1,721,045 research outputs found
Technology shocks and asset pricing: the role of consumer confidence
Full text linkWe show that the introduction in a power utility function of a confidence index to signal the state of the world allows for an otherwise standard asset pricing model to match the observed consumption growth volatility and excess returns with a reasonable level of relative risk aversion. Our results stem from two quantitative exercises: a calibration and a non-linear estimation. In both cases, our findings are robust to different data frequencies and various indicators of confidence. Our estimations are also robust to a number of instrument specifications. We rationalise this finding by developing a model where monopolistically competitive firms are subject to idiosyncratic shocks, which affect both the quantity and the quality of the goods produced. When households foresee good times, they expect firms to generate higher profits and produce higher quality goods. While greater expected excess returns provide a larger incentive to save, better expected quality of consumption discourages saving, as it lowers the expected marginal utility of any given level of physical consumption. Compared to standard consumption-based frameworks, our model thus predicts a more stable consumption path. Building on the customary notion of confidence indicators as the household expectations on the future state of the economy, we argue that confidence provides a suitable proxy for the unobservable quality of consumption via the positive correlation between the latter and the overall performance of the economy
By force of confidence
Full text linkRecent macro-finance contributions explain a great deal of unconditional asset pricing by introducing persistent consumption risks and rare disasters. Only the volatility puzzles remain unresolved among the longer-established issues in this literature. Motivated by empirical finance contributions and conventional wisdom, we abstract from a consumption-centric analysis and let the asset-pricing kernel depend on habit formation and consumer confidence as a demand shifter correlated with consumption growth. The resulting model compares favorably with the literature explaining the risk-free rate volatility. Our findings justify using supplementary information to price assets while warning against neglecting a thorough analysis of consumption growth dynamics. We rationalize including confidence indicators in the definition of the demand shifter by drawing parallels to existing approaches such as wealth in the utility function and salience theory
Efficiency dynamics across segmented Bitcoin markets: evidence from a decomposition strategy
No full textHeterogeneity in informational inefficiency in a cross-market virtual currency, such as Bitcoin, allows for the extraction of differential gains from a portfolio of investments over time. In this paper, we measure inefficiency in five country/region segmented Bitcoin markets based on dynamic estimation of the fractional integration order of their price series. Results reveal a time-varying and country-specific pattern of inefficiency in the five Bitcoin markets, although the degree of inefficiency in each market has declined over time. Further, we introduce a new decomposition method to disentangle components of the inefficiency degree. Results suggest that the total variation around the convergence benchmark has fallen, whilst the proportion due to the difference between convergence and efficiency has risen from approximately 77% in 2013 to almost 100% in 2020. Besides, evidence of convergence emerges until the outbreak of COVID-19, beyond which the inefficiency degree diverges measurably. We show that Bitcoin markets have become more efficient after the first-wave COVID era and then the nature of market segmentation has played a less important role, levelling the cross-market difference and thus reducing the potential for arbitrage.</p
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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