Selection of fidelity mutual funds

This study investigates the possibility of identifying those mutual funds in the Fidelity Family which might outperform the S&P 500 by using Jensen's alphas. An average of Jensen's alphas for a three-year period covering 1991–93 was computed and 1994 was used as a test case. A total of 152 Fidelity mutual funds were included in the study. Data were obtained fromAlexander Steele's Mutual Fund Expert Data Base [Steele Systems, Inc.] andHuntington Financial Optima Data Base [Huntington Associates Financial, Inc.]. It was found that it was possible to identify high performance funds. These funds had an alpha over 0.80. There were 21 funds in this group which produced an average total return of 4.44 percent, while S&P 500 had a total return of 1.32 percent in 1994.Any errors found in this paper are the sole responsibility of the author. The author would like to express sincere appreciation to Steele Systems, Inc. and Huntington Associates Financial, Inc. for providing the necessary data used in this study. Special appreciation also goes to Melissa Luo who so diligently and carefully performed all the computer work.     

中国股市市盈率分布特征及国际比较研究

本文对市盈率的内涵、计算方法、区间确定等理论问题进行了剖解 ,针对中国股市流通股、非流通股并存等特征 ,对市盈率在中国股市的计算方法进行了分析 ;在此基础上对中国股市市盈率分布特征进行实证分析和国际比较研究 ,认为目前沪深股市泡沫成份已较少 ,市盈率在合理区间之内 ,中国股市具有投资价值     

A Methodological Reflection on the “Thick Socialism” of Socialism after Hayek

This article discusses the valuable contribution that Ted Burczak's Socialism After Hayek makes to the Marxist theory of socialism by drawing on the Hayekian appreciation of markets as processes of discovery. But the article also critiques the book's acceptance of Hayek's exclusive reliance on markets as a mode of economic organisation. The article reflects on the methodological conditions that might have led the book down a path of market essentialism.     

Caste discrimination in the Indian urban labour market: An econometric analysis

This paper uses Degree Holders and Technical Personnel Survey of India to examine the wage gap between Non-Scheduled Castes/Tribes(NSC) and Scheduled Castes/Tribes(SC/ST). Separate wage equations, corrected for selection bias, are estimated for NSC and SC/ST. The parameter estimates of the wage equations were decomposed into ‘endowment’ and ‘treatment’ components using the familiar Oaxaca Decomposition Method. A separate account was also made to analyze the interaction between occupational attainment and the wage differential using the extended decomposition method. The main conclusion from the econometric results are: (a) the endowment difference is higher and discrimination causes 15 per cent lower wages for SC/ST as compared to NSC; (b) the discrimination coefficient is negative in the public sector whereas it is positive in the private sector; (c) intraoccupational wage effects dominate. The higher endowment difference in developing countries like India implies that the pre-market discriminatory practice with respect to education, health and nutrition are more crucial than labour market discrimination. (JEL: J3)     

Emil Lederer’s Theory of Economic Fluctuations and the Role of Financial Institutions

Abstract

Emil Lederer was characterized as the “leading academic socialist of Germany in the 1920’s” by Joseph Schumpeter and was a highly respected economist of his time. However, most aspects of his work remain totally unexplored. This paper focuses on Emil Lederer’s theory of economic fluctuations defending the thesis that certain aspects of Lederer’s conceptualization of economic fluctuations underwent considerable modifications when his 1925 article Konjunktur und Krisen is compared with his 1938 book Technical Progress and Unemployment, a shift unacknowledged so far in the literature. In his first attempt to tackle the issue, in Konjunktur und Krisen (1925), Lederer had constructed an explanation consistent with the so-called “disproportionality theory” introduced by Tugan-Baranowsky (codified as “early Lederer”). However, Lederer’s conception of the business cycle during the 1930s and especially in his major work Technical Progress and Unemployment underwent considerable modifications. Lederer’s (1938 Lederer, E. 1938. Technical Progress and Unemployment, Geneva: King and Son.  [Google Scholar]) analysis is, apparently, very ‘Schumpeterian’ (codified as “late Lederer”). In this version of his theory, the cycle is explained by supply-side factors, and more specifically by technical change. Additionally, Lederer’s view on the role of financial institutions (credit and banks) with regards to business cycles is analysed. Lederer avoided attributing a causative role to monetary factors. The interrelation between ‘real’ factors and financial institutions constitutes an essential element in his analysis of the business cycle.     

THE 2007–2008 U.S. RECESSION: WHAT DID THE REAL‐TIME GOOGLE TRENDS DATA TELL THE UNITED STATES?

In the extant literature of business cycle predictions, the signals for business cycle turning points are generally issued with a lag of at least 5 months. In this paper, we make use of a novel and timely indicator—the Google search volume data—to help to improve the timeliness of business cycle turning point identification. We identify multiple query terms to capture the real‐time public concern on the aggregate economy, the credit market, and the labor market condition. We incorporate the query indices in a Markov‐switching framework and successfully “nowcast” the peak date within a month that the turning occurred. (JEL E37, G17)     

The reallocation of workers and jobs in Russian industry

Gross job and worker flows in Russian industry are studied using panel data from a survey of 530 firms selected through national probability sampling. The data permit examination of several crucial measurement issues, including the timing and definition of employment and the role of reorganizations, and they contain rich information on firm characteristics. We find that new and reorganized firms display larger flows than unreorganized enterprises. Product market dispersion and managerial and dispersed outsider ownership are associated with greater worker churning, and unionization and concentrated outsider ownership with less. There is little evidence that the average firm's employment adjustments have become more responsive to adjustment costs during the transition, but private ownership and product market competition appear to increase responsiveness. JEL Classifications: E24, J23, J63, P23, P31.     

The Effect of the Quasi–market on the Efficiency–equity Trade–off in the Secondary School Sector

Britain’s education system was radically transformed during the 1990s following the Education Reform Act (1988). The primary objective of these reforms was to raise educational standards through the creation of a quasi–market based upon greater parental choice and the transfer of control over resources from local education authorities to schools. The purpose of this paper is to investigate the effects of the quasi–market on efficiency and equity in the secondary education sector in England during the 1990s. Two primary questions are addressed. Has the quasi–market led to an improvement in efficiency in the secondary education sector? Has the quasi–market had any adverse consequences on the social segregation of pupils between schools? Using data obtained from the Schools’ Census and the School Performance Tables, we find strong evidence that the quasi–market has led to a substantial improvement in efficiency (as measured by a school’s exam performance and by the productivity of staff) during the 1990s. The same market forces have led to a greater social segregation of pupils between schools.     

Will the Future Be Better Tomorrow? The Growth Prospects of Transition Economies Revisited

The favored approach in the literature on the growth prospects for transition economies is based on specifications from Barro (1991) and Levine and Renelt (1992). This paper examines this literature critically by identifying and testing for the underlying assumptions. Our main finding is that this approach performs poorly in the transition context. Our results indicate that, almost a decade after the transition began, the former centrally planned economies are still structurally different from market economies at similar levels of per capita income. The legacies of central planning are more resilient than previously thought. J. Comp. Econ., December 2001, 29(4), pp. 663–676. University of Newcastle, Newcastle upon Tyne, and Centre for Economic Policy Research, London, United Kingdom; and The William Davidson Institute at the University of Michigan, Ann Arbor, Michigan. © 2001 Elsevier ScienceJournal of Economic Literature Classification Numbers: E23, O40, P20, P52.     

Beyond Balassa–Samuelson: Real appreciation in tradables in transition countries1

We decompose real appreciation in tradables derived from producer price indexes in three Central European countries between the pricing‐to‐market component (disparity) and the local relative price component (the substitution ratio). Appreciation is only partially explained by local relative prices. The rest is absorbed by disparity, depending on the size of the no‐arbitrage band. The observed disparity fluctuates in a wider band for differentiated products than for commodity like goods.     

Searching for the Fed’s reaction function

There is still some doubt about those economic variables that really matter for the Fed’s decisions. In comparison with other estimations, this study uses the approach of Bayesian model averaging (BMA). The estimations show that over the long-run inflation, unemployment rates and long-term interest rates are the crucial variables in explaining the Federal Funds Rate. In the other two estimation samples, also the fiscal deficit and monetary aggregates were of relevance. There is also evidence for interest rate smoothing. In addition, we account for parameter instability by combining BMA with time-varying coefficient (TVC) modelling. We find strong evidence for structural breaks. Finally, a model average is constructed via an TVC-BMA approach.     

股权分置改革与股市波动结构——基于EEMD方法的实证研究

笔者利用系综经验模式分解方法(EEMD)考察了股改启动前、股改期间与股改基本完成后上证综指与深证成指的波动结构特征及其变化。实证结果表明:与股改基本完成前相比,股改后我国股市的波动结构发生显著变化,即短期波动成分成为解释股市总体波动的最主要因素。同时,中期波动成分的平均周期大幅延长。股改后限售股大规模且集中解禁与减持对股市的冲击强化了市场的短线投机行为,引发股市短期波动急剧增加。而人民币升值、次贷危机等导致中期波动更具持久性。     

Market and underground activities in a two-sector dynamic equilibrium model

Summary. In this paper a two sector dynamic general equilibrium model is developed in order to evaluate the implications of the underground economy from a business cycle perspective. There are three main results. First, introducing an underground sector improves the fit of the model to the data, especially along several important labor market dimensions. Second, the model produces substantial internal propagation of temporary shocks. Third, it is shown that underground activities offer risk sharing opportunities by allowing households to smooth income through a proper labor allocation between the two sectors.Received: 17 June 2002, Revised: 25 April 2003, JEL Classification Numbers: E320, E260, J22, H200.We have benefited from the comments and suggestions of John Donaldson. We would also like to thank Paolo Siconolfi, Jean Pierre Danthine, Fausto Gozzi, Edmund Phelps, Gustavo Piga, Domenico Tosato, and the participants in the seminars at various universities, David Giles and Stefano Pisani for providing useful information on the underground data, Francesca Caponi for the comments and the information concerning the legal and fiscal aspects involved in the calibration, and Glenn Williams for the research assistance. Finally, we thank two anonymous referees for helpful comments on this and on earlier versions of the paper. Chiarini acknowledges financial support from the Ateneo Research fund of the University of Rome, La Sapienza, Dinamiche dell'integrazione europea e scelta di politica economica. All errors are ours. Correspondence to: F. Busato     

Reviews

Book reviewed in this article: Sustainable Development in Agriculture, edited by J.K. Parikh Agriculture and the GATT: Rewriting the Rules, by Dale E. Hathaway Keynes's Vision, by A. Fitzgibbons The Canada-United States Free Trade Agreement: The Global Impact, edited by J.J. Schott and M.G. Smith From School to Unemployment?, edited by P.N. Junankar Empirical Modeling of Exchange Rate Dynamics, by F.X. Diebold K.A. Chrystal and R. Sedgwick (Wheatsheaf Books, Sussex, 1987) Floating Exchange Rates: Theories and Evidence, by R. MacDonald Essays in Honour of Kenneth Arrow: Volume I, Social Choice and Public Decision Making; Volume II, Equilibrium Analysis; Volume III, Uncertainty, Information and Communication, edited by Walter P. Heller, Ross M. Starr and David A. Starrett Keynes and Public Policy After Fifty Years: Volume 1—Economics and Policy, edited by O.F. Hamouda and J.M. Smithin Keynes and Public Policy After Fifty Years: Volume 2—Theories and Method, edited by OF. Hamouda and J.M. Smithin Handbook of Econometrics Volume III, edited by Z. Griliches and M.D. Intriligator Applied Welfare Economics and Public Policy, by R.E. Just, D.L. Hueth and A. Schmitz The Economic Theory and Measurement of Environmental Benefits, by P. Johansson Applications of Modern Production Theory: Efficiency and Productivity, edited by A. Dogramaci and R. Fare Australian Protectionism: Extent, Causes and Effects, by Kym Anderson and Ross Garnaut Policy Options for the Singapore Economy, by C.Y. Lim and associates German Political Economy: The History of an Alternative Economics, by T. Riha World Agricultural Trade: Building A Consensus, edited by W.M. Miner and D.E. Hathaway Industry Assistance Reform and the Labour Market: The New Zealand Experience, by R. Blandy and M. Baker     

基金"重仓股"特征及可预测性研究

基于对1999-2004年我国封闭式基金重仓持有股票的收益结构特征、财务和非财务特征以及重仓股的可预测性研究,结果表明:重仓股在季度末基金持股信息披露前后的累积超常收益(CAR)分化显著,在信息披露之前[-75,-15]内有显著正的CAR,而在信息披露之后[15,75]内有显著负的CAR;重仓股具有明显的可识别特征,基金表现出一定的择股能力;重仓股具有较强的可预测性,Logit模型的预测结果总正确率达到92.9%,通过预测的股票组合可以获得显著正的CAR。     

UNOFFICIAL EXCHANGE RATES IN BANGLADESH: A COINTEGRATION ANALYSIS

This article estimates a structural model for unofficial market foreign exchange (forex) rates (E U ) and examines the stability of the forex market in Bangladesh using an autoregressive distributed lag approach to cointegration analysis on quarterly data from 1976Q2–1995Q2. It also compares the in-sample and out-of-sample (from 1995Q3–1999Q2) forecasting performances of the structural model with other timE-series models. With E U as a dependent variable and official exchange rates (E O ) , money supply (M) , the difference between foreign and domestic interest rates (I) , forex reserves relative to imports (Q) and political along with some structural factors (D85) as explanatory variables, a multivariate cointegrated relationship is found in which E O , Q , and I cause an appreciation and M and D85 cause a depreciation in E U . These results imply that the overvaluation of the official exchange rate, increases in money supply, the paucity of official forex reserves, and structural factors are the main causes for the creation of the unofficial market for forex in Bangladesh. Results also reveal that the forex market in Bangladesh is stable during the sample period. The structural model performs well in in-sample prediction, and the random walk model performs best in out-of-sample forecasting.     

Has Canadian house price growth been excessive?

The dramatic rise in the ratio of Canada's average house price to average rent has led to speculation that there is a bubble in the Canadian housing market. Others have argued, however, that the currently high level of house prices may be rationalized by the low cost of financing, given the decline in interest rates over the last two decades. In this article, we assess these arguments through the lens of a simple asset pricing model applied to city‐level data. We quantify the extent to which excess growth in Canadian house prices depends on the nature of the current regime governing real interest rates, expectations of rent growth in different cities and variations in property taxes.     

New market creation through transformation

Is new market creation a search and selectionprocess within the theoretical space of all possible markets? Or is it the outcome of a process of transformation of extant realities into new possibilities? In this article we consider new market creation as a process involving a new network of stakeholders. The network is initiated through an effectual commitment that sets in motion two concurrent cycles of expanding resources and convergingconstraints that result in the new market. The dynamic model was induced from two empirical investigations, a cognitive science-based investigation of entrepreneurial expertise, and a real time history of the RFID industry. JEL Classification: M13, M31, D4, D52, D71, D72, L1, L2, P42 We would like to thank the Batten Institute at the Darden Graduate School of Business Administration, University of Virginia, for supporting this research. We would also like to thank the following on specific contributions to our thesis: Anil Menon for his relentless insistence on more precise formulations of effectual reasoning; Jim March for his conversation and for inspiring us to dig into Type I and Type II errors; Rob Wiltbank for firming up the section on opportunity costs; and Stuart Read for helping us clarify our writing. Correspondence to: S.D. Sarasvathy