Testing monotonicity of pricing kernels

The behaviour of market agents has been extensively covered in the literature. Risk averse behaviour, described by Von Neumann and Morgenstern (Theory of games and economic behavior. Princeton University Press, Princeton, 1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over an uncertain choice with the same expected value, however, lately there has been a lot of discussion about the empirical evidence of such risk averse behaviour. Some authors have shown that there are regions where market utility functions are locally convex. In this paper we construct a test to verify uncertainty about the concavity of agents’ utility function by testing the monotonicity of empirical pricing kernels (EPKs). A monotonically decreasing EPK corresponds to a concave utility function while a not monotonically decreasing EPK means non-averse pattern on one or more intervals of the utility function. We investigate the EPKs for German DAX data for the years 2000, 2002 and 2004 and find evidence of non-concave utility functions: the null hypothesis of a monotonically decreasing pricing kernel is rejected for the data under consideration. The test is based on approximations of spacings through exponential random variables. In a simulation we investigate its performance and calculate the critical values (surface).     

The exponentiated exponential–geometric distribution: a distribution with decreasing,increasing and unimodal failure rate

In this paper, we proposed a new family of distributions namely exponentiated exponential–geometric (E2G) distribution. The E2G distribution is a straightforwardly generalization of the exponential–geometric (EG) distribution proposed by Adamidis and Loukas [A lifetime distribution with decreasing failure rate, Statist. Probab. Lett. 39 (1998), pp. 35–42], which accommodates increasing, decreasing and unimodal hazard functions. It arises on a latent competing risk scenarios, where the lifetime associated with a particular risk is not observable but only the minimum lifetime value among all risks. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulas for its survival and hazard functions, moments, rth moment of the ith order statistic, mean residual lifetime and modal value. Maximum-likelihood inference is implemented straightforwardly. From a mis-specification simulation study performed in order to assess the extent of the mis-specification errors when testing the EG distribution against the E2G, and we observed that it is usually possible to discriminate between both distributions even for moderate samples with presence of censoring. The practical importance of the new distribution was demonstrated in three applications where we compare the E2G distribution with several lifetime distributions.     

Race and Gender Differences in Workplace Autonomy: A Research Note

While many studies have focused on race and gender differences in monetary labor market rewards, few studies have used national samples to examine race and gender differences in nonmonetary labor process rewards. Utilizing multivariate analysis on data from the 1993 and 1997 National Employee Survey, the present study examines how race and gender interact in shaping workplace autonomy. We regress an index of autonomy on human capital, structural level variables, and race and gender interaction terms. Findings show that black and white females, relative to white males, fare worse net of controls for human capital and structural level variables. Black males fare worse than white males when controlling for human capital but this disadvantage fails to retain its significant effect when controlling for structural level variables. We conclude that contrary to some beliefs that black females have experienced greater success in the labor market as a result of affirmative action policies, black females remain hindered by the double jeopardy of race and gender.     

Viennese football culture: Some remarks on its History and Sociology

Football is still the most popular sport in Austria; yet its cultural meaning has changed. In this essay it is argued that the specific Viennese football culture of the interwar years (characterized by locality, strong commitment to a particular club, Bohemian elements etc.) has since the sixties been strongly challenged and gradually been replaced by a modernized, internationalized and media‐oriented ‘Austrian ‘ image.     

Problem drinking patterns among African Americans: the impacts of reports of discrimination, perceptions of prejudice, and "risky" coping strategies

This research builds on a series of recent studies that have reported independent effects of personal experiences of racial discrimination on poor mental health outcomes. We suggest that for one mental health outcome, problem drinking, discrimination experiences have an impact not only via abridged socioeconomic attainment and the frustrations associated with institutionally limited opportunity structures, but also by directly increasing the likelihood of problem drinking. Moreover, we argue that personal experiences with discrimination help to foster a set of beliefs about the utility of drinking as a means of reducing stress that in the alcohol literature is referred to as "escapist" drinking. Escapist drinking is proposed as an intervening mechanism that is associated with a higher probability of alcohol-related mental health problems. Using data from the 1999-2000 National Survey of Black Workers, we find that, independent of socioeconomic attainment, personal reports of discriminatory experiences have direct influences on problem drinking. Consistent with our hypotheses, we also find that the effects of personal reports of discrimination are at least partially mediated by the endorsement of beliefs that drinking provides an effective coping mechanism. We conclude that racial impacts on mental health outcomes reflect more than the "simple" effects of constrained socioeconomic attainment.     

确保从研究到开发界面的有效管理 --R&D个体的知识转移管理

在技术密集型公司中一个重要的问题是构建无隔层创新流程(seamlessinnovationprocesses).这里无发明(not-invented-here,NIH)综合症和其它的障碍严重影响着研究和开发之间知识和技术的有效转移.由于存在着保守型结构、过时的转移设备以及下游职能定位模糊等原因,知识转移经常失败.从研究到开发产生障碍的原因主要有以下几方面:职能分割、地理位置、专业偏好和文化背景等.首先,我们在25家公司做了100多次的半结构性访谈;然后,我们在技术密集型产业做深入的案例研究.改进从研究到开发的界面总是围绕着R&D个体展开.我们通过对ABB、Hitachi、IBM、Kao、Unisys以及xerox等公司的案例分析,得出了一些成功的实践经验.我们得出这样的结论:从研究到开发界面的有效管理通过对管理R&D个体的知识转移获得.