Prague Economic Papers, 2016 (vol. 25), issue 1

Original contributions, Original article, Research article

Active Management and Price Efficiency of Exchange-traded Funds

Tao Chen, Karen H. Y. Wong, Masayuki Susai

Prague Economic Papers 2016, 25(1):3-18 | DOI: 10.18267/j.pep.533  

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.

The Causes of Early-Stage Entrepreneurial Discontinuance

Martin Lukeš, Jan Zouhar

Prague Economic Papers 2016, 25(1):19-36 | DOI: 10.18267/j.pep.534  

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...

Structural Changes in the Czech Economy: A DSGE Model Approach

Jan Čapek

Prague Economic Papers 2016, 25(1):37-52 | DOI: 10.18267/j.pep.535  

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...

Persistence of Cooperation on Innovation: Econometric Evidence from Panel Micro Data

Martin Srholec

Prague Economic Papers 2016, 25(1):53-70 | DOI: 10.18267/j.pep.536  

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...

Inflation Differentials among Czech Households

Petr Janský, Pavel Hait

Prague Economic Papers 2016, 25(1):71-84 | DOI: 10.18267/j.pep.537  

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 differ 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...

The Factors of Growth of Small Family Businesses - A Robust Estimation of the Behavioural Consistency in Panel Data Models

Vladimír Benáček, Eva Michalíková

Prague Economic Papers 2016, 25(1):85-98 | DOI: 10.18267/j.pep.538  

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...

Work Incentive and Productivity in Spain

Mabel Pisa, Rosario Sánchez

Prague Economic Papers 2016, 25(1):99-111 | DOI: 10.18267/j.pep.539  

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...

Company Profitability Before and After IPO. Is it a Windows Dressing or Equity Dilution Effect?

Radosław Pastusiak, Monika Bolek, Maciej Malaczewski, Marta Kacprzyk

Prague Economic Papers 2016, 25(1):112-124 | DOI: 10.18267/j.pep.540  

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.