Liability Risk for Outside Directors: a Cross‐Border Analysis

Much has been said recently about the risky legal environment in which outside directors of public companies operate, especially in the USA, but increasingly elsewhere as well. Our research on outside director liability suggests, however, that directors’ fears are largely unjustified. We examine the law and lawsuit outcomes in four common law countries (Australia, Canada, Britain, and the USA) and three civil law countries (France, Germany, and Japan). The legal terrain and the risk of ‘nominal liability’(a court finds liability or the defendants agree to a settlement) differ greatly depending on the jurisdiction. But nominal liability rarely turns into ‘out‐of‐pocket liability,’ in which the directors pay personally damages or legal fees. Instead, damages and legal fees are paid by the company, directors’ and officers’(D&O) insurance, or both. The bottom line: outside directors of public companies face a very low risk of out‐of‐pocket liability. We sketch the political and market forces that produce functional convergence in outcomes across countries, despite large differences in law, and suggest reasons to think that this outcome might reflect sensible policy.     

The evolution of debt and equity markets in economic development

Summary. As noted by Gurley and Shaw, there is a typical pattern of economic development in which the evolution of the financial system is an essential aspect of the growth process. We focus on one component of this evolution: the increasing importance of equity markets as an economy grows. We develop a growth model where capital accumulation is financed externally through a combination of debt and equity. We illustrate why equity market activity might grow – often very rapidly – as an economy develops. We also illustrate why access to equity markets may not be needed in the early stages of economic development. Received: December 30, 1997; revised version: May 26, 1998     

A Note on Asymmetry in Commodity Futures Markets

This study tests for asymmetry in futures price changes using commodities from a variety of groups such as agricultural, metals, and financials. Tests are used to determine whether or not prices move up in the same fashion as they move down, over varying data frequencies. The results indicate that every commodity analyzed shows at least some degree of asymmetry.
Nous avons scruté les signes éventuels d'asymétrie dans l'évolution des prix à terme de certaines catégories de produits agricoles, industriels (pétrole et métaux) et boursiers. Des tests ont été utilisés pour déterminer si les prix moment de la même façon qu'ils descendent pour diverses fréquences d'établissement des prix (quotidien, hebdomadaire, mensuel). Il ressort de ces analyses que chaque type de produit comportait au mains un certain degré d'asymétrie.     

Time series volatility of commodity futures prices

This article examines the pattern of volatility over time of a series of commodity futures prices, and focuses in particular on the futures price variability as the maturity date of the futures contract approaches. In a rational expectations model of asymmetric information, the article provides conditions under which the Samuelson hypothesis—that the variability of futures prices increases as maturity approaches—will be true. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 127–144, 2000     

Feedforward versus recurrent neural networks for forecasting monthly japanese yen exchange rates

Neural networks are a relatively new computer artificial intelligence method which attempt to mimic the brain's problem solving process and can be used for predicting nonlinear economic time series. Neural networks are used to look for patterns in data, learn these patterns, and then classify new patterns and make forecasts. Feedforward neural networks pass the data forward from input to output, while recurrent networks have a feedback loop where data can be fed back into the input at some point before it is fed forward again for further processing and final output. Some have argued that since time series data may have autocorrelation or time dependence, the recurrent neural network models which take advantage of time dependence may be useful. Feedforward and recurrent neural networks are used for comparison in forecasting the Japanese yen/US dollar exchange rate. A traditional ARIMA model is used as a benchmark for comparison with the neural network models.Results for out of sample show that the feedforward model is relatively accurate in forecasting both price levels and price direction, despite being quite simple and easy to use. However, the recurrent network forecast performance was lower than that of the feedforward model. This may be because feed forward models must pass the data from back to forward as well as forward to back, and can sometimes become confused or unstable. Both the feedforward and recurrent models performed better than the ARIMA benchmark model.The author wish to thank the reviewers Drs. Kraft and Radford for their helpful comments.     

The Effect of Eliminating Direct Payments to Farmers on Land Values

This study looks at the effects of the complete elimination of direct government payments to farmers on the U.S. economy in general and the effect on land values in particular. The analytical approach used consists of a computable general equilibrium model composed of 14 producing sectors, 14 consuming sectors, six household categories classified by income, and a government. The results suggest that, with a complete elimination of direct government payments to farmers, there will be a reduction in output by all producing sectors of 0.18% or about $14.5 billion, a decline in output in the agricultural sectors of 4.39% or about $12.0 billion, a fall in the consumption of goods and services by about 0.11% or $4.15 billion, a fall in total utility by 0.47% or $22.0 billion, and a net reduction in expenditures for the government of $13.4 billion. Land values will be adversely affected, falling an average of 14%.     

Household Composition, Equivalence Scales and the Reliability of Income Distributions: Some Evidence for Indigenous and Other Australians

Indigenous families experience substantial and multiple forms of economic burden arising from the size and structure of their families and households. Indigenous households are more likely to have more than one family in residence than other Australian households and are more likely to be multigenerational with older Indigenous people living with younger people in extended family households. This paper seeks to characterise the economies of household size in Indigenous and other Australian households using equivalence scales that cover the range of feasible values and 1995 National Health Survey data.     

Non‐linear Predictability of Value and Growth Stocks and Economic Activity

Recent empirical evidence suggests that stock market index returns are predictable from a variety of financial and macroeconomic variables. We extend this research by examining value and growth portfolios constructed by book-to-market ratio, and consider whether such predictability is evident here. Further, we assess whether such predictability is better characterised by a non-linear form and whether such non-linear predictability can be exploited to provide superior forecasts to those obtained from a linear model. General non-linearities are examined using non-parametric techniques, which suggest possible threshold behaviour. This leads to estimation of a smooth-transition threshold model, with the results indicating an improved in-sample performance and marginally superior out-of-sample forecast results.