The government revenue and government expenditure nexus: empirical evidence from nine Asian countries

The nexus between government revenue and government expenditure has been an important topic in public economics. In this paper, we investigate evidence for cointegration and causality between government revenue and government expenditure for nine Asian countries. We use the recently developed bounds testing approach to cointegration and the conventional F-test to examine Granger causality. Our empirical results suggest that for three out of the nine countries government revenue and government expenditure are cointegrated. Our results on the direction of causation are mixed: (a) for Indonesia, Singapore, Sri Lanka in the short-run and for Nepal in both the short- and long-run we find support for the tax-and-spend hypothesis; (b) Indonesia and Sri Lanka are in conformity with the spend-and-tax hypothesis in the long-run; and (c) for other countries there is evidence of neutrality.     

LIQUIDITY AND ASSET PRICING UNDER THE THREE‐MOMENT CAPM PARADIGM

We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.     

A RE-EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED-END FUND DISCOUNTS AND EXPENSES

In this paper the role of expenses in explaining closed-end fund discounts is re-examined. A present value model is developed to illustrate the relationship between expenses and discounts. Earlier studies find that discounts are not related to management fees. In this paper, using a larger sample over a longer and different period and a better specification of the expense variable consistent with the model developed, discounts are found to be significantly related to expenses. The relationship between expenses and discounts holds in the presence of other control variables.     

Efficient Liability Rules: Complete Characterization

Received May, 18, 2000; revised version received March, 19, 2001     

DS-optimal designs in one way ANOVA

Characterization and construction of optimal designs using the familiar optimality criteria, for example A-, D- and E-optimality are well studied in the literature. However the study of the Distance Optimality (DS-) criterion introduced by Sinha (1970) has very recently drawn attention of researchers. In the present article, we consider the singularly estimable full rank problem of estimating the full set of elementary treatment contrasts using the DS optimality criterion in the set up of a one way ANOVA model. Using a limit argument it turns out that a CRD in which difference between any two allocation numbers is at the most unity is uniquely DS-optimal. Acknowledgement. We are thankful to Prof. B. K. Sinha for suggesting the problem to us and many helpful discussions with him. We are also thankful to the referees for drawing our attention to the reference of Bischoff (1995) and many helpful comments.     

How Does a Development Moratorium Affect Development Timing Choices and Land Values?

This paper investigates how a development moratorium affects choices of development timing and land values in a framework where both the value of developed property evolves stochastically and the development costs are fully irreversible. We assume that a regulator initially announces that land is not allowed to be developed during a finite period of time in the future. A developer, thus, must decide whether to develop land before the timing ordinance is imposed, or after it expires. The development moratorium reduces the developer’s option value from waiting and, thus, accelerates development. We also use simulation analysis to demonstrate how the other factors that relate to the demand and supply conditions of the real estate market affect this accelerating effect.     

Wavelet Analysis of the Bombay Stock Exchange Index

The fluctuations in the rate of returns of the Bombay stock exchange are analyzed through wavelet transform. The fluctuations, in various time scales, naturally separated by the wavelets, are subjected to statistical analysis. The localization and multiresolution properties of the wavelets enable one to identify collective behaviour in the stock market and the extent of their influence at various time scales. The Gaussian nature of the rate of returns at certain scales and the periodic nature of the same, at other scales, are clearly brought out by this analysis. The utility of this approach for modeling purpose is also elucidated.