An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000

This paper seeks to characterise the distribution of extreme returns for a UK share index over the years 1975 to 2000. In particular, the suitability of the following distributions is investigated: Gumbel, Frechet, Weibull, Generalised Extreme Value, Generalised Pareto, Log‐Normal and Generalised Logistic. Daily returns for the FT All Share index were obtained from Datastream, and the maxima and minima of these daily returns over a variety of selection intervals were calculated. Plots of summary statistics for the weekly maxima and minima on statistical distribution maps suggested that the best fitting distribution would be either the Generalised Extreme Value or the Generalised Logistic. The results from fitting each of these two distributions to extremes of a series of UK share returns support the conclusion that the Generalised Logistic distribution best fits the UK data for extremes over the period of the study. The Generalised Logistic distribution has fatter tails than either the log‐normal or the Generalised Extreme Value distribution, hence this finding is of importance to investors who are concerned with assessing the risk of a portfolio.     

Multifactor Asset Pricing Models

Since the early 1960s, the mean-variance Capital Asset Pricing Model (CAPM) has been a dominant paradigm in modern finance. Recently, the accumulation of anomalous evidence, and a realisation that empirical tests of the model are tautologically related to the efficiency of the market index, have pushed that paradigm to a point of crisis. This paper reviews alternative asset pricing models which coexisted with the CAPM and may provide plausible substitutes. The major distinguishing feature of these models is that they predict multiple risk factors and, with the exception of the Arbitrage Pricing Theory (APT), are extensions of the CAPM.     

An investigation of the stability of returns in Western European equity markets

This paper investigates the temporal stability of various dimensions of the returns of 16 European stock markets that are relevant to an analysis of international portfolio diversification. The basic data consist of daily stock market price indices for these markets. This group of indices comprehends a wide range of stock markets differentiated by size, age and technological sophistication, but in each case located in Western Europe. Two main tests were conducted: (a) ANOVA to identify inter-temporal variability and inter-market variability over 24 three-month sub-periods from January 1989 to December 1994, and (b) cluster analysis to identify groups of markets that exhibit similar behaviour patterns. The findings suggest that, while the potential gains from an internationally diversified portfolio restricted to the equities of Western European markets appear to be substantial, the lack of inter-temporal stability in the composition of the optimal portfolio from one period to another makes these gains difficult to achieve in practice.     

Partnerships,management systems and the search for innovative regulation in the vehicle body shop industry

This article examines innovative approaches to regulating the environmental performance of vehicle body shops, in the state of Victoria, Australia. Based on field research, this provides a useful opportunity to not only identify the limitations of the environmental management practices (including regulatory resistance, a lack of resources and cultural obstacles), but also the failure of conventional regulatory approaches to adequately address and overcome problematic characteristics typical of small and medium sized enterprises (numerous, geographically dispersed, environmentally unsophisticated and, collectively, a substantial source of pollution). Particular focus is given to cleaner production, partnerships and environmental management systems in improving environmental performance. We also consider the potential role of ‘regulatory surrogates’ as an adjunct to a mix of government regulatory initiatives. Copyright © 2002 John Wiley & Sons, Ltd. and ERP Environment.     

The Importance of Sex for the Propensity to Unionize

The paper aims to determine whether or not ceteris paribus women workers are less interested in joining trade unions than male employees by an analysis of the importance of sex for the individuaľs union membership decision. Cross-tabulations and discriminant analyses are used to examine the Work Attitudes and Histories Survey of the Social Change and Economic Life Initiative of1986. An employee's sex is revealed to be related to propensity to unionize, a finding attributable mainly to women's concentration in low-paid occupations and to the significantly lower favourability to trade unions expressed by female workers, compared with male employees.     

Power Structure – Ownership,Integration, and Competition in the U.S. Electric Utility Industry. John E. Kwoka,Jr.

Review of Industrial Organization -     

Music in the time-spectrum: routines,spaces and emotional experience

ABSTRACT

Music streaming, structured by an expanding network of social interdependencies (e.g. musicians, sound engineers, computer scientists and distributors) has made it easier to consume music in a wider number of social and private spaces and to a greater degree. This paper examines the emotional experience of contemporary music consumption by drawing from an Eliasian perspective, specifically Elias and Dunning’s sociology of leisure. We explore the relationship between work, spare time and leisure spaces, rather than examining specific spaces in isolation. We argue that music is used to demarcate, transition between, and blur space. Music plays an important role in facilitating the rhythm of routine, helping individuals to adjust to the demands of different spaces (based on varying intensities and immediacies of social pressures) and manage mood. The key characteristics of leisure that Elias and Dunning identify (motility, sociability and mimetic tension) are explored across the spectrum of time and space.     

Teacher union responses to education reforms: job regulation and the enforced growth of informality

This article examines the school teacher union responses to education reforms. The removal of formal collective bargaining arrangements is strengthening the significance of the traditional union structures, and the responses reflect both the pressures of the reforms and the traditions of the three main unions