Business research
Permanent URI for this collectionhttps://hdl.handle.net/2164/547
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Item House Prices, Disposable Income, and Permanent and Temporary Shocks(University of Aberdeen Business School, 2009-08) Fraser, Patricia; Hoesli, Martin; McAlevey, LynnThis paper specifies a two-variable system of house prices and income for N.Z., U.K. and the U.S., covering periods from 1973:4 through 2008:2. The analysis allows the identification of differences in house priceincome relationships over sub-periods and, using an SVAR approach, compares the responses of house prices when faced with permanent and transitory shocks to income. It continues by decomposing each historical house prices series into their permanent, temporary and deterministic components. Our results suggest that while real house prices have a long-run relationship with real income in all three economies, the responsiveness of house prices to innovations in income will vary over both time and markets depending on whether the income disturbances are viewed as permanent or temporary. The evidence suggests that N.Z. and U.K. housing markets are sensitive to both permanent and transitory shocks to income while the U.S. market reacts to temporary shocks with the permanent component having a largely insignificant role to play in house price composition. In N.Z. the temporary component of house prices has tended to be positive over time, pushing prices higher than they would have been otherwise while in the U.K. both permanent and temporary components have tended to reinforce each other. Overall, there is no clear consistent global pattern regarding the importance of these shocks which implies that housing markets will react differently to the vagaries of global and domestic economic activity driving such shocks.Item What drives stock prices? The Present Value Model revisited in a comparison of developed and emerging markets(2008-01-15T16:19:39Z) Fraser, Patricia; Chen, Yen HsiaoUsing a dynamic version of the present value model and a range of developed and Asian emerging markets, this paper considers what stock market prices ‘should have been’, given expectations on index cash dividends and on, more broadly defined, index earnings, and compares these fundamental prices with actual prices. Revealed deviations from fundamental value are investigated by considering types of investor behaviour which might drive such departures and whether they are influenced by spillover effects from other markets.Item Pay Comparisons: An Analysis of UK University Vice Chancellors Pay Awards(2007-04-12T11:18:57Z) Tarbert, Heather; Tee, Kai Hong; Watson, RobertThis paper examines UK University Vice Chancellors (VC) pay awards. The empirical analysis, covering the period 1997 to 2002, evaluates the impact upon VC pay awards of university performance measures, an internal pay comparison measure and two external pay comparisons, i.e., the pay of other VCs and the pay of CEOs leading comparable-sized UK firms. We find no evidence that VC pay awards are related to any of the performance measures, though the positive relationship found between changes in the proportion of other highly-paid employees and VC pay awards suggests that internal pay comparisons play an important role in remuneration committee decision making. Of the two external pay benchmarks, the pay received by other VCs has the largest positive impact upon VC pay awards. Nevertheless, the (much smaller) partial adjustment of VC pay explained by the difference between the two external pay benchmarks was also statistically significant. Thus, whilst average VC pay increased by some 40% over the period, this was significantly less than the increase in the pay of comparable UK CEOs. We suggest that this conservatism by university remuneration committees stems largely from political rather than financial constraints.Item Employee Heterogeneity and Within-Firm Experience-Earnings Profiles: A Nonparametric Analysis(2006-12-06T13:18:08Z) Campbell, RossAbstract Motivated by a priori uncertainty with respect to the parametric specification of the earnings function, I model the earnings function as semiparametric partially linear model and follow the estimation approach described in Robinson (1988). Using data from the personnel records of a large major UK based financial sector employer, I let years of within-firm and pre-firm experience form the nonparametrically modelled component of the earnings function. It is shown that the estimated within-firm experience earnings profiles, which are conditional upon a given number years of pre-firm experience accumulated before entry, converge and even overtake as years of pre-firm experience increases. This result can be explained with the recognition of unobservable explanatory variables, such as the match and individual quality of the employees, both of which are a function of years of within- and pre-firm experience and wages.Item House prices, fundamentals and bubbles(2006-01-31T13:42:12Z) Black, Angela; Fraser, Patricia; Hoesli, MartinThis paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward ‘true’ value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to by driven by momentum behaviour.