Tilburg University

About: Tilburg University is a education organization based out in Tilburg, Noord-Brabant, Netherlands. It is known for research contribution in the topics: Population & Context (language use). The organization has 5550 authors who have published 22330 publications receiving 791335 citations.

Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets

Abstract: We propose regression-based tests for mean-variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. We test whether U.S. investors can extend their efficient set by investing in emerging markets when accounting for such frictions. For the period after the major liberalizations in the emerging markets, we find strong evidence for diversification benefits when market frictions are excluded, but this evidence disappears when investors face short sales constraints or small transaction costs. Although simulations suggest that there is a possible small-sample bias, this bias appears to be too small to affect our conclusions. THE QUESTION OF WHETHER OR NOT an investor can extend his efficient set by including additional assets in his portfolio has recently received considerable attention in the literature. If extension of the efficient set is not possible for a specific mean-variance utility function, the mean-variance frontier of the benchmark assets and of the benchmark assets plus the additional assets intersect, that is, they have one point in common. If extension of the efficient set is not possible for any mean-variance utility function, the meanvariance frontier of the initial assets spans the frontier of the larger set of the initial assets plus the additional assets. These concepts are discussed by Huberman and Kandel ~1987!, who propose regression-based tests of the hypotheses of spanning and intersection for mean-variance investors. It is well known by now that a shift in the mean-variance frontier from adding assets to the investment opportunity set is tantamount to a shift in the volatility bounds of the kernels that price the assets under consideration ~e.g., DeSantis ~1994! and Bekaert and Urias ~1996!! and that the issue is also very closely related to performance evaluation ~see, e.g., Jobson and * De Roon is from Erasmus University Rotterdam and CEPR, Nijman and Werker are from Tilburg University. Geert Bekaert, Feico Drost, Bruno Gerard, Pierre Hillion, Erzo Luttmer, Bertrand Melenberg, Rene Stulz ~the editor!, and an anonymous referee have provided many helpful comments and suggestions. We are also grateful to comments made by participants of the 1997 EFA meetings in Vienna and the 1998 AFA meetings in Chicago, and by seminar participants at INSEAD, the Norwegian School of Management, and the Stockholm School of Economics. The last author thanks the Humbold Universitat zu Berlin for its hospitality during a time when part of this research was carried out.

Do simple models lead to generality in ecology

Abstract: Modellers of biological, ecological, and environmental systems cannot take for granted the maxim 'simple means general means good'. We argue here that viewing simple models as the main way to achieve generality may be an obstacle to the progress of ecological research. We show how complex models can be both desirable and general, and how simple and complex models can be linked together to produce broad-scale and predictive understanding of biological systems.

Bank Financing for SMEs around the World : Drivers, Obstacles, Business Models, and Lending Practices

Abstract: Using data from a survey of 91 banks in 45 countries, the authors characterize bank financing to small and medium enterprises (SMEs) around the world. They find that banks perceive the SME segment to be highly profitable, but perceive macroeconomic instability in developing countries and competition in developed countries as the main obstacles. To serve SMEs banks have set up dedicated departments and decentralized the sale of products to the branches. However, loan approval, risk management, and loan recovery functions remain centralized. Compared with large firms, banks are less exposed to small enterprises, charge them higher interest rates and fees, and experience more non-performing loans from lending to them. Although there are some differences in SMEs financing across government, private, and foreign-owned banks - with the latter being more likely to engage in arms-length lending - the most significant differences are found between banks in developed and developing countries. Banks in developing countries tend to be less exposed to SMEs, provide a lower share of investment loans, and charge higher fees and interest rates. Overall, the evidence suggests that the lending environment is more important than firm size or bank ownership type in shaping bank financing to SMEs.

Cross-Cultural Differences and Joint Venture Longevity

Abstract: In this paper we test whether national cross cultural differences between joint venture (JV) parents affect JV longevity by comparing that of two categories of JVs placed in the same environment, those between two or more Japanese parents on one hand, and those between Japanese and American parents, on the other. Carefully controlling for other factors that may affect JV longevity, we find that the longevity of Japanese-American JVs is lower than that of Japanese-Japanese JVs. Such effects, however, appear only for dissolutions that result from the sale of the venture to one of the partners, not for those due to liquidation or sale to a third party.

Nonresponse in panel data : The impact on estimates of a life cycle consumption function

Abstract: If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper we examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to estimate the resulting models. Using a life cycle consumption function and data from the Expenditure Index Panel from the Netherlands, we discuss simple procedures that can be used to assess whether observations are missing at random, and we consider more complicated estimation procedures that can be used to obtain consistent or efficient estimates in case of selectivity of attrition bias. Finally, some attention is paid to the differences in identification, consistency, and efficiency between inferences from a single wave of the panel, a balanced sub-panel, and an unbalanced panel.