Do Asian stock market prices follow martingales? Evidence from spectral shape tests

This paper examines the martingale hypothesis for five Asian stock markets using the spectral shape tests of Durlauf (1991). Unlike the variance ratio test employed in previous studies (eg, Panet al, 1991), the spectral shape tests are consistent againstall stationary alternatives to the martingale null.The spectral shape tests were applied to daily and weekly returns on the stock indices of Thailand, Hong Kong, Korea, Malaysia and Taiwan over a period of 17 years. The results show that the martingale null is rejected for most markets. There is some evidence that the rejections may be due to low frequency or long memory influences.The authors are lecturers, Department of Finance and Banking, National University of Singapore. This paper was presented at the Third International Conference on Asian-Pacific Financial Markets, September 9–11, 1993 in Singapore. We have benefited greatly from the comments of Y K Tse and other conference participants.     

Estimating and comparing learning curves in three Asian economies

This paper consists of two parts. In the first, a method is suggested to isolate the effects of scale economies on learning phenomena by integrating the conventionally specified learning curve with the production function in neoclassical economics. The problem of establishing the variable for measuring experience is dealt with in the estimation procedure. Using this method we estimated the learning curves of 20 industries in the manufacturing sector in Singapore using data taken from 1961 to 1991. More modern industries like electronics, precision instruments and pharmaceutics have steeper learning curves than older industries. Among traditional industries, the food and beverage industry has a greater learning potential than others. In the second part of the paper, the learning curves for 11 common industries in South Korea, Japan and Singapore were estimated and compared. The Japanese industries are found to have steeper learning curves compared to those in Singapore and South Korea.The authors are from the Department of Business Policy, Faculty of Business Administration, National University of Singapore. The authors would like to thank Ms Tan Mui Lee for her assistance in preparing the time series data used for this study.     

Further Evidence on Insider Selling Prior to Seasoned Equity Offering Announcements: The Role of Growth Opportunities

Previous research documents significant abnormal net selling by insiders prior to seasoned equity offering announcements. This study documents that the abnormal net selling is significantly greater for growth firms than for mature firms. It also shows that growth firms experience poorer post-issue long-term price performance, which suggests greater overpricing for growth firms. Further analysis shows that greater insider selling prior to the offering announcement is associated with a greater price run-up prior to the announcement and is not associated with a more negative market reaction to the announcement. Overall, the results suggest that investors may be overly optimistic about future prospects of growth firms.     

新中国成立以来上海城市经济发展研究

新中国成立60年以来,上海城市经济取得了令人瞩目的成就.从背景条件、战略定位、政策措施等视角出发,论述了上海不同时期经济部门结构、空间结构的特点及其演变过程.从产业部门结构演变来看,受对外开,放与经济联系程度不同的影响,上海第三产业呈现"V"字形发展轨迹,现已初步形成较为发达的"三、二、一"产业体系;从产业空间布局变动来看,受城市功能定位的影响,工业布局也经历了集中、分散、再集中的过程,目前已经形成了比较明显的圈层分布格局,内环线以内以服务业为主,内外环线之间服务业、高新技术产业交相辉映,外环线以外以工业为主.都市化、国际化对上海经济发展的影响日趋显著.     

Cross-listing effect on information environment of foreign firms: ADR type and country characteristics

We examine sources of improvement in the information environment of foreign firms that cross-listed in the United States as American Depositary Receipts (ADRs) between 1995 and 2005. We analyze changes in the number and dispersion of analyst recommendations on foreign firms following their cross-listing. We find increases in analyst coverage intensity across all four types of ADR programs, especially among firms that were listed on organized exchanges (the listing effect), and those that adopted capital raising ADR programs (the financing effect). Our results suggest that the listing effect is more persistent than the financing effect. On the other hand, reductions in recommendation dispersion are observed mainly for firms that choose non-capital raising ADRs and those from emerging markets. Overall, improvements in information environment are more profound among foreign firms originating from countries with greater information asymmetry, namely, countries with weaker legal tradition and rule of law, and countries that are less familiar to U.S. investors.     

The rise and rise of IFRS: An examination of IFRS diffusion

We seek to understand the ever-increasing push towards the international harmonization of accounting standards and particularly the inexorable rise of standards produced by the International Accounting Standards Board (IASB). While the primary justifications for the increasing recognition given to these standards (IFRS) are economic, we question whether the empirical evidence to date has yielded convincing support for these arguments. We therefore offer an alternative explanation for the origin and diffusion of IFRS that incorporates social and political factors. Outsourcing the manufacture of accounting standards to a single private agency appears to be a rational, lower cost option – lowering both economic and political costs for individual states as long as they continue to retain residual decision rights with respect to the adoption of IFRS. However, such outsourcing must also be perceived to be legitimate. IFRS confer institutionalized legitimacy because they possess three characteristics required of a technology for global governance. These are sponsorship by powerful interest groups/regulators, internationality and plasticity. We therefore conclude that the widespread diffusion today of IFRS can at best be only partially explained as an economically rational phenomenon. Rather, the demand for legitimate action in the face of tightly coupled and complex global markets is at least equally important in generating support for IFRS.     

Hierarchical Bayesian conjoint models incorporating measurement uncertainty

The authors explore situations where consumers supplement their judgments with a measurement of uncertainty about their own preferences, either implicitly or explicitly, and develop two sets of hierarchical Bayesian conjoint models incorporating such measurements. The first set of models uses the relative location of a rating to determine the importance or weight given to the rating, in a regression setting. The second set uses interval judgment as a dependent variable in a regression setting. After specifying the models, the authors perform a theoretical comparison with a basic Bayesian regression model. They show that, under different conditions, the proposed models will yield more precise individual-level partworth estimates. Two simulated data examples and data from a conjoint study are used to illustrate the gains that could be obtained from modeling uncertainty. In the empirical application, the authors show that model fit improves when ratings for items that respondents do not like are given more weight compared to ratings for items that they do like. Electronic Supplementary Material  The online version of this article (doi:) contains supplementary material, which is available to authorized users.

Potential Growth of the US Economy: Will the Productivity Resurgence Continue?

This paper analyzes the sources of U.S. productivity growth through 2004 and presents medium-term projections for the U.S. economy. We attribute a substantial portion of productivity gains over the past decade to production and use of information technology equipment and software. In the most recent years, we also identify a growing contribution from sources outside the technology- producing sectors. Our base-case projection for the GDP growth rate is almost exactly three percent. We emphasize the substantial range of uncertainty by presenting an optimistic projection of 3.5 percent and a pessimistic projection of only 1.9 percent. JEL Classification D240,E230