Maximum Likelihood Estimation in Panels with Incidental Trends

It is shown that the maximum likelihood estimator of a local to unity parameter can be consistently estimated with panel data when the cross-section observations are independent. Consistency applies when there are no deterministic trends or when there is a homogeneous deterministic trend in the panel model. When there are heterogeneous deterministic trends the panel MLE of the local to unity parameter is inconsistent. This outcome provides a new instance of inconsistent ML estimation in dynamic panels, and, unlike earlier results of this type, applies when both T →∞ and N →∞.     

Top Executive Pay in the United Kingdom: A Corporate Governance Dilemma

This study represents a first attempt in the UK literature to split total pay into salary, annual bonus and share options for the purpose of empirically verifying how each is related to executive performance. As predicted from earlier studies on total pay, salaries were found primarily determined by firm size. Contarary to prior research, however, our findings suggest a pronounced link does exist between performance and pay over both the short- and long-term. This is manifested particularly by the magnitude of the coefficient estimates found between changes in shareholders return and changes in executive share options. This finding strongly suggests that the leverage executives achieve, on average, in their rewards as share prices increase may well be substantial; a finding that has not been captured in previous research on executive remuneration and which is of considerable relevance to the current corporate governance debates.     

The influence of instructor gender on learning and instructor ratings

This paper uses two large databases to determine if students of a given gender learn more from instructors of the same gender and if instructors of a given gender receive higher ratings from students of the same gender compared to students of the opposite gender. The Indiana University (IU) data set was collected over a six-year period from the fall of 1984 to the spring of 1990 for associate instructors teaching introductory microeconomics and macroeconomics courses. A subset of the data collected in norming the third edition of the Test of Understanding College Economics is the TUCE III data set. The results of this study do not lend support for a positive gender-match role model effect concerning student learning and instructor ratings. This effect appeared only in the IU micro data set but did not appear on a consistent yearly basis. The effect did not appear at all in the IU macro data or either of the TUCE III data sets.     

A review of: “COST ESTIMATING”, Rodney Stewart,Second Edition,John Wiley and Sons,Inc., New York, 1991, xxi + 359pp., ISBN 0-471-85707-6. List $54.95

In a previous paper Khan and Fiorino analyzed four energy saving projects. They found that use of the Capital Asset Pricing model to account for risk implied that the projects’ required rates of return were less than the return on riskless assets. Effectively lie projects bad negative risk. These negatively with macro economic activity. The current paper has two objectives: (1) to show that cafes of negative risk are rare and unimportant, and (2) to show that the assumption of negative covariance between energy price and the level of economic activity is incorrect.     

An investigation of the weekend effect during different market orientations

Studies of stock returns over short horizons indicated irregularities in returns, the weekend effect, and consequently the notion of market efficiency has been questioned. Despite extensive research on the weekend effect, little research has been conducted to define the prominence of the seasonal anomaly in Bear markets versus non-Bear markets. In the paper the weekend effect is investigated for daily returns in the Dow Jones Industrial Average (DJIA), the S&P 500, and the NASDAQ for Bear and non-Bear markets. Results support a weekend effect but only during non-Bear market orientations and a possible day-of-the-week effect during Bear and non-Bear markets.