We estimate demand for residential broadband using high-frequency data from subscribers facing a three-part tariff. The three-part tariff makes data usage during the billing cycle a dynamic problem, thus generating variation in the (shadow) price of usage. We provide evidence that subscribers respond to this variation, and we use their dynamic decisions to estimate a flexible distribution of willingness to pay for different plan characteristics. Using the estimates, we simulate demand under alternative pricing and find that usage-based pricing eliminates low-value traffic. Furthermore, we show that the costs associated with investment in fiber-optic networks are likely recoverable in some markets, but that there is a large gap between social and private incentives to invest.

We propose a Bayesian-averaging portfolio choice strategy with excellent out-of-sample performance. Every period a new model is born that assumes means and covariances are constant over time. Each period we estimate model parameters, update model probabilities, and compute robust portfolio choices by taking into account model uncertainty, parameter uncertainty, and non-stationarity. The portfolio choices achieve higher out-of-sample Sharpe ratios and certainty equivalents than rolling window schemes, the 1/N approach, and other leading strategies do on a majority of 24 datasets. Received September 8, 2012; accepted October 18, 2015 by Editor Pietro Veronesi.

Irving Fisher's Theory of Interest has proved to be a most durable and influential contribution to economic theory. A central element of Fisher's contribution is the Fisher hypothesis that, over the longer term, the real rate of interest is approximately constant, being determined largely by time preference, with movements in the nominal interest rate reflecting movements in the rate of inflation one-for-one. The paradox of the Fisher hypothesis is that, despite its wide acceptance as the cornerstone of interest rate theory, most empirical evidence appears to be inconsistent with the hypothesis, at least in its strictest form. This empirical anomaly was noted by Fisher himself, who attributed it to money illusion. In the fifty years following the publication of the Theory of Interest, a considerable literature has evolved around this paradox.' The unifying theme of this literature is a common acceptance of the essence of Fisher's hypothesis. Most of the energy in this literature has been devoted to explaining systematic movements in the real rate of interest, and to providing reasons why the relationship between the nominal interest rate and inflation may only be approximate in

Our research firstly tests the difference in investment efficiency between state-owned enterprises (SOEs) and private firms and secondly evaluates the effect of privatisation and equitisation policies on the investment efficiency of former state owned enterprises (SOEs). We use a novel dataset from Viet Nam which covers large and non-listed SMEs across construction, manufacturing, and service sectors. Our methodology uses a structural model to test the relationship between Tobin's Q and capital spending. While evident differences in investment efficiency are found across heterogeneous groups of private firms (size, industry, financially constrained and location), we find no evidence of investment spending being linked to marginal returns by SOEs across all sectors and size classes. However, former SOEs that have been privatised and equitized with a minority state shareholding display positive links between Q and investment. In fact, the link is stronger for these firms than for private firms. Differences are also evident across size and sector highlighting that the method of divestment chosen by government shareholders has a differential impact on efficiency across groups of firms and industries.

Propensity score matching estimators (Rosenbaum and Rubin (1983)) are widely used in evaluation research to estimate average treatment effects. In this article, we derive the large sample distribution of propensity score matching estimators. Our derivations take into account that the propensity score is itself estimated in a first step, prior to matching. We prove that first step estimation of the propensity score affects the large sample distribution of propensity score matching estimators, and derive adjustments to the large sample variances of propensity score matching estimators of the average treatment effect (ATE) and the average treatment effect on the treated (ATET). The adjustment for the ATE estimator is negative (or zero in some special cases), implying that matching on the estimated propensity score is more efficient than matching on the true propensity score in large samples. However, for the ATET estimator, the sign of the adjustment term depends on the data generating process, and ignoring the estimation error in the propensity score may lead to confidence intervals that are either too large or too small.

ABSTRACT In the published proceedings of the first Journal of Accounting Research Conference, Vatter [1966] lamented that “Gathering direct and original facts is a tedious and difficult task, and it is not surprising that such work is avoided.” For the fiftieth JAR Conference, we introduce a framework to help researchers understand the complementary value of seven empirical methods that gather data in different ways: prestructured archives, unstructured (“hand‐collected”) archives, field studies, field experiments, surveys, laboratory studies, and laboratory experiments. The framework spells out five goals of an empirical literature and defines the seven methods according to researchers’ choices with respect to five data gathering tasks. We use the framework and examples of successful research studies in the financial reporting literature to clarify how data gathering choices affect a study's ability to achieve its goals, and conclude by showing how the complementary nature of different methods allows researchers to build a literature more effectively than they could with less diverse approaches to gathering data.

We examine bank governance and risk choices from the 1890s, a period without distortions from deposit insurance or other government assistance to banks. We link differences in managerial ownership to different corporate governance policies, risk, and methods of risk management. Formal corporate governance and high manager ownership are negatively correlated. Managerial salaries and self-lending are greater when managerial ownership is higher and lower when formal governance is employed. Banks with high managerial ownership (low formal governance) target lower default risk. High managerial ownership, not formal governance, is associated with greater reliance on cash instead of equity to limit risk.

This paper extends our knowledge of corporate debt maturity structure by examining whether and to what extent overconfident CEOs affect maturity decisions. Consistent with a demand side story, we find that firms with overconfident CEOs tend to adopt a shorter debt maturity structure by using a higher proportion of short-term debt (due within 12months). This behavior of overconfident CEOs is not deterred by the high liquidity risk associated with such a financing strategy. Our demand side explanation remains robust even after considering six possible alternative drivers including a competing supply side explanation (in which creditors are reluctant to extend long-term debt to overconfident CEOs).

consumers. In this paper, we begin to remedy this omission by developing a formal model that shows how risk affects the decisions of riskaverse consumers regarding the amount of search and whether or not to buy advertised products. We incorporate risk into the model by assuming that consumers are concerned not only with expected product quality, but also with the amount of variation that exists across the qualities available. The risk arises not because the quality is itself variable, but rather because there is variation in quality across products, and consumers cannot evaluate the quality of a particular brand before purchase. We consider two sources of information about quality, both of which are costly to consumers: firms supply consumers with implicit quality signals through advertisements that convey only that a product is advertised but not direct information about the quality of the product, and consumers supply themselves with direct quality information through search.' These methods affect both the expected value of quality received and its riskiness. We analyze search and advertising simultaneously in order to model the consumers' substitution of one information source for the other. We then use the model to show how firms may use advertising as an implicit signal that advertised products are less risky than unadvertised products and to explain why information is primarily provided by firms in some markets, whereas in other markets, consumers acquire their information through search. In addition to explicitly considering risk, our model has several other attributes that distinguish it from the extant search literature. In order to obtain a meaningful market equilibrium, we construct a full partial-equilibrium model in which the behavior of both buyers and sellers is examined and the distribution of qualities in the market is endogenously determined. This approach is used

This paper examines empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to construct indexes akin to core inflation but with a time-varying distributed lags of weights, where the sectoral weight depends on the timevarying volatility and persistence of the sectoral inflation series and on the comovement among sectors. The modeling framework is a dynamic factor model with time-varying coefficients and stochastic volatility as in Del Negro and Otrok (2008), and is estimated using U.S. data on seventeen components of the personal consumption expenditure inflation index.