Does index arbitrage distort the market reaction to shocks?
Anatolyev, Stanislav; Seleznev, S.; Selezneva, Veronika
2019 - English We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a new measure of the intensity of arbitrage transactions at the individual stock level and using an event study analysis to estimate the market reaction to economic shocks. Our measure of the intensity of arbitrage is the probability of simultaneous trading of ETF shares with shares of underlying stocks estimated using high frequency data. Our approach is direct, and it accounts for statistical arbitrage, passive investment strategies, and netting of arbitrage positions over the day, which the existing measures cannot do. We conduct several empirical tests, including the use of a quasi-natural experiment, to confirm that our measure captures fluctuations in the intensity of arbitrage transactions. We focus on oil shocks because they contain a large idiosyncratic component which facilitates identification of our mechanism and interpretation of the results. Oil shocks are identified using weekly oil inventory announcements.\n Keywords: high-frequency data; stock market; ETF Fulltext is available at external website. Does index arbitrage distort the market reaction to shocks?

We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a new measure of the intensity of arbitrage transactions at the individual stock ...

Anatolyev, Stanislav; Seleznev, S.; Selezneva, Veronika
Národohospodářský ústav, 2019

Menstrual health, worker productivity and well-being among female Bangladeshi garment workers
Czura, K.; Menzel, Andreas; Miotto, Martina
2019 - English We conducted a randomised controlled trial (RCT) on a sample of 1,000 female garment workers in three factories in Bangladesh, offering access to free sanitary pads at work to 500 of the workers. We cross-randomised participation in information sessions for hygienic menstrual health care implemented by an experienced local NGO, and we vary the salience of commonly perceived taboos in the pad collection process. We find effects of the free pads and information sessions on self-reported pad use, but not of the taboo variations. We find effects on absenteeism and adherence to traditional restrictive and health-adverse taboos surrounding menstruation, but not on worker turnover or self-reported well-being at work. Keywords: menstrual health; taboos; productivity Fulltext is available at external website. Menstrual health, worker productivity and well-being among female Bangladeshi garment workers

We conducted a randomised controlled trial (RCT) on a sample of 1,000 female garment workers in three factories in Bangladesh, offering access to free sanitary pads at work to 500 of the workers. We ...

Czura, K.; Menzel, Andreas; Miotto, Martina
Národohospodářský ústav, 2019

Heterogeneity of returns to business R&D: what does make a difference?
Pleticha, Petr
2019 - English Keywords: R&D returns; spillovers; Czechia Available at various institutes of the ASCR Heterogeneity of returns to business R&D: what does make a difference?

Pleticha, Petr
Národohospodářský ústav, 2019

Surviving Auschwitz with pre-existing social ties
Jurajda, Štěpán; Jelínek, T.
2019 - English Survivor testimonies link survival in deadly POW camps, Gulags, and Nazi concentration camps to the ability of prisoners to get help from friends present in the camp. We study the case of several hundred prisoners of a small, low-security Nazi agricultural labor camp located in todayís Czech Republic, who were ultimately on transports to Auschwitz, a deadly extermination and labor camp. We ask whether their chances of surviving the Holocaust depended on how many of their former co-laborers from the agricultural camp were present on their transports to Auschwitz, which included another 9 thousand Czech male prisoners. We uncover a large, 10 percentage point survival advantage to having arrived in Auschwitz with at least 50 former co-laborers from the agricultural labor camp. This evidence is similar to that provided by Costa and Kahn (2007) for a US Civil War POW camp, and consistent with the fundamentally selective accounts provided by survivors. Keywords: Nazi concentration camp; survival; social structure Fulltext is available at external website. Surviving Auschwitz with pre-existing social ties

Survivor testimonies link survival in deadly POW camps, Gulags, and Nazi concentration camps to the ability of prisoners to get help from friends present in the camp. We study the case of several ...

Jurajda, Štěpán; Jelínek, T.
Národohospodářský ústav, 2019

Does minimum wage affect workplace safety?
Hradil, Vít
2018 - English Empirical evidence on the employment effects of minimum wage legislation suggests the possibility that firms react to increases in low-skilled labor costs driven by minimum wages\nby reducing investments in non-wage job aspects, which can mitigate the need for layoffs. Such adjustments may involve the worsening of workplace safety. To evaluate the hypothesis that increases in minimum wages result in a higher incidence of occupational injuries and illnesses, I use employer-level data from the United States and variation in state minimum wages during 1996-2013. The results suggest that states which increase their minimum wage experience an increase in the incidence of occupational injuries and illnesses. The effect appears stronger in industries that employ large numbers of low-wage workers, and those where the workforce is intensively exposed to health risks. Keywords: minimum wage; job safety; occupational injuries and illnesses Fulltext is available at external website. Does minimum wage affect workplace safety?

Empirical evidence on the employment effects of minimum wage legislation suggests the possibility that firms react to increases in low-skilled labor costs driven by minimum wages\nby reducing ...

Hradil, Vít
Národohospodářský ústav, 2018

The low-skilled in the Czech Republic
Bičáková, Alena; Kalíšková, Klára
2018 - English This study provides evidence on the characteristics, labor market conditions, and labor market\noutcomes of the low-skilled in the Czech Republic. It considers the most relevant policies to\nensure the long-term inclusion of the low-skilled in the labor market. We use the standard\ndefinition of the low-skilled as those individuals with primary or lower-secondary education. Keywords: labor market conditions; labor market outcomes; Czech Republic Fulltext is available at external website. The low-skilled in the Czech Republic

This study provides evidence on the characteristics, labor market conditions, and labor market\noutcomes of the low-skilled in the Czech Republic. It considers the most relevant policies to\nensure ...

Bičáková, Alena; Kalíšková, Klára
Národohospodářský ústav, 2018

Effects of poverty on impatience: preferences or inattention?
Bartoš, V.; Bauer, Michal; Chytilová, Julie; Levely, I.
2018 - English We study two psychological channels how poverty may increase impatient behavior – an effect\non time preference and reduced attention. We measured discount rates among Ugandan farmers\nwho made decisions about when to enjoy entertainment instead of working. We find that\nexperimentally induced thoughts about poverty-related problems increase the preference to\nconsume entertainment early and delay work. The effect is equivalent to a 27 p.p. increase in\nthe intertemporal rate of substitution. Using monitoring tools similar to eye tracking, a novel\nfeature for this subject pool, we show this effect is not due to a lower ability to sustain attention. Keywords: poverty; scarcity; time discounting Fulltext is available at external website. Effects of poverty on impatience: preferences or inattention?

We study two psychological channels how poverty may increase impatient behavior – an effect\non time preference and reduced attention. We measured discount rates among Ugandan farmers\nwho made ...

Bartoš, V.; Bauer, Michal; Chytilová, Julie; Levely, I.
Národohospodářský ústav, 2018

Entrepreneurship in the information age: an empirical analysis of the European regions
Pleticha, Petr
2018 - English Decelerating productivity in recent years raised questions about technology diffusion in the economy. This study focuses on one particular diffusion channel, entrepreneurship, and inspects the mechanics through which it interacts with digitalization. The composite indicator of digitalization is split into separate components which enables analyzing digitalization’s interplay with entrepreneurship as a dynamic process. Based on the econometric analysis of Eurostat regional data covering the period 2008-2015, I find significant links between digitalization and entrepreneurship. Specifically, digitalization is associated with an increase in the rate at which firms are created and with a decrease in their survival rate after 3 years. The paper demonstrates that the interaction is dynamic in its nature as the effects of initial stages of digitalization reverse or vanish in its later phases. A sectoral analysis shows the persistence of the results across industries.\nMoreover, there is evidence that professional, scientific and technical activities are especially sensitive towards digitalization, experiencing strong, yet short-term shock in the firms’ birth, death, and survival rates. Accounting for geographic variation reveals heterogeneity between regions but not large enough to affect the overall results. Keywords: digitalization; entrepreneurship; technology dissemination Available at various institutes of the ASCR Entrepreneurship in the information age: an empirical analysis of the European regions

Decelerating productivity in recent years raised questions about technology diffusion in the economy. This study focuses on one particular diffusion channel, entrepreneurship, and inspects the ...

Pleticha, Petr
Národohospodářský ústav, 2018

Formation of market beliefs in the oil market
Anatolyev, Stanislav; Seleznev, S.; Selezneva, Veronika
2018 - English We characterize formation of market beliefs in the oil market by providing a complete characterization of the market reaction to oil inventory surprises. We utilize the unique sequential nature of inventory announcements to identify inventory shocks. We estimate an AR-ARCH-MEM model of the joint dynamics of returns, return volatilities and trading volumes around the announcements using high frequency data on oil futures contracts. Our model (i) handles illiquidity of long maturity contracts by accounting for trading inactivity, (ii) captures time varying trading intensity, and (iii) allows for structural changes in the dynamics and responses to news over time. We show (i) uniform formation of expectations across oil futures contracts with different maturities, (ii) a strong negative relation between inventories surprises and re-turns, (iii) no effect on the term premium, which suggests that inventory shocks are always considered to be permanent, and (iv) di_erentiation in the reaction of volume by maturity. We demonstrate how our results can be used to test theories of oil price determination and contribute to the debate on the recent oil glut. Keywords: oil market; ultra high frequency data; trading intensity Fulltext is available at external website. Formation of market beliefs in the oil market

We characterize formation of market beliefs in the oil market by providing a complete characterization of the market reaction to oil inventory surprises. We utilize the unique sequential nature of ...

Anatolyev, Stanislav; Seleznev, S.; Selezneva, Veronika
Národohospodářský ústav, 2018

Caught in the cycle: economic conditions at enrollment and labor market outcomes of college graduates
Bičáková, Alena; Cortes, G. M.; Mazza, J.
2018 - English We find robust evidence that cohorts of graduates who enter college during worse economic\ntimes earn higher average wages than those who enter during better times. This difference is\nnot explained by differences in economic conditions at the time of college graduation, changes\nin _eld of study composition, or changes in selection into occupations or industries. Cohorts\nwho start college in bad times are not more positively selected based on their high-school\noutcomes, but they graduate with higher college grades, and earn higher wages conditional on\ntheir grades. Our results suggest that these cohorts exert more effort during their studies. Keywords: business cycle; higher education; cohort effects Fulltext is available at external website. Caught in the cycle: economic conditions at enrollment and labor market outcomes of college graduates

We find robust evidence that cohorts of graduates who enter college during worse economic\ntimes earn higher average wages than those who enter during better times. This difference is\nnot explained ...

Bičáková, Alena; Cortes, G. M.; Mazza, J.
Národohospodářský ústav, 2018