|
on Evolutionary Economics |
| By: | Thorsten Hens (University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute); Fatemeh Naebi (Allameh Tabataba'i University, Department of Theoretical Economics) |
| Abstract: | The paper shows how the standard two-period CAPM with exogenous wealth and exogenous returns can be extended inter-temporally by including the evolution of wealth from the Evolutionary Finance model of Evstigneev, Hens and Schenk-Hoppe (2011). The missing link between the two models is given by the CAPM with heterogeneous behavior derived by Hens and Naebi (2020). This paper delivers theoretical and empirical results for behavioral heterogeneity in the CAPM with evolutionary dynamics. As a result of the market selection process, we derive a beta based on fundamentals to which the standard beta tends to converge asymptotically. This is confirmed by data from the DJIA. |
| Keywords: | CAPM, Heterogeneous Behavior, Evolutionary Dynamics, Fundamental Beta |
| JEL: | D53 G1 G4 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp2206&r= |
| By: | Lorentz, André (Université de Strasbourg, BETA, Université de Lorraine, CNRS); Ciarli, Tommaso (UNU-MERIT, Maastricht University, and SPRU, University of Sussex); Savona, Maria (SPRU, University of Sussex); Valente, Marco (University of L’Aquila) |
| Abstract: | We derive the Kaldorian cumulative causation mechanism as an emergent property of the dynamics generated by a micro-founded model. We build on an evolutionary growth model which formalises the endogenous relations between structural changes in the production, organisation and functional composition of employment and of consumption patterns (originally proposed by Ciarli et al, 2010). We discuss the main transition dynamics to a self- sustained growth regime in a two-stage growth pattern generated through the numerical simulations of the model. We then show that these mechanisms lead to the emergence of a Kaldor-Verdoorn law. Finally we show that the structure of demand shapes the type of growth regime emerging from the endogenous structural changes, fostering or hampering the emergence of the Kaldor Verdoorn law. This depends on the endogenous income distribution and heterogeneity in consumption behaviour |
| Keywords: | Structural change, economic growth, final consumption, technological change, cumulative causation, evolutionary economics, Kaldor-Verdoorn Law |
| JEL: | O14 O33 O41 L16 C63 E11 |
| Date: | 2022–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:unm:unumer:2022001&r= |
| By: | Gerullis, Maria; Heckelei, Thomas; Rasch, Sebastian |
| Keywords: | Institutional and Behavioral Economics, Environmental Economics and Policy |
| Date: | 2020–09–18 |
| URL: | http://d.repec.org/n?u=RePEc:ags:gewi20:305589&r= |
| By: | Yuan, Song; Xie, Jian |
| Abstract: | What determines the prevalence of family firms? In this project, we investigate the role of historical family culture in the spatial distribution of family firms. Using detailed firm-level data from China, we find that there is a larger share of family firms in regions with a stronger historical family culture, as measured by genealogy density. The results are further confirmed by an instrumental variable approach and the nearest neighbor matching method. Examining the mechanisms, we find that entrepreneurs in regions with a stronger historical family culture: i) tend to have family members engage more in firms; ii) are more likely to raise initial capital from family members; iii) are more willing to pass on the firms to their children. Historical family culture predicts better firm performance due to a lower leverage ratio. |
| Keywords: | Family Culture; Family Firms; Genealogy; Cultural Origins; Firm Performance |
| JEL: | D02 D2 G3 L2 M1 Z1 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111315&r= |
| By: | Michael Schnetzer (Sammelstiftung Vita); Thorsten Hens (University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute) |
| Abstract: | Standard strategic asset allocation procedures usually neglect market interaction. However, returns are not generated in a vacuum but are the result of the market's price discovery mechanism which is driven by investors' investment strategies. Evolutionary finance accounts for this and endogenizes asset prices. This paper develops a multi-asset evolutionary finance model. Requiring little more than dividend and interest rate data, it facilitates an interesting glimpse into the inner workings of financial markets and provides a valuable guide to this class of models. While traditional mean/variance optimization is static and concerned with finding the optimal asset allocation, evolutionary portfolio theory is dynamic and its focus is on finding the optimal investment strategy. This paper shows that yield-based strategies generate asset allocations that outperform competing alternatives. Therefore, strategic asset allocation approaches that rely on such an economic foundation are evolutionarily advantageous for multi-asset investors. |
| Keywords: | Evolutionary finance, strategic asset allocation, multi-asset. |
| JEL: | G10 G11 G17 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp2205&r= |
| By: | Benjamin Enke; Thomas W. Graeber |
| Abstract: | This paper studies the relevance of cognitive uncertainty – subjective uncertainty over one’s utility-maximizing action – for understanding and predicting intertemporal choice. The main idea is that when people are cognitively noisy, such as when a decision is complex, they implicitly treat different time delays to some degree alike. By experimentally measuring and manipulating cognitive uncertainty, we document three economic implications of this idea. First, cognitive uncertainty explains various core empirical regularities, such as why people often appear very impatient, why per-period impatience is smaller over long than over short horizons, why discounting is often hyperbolic even when the present is not involved, and why choices frequently violate transitivity. Second, impatience is context-dependent: discounting is substantially more hyperbolic when the decision environment is more complex. Third, cognitive uncertainty matters for choice architecture: people who are nervous about making mistakes are twice as likely to follow expert advice to be more patient. |
| Keywords: | cognitive uncertainty, intertemporal choice, complexity |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9472&r= |
| By: | Stuetzer, Michael (Technische Universität Ilmenau); Brodeur, Abel (University of Ottawa); Obschonka, Martin (Queensland University of Technology); Audretsch, David (Indiana University); Rentfrow, Peter J. (University of Cambridge); Potter, Jeff (Atof Inc., Cambridge); Gosling, Samuel D. (University of Texas at Austin) |
| Abstract: | We study the origins of entrepreneurship (culture) in the United States. For the analysis we make use of a quasi-natural experiment – the gold rush in the second part of the 19th century. We argue that the presence of gold attracted individuals with entrepreneurial personality traits. Due to a genetic founder effect and the formation of an entrepreneurship culture, we expect gold rush counties to have higher entrepreneurship rates. The analysis shows that gold rush counties indeed have higher entrepreneurship rates from 1910, when records began, until the present as well as a higher prevalence of entrepreneurial traits in the populace. |
| Keywords: | gold rush, entrepreneurship, culture |
| JEL: | L26 R12 N5 N9 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14894&r= |
| By: | Tom\'a\v{s} Evan; Vladim\'ir Hol\'y |
| Abstract: | Hofstede's six cultural dimensions make it possible to measure the culture of countries but are criticized for assuming the homogeneity of each country. In this paper, we propose two measures based on Hofstede's cultural dimensions which take into account the heterogeneous structure of citizens with respect to their countries of origin. Using these improved measures, we study the influence of heterogeneous culture and cultural diversity on the quality of institutions measured by the six worldwide governance indicators. We use a linear regression model allowing for dependence in spatial and temporal dimensions as well as high correlation between the governance indicators. Our results show that the effect of cultural diversity improves some of the governance indicators while worsening others depending on the individual Hofstede cultural dimension. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2112.11563&r= |