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Industries at the World Technology Frontier: Measuring R&D Efficiency in a Non-Parametric DEA Framework
Schmidt-Ehmcke, Jens; Zloczysti, Petra - C.E.P.R. Discussion Papers - 2011
the most efficient innovation processes. We combine a traditional nonparametric frontier approach with super-efficiency … and tests for return to scale properties using bootstrap procedures to derive consistent and robust efficiency estimates … Denmark have the highest R&D efficiency on average in total manufacturing. However, sector-specific efficiency scores reveal …
Persistent link: https://www.econbiz.de/10009321843
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R&D Efficiency and Barriers to Entry: A Two Stage Semi-Parametric DEA Approach
Cullmann, Astrid; Schmidt-Ehmcke, Jens; Zloczysti, Petra - C.E.P.R. Discussion Papers - 2010
This paper assesses the relative efficiency of knowledge production in the OECD using a nonparametric DEA approach. In … constraints. The efficiency scores presented are based on an intertemporal frontier estimation for the period 1995 to 2004. We …&D efficiency by attenuating the incentives to innovate and to allocate resources efficiently. …
Persistent link: https://www.econbiz.de/10008684686
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Consolidating the Water Industry: An Analysis of the Potential Gains from Horizontal Integration in a Conditional Efficiency Framework
Zschille, Michael - C.E.P.R. Discussion Papers - 2012
Envelopment Analysis (DEA) to analyze the potential efficiency gains from mergers between water utilities at the county level. A … efficiency improvements through consolidation. Focusing on a hypothetical restructuring of the industry, we apply Data … conditional efficiency framework is used to account for the operating environment. Highest efficiency improvement potentials turn …
Persistent link: https://www.econbiz.de/10011083827
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On the High-Frequency Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011
We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...
Persistent link: https://www.econbiz.de/10009205059
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Performance Measures for Dynamic Portfolio Management
Nielsen, Lars Tyge; Vassalou, Maria - C.E.P.R. Discussion Papers - 1998
This paper proposes instantaneous versions of the Sharpe ratio and Jensen’s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the...
Persistent link: https://www.econbiz.de/10005666483
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Evaluating Style Analysis
de Roon, Frans; Nijman, Theo E; ter Horst, Jenke - C.E.P.R. Discussion Papers - 2002
to show that imposing these constraints in estimating the factor portfolios leads to significant efficiency gains, if the …
Persistent link: https://www.econbiz.de/10005791320
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Judging Fund Managers by the Company They Keep
Cohen, Randolph; Coval, Joshua; Pástor, Luboš - C.E.P.R. Discussion Papers - 2003
measures are particularly useful in ranking managers. In an application that relies on such ranking, we find only weak …
Persistent link: https://www.econbiz.de/10005792101
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On the Dynamics of Hedge Fund Risk Exposures
Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010
We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge...
Persistent link: https://www.econbiz.de/10008468551
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The Effect of Segregation and Spatial Mismatch on Unemployment: Evidence from France
Gobillon, Laurent; Selod, Harris - C.E.P.R. Discussion Papers - 2007
In this paper, we investigate how residential segregation and bad physical access to jobs contribute to urban unemployment in the Paris region. We first survey the general mechanisms according to which residential segregation and spatial mismatch can have adverse labour-market outcomes. We then...
Persistent link: https://www.econbiz.de/10005656303
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Welfare Differentials Across French and US Labour Markets
Cohen, Daniel - C.E.P.R. Discussion Papers - 1999
The paper computes lifetime welfare functions for French and American workers. For the vast majority of workers, we find that the lifetime discrepancy between the welfare of an employed and that of an unemplyed worker appear to quite similar in the two countries, corresponding to nine monthly...
Persistent link: https://www.econbiz.de/10005791313