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Does investor risk perception drive asset prices in markets? Experimental evidence

We explore how individual risk perception influences prices and trading behavior in a market setting. Specifically, our study lets experimental participants trade assets characterized by varying shapes of return distributions. While common mean-variance models predict identical prices for most of our assets, we find trading prices to differ significantly. Assets that are perceived as being less risky on average (despite having identical volatility) trade at significantly higher prices. Individually, traders who perceive a certain asset to be less risky are also net buyers on average. With regard to different risk measures, our results show that the probability of a loss is the strongest predictor of transaction prices and risk perception. All these results hold also for experienced traders and when traders can trade two assets at the same time.

Huber, J., Palan, S. and Zeisberger, S. (2019): Does investor risk perception drive asset prices in markets? Experimental evidence, in: Journal of Banking and Finance, Vol. 108, pp. 1-17, doi: doi.org/10.1016/j.jbankfin.2019.105635.

Contact: Stefan Palan, Department of Banking and Finance, Phone: +43 (0)316/380 - 7306

Industry and leadership experiences of the heads of departments and their impact on the performance of public universities

Purpose: The purpose of this paper is to identify whether the prior industry experience (IE) or industry leadership experience (ILE) of the head might influence the department’s publication output, the ability to acquire external research funds or its entrepreneurial activities (e.g. the commercialization of research results through patents).
Design/methodology/approach: The study is based on data from 208 Austrian university departments and combines data from different sources (CVs of the heads of departments, commercial register, funding data and publication data).
Findings: The results show a positive relationship between ILE and the patent output of the departments as one indicator for the commercialization of research activities. Low positive effects of IE on the extent of third-party funding were also found. Furthermore, the scientific experience of the head of department has a positive influence on the publication output of the whole department.
Practical implications: The findings suggest that the scientific ability of researchers should be key when selecting the head of a department, due to the fact that scientific performance is still essential for most of these units. However, when universities seek to focus more strongly on other, for example, entrepreneurial activities, then additional competencies come into play. As the actual focus of universities is currently subject to change, former IE and ILE will become increasingly more important and the heads of departments will play a decisive role in the transition toward becoming an entrepreneurial university. Therefore, universities are well advised to integrate these experiences in the job specifications and to establish processes that facilitate the change from an industrial to a university job or which allow “double lives” in university and industry.
Originality/value: Previous studies have mostly investigated the role of the scientific experience of academic leaders in the research performance of their institution in later decades. This study examines the actual relevance of previous entrepreneurial experiences of heads of departments to the departments’ research performance, the ability to acquire external research funds or their entrepreneurial activities.

Rybnicek, R., Leitner, K.-H., Baumgartner, L. and Plakolm, J. (2019): Industry and leadership experiences of the heads of departments and their impact on the performance of public universities, in: Management Decision, Vol. 57, No. 12, pp. 3321-3345, doi: doi.org/10.1108/MD-10-2018-1173.

Contact: Robert Rybnicek, Department of Leadership and Entrepreneurship, Phone: +43 (0)316/380 - 7355

Post-Yugoslav Feminist Activism in the 21st Century

The development of an explicitly feminist positioning already in the 1970s and the existence of initiatives alternative to the agenda of the state women’s organizations is what distinguishes the former Yugoslavia from other countries of the former Eastern bloc with respect to women’s activism. Feminist activism received a powerful impetus in the 1990s from the violent transition of the successor countries of federal Yugoslavia. The political, economic and cultural upheavals of this period were reflected by the feminist theory and activism produced in the 1990s. By contrast, the period since 2000 has received far less research attention with few exceptions. Studies of feminist politics of the generation that came of political age after 2000 (“millennials”) are needed as political, economic and social conditions differ dramatically in comparison to socialist and transitional periods. The special issue “Post-Yugoslav Feminist Activism in the 21st Century” focuses on the variety of feminist activism since 2000 in the post-Yugoslav territory. By feminist activism, we mean individual and group actors that use disruptive and conventional tactics to contest gender-based arrangements of domination and subordination in society. The articles presented here address two large problem areas that sometimes overlap within one article: generations and legacies on the one hand (Sutlović, Bias, Siročić), and activism toward gender justice on the other (Kersten-Pejanić, Spasovska and Kotevska, Pollozhani and Trevisani).

Oates-Indruchová, L. and Siročić, Z. (Hrsg.) (2019): Post-Yugoslav Feminist Activism in the 21st Century, Special Section of Women’s Studies International Forum 77, Elsevier, Amsterdam.

Contact: Libora Oates-Indruchová, Department of Sociology, Phone: +43 (0)316/380 - 7086

Evaluative voting or classical voting rules: Does it make a difference? Empirical evidence for consensus among voting rules

We provide empirical evidence for Tullock’s claim that many of the problems known from social choice literature do not show up in practice. In particular, even though theoretically the use of different voting rules can lead to very different outcomes, there appears to be rather high consensus among voting rules when applied to real-world preference data. In addition, the famous and widely studied problem of majority cycles seems to be of little significance in practice. In this study, based on data collected in an online-survey in connection with the 2015 parliament election in the Austrian federal state of Styria, we confirm these findings to a high degree. Our analysis is based on an approach using a nonparametric bootstrap and includes various forms of evaluative voting (which has recently received increasing attention).

Darmann, A., Grundner, J. and Klamler, C. (2019): Evaluative voting or classical voting rules: Does it make a difference? Empirical evidence for consensus among voting rules, in: European Journal of Political Economy, Vol. 59, pp. 345-353, doi: doi.org/10.1016/j.ejpoleco.2019.04.003.

Contact: Christian Klamler, Department of Public Economics, Phone: +43 (0)316/380 - 3465

Model and Moment Selection in Factor Copula Models

This article develops a simultaneous model and moment selection procedure for factor copula models. Since the density of the factor copula is generally not known in closed form, widely used likelihood or moment-based model selection criteria cannot be directly applied on factor copulas. The new approach is inspired by the methods for generalized methods of moments proposed by Andrews (1999) and Andrews and Lu (2001). The consistency of the procedure is proved and Monte Carlo simulations show its good performance in finite samples in different scenarios of sample sizes and dimensions. The impact of the choice of moments in selected regions of the support on model selection and value-at-risk prediction is further examined by simulation and an application to a portfolio consisting of ten stocks in the Deutscher Aktienindex (DAX30) index.

Duan, F., Manner, H. and Wied, D. (2019): Model and Moment Selection in Factor Copula Models, in: Journal of Financial Econometrics, pp. 1-31, doi: doi.org/10.1093/jjfinec/nbz039 [24.12.2019].

Contact: Hans Manner, Department of Economics, Phone: +43 (0)316/380 - 3446

Conditional Variance Forecasts for Long-Term Stock Returns

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much less important at longer horizons regardless of the chosen model and that the homoscedastic historical average of the squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the one-year and five-year horizon.

Mammen, E., Perch Nielsen, J., Scholz, M. and Sperlich, S. (2019): Conditional Variance Forecasts for Long-Term Stock Returns, in: Risks, Vol. 7, No. 4, pp. 1-22, doi: https://doi.org/10.3390/risks7040113.

Contact: Michael Scholz, Department of Economics, Phone: +43 (0) 316/380 - 7112

A Stackelberg knapsack game with weight control

We address a bilevel knapsack problem where a set of items with weights and profits is given. One player, the leader, may control the weights of a given subset of items. The second player, the follower, outputs the actual solution of the resulting knapsack instance, maximizing the overall profit. The leader receives as payoff the weights from those items of its associated subset that were included in the solution chosen by the follower. We analyze the leader's payoff maximization problem for three different solution strategies of the follower and discuss the complexity of the corresponding problems. In particular, we show that, when the follower adopts a greedy strategy, setting the optimal weight values is NP-hard. Also, it is NP-hard to provide a solution within a constant factor of the best possible solution. However, a MIP-formulation can be given. Moreover, the truncated greedy strategy allows an easy answer for the revision of weights. For the additional case, in which the follower faces a continuous (linear relaxation) version of the above problems, the optimal strategies can be fully characterized and computed in polynomial time.

Pferschy, U., Nicosia, G. and Pacifici, A. (2019): A Stackelberg knapsack game with weight control, in: Theoretical Computer Science, Vol. 799, pp. 149-159, doi: doi.org/10.1016/j.tcs.2019.10.007.

Contact: Ulrich Pferschy, Department of Statistics and Operations Research, Phone: +43 (0)316/380 - 3496

Conservatism in debt contracting: theory and empirical evidence

This paper surveys both the theoretical and the empirical archival literature on conservatism when accounting information is used for debt contracting. The theoretical literature shows mixed results whether conservative accounting is desirable, which depends on the underlying agency problem, the information available, and the contracting space. The empirical literature takes a more holistic view in measuring the degree of conservatism. It studies a broad array of possible effects of conservatism in debt financing, but also beyond. The results overwhelmingly support the view that conservatism plays a useful role in debt contracting, although there are also some mixed results. We describe key results and empirical designs, and we provide suggestions for future research.

Penalva, F. and Wagenhofer, A. (2019): Conservatism in debt contracting: theory and empirical evidence, in: Accounting and Business Research, Vol. 49, No. 6, pp. 619-647, doi: doi.org/10.1080/00014788.2019.1609899.

Contact: Alfred Wagenhofer, Department of Accounting and Control, Phone: +43 (0)316/380 - 3500

Assessment of the Interest Barrier Rule of Article 4 of the EU Anti-Tax Avoidance Directive for a Sample of European Firms

This study investigates the economic consequences and the effectiveness of the interest barrier rule of article 4 of the EU Anti-Tax Avoidance Directive on an EU-wide basis. The analyses performed are based on a sample of 492,977 firms from 21 EU Member States. The economic consequences of the interest barrier rule are fairly small. Without an allowance and an exemption for stand-alone firms, the findings indicate that between 13.97% and 17.29% of all EU firms will be affected by the interest barrier. This percentage decreases substantially, to between 0.51% and 0.81%, if an allowance of EUR 3 million is granted. When evaluating the effectiveness of the interest barrier, the results show that the interest barrier is effective in aligning interest deductibility with real economic activity in the vast majority of EU Member States. Moreover, it is more effective than a thin capitalization rule with a safe harbour debt-to-equity ratio. The results obtained provide valuable insights for lawmakers as to how to choose effectively among the legislative options provided by article 4 of the EU Anti-Tax Avoidance Directive.

Petutschnig, M., Rechbauer, M. and Rünger, S. (2019): Assessment of the Interest Barrier Rule of Article 4 of the EU Anti-Tax Avoidance Directive for a Sample of European Firms, in: World Tax Journal, Vol. 11, No. 3, pp. 347-378.

ContaCt: Martina Rechbauer, Department of Accounting and Taxation, Phone: +43 (0)316/380 - 6440

Consumer Policy in 28 EU Member States: An Empirical Assessment in Four Dimensions

This article examines consumer policy in 28 EU Member States. It introduces a new methodological framework and several indicators to analyse legal, social, enforcement, and associational dimensions of consumer policy. Drawing on the most recent data, the empirical results provide a detailed picture of consumer policy across Europe displayed in several indices. The results furthermore allow for statistically testing consumer policy regimes, as suggested by previous research. These indices reveal great differences between individual countries but only few instances of statistically significant differences between consumer policy regimes. Considering legal and political accounts as well as sociological explanations that have not yet been applied, possible explanations for these findings are discussed. It is concluded that comparative consumer policy analysis should further analyse differences between individual European countries in several dimensions and should not only account for consumer policy regimes from a legal or a political science perspective. The methodological framework and the theoretical explanations outlined in this article may help to accomplish this goal.

Nessel, S. (2019): Consumer Policy in 28 EU Member States: An Empirical Assessment in Four Dimensions, in: Journal of Consumer Policy, Vol. 42, No. 4, pp. 455-482, doi: doi.org/10.1007/s10603-019-09428-x.

Contact: Sebastian Nessel, Department of Sociology, Phone: +43 (0)316/380 - 3547

Using the Borda rule for ranking sets of objects

We analyze the problem of ranking sets of objects based on a ranking over the single objects. In recent years various papers used the sum of individual scores for the objects, in particular Borda scores, to make such comparisons. The advantage of this approach lies in providing a complete ranking of sets of objects and therefore can be seen as an alternative to other methods based on best and/or worst objects. The paper contributes in two ways. On the one hand, we highlight certain drawbacks that arise when using Borda scores in such comparisons. On the other hand, we provide two characterization results for Borda-sum rankings, one for the restricted setting of sets of equal cardinality and one for the general setting which allows for comparisons of sets of unequal cardinality.

Darmann, A. and C. Klamler, C. (2019): Using the Borda rule for ranking sets of objects, in: Social Choice and Welfare, Vol. 53, No. 3, pp. 399-414, doi: doi.org/10.1007/s00355-019-01190-w.

Contact: Christian Klamler, Department of Public Economics, Phone: +43 (0)316/380 - 3465



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