Optimal Portfolio Choice Under Incomplete Information

Models of asset pricing generally assume that the variables which characterize the state of the economy are observable. However, the distributional properties of asset prices that are relevant for portfolio decisions are in general not observable, and therefore must be estimated. The estimation of expected returns is a particularly difficult problem and estimation errors are likely to be substantial. In this light, it is reasonable to examine whether the assumption of observability of expected returns and other relevant state variables causes significant mis-specification in equilibrium models of asset prices. This paper has three main objectives: first, to derive optimal estimators for the unobservable expected instantaneous returns using observations of past realized returns; second, to establish that estimation and portfolio choice can be solved in two separate steps; third, to analyze the impact of estimation error on investment choices. The estimators of expected returns are in general not consistent, i.e., the estimation error does not tend to disappear asymptotically. The effects of the estimation error, therefore, cannot be ignored even if realized returns are observed continuously over an infinite time period.     

Canals, coal and regional growth during the industrial revolution

… the great expence [sic] of land carriage will ever deprive us of many useful and desirable articles, particularly mines and minerals, which must lie dormant in the bowels of the earth, to the great loss of the landowner and the public, unless some more cheap and expeditious way of carriage be opened to the internal parts of the country. ¹
… there can be no doubt that a greater extension of our distant navigation has arisen from a system which has, in effect, converted the internal parts of our island into coasts. ¹     

Enduring leisure involvement: the importance of personal relationships

Concepts of work and leisure are examined from an ontological perspective. Work is distinguished from labour; previous concepts of leisure are identified as being defined in terms of time, action-behaviour, specific-activity-in-a-specific-time/place-site (which is considered to define recreation), or experience. All of these suffer various problems, but in particular, all assume that work and leisure can and should be perceived as separate.

It is argued that work and leisure are both based upon the individual's efforts to optimize their relationship to their total environment (or specific elements of it), and both can best be considered as dimensions of experience. Some implications of this dimensional approach are then detailed.     

International Asset Pricing and Portfolio Diversification with Time-Varying Risk

We test the conditional capital asset pricing model (CAPM) for the world's eight largest equity markets using a parsimonious generalized autoregressive conditional heteroskedasticity (GARCH) parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11 percent per year and have not significantly declined over the last two decades.     

Capital Structure,Ownership, and Capital Payment Policy: The Case of Hospitals

This study examines effects of pertinent features of hospital capital payment policies on hospital capital structure decisions in a one-period stochastic, value-maximization model. Separate models are developed for for-profit and not-for-profit hospitals. Hospital debt-to-assets ratios are analyzed empirically using a cross-section of data from the American Hospital Association. Although the effect on capital structure of hospital reliance on cost-based reimbursement cannot be signed theoretically, in both for-profit and not-for-profit cases, a higher cost-based share leads to higher leverage. Factors associated with high bankruptcy risk (e.g., earnings volatility) cause hospitals to take on less debt.     

Predictors of Behavioral Loyalty Among Hikers Along the Appalachian Trail

In recent years, conceptual and empirical papers have begun to appear in the leisure literature examining the processes leading to the formation of recreationist loyalty. While this work is still in its infancy, current understanding suggests that leisure involvement plays a formative role in the development of social psychological commitment, which in turn, is an antecedent to loyalty to a brand or organization. In the context of natural resource-based recreation the concept of loyalty is most often used to refer to recreationists' attachments to specific recreation areas. The purpose of this paper is to provide an empirical examination of the first order structural relations among involvement (i.e., Centrality, Attraction, Self Expression), commitment (i.e., Social Investment, Financial Investment, Position Involvement, Informational Complexity, Volitional Choice), resistance to change (i.e., Activity Resistance, Place Resistance) and behavioral loyalty for hikers along the Appalachian Trail. These data provided partial support of our hypothesized model. The strength of the structural models varied and not all predictors were significant. Also, the valence of the dimensional relations varied. These data highlight several measurement related issues relating to each of the constructs modeled. These measurement issues inhibit progress toward a fuller understanding of the relationships between each of the constructs and their dimensions.