Excess Turnover Research Articles

An Analysis of the Impact of Insider Trading on Executive Compensation in Listed Companies Based on VAR Modeling

Abstract In this paper, we first establish a VAR model, screen the variables using the CSIS method so as to achieve fast dimensionality reduction, and use the cointegration theory to model non-stationary time variables to determine the pseudo-regression analysis between variables. Impulse response functions and variance decomposition are then used to analyze the dynamic effects of changes in random disturbance terms on the whole system and other variables. Finally, the effects of insider trading on executive compensation are explored using corporate performance and market-based executive pay entitlement as references, respectively. The results show that the regression coefficients of executive compensation level and cumulative excess turnover rate of the event announcement period are 0.805 and 0.018 for corporate performance and market-based compensation, respectively, and the higher the level of executive compensation based on corporate performance and market-based compensation, the lower the impact of insider trading on executive compensation. Equity incentives reduce the impact of insider trading on executive compensation, and the regression coefficient of excess turnover on executive compensation is less than 0 in firms with shareholding levels higher than 10%.

The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market

AbstractThis paper investigates a sample of 15 Chinese commodity futures to examine the impact of trading behavioral biases on market liquidity under different volatility levels. We construct a measure of shocks driven by news on market fundamentals to capture rational trading behavior and a measure of irrational trading behavior from excess skewness, excess kurtosis, and excess turnover. We find that herding causes deterioration in liquidity mainly by affecting order imbalance, whereas overtrading improves market liquidity by increasing market depth. The disposition effect is identified only when volatility is higher, after a distinction is made between up and down markets.

Prognostic value of blood-based fibrosis biomarkers in patients with metastatic colorectal cancer receiving chemotherapy and bevacizumab

A desmoplastic colorectal cancer stroma, characterized by excess turnover of the cancer-associated fibroblast derived collagens type III and VI, can lead to reduced drug-uptake and poor treatment response. We investigated the association between biomarkers of collagen type III and VI and overall survival (OS) in patients with metastatic colorectal cancer (mCRC). Serum samples were collected from 252 patients with mCRC prior to treatment with bevacizumab and chemotherapy. Serum concentrations of biomarkers reflecting formation of collagen type III (PRO-C3) and VI (PRO-C6) and degradation of collagen type VI (C6M and C6Mα3) were determined by ELISA. The biomarkers were evaluated for associations with OS, individually, combined, and after adjusting for carcinoembryonic antigen (CEA), lactate dehydrogenase (LDH) and performance status (PS). High baseline levels (> median) of each collagen biomarker were significantly associated with shorter OS (PRO-C3: HR = 2.0, 95%CI = 1.54–2.63; PRO-C6: HR = 1.6, 95%CI = 1.24–2.11; C6M: HR = 1.4, 95%CI = 1.05–1.78; C6Mα3: HR = 1.6, 95%CI = 1.16–2.07). PRO-C3 and PRO-C6 remained significant after adjustment for CEA, LDH and PS. Weak correlations were seen between the collagen biomarkers (r = 0.03–0.59) and combining all improved prognostic capacity (HR = 3.6, 95%CI = 2.30–5.76). Collagen biomarkers were predictive of shorter OS in patients with mCRC. This supports that collagen- and CAF biology is important in CRC.

COVID-19 Wage Subsidy Support and Effects

This note provides a brief preliminary analysis of the short run impact of COVID-19 and the government’s Covid Wage Subsidy (CWS) response on labour market flows. We focus on two issues. First, to examine the selectivity of the CWS, we describe the characteristics of firms and of workers who did and did-not receive subsidy payments. Second, to gauge how the pandemic and the CWS affected the labour market, we describe two aspects of the adjustment process: the job-turnover rates for workers in subsidised and non-subsidised firms; and trends in the transition rates between non-employed in subsidised and non-subsidised employment. We find that there was a larger drop in job turnover rates in subsidised than non-subsidised firms, but the excess turnover in subsidised firms had return to pre-lockdown levels by September, while that in non-subsidised firms remained low.

Agnostic Allocation Portfolios: A Sweet Spot in the Risk-Based Jungle?

The authors advocate the use of agnostic allocation for the construction of long-only portfolios of stocks. Agnostic allocation portfolios (AAPs) are a special member of a family of risk-based portfolios that are able to mitigate certain extreme features (excess concentration, high turnover, strong exposure to low-risk factors) of classic portfolio construction methods, while achieving similar performance. AAPs thus represent a very attractive alternative risk-based portfolio construction framework that can be implemented in different situations, with or without an active trading signal. TOPICS:Portfolio theory, portfolio construction, risk management Key Findings • Long-only risk-based portfolio construction methods that rely on the inverse covariance matrix, such as minimum variance and maximum diversification, are plagued by overconcentration, excess turnover, and exposure to the low-risk factor. • Agnostic allocation portfolios (AAPs) deliver a compromise between risk-based portfolios that are structurally blind to the correlation structure and those that invert the covariance matrix of returns. They significantly reduce turnover and concentration and achieve performance similar to or better than that of traditional methods. • AAPs are supplemented with a pruning technique that discards unnecessary exposures to low-significance statistical factors. This technique, combined with the use of adequately cleaned covariance matrices, improves the outcome of AAPs by further reducing excess trading and concentration.

SIMULATION SIMULATION OF PERSONNEL FLUIDITY AT ENTERPRISES

Goal. To carry out simulation modeling of staff turnover at enterprises. Methodology. To solve this goal, the following research methods were used in the work: simulation, generalized critical analysis, coefficient analysis. Results. The simulation of staff turnover at Ukrainian enterprises was carried out, the trends of key indicators were determined. Scientific novelty. In the work, a simulation model is constructed, in contrast to the existing one, it takes into account basic indicators, namely: the turnover ratio for admission, the turnover ratio for retirement, the coefficient for the necessary turnover of personnel, the ratio of excess turnover for dismissal, the coefficient for the total turnover of personnel, the coefficient of personnel growth, and the coefficient personnel turnover, the full period of personnel rotation, the level of personnel stability and the level of personnel productivity. Practical significance. Using the constructed model allows you to calculate personnel turnover indicators for a particular company, changing the corresponding input data, taking into account your own needs and available resources.

How foreign investors influence stock markets? The Saudi Arabian experience

ABSTRACTThis paper investigates the impact of foreign institutional investors on valuation, liquidity and volatility in the Saudi stock exchange for the post-liberalization period. Saudi regulators allowed the foreign investment community to invest in the Tadawul All Share Index (TASI) in June 2015. Firstly, the paper finds a positive change in abnormal returns in the three-year post-liberalization period compared to the three-year non-liberalization period (pre-period), suggesting that the entry of qualified foreign institutional investors (QFIIs) benefited security valuation. Further, the higher valuation result is consistent with the prediction of standard international asset pricing models, that stock market liberalization may reduce the liberalizing country’s cost of equity capital by allowing for risk sharing between domestic and foreign agents. Secondly, contrary to the regulators/policymakers’ intention and empirical evidence, the liquidity proxies document mixed evidence. Lastly, this study finds mixed evidence in the price volatility measures. However, the volatility and liquidity finding suggests that the presence of foreign institutional investors is not the source of excess volatility or high turnover on local bourses. Overall, the evidence, on average, shows some signs of improvement for different market efficiency measures during the post-liberalization period compared to the pre-liberalization period. The less than expected improvement in Tadawul during the post-period implies that the Saudi financial regulator’s incentive of opening the TASI for QFIIs coincides with economic vulnerabilities for the Kingdom, stringent QFIIs regulation and weak investor protection laws.

Improving dynamics or destroying human capital? The nexus between excess turnover and performance

The flow of employees leaving the organization and the necessity of finding and training suitable replacements is an important issue in the day-to-day management of organizations. However, the body of research empirically examining the exact effects of such employee flows on the performance of organizations remains relatively underdeveloped. This article aims to increase our understanding of this topic by unraveling the link between excess employee turnover—a concept incorporating both the entry and exit of employees—and the performance of US public sector organizations. The results indicate that a linear negative relationship between excess employee turnover and performance surfaces in a time-lagged manner. This finding first of all suggests that human resource management should continue to devote attention to turnover and employee retention, and secondly implies that researchers should specifically take into account potential medium to long-term effects when studying excess turnover.

The Effect of Volunteers on Paid Workers’ Excess Turnover in Nonprofit and Public Organizations

Volunteers in nonprofit and public organizations can provide additional resources and exert positive influence on organizations, staff, and clients. However, the relationship between paid staff and volunteers is complex and may lead to tension, employee dissatisfaction, and, ultimately, workers leaving the organization. This article focuses on excessive worker turnover as a signal of delicate organizational health and analyzes whether volunteers are an important variable in explaining differences in excess turnover rates between organizations. Using Austrian survey data and applying Tobit regressions, we show that more volunteers in management tasks compared with volunteers employed in other tasks increase both the probability of experiencing excess worker turnover and the amount of excess turnover. This result is interpreted as a possible sign for volunteer–staff tension. Understanding the consequences of using volunteer labor for paid workers is important to prevent volunteering from backfiring on service capacity and quality in public and nonprofit organizations.

The Size of Disagreement Shock

Prior theoretical models on investors’ disagreement and trading volume such as Banerjee and Kremer (2010) and Banerjee (2011) assume the convergence speed of investors’ disagreement is exogenously given and constant over time. This paper extends the prior literature by including the time–varying convergence speed of disagreement. Motivated by our theoretical framework, we propose a novel measure, the size of disagreement shock (SDisp), which is defined as the excess turnover (against historical average trading volume) per unit of the time series standard deviation of trading volume. Consistent with our model implications, we find that SDisp has a strong positive relation with future cross–sectional stock returns and future investors’ disagreement.

Naive Diversification Isn't So Naive After All

I conduct a horse-race of 15 portfolio construction techniques over 8 empirical datasets comprised of individual stocks. I also conduct a robust Monte Carlo analysis that confirms that recent extensions of mean-variance optimization due to Kirby and Ostdiek (2012) are successful in curbing estimation risk and turnover. Despite these facts, my results indicate that no strategy consistently outperforms naive diversification in terms of mean excess return, Sharpe ratio, and turnover. I introduce a statistic, the time series average of the cross-sectional mean absolute deviation of risk and return, to explain why I observe these results. Data limitations and dataset characteristics contribute the most to the performance of a candidate strategy. I also propose several extensions to active timing strategies and include new characteristics in a parametric portfolio choice framework. Naive diversification continues to prevail, suggesting practical optimization techniques are inferior to naive diversification when forming portfolios of individual stocks.

Dormancy and growth of metastatic breast cancer cells in a bone-like microenvironment.

Breast cancer can reoccur, often as bone metastasis, many years if not decades after the primary tumor has been treated. The factors that stimulate dormant metastases to grow are not known, but bone metastases are often associated with skeletal trauma. We used a dormancy model of MDA-MB-231BRMS1, a metastasis-suppressed human breast cancer cell line, co-cultured with MC3T3-E1 osteoblasts in a long term, three dimensional culture system to test the hypothesis that bone remodeling cytokines could stimulate dormant cells to grow. The cancer cells attached to the matrix produced by MC3T3-E1 osteoblasts but grew slowly or notat all until the addition of bone remodeling cytokines, TNFα and IL-β. Stimulation of cell proliferation by these cytokines was suppressed with indomethacin, an inhibitor of cyclooxygenase and of prostaglandin production, or a prostaglandin E2 (PGE2) receptor antagonist. Addition of PGE2 directly to the cultures also stimulated cell proliferation. MCF-7, non-metastatic breast cancer cells, remained dormant when co-cultured with normal human osteoblast and fibroblast growth factor. Similar to the MDA-MB-231BRMS1 cells, MCF-7 proliferation increased in response to TNFα and IL-β. These findings suggest that changes in the bone microenvironment due to inflammatory cytokines associated with bone repair or excess turnover may trigger the occurrence of latent bone metastasis.

Excess worker turnover and fixed-term contracts: Causal evidence in a two-tier system

Portuguese firms engage in intense reallocation, most employers simultaneously hire and separate from workers, resulting in high excess worker turnover flows. These flows are constrained by the employment protection gap between open-ended and fixed-term contracts. We explore a reform that increased the employment protection of open-ended contracts and generated a quasi-experiment. The causal evidence points to an increase in the share and in the excess turnover of fixed-term contracts in treated firms. The excess turnover of open-ended contracts remained unchanged. This result is consistent with a high degree of substitution between open-ended and fixed-term contracts. At the firm level, we also show that excess turnover is quite heterogeneous and quantify its association with firm, match, and worker characteristics.

Information and communication technologies and skill upgrading: the role of internal vs external labour markets

ollowing the adoption of information and communication technologies (ICT), firms may react to increasing skill requirements either by training or hiring the new skills, or a combination of the two.Using matched datasets with about 1,000 French plants, we assess the relative importance of these external and internal labour market strategies. We show that skill upgrading following technological and organisational changes takes place mostly through internal labour markets adjustments. Consistently with the results in the literature, we find that the intensive use of ICT is associated with an upward shift in the occupational structure within firms. We show that about one third of the upgrading of the occupational structure is due to hiring and firing workers from and to the external labour market, whereas two-thirds are due to promotions. Moreover, we find no compelling evidence of external labour market strategies based on excess turnover. In contrast, French firms heavily rely on training in order to upgrade the skill level of their workforce. When looking at potential heterogeneity across firms in skill upgrading strategies, we find that all firms rely much more on promotions than on external movements in order to shift their occupational structure upward. In contrast, different training patterns are found across sectors : the use of ICT is strongly correlated with training for all occupational groups in manufacturing sectors, whereas this is not the case in services. This difference is robust to controlling for other sources of heterogeneity and may be explained by the fact that labour turnover is much higher in services than in manufacturing.

Excess Worker Turnover and Fixed-Term Contracts: Causal Evidence in a Two-Tier System

Portuguese firms engage in intense reallocation, most employers simultaneously hire and separate from workers, resulting in high excess worker turnover flows. These flows are constrained by the employment protection gap between open-ended and fixed-term contracts. We explore a reform that increased the employment protection of open-ended contracts and generated a quasi-experiment. The causal evidence points to an increase in the share and in the excess turnover of fixed-term contracts in treated rms. The excess turnover of open-ended contracts remained unchanged. This result is consistent with a high degree of substitution between open-ended and fixed-term contracts. At the firm level, we also show that excess turnover is quite heterogeneous and quantify its association with firm, match, and worker characteristics.

Information and Communication Technologies and Skill Upgrading: The Role of Internal vs. External Labour Markets

Following the adoption of information and communication technologies (ICT), firms are likely to face increasing skill requirements. They may react either by training or hiring the new skills, or by a combination of both. We first show that ICT are indeed skill biased and we then assess the relative importance of external and internal labour market strategies. We show that skill upgrading following ICT adoption takes place mostly through internal labour markets adjustments. The introduction of ICT is associated with an upward shift in firms’ occupational structure, of which one third is due to hiring and firing workers from and to the external labour market, whereas two-thirds are due to promotions. Moreover, we find no compelling evidence of external labour market strategies based on excess turnover. In contrast, French firms heavily rely on training in order to upgrade the skill level of their workforce, even if this varies across industries.

The demographics of fund turnover

This article documents various demographic factors which influence mutual fund turnover including managerial experience, location, education, and gender. On average, funds in financial centers trade more but this excess turnover declines with experience. While most extra trading is concentrated among less experienced managers in financial centers, they do not outperform inexperienced managers located in smaller towns. Furthermore, managers in financial centers increase trading after good performance. This result is particularly strong for inexperienced, more educated male fund managers investing in growth stocks and located in New York. Our results provide strong evidence that demographic factors influence fund manager trading behavior.

The relation between leptin and osteocalcin and various anthropometric measures in preterm and full-term babies

Leptin plays a role in foetal growth. Osteocalcin, a bone specific protein, reflects bone formation rate. This study aims to investigate the effect of leptin and osteocalcin on physical growth of newborns. About 40 full-term and 41 preterm healthy babies were included. Umbilical cord samples were analysed for leptin and osteocalcin. Anthropometric measurements were taken on newborns. Leptin was significantly higher in full terms compared to preterms with no significant difference in osteocalcin. A significant positive correlation existed between leptin and anthropometric measurements in both groups. Osteocalcin was positively correlated in full terms and negatively correlated in preterms with most measurements. A positive correlation between leptin and osteocalcin was found in full terms only. The study documented the association of leptin and osteocalcin with physical growth of full-term babies. This was true regarding leptin in preterms, but not osteocalcin which could be explained by excess bone turnover in preterms.

The determinants of excess worker turnover in Luxembourg

PurposeThe purpose of this paper is to investigate the patterns and determinants of excess labour turnover (churning) in the Luxembourg labour market using a rich employer‐employee matched data set.Design/methodology/approachThe paper formulates a model to explain churning rates using three sets of explanatory variables: various worker characteristics, establishment characteristics, and two‐digit sector‐specific characteristics. The data used are from the Luxembourg social security system for the period 1992‐2003.FindingsThe findings show that there are high churning levels in Luxembourg, that their determinants vary significantly across sectors, and that much of this variation can be explained by worker‐ and establishment‐specific features.Research limitations/implicationsA major question, still undecided in the research literature, is whether churning is simply the result of random job‐worker mismatches.Originality/valueThere are relatively few prior studies that have examined which employee and employer characteristics are associated with excess worker turnover, and the paper is the first to analyze the phenomenon of churning in the Luxembourg labour market. Luxembourg has recently experienced impressive employment growth (about 3.5 percent annually) since the beginning of the 1990s; and, Luxembourg being a small economy, it was feasible to analyze the entire population of workers and firms.

Excess Turnover and Employment Growth: Firm and Match Heterogeneity

Portuguese firms engage in intense reallocation, most employers simultaneously hire and separate from workers, resulting in a large heterogeneity of flows and excess turnover. Large and older firms have lower flows, but high excess turnover rates. In small firms, hires and separations move symmetrically during expansion and contraction periods, on the contrary, large firms adjust their employment levels by reducing entry and not by increasing separations. Most hires and separations are on fixed-term contracts and shrinking firms replace a larger share of their separations under fixed-term contracts, while expanding firms replace most of the separations under open-ended contracts. The comparison with the U.S. shows that while worker and job flows are lower in Portugal, the excess turnover is remarkably close in the two countries.