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Rudiger Fahlenbrach - One of the best experts on this subject based on the ideXlab platform.

  • founder ceos investment decisions and stock Market Performance
    2009
    Co-Authors: Rudiger Fahlenbrach
    Abstract:

    Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms with respect to firm valuation, investment behavior, and stock Market Performance. Founder-CEO firms invest more in research and development, have higher capital expenditures, and make more focused mergers and acquisitions. An equal-weighted investment strategy that had invested in founder-CEO firms from 1993 to 2002 would have earned a benchmark-adjusted return of 8.3% annually. The excess return is robust; after controlling for a wide variety of firm characteristics, CEO characteristics, and industry affiliation, the abnormal return is still 4.4% annually. The implications of the investment behavior and stock Market Performance of founder-CEO firms are discussed.

  • founder ceos investment decisions and stock Market Performance
    2007
    Co-Authors: Rudiger Fahlenbrach
    Abstract:

    Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms with respect to firm valuation, investment behavior, and stock Market Performance. Founder-CEO firms invest more in RD after controlling for a wide variety of firm characteristics, CEO characteristics, and industry affiliation, the abnormal return is still 4.4% annually. The implications of the investment behavior and stock Market Performance of founder-CEO led firms are discussed.

  • founder ceos investment decisions and stock Market Performance
    2006
    Co-Authors: Rudiger Fahlenbrach
    Abstract:

    Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms. Founder-CEO firms invest more in RD after controlling for a wide variety of firm characteristics, CEO characteristics, and industry affiliation, the abnormal return is still 4.4% annually.

Frank A Wolak - One of the best experts on this subject based on the ideXlab platform.

  • machine learning from the covid 19 lockdown about electricity Market Performance with a large share of renewables
    2021
    Co-Authors: Christoph Graf, Federico Quaglia, Frank A Wolak
    Abstract:

    Abstract The negative demand shock due to the COVID-19 lockdown has reduced net demand for electricity—system demand less amount of energy produced by intermittent renewables, hydroelectric units, and net imports—that must be served by controllable generation units. Under normal demand conditions, introducing additional renewable generation capacity reduces net demand. Consequently, the lockdown can provide insights about electricity Market Performance with a large share of renewables. We find that although the lockdown reduced average day-ahead prices in Italy by 45%, re-dispatch costs increased by 73%, both relative to the average of the same magnitude for the same period in previous years. We estimate a deep-learning model using data from 2017 to 2019 and find that predicted re-dispatch costs during the lockdown period are only 26% higher than the same period in previous years. We argue that the difference between actual and predicted lockdown period re-dispatch costs is the result of increased opportunities for suppliers with controllable units to exercise Market power in the re-dispatch Market in these persistently low net demand conditions. Our results imply that without grid investments and other technologies to manage low net demand conditions, an increased share of intermittent renewables is likely to increase the costs of maintaining a reliable grid.

  • machine learning from the covid 19 lockdown about electricity Market Performance with a large share of renewables
    2020
    Co-Authors: Christoph Graf, Federico Quaglia, Frank A Wolak
    Abstract:

    The negative demand shock due to the COVID-19 lockdown has reduced net demand for electricity|system demand less amount of energy produced by intermittent renewables, hydroelectric units, and net imports|that must be served by controllable generation units. Under normal demand conditions, introducing additional renewable generation capacity reduces net demand. Consequently, the lockdown can provide insights about electricity Market Performance with a large share of renewables. We find that although the lockdown reduced average day-ahead prices in Italy by 45%, re-dispatch costs increased by 73%, both relative to the average of the same magnitude for the same period in previous years. We estimate a deep-learning model using data from 2017{2019 and find that predicted re-dispatch costs during the lockdown period are only 26% higher than the same period in previous years. We argue that the difference between actual and predicted lockdown period re-dispatch costs is the result of increased opportunities for suppliers with controllable units to exercise Market power in the re-dispatch Market in these persistently low net demand conditions. Our results imply that without grid investments and other technologies to manage low net demand conditions, an increased share of intermittent renewables is likely to increase costs of maintaining a reliable grid.

  • the benefits of purely financial participants for wholesale and retail Market Performance lessons for long term resource adequacy mechanism design
    2019
    Co-Authors: Frank A Wolak
    Abstract:

    In April 2015, Singapore introduced an anonymous futures Market for wholesale electricity. Using data on prices and other observable characteristics of all competitive retail contracts signed from October 2014 to March 2016, a larger average quantity of open futures contracts that clear during the term of the retail contract a month before the retail contract starts delivery predicts a lower price for the retail contract. This outcome is consistent with increased futures Market purchases by independent retailers causing lower retail prices. Consistent with the logic in Wolak (2000) that a larger volume of fixed-price forward contract obligations leads to offer prices closer to the supplier’s marginal cost of production, a larger volume of futures contracts clearing against short-term wholesale prices predicts lower half-hourly wholesale prices. Both empirical results support introducing purely financial players to improve both retail and wholesale Market Performance. The paper then outlines how a regulator-mandated standardized futures Market can be used as a long-term resource adequacy mechanism for the wholesale Market regime.

Leigh Tesfatsion - One of the best experts on this subject based on the ideXlab platform.

  • an agent based test bed study of wholesale power Market Performance measures
    2008
    Co-Authors: Abhishek Somani, Leigh Tesfatsion
    Abstract:

    Wholesale power Markets operating over transmission grids subject to congestion have distinctive features that complicate the detection of Market power and operational inefficiency. This study uses a "wholesale power Market test bed "with strategically learning traders to experimentally test the extent to "which Market Performance measures commonly used for other industries are informative for the dynamic operation of restructured "wholesale power Markets. Examined measures include the Herfindahl-Hirschman index (HHI), the Lerner index (LI), the residual supply index (RSI), the relative Market advantage index (RMAI), and the operational efficiency index (OEI).

  • an agent based test bed study of wholesale power Market Performance measures
    2008
    Co-Authors: Abhishek Somani, Leigh Tesfatsion
    Abstract:

    Wholesale power Markets operating over transmission grids subject to congestion have distinctive features that complicate the detection of Market power and operational inefficiency. This study uses a "wholesale power Market test bed "with strategically learning traders to experimentally test the extent to "which Market Performance measures commonly used for other industries are informative for the dynamic operation of restructured "wholesale power Markets. Examined measures include the Herfindahl-Hirschman index (HHI), the Lerner index (LI), the residual supply index (RSI), the relative Market advantage index (RMAI), and the operational efficiency index (OEI).

  • an agent based test bed study of wholesale power Market Performance measures
    2008
    Co-Authors: Abhishek Somani, Leigh Tesfatsion
    Abstract:

    Wholesale power Markets operating over transmission grids subject to congestion have distinctive features that complicate the detection of Market power and operational inefficiency. This study uses the AMES wholesale power Market test bed with strategically learning traders to experimentally test the extent to which Market Performance measures commonly used for other industries are informative for the dynamic operation of restructured wholesale power Markets. Examined measures include the Herfindahl-Hirschman Index (HHI), the Lerner Index (LI), the Residual Supply Index (RSI), the Relative Market Advantage Index (RMAI), and the Operational Efficiency Index (OEI). Related work can be accessed at: http://www2.econ.iastate.edu/tesfatsi/AMESMarketHome.htm

  • an agent based test bed study of wholesale power Market Performance measures
    2008
    Co-Authors: Abhishek Somani, Leigh Tesfatsion
    Abstract:

    Wholesale power Markets operating over transmission grids subject to congestion have distinctive features that complicate the detection of Market power and operational inefficiency. This study uses the AMES wholesale power Market test bed with strategically learning traders to experimentally test the extent to which Market Performance measures commonly used for other industries are informative for the dynamic operation of restructured wholesale power Markets. Examined measures include the Herfindahl-Hirschman Index (HHI), the Lerner Index (LI), the Residual Supply Index (RSI), the Relative Market Advantage Index (RMAI), and the Operational Efficiency Index (OEI). Related work can be accessed at: http://www2.econ.iastate.edu/tesfatsi/AMESMarketHome.htm

Dirk Jan De Dreu - One of the best experts on this subject based on the ideXlab platform.

  • stock Market Performance and pension fund investment policy rebalancing free float or Market timing
    2012
    Co-Authors: Jacob A Bikker, Dirk Broeders, Dirk Jan De Dreu
    Abstract:

    This paper is the first that examines the impact of stock Market Performance on the investment policy of pension funds. We find that stock Market prices influence the asset allocation of Dutch pension funds in two ways. In the short term, outPerformance of equities over bonds and other investment categories automatically results in a higher actual equity allocation (and vice versa), as pension funds do not continuously rebalance their investment portfolios. Each quarter, pension funds rebalance, on average, around 39 percent of excess equity returns, leaving 61 percent for free floating. In the medium term, outPerformance of equities induces pension funds to increase their strategic equity allocation (and vice versa). These findings suggest that the investment policies of pension funds are partially driven by the cyclical Performance of the stock Market. Pension funds respond asymmetrically to stock Market shocks: rebalancing is much stronger after negative equity returns. On average, this strategy led to negative excess returns over the period under consideration. Investment policies of large funds deviate from that of small funds: they hold more equity and their equity allocation is much more strongly affected by actual equity returns, reflecting less rebalancing. The largest funds react highly asymmetrically to positive excess equity returns, adjusting their portfolios by significantly more than 100%, reflecting 'overshooting' of free floating, or positive feedback trading. Apparently, managers of large funds demonstrate great risk tolerance, particularly in bull Markets.

  • stock Market Performance and pension fund investment policy rebalancing free float or Market timing
    2012
    Co-Authors: Jacob A Bikker, Dirk Broeders, Dirk Jan De Dreu
    Abstract:

    This paper is the first that examines the impact of stock Market Performance on the investment policy of pension funds. We find that stock Market prices influence the asset allocation of Dutch pension funds in two ways. In the short term, outPerformance of equities over bonds and other investment categories automatically results in a higher actual equity allocation (and vice versa), as pension funds do not continuously rebalance their investment portfolios. Each quarter, pension funds rebalance, on average, around 39 percent of excess equity returns, leaving 61 percent for free floating. In the medium term, outPerformance of equities induces pension funds to increase their strategic equity allocation (and vice versa). These findings suggest that the investment policies of pension funds are partially driven by the cyclical Performance of the stock Market. Pension funds respond asymmetrically to stock Market shocks: rebalancing is much stronger after negative equity returns. On average, this strategy led to negative excess returns over the period under consideration. Investment policies of large funds deviate from that of small funds: they hold more equity and their equity allocation is much more strongly affected by actual equity returns, reflecting less rebalancing. The largest funds react highly asymmetrically to positive excess equity returns, adjusting their portfolios by significantly more than 100%, reflecting 'overshooting' of free floating, or positive feedback trading. Apparently, managers of large funds demonstrate great risk tolerance, particularly in bull Markets.

Lans A Bovenberg - One of the best experts on this subject based on the ideXlab platform.

  • tax policy and labor Market Performance
    2003
    Co-Authors: Lans A Bovenberg
    Abstract:

    textabstractIn exploring the impact of tax policy on labor-Market Performance, the paper first investigates how tax reform impacts labor supply and equilibrium unemployment in representative agent models. The impact of tax policy on labor Market Performance depends importantly on various other labor-Market institutions, such as minimum wage laws, wage bargaining, and unemployment benefits. In non-competitive labor Markets, employment declines if a higher tax burden makes the outside option (i.e. unemployment) relatively more attractive. Marginal tax rates typically differ substantially across individuals. To explore the impact of specific tax policies, therefore, the paper relies on an applied general equilibrium model to investigate the consequences of tax reform with heterogeneous households. The model simulations reveal several trade-offs between various objectives, such as cutting unemployment, stimulating the participation of secondary workers into the labor force, raising the quality and quantity of labor supply, and establishing an equitable income distribution. The paper also analyses how efficiency considerations affect the optimal progressiveness of labor income taxes. Finally, the optimal progression of the labor income tax is investigated in the presence of search unemployment, heterogeneous households and distributional concerns.

  • tax policy and labor Market Performance
    2003
    Co-Authors: Lans A Bovenberg
    Abstract:

    In exploring the impact of tax policy on labor-Market Performance, the paper first investigates how tax reform impacts labor supply and equilibrium unemployment in representative agent models. The impact of tax policy on labor Market Performance depends importantly on various other labor-Market institutions, such as minimum wage laws, wage bargaining, and unemployment benefits. In non-competitive labor Markets, employment declines if a higher tax burden makes the outside option (i.e. unemployment) relatively more attractive. Marginal tax rates typically differ substantially across individuals. To explore the impact of specific tax policies, therefore, the paper relies on an applied general equilibrium model to investigate the consequences of tax reform with heterogeneous households. The model simulations reveal several trade-offs between various objectives, such as cutting unemployment, stimulating the participation of secondary workers into the labor force, raising the quality and quantity of labor supply, and establishing an equitable income distribution. The paper also analyses how efficiency considerations affect the optimal progressiveness of labor income taxes. Finally, the optimal progression of the labor income tax is investigated in the presence of search unemployment, heterogeneous households and distributional concerns.