Anthony Strittmatter

Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?

This article is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return patterns. Hence, it allows one to study the relevance of these factors for various return and risk levels instead of average return and risk, as is the case with OLS regression. Because FHF size and age (as a proxy for experience) are available in a panel setting, one can perform estimations in an unbalanced stacked panel framework. This study analyzes time series and descriptive variables of 649 FHFs drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. The empirical results suggest that experience and size have a negative effect on performance, with a positive curvature at the higher quantiles. At the lower quantiles, however, size has a positive effect with a negative curvature. Both factors show no significant effect at the median.

Employment and Earnings Effects of Awarding Training Vouchers in Germany

Participation in intensive training programs for the unemployed in Germany is allocated by awarding training vouchers. Using rich administrative data for all vouchers and actual program participation, the authors provide first estimates of the short-run and long-run employment and earnings effects of receiving a training voucher award based on a selection-on-observables assumption. The results imply that, after the award, voucher recipients experience long periods of lower labor market success compared to had they not received training vouchers. Small positive employment effects and no gains in earnings were observed four to seven years after the receipt of the voucher award. In addition, the findings suggest stronger positive effects both for all low-skilled individuals who were awarded and redeemed a voucher and for low-skilled and medium-skilled individuals who chose to take degree courses than for higher-skilled recipients.

Practical Procedures to Deal with Common Support Problems in Matching Estimation

ABSTRACT This paper assesses the performance of common estimators adjusting for differences in covariates, such as matching and regression, when faced with the so-called common support problems. It also shows how different procedures suggested in the literature affect the properties of such estimators. Based on an empirical Monte Carlo simulation design, a lack of common support is found to increase the root-mean-squared error of all investigated parametric and semiparametric estimators. Dropping observations that are off support usually improves their performance, although the magnitude of the improvement depends on the particular method used.

Return-to-job during and after parental leave

Despite a rising career orientation among females and growing efforts of firms to alleviate work–family conflicts, female employees often find it difficult to combine career development with having children. Female careers appear more boundaryless than male careers, and gender differences in the sociological role model persist. Using exceptional longitudinal company data, this paper studies the return-to-job of female employees after first birth in the case of Germany with long Parental Leave coverage. Parental Leave durations often last for 3 years or longer. Our results show that more than 50% of those in Parental Leave do not return to their job afterwards. About 31% of female employees return to part-time work during Parental Leave, and among these, only 57% continue working in their job after the end of Parental Leave. And, having returned to their job after the end of Parental Leave, only 81% continue to work in their job one year after return. Furthermore, female employees have their first child, when their careers have been particularly successful. Overall, the evidence is consistent with the view that the birth of the first child and the experience of the subsequent work–life conflict can lead to a major reassessment of work preferences among female employees. Although a higher career orientation before birth is positively associated with a return-to-job, management must be aware that a sizeable share of female employees, even among the most career oriented and the most successful, may not return to their job after first birth.

Return-to-Job During and after Maternity Leave

This paper studies the return-to-job of female employees after first birth based on exceptional longitudinal data from personnel records of a large German company. Given a very long maternity leave coverage, we investigate to what extent data available to management allow to predict the return-to-job during and after maternity leave. Our data show a large heterogeneity in transition patterns, which poses a challenge for management. Maternity leave durations often last for three years or longer. More than 50 percent of those in maternity leave do not return to their job afterwards, either because they leave the company or because they have a second child. At the same time, about 31 percent of female employees return to part-time work during maternity leave, which is often a stepping stone but no guarantee for a return-to-job afterwards. There is mixed evidence as to whether female employees in better job matches are more likely to return to their job in the company. Specifically, we find that the relative wage position, higher tenure, a combination of vocational training and university education, and an above average frequency of previous promotions show a positive association with the return-to-job and a higher employment stability afterwards. At the same time, female employees have their first child, when their careers have been particularly successful in comparison. Among these, a sizeable share does not continue to advance their career and many do not even return to their job.

Heterogeneous Employment Effects of Job Search Programmes: A Machine Learning Approach

We systematically investigate the effect heterogeneity of job search programmes for unemployed workers. To investigate possibly heterogeneous employment effects, we combine non-experimental causal empirical models with Lasso-type estimators. The empirical analyses are based on rich administrative data from Swiss social security records. We find considerable heterogeneities only during the first six months after the start of training. Consistent with previous results of the literature, unemployed persons with fewer employment opportunities profit more from participating in these programmes. Furthermore, we also document heterogeneous employment effects by residence status. Finally, we show the potential of easy-to-implement programme participation rules for improving average employment effects of these active labour market programmes.

What effect do vocational training vouchers have on the unemployed

The objective of providing vocational training for the unemployed is to increase their chances of re-employment and human capital accumulation. In comparison to mandatory course assignment by case workers, the awarding of vouchers increases recipients’ freedom to choose between different courses and makes non-redemption a possibility. In addition, vouchers may introduce market mechanisms between training providers. However, empirical evidence suggests that voucher allocation mechanisms prolong the unemployment duration of training participants. But, after an initial period of deterioration, better long-term employment opportunities are possible.