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    ABSTRACT: This paper develops an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability. Specifically, using the “spillover index” approach of Diebold and Yilmaz (2012), we modify and extend the financial stress indices proposed by Oet et al., 2011 to track both total and directional stress spillovers across the U.S. equity, debt, banking, and foreign exchange markets. Unlike other previous studies, the important linkages among these four major financial sectors in an interconnected world are directly taken into account by considering the average and time-varying connectedness of each individual market. The evidence suggests that there are important stress episodes and fluctuations across markets; the total cross-market stress spillovers were rather limited until the onsets of financial crises. As the crises intensified, so too did the financial stress spillovers; with significant stress carrying over from debt and equity markets to the others. In addition, our results indicate that FSSI has a significant predictive power for the economic activity and provides useful information for dating financial crisis.
    International Review of Financial Analysis 02/2014; 36. DOI:10.1016/j.irfa.2014.02.005
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    ABSTRACT: This study explores whether an entrepreneur’s ability to assemble and leverage human capital, particularly specific human capital relating to prior business ownership experience, is associated with seven types of product and work practices innovation in an emerging region, namely, Ghana. Logistic regression estimation revealed that portfolio entrepreneurs were more likely than novice entrepreneurs to report ‘innovation tried’. Multinomial logistic regression analysis revealed that portfolio entrepreneurs were more likely than other entrepreneurs to report ‘innovation tried and introduced’. If the goals of policy are to increase the ‘quality’ of new business start-ups and maximize investment returns, there is a case to target assistance to portfolio entrepreneurs. KeywordsInnovation process outcomes–Human capital–Habitual entrepreneurs–Ghana
    Small Business Economics 10/2012; 39(3):1-23. DOI:10.1007/s11187-011-9333-8
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    ABSTRACT: Previous studies have examined the separate effects of the tone and volume of news media on stock returns. We incorporate both these aspects into our study and examine their combined effect on stock returns using UK news media data over the period 1981–2010. We find that high media coverage predicts low stock returns and that both positive and negative words drive investor reaction to news. Investors tend to overreact to highly visible news, whether positive or negative, and this effect is more pronounced for larger stocks, indicating both visibility and tone are key factors that determine how investors respond to news.
    SSRN Electronic Journal 01/2012; DOI:10.2139/ssrn.2111352
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    ABSTRACT: The Delphi technique was largely developed to avoid the problems of freely interacting groups such as dominant individuals and pressure to conform to the majority view. Our review of the social psychological literature reveals some obstacles to Delphi achieving its full potential relative to other cheaper and easier methods of aggregating judgment. We identify residual normative and informational pressures towards consensus that potentially reduce process gain that might otherwise be achieved. For instance, panelist confidence may act as a signal of status rather than be a valid cue to expertise, whereas consensus appears to have a strong influence on the final outcome that can reduce its accuracy when there are valid minority opinions. We argue that process gain in Delphi must occur through those further from the "truth" changing their opinion more than those closer to the truth, with the general direction of opinion change being towards the truth. For such virtuous opinion change to occur we suggest the need to both facilitate opinion change and provide good cues as to where the truth lies. Research on Judge Advisor Systems shows that people usually do not change their opinion as much as they should, giving too much weight to their own opinion and too little to the views of others—this bias can be reduced by increasing involvement and motivation. In addition, we propose that the best way to provide good cues as to the direction of the truth is to elicit rich reasoning from panelists about the judgment or choice in question, then use this as feedback. We suggest practical ways of focusing and deepening panelists’ consideration and evaluation of such reasoning—such that all proffered opinions are well-evaluated. Additionally, we propose a model of opinion change in Delphi for use as a paradigm for future process-orientated research.
    Technological Forecasting and Social Change 11/2011; 78(9):1500-1513. DOI:10.1016/j.techfore.2011.07.007
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    ABSTRACT: We develop an extension of the familiar linear mixed logit model to allow for the direct estimation of parametric non-linear functions defined over structural parameters. Classic applications include the estimation of coefficients of utility functions to characterize risk attitudes and discounting functions to characterize impatience. There are several unexpected benefits of this extension, apart from the ability to directly estimate structural parameters of theoretical interest.
    Theory and Decision 07/2011; 73(1). DOI:10.1007/s11238-011-9277-0
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    ABSTRACT: How does patent policy a¤ect economic growth through human capital accumulation and endogenous fertility? In this study, we de-velop a scale-invariant R&D-based growth model to analyze an un-explored interaction between intellectual property rights, endogenous fertility, human capital accumulation and economic growth. We …nd that strengthening patent protection has (a) a positive e¤ect on tech-nological progress, (b) a negative e¤ect on human capital accumulation through a higher rate of fertility, and (c) an ambiguous overall e¤ect on economic growth. Furthermore, a stronger cultural preference for fertility strengthens the negative e¤ect of patent policy relative to its positive e¤ect on economic growth. Finally, we calibrate the model to provide a quantitative analysis on the relative strength of these opposing e¤ects of patent policy.. The authors would like to thank Silvia Galli, Oded Galor (the Editor) and the anonymous referees for their insightful comments and helpful suggestions that have signi…cantly improved the manuscript. The usual disclaimer applies.
  • Journal of Health Services Research & Policy 06/2011; 16(4):245-6. DOI:10.1258/jhsrp.2011.011011
  • The Journal of Value Inquiry 05/2011; 45(2):175-186. DOI:10.1007/s10790-011-9276-y
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    ABSTRACT: We construct a zero net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the naive investors with scores that are symmetric around the median. The score function thus constructed is invariant and robust to risk factor models. We find that the average scores of the momentum strategies are close to zero (the score of the median) and statistically insignificant over the sample period between 1926 and 2005, various sub-sample periods including the periods examined in (Jegadeesh and Titman, 1993) and (Jegadeesh and Titman, 2001). The findings are robust with respect to sampling or period-specific effects, tightened score intervals, and the imposition of maximum-weight restrictions on the naive strategies to mitigate market friction considerations.
    Journal of Banking & Finance 03/2011; 35(11):3077-3089. DOI:10.2139/ssrn.1534030
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    ABSTRACT: The purpose of the paper is to investigate whether people consider someone a charismatic speaker because they are deploying the generic features commonly identified as being associated with charismatic oratory in the literature, or whether the attribution of charisma is informed by factors which vary across different settings. Video-taped extracts from speeches given by seven people widely regarded as influential thought leaders – Kenneth Blanchard, Stephen Covey, Daniel Goleman, Gary Hamel, Rosabeth Moss Kanter, Tom Peters and Peter Senge – were shown to different audiences. After viewing each extract they rated the extent to which they found the speaker charismatic or non-charismatic and why. In addition, the whole speeches and focal messages were content analysed for the presence a number of factors – delivery, rhetorical techniques, abstraction and inclusion – identified in the previous literature as underpinning charismatic oratory. When the speeches are taken as a whole the speakers rated as charismatic differed significantly from their non-charismatic counterparts only in terms of delivery. For focal sentences delivery remains significant but in addition the speakers rated as charismatic use a higher proportion of rhetorical techniques. This has important implications for theory and practice that are elaborated.
    The Leadership Quarterly 02/2011; 22(1):22-32. DOI:10.1016/j.leaqua.2010.12.004
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