As per definition of efficient market hypothesis (EMH), there is a need that stock prices should reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This study has examined the weak form of efficiency on the six major stock exchanges that are present in North-America and Europe including NYSE Composite (USA), S&P TSX Composite (Canada), FTSE 100 Index (UK), CAC 40 (France), DAX 30 (Germany) and IBEX 35 (Spain). Historical index values are gathered on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). Two statistical tests including runs test, and variance ratio test were applied for analysis and results. It is found in the process that two out of six developed stock markets of North-America and Europe doesn’t follow Random-walk and hence NYSE Composite, S&P TSX Composite, DAX 30 (Germany) and IBEX 35 (Spain) are the weak form of efficient markets.
{"title":"Testing Market Efficiency: Empirical Evidence from Developed Markets of Europe and North America","authors":"S. Nisar, Muhammad Hanif","doi":"10.2139/ssrn.1983962","DOIUrl":"https://doi.org/10.2139/ssrn.1983962","url":null,"abstract":"As per definition of efficient market hypothesis (EMH), there is a need that stock prices should reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This study has examined the weak form of efficiency on the six major stock exchanges that are present in North-America and Europe including NYSE Composite (USA), S&P TSX Composite (Canada), FTSE 100 Index (UK), CAC 40 (France), DAX 30 (Germany) and IBEX 35 (Spain). Historical index values are gathered on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). Two statistical tests including runs test, and variance ratio test were applied for analysis and results. It is found in the process that two out of six developed stock markets of North-America and Europe doesn’t follow Random-walk and hence NYSE Composite, S&P TSX Composite, DAX 30 (Germany) and IBEX 35 (Spain) are the weak form of efficient markets.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128743871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2011-12-01DOI: 10.1111/j.1468-0106.2010.00514.x
Cheng‐Feng Lee, Ching‐Chuan Tsong
This paper re‐examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in Rapach and Weber (2004), using the Ng and Perron (2001) tests. We use Rudebusch's (1993) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size‐adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of Rapach and Weber (2004): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z‐test on inflation rates. We then apply a powerful covariate augmented Dickey–Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of Rapach and Weber (2004), the bootstrap covariate augmented Dickey–Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries.
本文重新审视了国际实际利率通常具有单位根的实证发现。Rapach和Weber(2004)使用Ng和Perron(2001)测试提出了这一结论。我们使用Rudebusch(1993)的方法构建了Ng和Perron检验的小样本分布，并计算了它们的渐近大小、大小调整幂和拒别率。这些数字表明，Ng和Perron检验中缺乏力量可能解释了Rapach和Weber(2004)的发现:对于大多数经合组织国家，单位根null不能被拒绝。对于两个系列的Ng和Perron测试，尺寸扭曲是轻微的，但对于通货膨胀率的Phillips和Perron Z -测试，尺寸扭曲是严重的。然后，我们应用一个强大的协变量增广Dickey-Fuller单位根检验来检验不能用Ng和Perron检验确定平稳性的序列。自举技术也用于控制可能的尺寸扭曲。与Rapach和Weber(2004)的结果相反，自举协变量增强Dickey-Fuller检验得出了惊人的证据，表明16个经合组织国家中有14个国家的实际利率是平稳的，因为这14个国家的名义利率是平稳的，而所有国家的通货膨胀率都是平稳的。
{"title":"Do Real Interest Rates Really Contain a Unit Root? More Evidence from a Bootstrap Covariate Unit Root Test","authors":"Cheng‐Feng Lee, Ching‐Chuan Tsong","doi":"10.1111/j.1468-0106.2010.00514.x","DOIUrl":"https://doi.org/10.1111/j.1468-0106.2010.00514.x","url":null,"abstract":"This paper re‐examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in Rapach and Weber (2004), using the Ng and Perron (2001) tests. We use Rudebusch's (1993) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size‐adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of Rapach and Weber (2004): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z‐test on inflation rates. We then apply a powerful covariate augmented Dickey–Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of Rapach and Weber (2004), the bootstrap covariate augmented Dickey–Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128674120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the interaction between foreign aid and binding borrowing constraint for a recipient country. We also analyze how these two instruments aect economic growth via non-linear relationships. First of all, we develop a two-country, two-period trade-theoretic model to develop testable hypotheses and then we use dynamic panel analysis to test those hypotheses empirically. Our main ndings are that: (i) better access to international credit for a recipient country reduces the amount of foreign aid it receives, and (ii) there is a critical level of international nancial transfer, and the marginal eect of foreign aid is larger than that of loans if and only if the transfer (loans or foreign aid) is below this critical level.
{"title":"Should Easier Access to International Credit Replace Foreign Aid?","authors":"S. Bandyopadhyay, S. Lahiri, Javed Younas","doi":"10.2139/ssrn.1934407","DOIUrl":"https://doi.org/10.2139/ssrn.1934407","url":null,"abstract":"We examine the interaction between foreign aid and binding borrowing constraint for a recipient country. We also analyze how these two instruments aect economic growth via non-linear relationships. First of all, we develop a two-country, two-period trade-theoretic model to develop testable hypotheses and then we use dynamic panel analysis to test those hypotheses empirically. Our main ndings are that: (i) better access to international credit for a recipient country reduces the amount of foreign aid it receives, and (ii) there is a critical level of international nancial transfer, and the marginal eect of foreign aid is larger than that of loans if and only if the transfer (loans or foreign aid) is below this critical level.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124062999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for independence between more that two time series, checking pairwise independence does not lead to consistent procedures. Thus a finite family of empirical processes relying on multivariate lagged residuals are constructed, and we derive their asymptotic distributions.In order to obtain simple asymptotic covariance structures, Mobius transformations of the empirical processes are studied, and simplifications occur. Under the null hypothesis of independence, we show that these transformed processes are asymptotically Gaussian, independent, and with tractable covariance functions not depending on the estimated parameters. Various procedures are discussed, including Cramer-von Mises test statistics and tests based on non-parametric measures. The ranks of the residuals are considered in the new methods, giving tests statistics which are asymptotically margin-free. Generalized cross-correlations are introduced, generalizing the concept of cross-correlation to an arbitrarily number of time series; portmanteau procedures based on them are discussed. In order to detect the dependence visually, graphical devices are proposed. Simulations are conducted to explore the finite sample properties of the methodology, which is found to be powerful against various types of alternatives when the independence is tested between two and three time series. An application is considered, using the daily log-returns of Apple, Intel and Hewlett-Packard traded on the Nasdaq financial market.
{"title":"On Testing for Independence between Several Time Series","authors":"P. Duchesne, K. Ghoudi, B. Rémillard","doi":"10.2139/ssrn.1823626","DOIUrl":"https://doi.org/10.2139/ssrn.1823626","url":null,"abstract":"Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for independence between more that two time series, checking pairwise independence does not lead to consistent procedures. Thus a finite family of empirical processes relying on multivariate lagged residuals are constructed, and we derive their asymptotic distributions.In order to obtain simple asymptotic covariance structures, Mobius transformations of the empirical processes are studied, and simplifications occur. Under the null hypothesis of independence, we show that these transformed processes are asymptotically Gaussian, independent, and with tractable covariance functions not depending on the estimated parameters. Various procedures are discussed, including Cramer-von Mises test statistics and tests based on non-parametric measures. The ranks of the residuals are considered in the new methods, giving tests statistics which are asymptotically margin-free. Generalized cross-correlations are introduced, generalizing the concept of cross-correlation to an arbitrarily number of time series; portmanteau procedures based on them are discussed. In order to detect the dependence visually, graphical devices are proposed. Simulations are conducted to explore the finite sample properties of the methodology, which is found to be powerful against various types of alternatives when the independence is tested between two and three time series. An application is considered, using the daily log-returns of Apple, Intel and Hewlett-Packard traded on the Nasdaq financial market.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121095742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Ralitza Dimova, Ira N. Gang, M. Gbakou, D. Hoffman
With fortuitously timed data – collected before, during and after a major macro-financial crisis in Bulgaria – we revisit several hypotheses in the economics and nutritional literature related to the tendency of households to smooth their nutritional status over time. We explore the dietary impact of both falling real incomes in the context of hyperinflation and crisis and changing relative prices and the changing responsiveness of different groups of people to these incomes and prices over six year of fundamental structural reforms of the economy. Our results highlight large and dramatically changing food and nutrient elasticities, which challenge the perception of household ability to smooth their nutrient stream during economic crises and transitions.
{"title":"Can Economic Crises Be Good for Your Diet?","authors":"Ralitza Dimova, Ira N. Gang, M. Gbakou, D. Hoffman","doi":"10.2139/ssrn.1806411","DOIUrl":"https://doi.org/10.2139/ssrn.1806411","url":null,"abstract":"With fortuitously timed data – collected before, during and after a major macro-financial crisis in Bulgaria – we revisit several hypotheses in the economics and nutritional literature related to the tendency of households to smooth their nutritional status over time. We explore the dietary impact of both falling real incomes in the context of hyperinflation and crisis and changing relative prices and the changing responsiveness of different groups of people to these incomes and prices over six year of fundamental structural reforms of the economy. Our results highlight large and dramatically changing food and nutrient elasticities, which challenge the perception of household ability to smooth their nutrient stream during economic crises and transitions.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":" 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132158666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I aim to understand art prices and returns from a market efficiency point of view and we seek to understand whether the art market exhibits predictability or randomness. I tested the weak-form efficiency random walk using ADF and found that most of my time-series data are non-stationary; hence, they all possess randomness. I proceeded and tested my art data using cointegration and the ECM by comparing them to non-risky and risky asset as well as an economic indicator. To be market-efficient, I cannot reject the null hypothesis and accept the alternative hypotheses of cointegrated data. Thus, the results are mixed – art market behaviour can be partly forecasted. I can predict the outcome of art using gold as a benchmark. Bonds are not useful predictors for the art market. Oil & gas as well as the GDP are good predictors of the general art market. The implications of market efficient are mixed. Art can be used as hedge when bundled with bonds. Portfolio diversification seems to be less favourable for the art market. The way to profit is to look at the returns of oil & gas, assuming other people do not possess this information. My study contradicted the academic belief of market efficiency in favour of practitioners. Subjected to scrutiny, my mixed results do not suggest fully abandoning the notion of efficiency in the art market.
{"title":"Efficiency Tests in the Art Market Using Cointegration and the Error Correction Model","authors":"Troy Ballesteros","doi":"10.2139/ssrn.1696785","DOIUrl":"https://doi.org/10.2139/ssrn.1696785","url":null,"abstract":"I aim to understand art prices and returns from a market efficiency point of view and we seek to understand whether the art market exhibits predictability or randomness. I tested the weak-form efficiency random walk using ADF and found that most of my time-series data are non-stationary; hence, they all possess randomness. I proceeded and tested my art data using cointegration and the ECM by comparing them to non-risky and risky asset as well as an economic indicator. To be market-efficient, I cannot reject the null hypothesis and accept the alternative hypotheses of cointegrated data. Thus, the results are mixed – art market behaviour can be partly forecasted. I can predict the outcome of art using gold as a benchmark. Bonds are not useful predictors for the art market. Oil & gas as well as the GDP are good predictors of the general art market. The implications of market efficient are mixed. Art can be used as hedge when bundled with bonds. Portfolio diversification seems to be less favourable for the art market. The way to profit is to look at the returns of oil & gas, assuming other people do not possess this information. My study contradicted the academic belief of market efficiency in favour of practitioners. Subjected to scrutiny, my mixed results do not suggest fully abandoning the notion of efficiency in the art market.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125083059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We build a model of price differentiation with firm heterogeneity, which allows for imperfect competition and market segmentation in the presence of flexible exchange rates as well as horizontal and vertical differentiation and different tastes of consumers in destination markets. We empirically assess the main predictions of our theoretical framework by using firm-level data surveyed by ISAE. We document that export-domestic price margins are significantly affected by price and quality competitiveness even controlling for foreign demand conditions, size, export intensity, destination markets and unobservables. Finally, we provide evidence of a strong heterogeneity across firms in their reaction to price and quality competitiveness.
{"title":"Pricing to Market When Quality Matters","authors":"Roberto Basile, Sergio De Nardis, A. Girardi","doi":"10.2139/ssrn.1557565","DOIUrl":"https://doi.org/10.2139/ssrn.1557565","url":null,"abstract":"We build a model of price differentiation with firm heterogeneity, which allows for imperfect competition and market segmentation in the presence of flexible exchange rates as well as horizontal and vertical differentiation and different tastes of consumers in destination markets. We empirically assess the main predictions of our theoretical framework by using firm-level data surveyed by ISAE. We document that export-domestic price margins are significantly affected by price and quality competitiveness even controlling for foreign demand conditions, size, export intensity, destination markets and unobservables. Finally, we provide evidence of a strong heterogeneity across firms in their reaction to price and quality competitiveness.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128523244","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper considers spot variance path estimation from datasets of intraday high-frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects, and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used to extend an existing high-frequency jump test statistic, to detect arrival times of jumps, and to obtain distributional characteristics of detected jumps. The effectiveness of our approach is explored through Monte Carlo simulations. It is shown that sparse sampling for mitigating the impact of microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach, we can analyze high-frequency price observations that are contaminated with microstructure noise and rounding effects without the need for sparse sampling. An empirical illustration is presented for the intraday EUR/USD exchange rates. Our main finding is that fewer jumps are detected when sampling intervals increase. Copyright The Author 2012. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.
{"title":"Spot Variance Path Estimation and Its Application to High Frequency Jump Testing","authors":"Charles S. Bos, P. Janus, S. J. Koopman","doi":"10.2139/ssrn.1519797","DOIUrl":"https://doi.org/10.2139/ssrn.1519797","url":null,"abstract":"This paper considers spot variance path estimation from datasets of intraday high-frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects, and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used to extend an existing high-frequency jump test statistic, to detect arrival times of jumps, and to obtain distributional characteristics of detected jumps. The effectiveness of our approach is explored through Monte Carlo simulations. It is shown that sparse sampling for mitigating the impact of microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach, we can analyze high-frequency price observations that are contaminated with microstructure noise and rounding effects without the need for sparse sampling. An empirical illustration is presented for the intraday EUR/USD exchange rates. Our main finding is that fewer jumps are detected when sampling intervals increase. Copyright The Author 2012. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"11 14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123693141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying restrictions. The test statistic asymptotically follows the standard normal distribution under the null hypothesis of correct specification when the number of instruments increases with the sample size. We find that the new test statistic is numerically equivalent up to a sign to the test statistic proposed by Hahn and Hausman (2002, Econometrica 70(1): 163-189). We also assess the size and power properties of the test.
{"title":"A Specification Test for Instrumental Variables Regression with Many Instruments","authors":"Yoonseok Lee, R. Okui","doi":"10.2139/ssrn.1516333","DOIUrl":"https://doi.org/10.2139/ssrn.1516333","url":null,"abstract":"This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying restrictions. The test statistic asymptotically follows the standard normal distribution under the null hypothesis of correct specification when the number of instruments increases with the sample size. We find that the new test statistic is numerically equivalent up to a sign to the test statistic proposed by Hahn and Hausman (2002, Econometrica 70(1): 163-189). We also assess the size and power properties of the test.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121775872","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We test the hypothesis that the identity of the owner affects firm ability to seize market opportunities differently according to the firm’s actual vs. “optimal” size (size gap). By grouping firms in size clusters having a similar probability of adopting a size-adjusting strategy (growth or downsizing), we measure how the sensitivity of firm sales to demand shocks changes in response to the difference in owner identity and the firm size gap. We use data from a panel of 7,459 continental western European firms over the period 1995-2004 and Eurostat 3-digit sectoral data on firm size distribution in Europe. Our findings show that family business sales are less sensitive to market demand than other firms, particularly when the actual firm size is larger than optimal size.
{"title":"Market Opportunities and the Owner Identity: Are Family Firms Different?","authors":"M. Cucculelli, F. Marchionne","doi":"10.2139/ssrn.1496434","DOIUrl":"https://doi.org/10.2139/ssrn.1496434","url":null,"abstract":"We test the hypothesis that the identity of the owner affects firm ability to seize market opportunities differently according to the firm’s actual vs. “optimal” size (size gap). By grouping firms in size clusters having a similar probability of adopting a size-adjusting strategy (growth or downsizing), we measure how the sensitivity of firm sales to demand shocks changes in response to the difference in owner identity and the firm size gap. We use data from a panel of 7,459 continental western European firms over the period 1995-2004 and Eurostat 3-digit sectoral data on firm size distribution in Europe. Our findings show that family business sales are less sensitive to market demand than other firms, particularly when the actual firm size is larger than optimal size.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128542282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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