Search results for "Returns"
showing 10 items of 50 documents
Switching to floating exchange rates, devaluations, and stock returns in MENA countries
2012
Abstract We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluati…
Public capital, productive efficiency and convergence in the Spanish regions (1964-93)
1998
This paper analyses the behaviour of productive efficiency in the Spanish regions for the period 1964–93. From a growth accounting approach, it describes the regional evolution of total factor productivity (TFP'), based on a private inputs production function. A stricter measure of efficiency is then quantified, which is not equivalent to Solow's residual, since public capital is included in the production function and constant returns to scale are not imposed. Finally, on the basis of the measures of total factor productivity and efficiency, the study discusses the existence of technological convergence among Spanish regions and the role played in it by public capital. The renewed interest…
Returns to Schooling in Spain. How Reliable Are IV Estimates?
2001
This paper studies the Ordinary Least-Squared (OLS) and Instrumental Variables (IV) estimates of the returns to schooling for male workers in Spain. OLS estimates are often biased due to the endogeneity of schooling, measurement errors or omitted variables. Proper IV estimates correct this bias. The reliability of family background, natural experiments (based on changes in the education system and season of birth) and the availability of a college in the province is checked using Spanish data. The results suggest that background and college availability are valid instruments and that the IV estimates of the returns to schooling are higher than OLS estimates. These results are in line with t…
Labor Market Integration and Migration: Impacts on Skill Formation and the Wage Structure
2006
We analyze the impacts of labor market integration and migration on skill formation, wage structures, and per capita GDP of host and source countries. To do so, we propose a model in which heterogeneous agents invest in the acquisition of skills, and in which final good production exhibits increasing returns to scale in the range of available skills. Labor market integration, by allowing for migration in response to wage differentials, changes the wage structures and, therefore, the incentives to become skilled in both host and source countries. We show that our model can largely replicate the empirical evidence concerning international migration, the widening international income dispersio…
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
2008
AbstractThis paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
DEA-like Models for the Efficiency Evaluation of Hierarchically Structured Units
2004
Abstract The knowledge of the internal structure of decision making units (DMUs) gives further insights with respect to the “black box” perspective when considering data envelopment analysis models. We present one-level and two-level hierarchical structures of the DMUs under evaluation. Each unit is composed of consecutive stages of parallel subunits all with constant returns to scale. In particular, the maximization of the relative efficiency of a DMU is studied. For the two-stage situation, different degrees of coordination among the subunits of the hierarchical levels are discussed. When some form of coordination has to be guaranteed, we introduce balancing constraints and we compare two…
Estimating Verdoorn law for Italian firms and regions
2011
In empirical regional economics, returns to scale are typically estimated at the regional level in search for evidence on alternative theories of growth and agglomeration. However, returns to scale may also have a firm-level dimension. In this paper, we exploit micro level data and estimate the dynamic Verdoorn law in a multilevel-setting, where returns to scale are obtained simultaneously for the micro and the regional level. Using Italian firm-level data and the NUTS-3 level of aggregation, we estimate the classic and augmented versions of Verdoorn law for the manufacturing sector, and the rest of the economy for comparison. Our results show that increasing returns to scale co-exist at bo…
Returns to scale in a matching model: evidence from disaggregated panel data
2005
The returns to scale in the matching function play an important role in models with endogenous search effort. Due to positive externalities, increasing returns to scale in matching can support high or low activity equilibrium in the labour market. In this study, we examine this issue using panel data from Finnish employment offices. The study finds that the results from the Cobb–Douglas and translog specification are qualitatively different. The CD specification of the matching function exhibits constant returns to scale. The translog specification, in turn, exhibits increasing returns to scale. The elasticity estimate for returns, using the preferred specification and minimum and maximum s…
The Return-to-Entrepreneurship Puzzle
2013
The returns to entrepreneurship are monetary and non-monetary. We offer new evidence on these returns using a large sample of genetically identical male twins. Our within-twin analysis suggests that OLS estimates are downwards, and traditional first-differenced panel data estimates upwards biased. We find no differences in the earnings of men with either low or high education. Our within-twin analysis of non-monetary returns shows that entrepreneurs with low education work longer hours and have greater responsibilities, but also face a reduced risk of divorce and less monotonous work tasks. The same does not apply to highly educated entrepreneurs.