New Economics Papers
on Efficiency and Productivity
Issue of 2008‒05‒24
eleven papers chosen by

  1. The evolution of the productivity dispersion of firms - A reevaluation of its determinants in the case of Japan By ITO Keiko; Sebastien LECHEVALIER
  2. Labour mobility, related variety and the performance of plants: A Swedish study By Ron Boschma; Rikard Eriksson; Urban Lindgren
  3. Why do growth rates differ? Evidence from cross-country data on private sector production By Kilponen , Juha; Viren, Matti
  4. Italian Equity Funds: Efficiency and Performance Persistence By Loriana Pelizzon; Roberto Casarin; Andrea Piva
  5. Credit constraints and the cyclicality of R&D investment: Evidence from France By Philippe Aghion; Philippe Askenazy; Nicolas Berman; Gilbert Cette; Laurent Eymard
  6. Claims-Made and Reported Policies and Insurer Profitability in Medical Malpractice By Patricia Born; M. Martin Boyer
  7. Adapting to Import Competition: Effects of Low-wage Trade on Commodity Mix in Canadian Manufacturing Plants By Baldwin, John R.; Lileeva, Alla
  8. New empirical evidence on local financial development and growth By Andrea Vaona; Roberto Patuelli
  9. Portfolio performance and environmental risk By Olsson, Rickard
  10. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data By Loriana Pelizzon; Monica Billio; Mila Getmansky
  11. International School Test Scores and Economic Growth By Simon Appleton; Paul Atherton; Michael Bleaney

  1. By: ITO Keiko; Sebastien LECHEVALIER
    Abstract: There is a growing body of literature analyzing empirically the evolution of productivity dispersion at the firm level and its determinants. This paper contributes to this literature by investigating the case of Japanese firms during the so-called gLost Decadeh (1992-2005), which is still under-analyzed. We use a firm-level panel dataset taken from a large-scale administrative survey, the Basic Survey of Japanese Business Structure and Activities (BSBSA) for the years 1994-2003. Our results can be summarized as follows. First, we confirm that there was an overall increase in both labor productivity and total factor productivity dispersion, especially in the manufacturing sector from 1998 onward. Second, in the case of Japanese firms during the Lost Decade, and contrary to what has been found for some other countries, we find no significant impact of the introduction of information and communication technologies (ICT) on productivity dispersion. On the other hand, we do find evidence of a significant and positive impact of internationalization on productivity dispersion. In addition, the evolution of the competitive environment appears to play a role: we find that the increase in the Hershman-Herfindahl index observed in some sectors, which characterizes a more oligopolistic environment, is associated with an increase in productivity dispersion.
    Date: 2008–05
  2. By: Ron Boschma; Rikard Eriksson; Urban Lindgren
    Abstract: This paper analyses the impact of skill portfolios and labour mobility on plant performance by means of a unique database that connects attributes of individuals to features of plants for the whole Swedish economy. We found that a portfolio of related competences at the plant level increases significantly productivity growth of plants, in contrast to plant portfolios consisting of either similar or unrelated competences. Based on the analysis of 101,093 job moves, we found that inflows of skills that are related to the existing knowledge base of the plant had a positive effect on plant performance, while the inflow of new employees with skills that are already present in the plant had a negative impact. Our analyses show that inflows of unrelated skills only contribute positively to plant performance when these are recruited in the same region. Labour mobility across regions only has a positive effect on productivity growth of plants when this concerns new employees with related skills.
    Keywords: labour mobility, related variety, skill portfolio, plant performance, geographical proximity
    JEL: R11 R12 O18
    Date: 2008–05
  3. By: Kilponen , Juha (Bank of Finland Research); Viren, Matti (Bank of Finland Research)
    Abstract: We estimate a standard production function with a new cross-country data set on business sector production, wages and R&D investment for a selection of 14 OECD countries including the United States. The data sample covers the years 1960–2004. The data suggest that growth differences can largely be explained by capital deepening and an ability to produce new technology in the form of new patents. The importance of patents is magnified by the openness of the economy. We find some evidence of increasing elasticity of substitution over time, all though the results are sensitive to assumptions on the nature of technological progress.
    Keywords: growth; R&D; production function; patents
    JEL: E10 O40 O43
    Date: 2008–05–19
  4. By: Loriana Pelizzon (Department of Economics, University Of Venice Cà Foscari); Roberto Casarin (Department of Economics, University Of Brescia); Andrea Piva (GRETA Associati)
    Abstract: Have Italian mutual funds been able to generate “extra-return”? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.
    Keywords: Mutual funds, Performance evaluation
    JEL: G23 G21 G10 G12
    Date: 2008
  5. By: Philippe Aghion; Philippe Askenazy; Nicolas Berman; Gilbert Cette; Laurent Eymard
    Abstract: We use a French firm-level data set containing 13,000 firms over the period 1993-2004 to analyze the relationship between credit constraints and firms' R&D behavior over the business cycle. Our main results can be summarized as follows: (i) the share of R&D investment over total investment is countercyclical without credit constraints, but it becomes less countercyclical as firms face tighter credit constraints; (ii) this result is magnified for firms in sectors that depend more heavily upon external finance, or that are characterized by a low degree of asset tangibility; (iii) in more credit constrained firms, R&D investment share plummets during recessions but does not increase proportionally during upturns; (iv) average R&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms.
    Date: 2008
  6. By: Patricia Born; M. Martin Boyer
    Abstract: The liability crisis of the 1970s led to the introduction of a new type of insurance policy designed, according to Doherty (1991), to reduce the un-diversifiable uncertainty associated with writing long-tail liability lines. These new claims-made and reported policies gained favor in place of the traditional occurrence coverage in the early eighties not only in medical malpractice, but also in the general liability arena. Under occurrence coverage, a loss incurred in a given year is covered by the contract for that year, regardless of when the claim is reported. In contrast, a claims-made policy pays only the claims reported in the policy year. Our paper presents a structure, conduct, and performance analysis à la Joskow (1973) of the medical malpractice insurance industry by focusing on the differences between the two contracts. The main question we want to address is why there are two types of contracts that cover the same risk exposure in the medical malpractice insurance industry whereas in other lines of insurance, only one exists primarily. <P>La crise de la responsabilité civile des années 70 a mené à la création d’un nouveau type de contrat d’assurance qui avait pour but, selon Doherty (1991), de réduire le risque systématique associé aux polices d’assurance à longue durée. Ces contrats CMR (Claims-Made and Reported) ont obtenu la faveur du public dans les années 80 particulièrement pour ce qui est de l’assurance de la responsabilité civile des professionnels de la médecine. Nous présentons ainsi une étude de la structure et de la performance de l’industrie de l’assurance de la responsabilité civile des professionnels de la médecine en mettant en relief les deux types de contrats dans ce marché. La question à laquelle nous voudrions ultimement répondre est la suivante : pourquoi dans le marché de l’assurance de la responsabilité civile des professionnels de la médecine retrouvons-nous les deux types de contrats alors qu’un seul type est généralement offert dans les autres marchés?
    Keywords: medical malpractice insurance, industry structure and performance analysis, claims-made contracts, assurance de la responsabilité civile des professionnels de la médecine, analyse de la structure et de la performance de l’industrie, contrats CMR
    Date: 2008–05–01
  7. By: Baldwin, John R.; Lileeva, Alla
    Abstract: The paper investigates how Canadian manufacturing plants adjust to an increase in low-wage import competition by changing their commodity portfolios. At the commodity level, we distinguish between 'core' versus 'peripheral' and differentiated versus homogeneous commodities. We also account for cost and technological complementarities using input-output linkages between commodities produced by a plant. We document large commodity turnover within plants over the period from 1988 to 1996. The largest changes happened in multi-commodity plants and involved peripheral commodities. The commodities that were affected the most were those commodities that are potentially used as inputs in production of the 'core' commodity; homogeneous (rather than differentiated) commodities; and, commodities with relatively weak input complementarities with the core product. Plants experiencing large import competition shifted their output toward production of their core commodity and away from production of unrelated peripheral commodities.
    Keywords: Manufacturing, Business performance and ownership, Business adaptation and adjustment
    Date: 2008–05–16
  8. By: Andrea Vaona (Facoltà di Economia, Università di Lugano, Svizzera; Kiel Institute for the World Economy, Kiel, Germany; University of Verona, Department of Economic Sciences, Verona, Italy); Roberto Patuelli (Facoltà di Economia, Università di Lugano, Svizzera)
    Abstract: In this paper, we show that the regional finance-growth nexus in Italy is robust to a series of innovations with respect to the existing literature on the topic. We use finer measures of economic and financial development, as well as instruments with a deeper economic content. We rely on state-of-the-art cross-sectional and panel estimation methods, and we offer a thorough investigation of the nonlinearities in the relation between finance and growth. Our results show that, while local financial development is a key factor for economic growth, in regions with inefficient courts more credit might translate into reduced growth due to opportunistic behaviour and the consequent misallocation of funds.
    Keywords: Finance, Growth, Regions, Italy, Cross-Section Analysis, Panel Data Analysis
    JEL: O18 O16 C31
    Date: 2008–05–13
  9. By: Olsson, Rickard (Umeå School of Business)
    Abstract: This paper examines the performance of US stock portfolios constructed and rebalanced to have different environmental (EV) risk. EV risk is proxied by EV risk ratings from GES Investment Services. Portfolios with high EV risk generate higher raw returns than low EV risk portfolios, but when risk and other factors are controlled for using the three Fama-French factors and a momentum factor, the risk-adjusted returns of both high and low EV risk portfolios are not statistically different from zero. The evidence thus indicate that a portfolio of stocks with low EV risk, intended to be more responsible, neither underperform or outperform on a risk-adjusted basis.
    Keywords: Socially responsible investment; environmental risk; portfolio performance evaluation
    Date: 2007–11–24
  10. By: Loriana Pelizzon (Department of Economics, University Of Venice Cà Foscari); Monica Billio (Department of Economics, University Of Venice Cà Foscari); Mila Getmansky (Department of Finance and Operations Management Isenberg School of Management University of Massachusetts)
    Abstract: This paper examines four different daily datasets of hedge fund return indexes: MSCI, FTSE, Dow Jones and HFRX, all based on investable hedge funds, and three different monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both investable and non-investable hedge funds. Our study, based on standard statistical analysis, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that key data biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that highly affects the statistical properties of hedge fund index returns is the “investability” of hedge funds
    Keywords: Hedge Fund, Risk Management, High frequency data
    JEL: G12 G29 C51
    Date: 2008
  11. By: Simon Appleton; Paul Atherton; Michael Bleaney
    Abstract: We expand Hanushek and Kimko’s (2000) analysis of the relationship between schooling quality, as measured by scores in international tests, and growth. We take account of another fifteen years of growth and approximately twice as many test score results. We treat the data first as a panel, relating growth only to test scores at earlier dates, and then as a cross-section. In both cases we find the effect of schooling quality on growth to be statistically significant but substantially smaller than that reported by Hanushek and Kimko (2000) and Hanushek and Woessmann (2007).
    Keywords: Growth, human capital, education

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