Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex‐Dividend Pricing before and after Decimalization

By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex‐dividend day activity. We find that abnormal ex‐dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of ex‐day price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex‐day pricing.     

Explaining economic growth in the Soviet Union, 1950–86

Production function estimates are provided for Soviet industrial production and gross national product for the period 1950–86. A variety of alternative specifications is tested, including Cobb-Douglas, constant elasticity of substitution and variable elasticity of substitution production functions, and an error correction mechanism is used to investigate the long-run properties of the estimated equation. The structural stability of the estimates is also examined. Constant-returns-to-scale Cobb-Douglas production functions suggest that the rate of total factor productivity growth in the Soviet economy has declined steadily over time, becoming negative sometime in the period between 1970 and 1980. However the extensive statistical tests can doubt on the validity of any production function estimated on Soviet data.     

Why Free Trade May Hurt Developing Countries

This paper builds a general equilibrium trade model where a country produces two traded goods and one nontraded public consumption good. The government finances the provision of the public good by taxing the incomes of factors of production, and/or by imposing tariffs. Within this framework, the paper (i) shows that a small tariff or an income tax improves the country's welfare if there is an undersupply of public good, and (ii) identifies the circumstances in which an improvement in the country's terms of trade may reduce its welfare, and free trade can be inferior to autarky. A terms of trade improvement, or the movement from autarky to free trade, definitely improves the country's welfare if the government imposes a tariff that leaves the domestic relative price of the imported good unchanged.     

Dual scaling and correspondence analysis of preferences, paired comparisons and ratings

The methods of dual scaling (DS) and correspondence analysis (CA) are used extensively in marketing research for analyzing categorical data. When applied to preferences, paired comparisons and ratings, dual scaling has been contrasted with correspondence analysis, as if the two techniques operated differently on these data. In this note, we show that correspondence analysis provides exactly the same solution as dual scaling once the data have been transformed by a so-called “doubling” with respect to the respondents.     

Econometric modelling in finance and risk management: An overview

This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models with long-range dependence, estimation and specification testing of time series models, estimation in a factor model with high-dimensional problems, finite-sample examination of quasi-maximum likelihood estimation in an autoregressive conditional duration model, and estimation in a dynamic additive quantile model.     

Relocation Opportunities and Mortgage Default

This paper presents a theoretical model of residential mortgage default when borrowers face beneficial as well as costly relocation opportunities. It amplifies and extends previous work by providing explicit conditions leading to default. The model also establishes when a borrower's relocation decision and default decision are dependent and when they are not.
A central result is that there is a range of book equity wherein the decision to default is not determined solely by the current level of equity or the borrower's ability to continue the mortgage payments. Rather, various costs and benefits, both tangible and intangible, enter into the decision. Specific conditions are identified that lead to relocation without default, default and relocation, and no default or relocation. The effects of changes in the variables upon default probability are presented.
Assuming that the borrower does not wish to retain ownership in the property, the model also predicts whether an individual borrower will choose prepayment or default when a relocation is made. The choice depends on the value of the relocation opportunity faced by the borrower, as well as financial variables such as house value, mortgage balance, and transaction costs. This finding suggests that existing empirical analyses of default may have omitted explanatory variables.     

2007年3月美国第16届国际特许展

美国第16届国际特许展于今年3月30日在首都华盛顿举行,为期3天的会议共有300多个参展商,以及15000多名来自85个国家的专业观众参加。很多人都是     

Two-Stage Acquisitions, Free-Riding, and Corporate Control

This study examines two-stage acquisitions, focusing upon first- and second-stage excess returns for both acquired and acquiring firms, and analyzing the relation between acquisition returns and ownership interest. The evidence suggests that target firm shareholders do not free-ride. Evidence is also provided indicating that premiums are paid by the majority holder to acquire a remaining minority interest.