3 January 2013
and Alexander Popov
find a positive short-term relationship between the volatility and skewness of growth in a sample of 110 countries. This relationship is driven by differences in the rate of industrialization, macroeconomic stabilization, and in the discovery and exploitation of natural resources in mostly developing countries. However, in panel data looking at the longer term, they find a negative relationship between volatility and skewness, driven by business cycle variation in rich countries. They suggest that this correlation is due to sudden and short-lived growth spurts in mostly developing countries and sharp crises in mostly developed countries.
2 January 2013
, Ravi Jagannathan
, and Jianfeng Shen
find that there are time periods when market conditions are more favorable to growth firms and that during those times, firms with strong growth but weak margins may be overvalued. Focusing on a set of firms in the same industry that went public at about the same time in a cluster -- which is called an IPO wave -- they find that firms with relatively high valuations (price-to-book ratios) and historical sales growth rates but low gross margins during their first three years after the IPO wave under-performed their industry peers by more than 1 percent per month during the subsequent four-year period.
31 December 2012
and Ryan Dunn
analyze the results of a small field experiment in which students from disadvantaged high schools in Toronto were invited to participate in two short internet surveys. They could receive $20 for their participation. At the end of the first survey, half of the students, selected at random, were shown a 3-minute video describing the costs and benefits of post-secondary education and how to make it affordable. Three weeks later, all the students were asked to complete a second survey, with questions about their impressions of the costs and benefits of post-secondary education, as well as their own educational attainment expectations. The students who had seen the video were more convinced of the benefits of continuing their education, less concerned about the costs, and they reported themselves more likely to go on to post-secondary school.
28 December 2012
The credit bubble of 2003-7 is often equated with earlier episodes, like the Internet boom. But while credits were over priced in this period, like Internet stocks a decade earlier, Harrison Hong
and David Sraer
show that the two periods were quite different. Equity bubbles are "loud" -- meaning that price and volume move together -- because investors speculate on the capital gains they will achieve from reselling to more optimistic investors. As for debt, the resale option is limited, so debt bubbles require that investors be optimistic -- that optimism leads to less speculative trading, because investors view debt as safe and having only a limited upside. Therefore, debt bubbles are "quiet": high price comes with low volume.
27 December 2012
, Thomas Steinmeier
, and Nahid Tabatabai
demonstrate that Current Population Survey (CPS) data on pension incomes received in retirement understate the full contribution of pensions to the support of retirees. One reason is that the CPS ignores irregular payments from pensions. Another is that some pension wealth that was accumulated prior to retirement, and would be measured in pre-retirement surveys, “disappears” at retirement. Sixteen percent of pension wealth is transformed into some other form at the time of disposition and thus not counted in the CPS, and for those with defined benefit pensions, 12 percent of the benefit is transformed in such a way that it is not counted as pension income after retirement.