Template-Type: ReDIF-Article 1.0
Author-Name: Tao Chen
Author-Name: Karen H. Y. Wong
Author-Name: Masayuki Susai
Title: Active Management and Price Efficiency of Exchange-traded Funds
Abstract: This paper extends the debate over the benefits of active management by investigating its impact on price efficiency using data from available ETFs traded on the US market. After accounting for various tests in terms of price efficiency, we find that active management matters to the efficiency improvement. One practical implication of this study is that more active management element might be considered by fund managers in designing and managing their ETFs so as to reflect all available information into fund prices.
Keywords: active management, price efficiency, exchange-traded funds
Classification-JEL: G11, G14
Pages: 3-18
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=533.pdf
File-URL: http://www.vse.cz/pep/533
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Template-Type: ReDIF-Article 1.0
Author-Name: Martin Lukeš
Author-Name: Jan Zouhar
Title: The Causes of Early-Stage Entrepreneurial Discontinuance
Abstract: A high proportion of nascent entrepreneurs do not make it to an operational venture. Even though entrepreneurial exit decisions occur more frequently than many think, the literature on entrepreneurial discontinuance is not much developed. The paper first examines whether factors influencing early-stage discontinuance differ in the Czech Republic in comparison with Western countries. Second, it contributes to existing theories on nascent entrepreneurial activity of "modest majority" low-growth businesses by focusing on the role of expectations in discontinuance decisions. A sample of nascent entrepreneurs was interviewed in 2011 and then in two follow-up waves in 2012 and 2013. Building on hubris theory of entrepreneurship and theory of performance thresholds, the paper discusses subjective decision-making about entrepreneurial launch and exit. The results show that people with higher industry experience are more likely to discontinue from nascent entrepreneurship, a finding contrasting most research in Western countries. The paper also provides added value in relating growth aspirations to solo vs. team entrepreneurship. Solo entrepreneurs with high initial expectations were found more likely to discontinue from their efforts, whereas teams disbanded more often in case of low-ambition plans on new venture.
Keywords: Czech Republic, nascent entrepreneurs, start-ups, longitudinal study, event history models, discontinuance, entrepreneurial exit, opportunity costs
Classification-JEL: L26, M13
Pages: 19-36
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=534.pdf
File-URL: http://www.vse.cz/pep/534
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Template-Type: ReDIF-Article 1.0
Author-Name: Jan Čapek
Title: Structural Changes in the Czech Economy: A DSGE Model Approach
Abstract: This article identifies structural changes in the Czech economy in the period from 1996 to 2012 using a DSGE model estimated using Bayesian methods. A structural change is understood as a statistically significant change in model parameter(s). Prior to the first quarter of 1999, there was a structural change that can be primarily attributed to shocks impacting only the domestic economy, and to the domestic monetary authority´s increased preferences towards inflation and exchange rate growth. The elasticity of substitution between domestic and imported consumption goods also increased sharply in this period. As far as the recent economic recession is concerned, it was caused by a much more persistent worldwide technology shock. Habit formation dropped abruptly during the crisis as households tended not to smooth their consumption much anymore. Recursive impulse response analysis carried out on the model suggests that the propagation mechanisms in the model economy changed, implying that the identified structural changes were accompanied by a change in behaviour of the model economy.
Keywords: structural change, DSGE model, Bayesian estimation, rolling estimation, recursive impulse response
Classification-JEL: C11, D58, E32
Pages: 37-52
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=535.pdf
File-URL: http://www.vse.cz/pep/535
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Template-Type: ReDIF-Article 1.0
Author-Name: Martin Srholec
Title: Persistence of Cooperation on Innovation: Econometric Evidence from Panel Micro Data
Abstract: Arrangements to cooperate on innovation facilitate access to external sources of knowledge. By using panel data derived from the five waves of Community Innovation Survey in the Czech Republic, we examine whether firms engage in these arrangements persistently or rather revert to other behaviour. Econometric estimates of dynamic random effects and multivariate probit models provide strong support to the thesis of persistence, particularly of linkages with the university sector and suppliers. The results are robust to the initial conditions problem and serial correlation in idiosyncratic errors. Government programmes initiating cooperation on innovation therefore have the potential to induce durable changes in the innovative behaviour of firms.
Keywords: Czech Republic, panel data, innovation, cooperation, persistence, Community Innovation Survey
Classification-JEL: C23, C25, L20, O31, O32
Pages: 53-70
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=536.pdf
File-URL: http://www.vse.cz/pep/536
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Template-Type: ReDIF-Article 1.0
Author-Name: Petr Janský
Author-Name: Pavel Hait
Title: Inflation Differentials among Czech Households
Abstract: Inflation rates have traditionally been measured by the percentage change in the price level of a market basket of consumer goods and services purchased by households. The market basket represents the spending patterns of average household. However, households diff er in their spending patterns and there are differences in the price changes of various goods and services. Therefore, different households experience different inflation rates. This paper finds that these differences have been significant in the Czech Republic during the period 1995-2010. Only around 60% of households actually experienced an inflation rate that was similar to the national average. Furthermore, the higher the average inflation rate over time, the lower the percentage of households whose inflation rate was similar to that average. The main determiners of inflation were expenditures for housing and energy, food and non-alcoholic drinks. In most years, pensioners and low-income households faced significantly higher inflation rates than the average rate for the whole population.
Keywords: inflation, households, inflation differentials, relative prices
Classification-JEL: D12, H22, I31
Pages: 71-84
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=537.pdf
File-URL: http://www.vse.cz/pep/537
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Template-Type: ReDIF-Article 1.0
Author-Name: Vladimír Benáček
Author-Name: Eva Michalíková
Title: The Factors of Growth of Small Family Businesses. A Robust Estimation of the Behavioural Consistency in Panel Data Models
Abstract: The paper quantifies the role of factors associated with the growth (or decline) of micro and small businesses in European economies. The growth is related to the levels of employment and value added in enterprises, as well as, ten institutional variables. We test the data for consistency of behavioural patterns in various countries and gradually remove outlying observations that can lead to erroneous conclusions when using the classic estimators; this is a quite unique approach in panel data analysis. In the first part of this paper we outline a highly robust method of estimation based on fixed effects and least trimmed squares (LTS). In its second part we apply this method on the panel data of 28 countries in 2002-2008 testing for the hypothesis that micro and small businesses in Europe use different strategies for their growth. We run a series of econometric tests where we regress employment and total net production in micro and small businesses on three economic factors: gross capital returns, labour cost gaps in small relative to large enterprises and GDP per capita. In addition, we test the role of 10 institutional factors in the growth of family businesses.
Keywords: family business, robust estimator, LTS, fixed effects
Classification-JEL: C01, C23, C51, C82, F21, F40
Pages: 85-98
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=538.pdf
File-URL: http://www.vse.cz/pep/538
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Template-Type: ReDIF-Article 1.0
Author-Name: Mabel Pisa
Author-Name: Rosario Sánchez
Title: Work Incentive and Productivity in Spain
Abstract: Work incentives are closely related to production performance. This paper presents evidence that the value added of a firm increases when relative labour wage rises, or the level of unemployment increases. Both circumstances imply evidence in favour of the efficiency wage model. This theory is consistent with the views of many managers and personal administrators, who tend to ascribe primary importance to wage setting as an incentive to increase effort. We use a micro panel data set of Spanish manufacturing firms for the period 2004-2009 to simultaneously estimate a stochastic frontier of a firm´s value added and the inefficiency determinants. The data source is published in the Spanish Industrial Survey on Business Strategies (Encuesta sobre Estrategias Empresariales, ESEE) collected by the Fundación SEPI.
Keywords: efficiency, value added, labour economic, industrial relations
Classification-JEL: D24, J23, J24, L60
Pages: 99-111
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=539.pdf
File-URL: http://www.vse.cz/pep/539
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Template-Type: ReDIF-Article 1.0
Author-Name: Radoslaw Pastusiak
Author-Name: Monika Bolek
Author-Name: Maciej Malaczewski
Author-Name: Marta Kacprzyk
Title: Company Profitability Before and After IPO. Is it a Windows Dressing or Equity Dilution Effect?
Abstract: This paper relates to the initial public offering problem and companies´ profitability levels before and after this event. In the presented study, profitability ratios in the year before initial public offering increase over the previous year, and then, after the IPO, fall. This confirms the phenomenon of distorting the level of profit before the IPO and partially equity dilution after the IPO.
Keywords: IPO, capital market, corporate finance, ROE, ROA, window dressing
Classification-JEL: G14, G15, G32
Pages: 112-124
Volume: 2016
Issue: 1
Year: 2016
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=540.pdf
File-URL: http://www.vse.cz/pep/540
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Handle: RePEc:prg:jnlpep:v:2016:y:2016:i:1:id:540:p:112-124
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