evaluation of risky streams: theoretical underpinnings of the risk analysis

Summary  There are several approaches to the valuation of risky streams: Firstly, the pure individualistic approach stemming from multiperiod (= multiattributed, multivariate) utility functions, secondly, the individualistic approach combined with the ingredients (risk-free rate) of a perfect money market, thirdly, CAPM-based approaches, and finally, the no-arbitrage valuation in the framework of perfect and complete capital markets. The paper deals with an important aspect of the second approach. A multiperiod utility function is called moneymarket invariant if the (time zero) certainty equivalent is independent of (arbitrary but non-stochastic) borrowing and lending activities. The invariant utility functions are completely characterized. Moreover, the paper clarifies the theoretical underpinnings of the risk analysis.

     

Transparency in Buyer‐Determined Auctions: Should Quality be Private or Public?

We study buyer‐determined procurement auctions where both price and non‐price characteristics of bidders matter for being awarded a contract. Although, in scoring auctions bidders perfectly know how price and non‐price attributes determine the awarding of the contract, this remains uncertain in buyer‐determined auctions where the buyer is free to choose once all bids have been submitted. We analyze the impact of information bidders have with respect to the buyer's awarding decision. As we show theoretically whether it is in the buyer's interest to conceal the impact of non‐price characteristics depends on how important the quality aspects of the procured good are to the buyer: The more important quality aspects are, the more interesting concealment becomes. In a counterfactual analysis using data from a large European procurement platform, we analyze the reduction of non‐price information available to the bidders. Confirming our hypothesis, for auction categories where bidders’ non‐price characteristics strongly influence buyers’ decisions concealment of non‐price information leads to an increase in buyers’ surplus of up to 15% due to higher competitive pressure and lower bids. Conversely, for categories where bidders’ non‐price characteristics are of little importance concealment of non‐price information leads to a decrease in buyers’ surplus of up to 6%.     

Calibration as estimation

Calibration in macroeconomics involves choosing fre parameters by matching certain moments of simulted models with those of data. We formally examine this method by treating the process of calibration as an econometric estimator. A numerical version of the Mehra-Prescott (1985) economy is the setting for an evaluation of calibration estimators via Monte Carlo methods. While these estimators sometimes have reasonable finite-sample properties they are not robust to mistakes in setting non-free parameters. In contrast, generalized method-of-moments (GMM) estimators have satisfactory finite-sample characteristics, quick convergence, and informational requirements less stringent than those of calibration estimators. In dynamic equilibrium models in which GMM is infeasible we offer some suggestions for improving estimates based on calibration methodology.     

Detecting and explaining systemic risks of mortgage banks—evidence from the subprime crisis

In recent history, financial markets worldwide experienced severe turmoil due to the subprime crisis originating from the practice of US mortgage banks to securitize loans given especially to subprime borrowers. In the same crisis, several distressed banks were bailed out by states with even more banks receiving financial aids from governments. Using a unique data sample of 100 announcements of US mortgage banks between 2006 and 2009, this paper provides empirical evidence that isolated failures of US mortgage banks caused significant contagion effects in the US financial system. Conversely, especially the bailouts of Fannie Mae and Freddie Mac led to significant positive valuation effects at rival banks. In the cross-sectional analyses, contrary to previous studies in the literature on past financial crises, we find evidence for pure contagion effects following the failures of US mortgage banks. Furthermore, we analyze the reactions of the CDS spreads of several large US banks to the announcements of mortgage banks using a novel mixture copula model. The results show that the contagion effects were limited to the stock market thus underlining the notion of an irrational response of (stock) market participants. The results from our cross-sectional and CDS data analyses in turn indicate that several of the failures of US mortgage banks during the subprime crisis caused irrational contagion in the US financial system thus justifying government intervention. Finally, we rule out the possibility that the contagion effects limited to the US stock market were caused by a herding of investors.