The Influence of General Strikes against Government on Stock Market Behavior

Using a sample of 76 countries, this paper examines the impact of major strikes against government and its policies on stock market behavior. An occurrence of a general strike is detrimental to the value of equities, as documented by the ceteris paribus 6.11% fall in dollar-denominated stock market indices of the affected countries. This event is also accompanied by a statistically significant increase in risk, as measured by the standard deviation of returns and Value-at-Risk metrics. Taken together, these results imply that general strikes have serious ramifications for stock market investors.     

Monetary policy,housing rents,and inflation dynamics

In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response to contractionary monetary policy shocks. We also find that, after a contractionary monetary policy shock, rental vacancies and the homeownership rate decline. This combination of results suggests that monetary policy may affect housing tenure decisions (own versus rent). In addition, we show that, with the exception of the shelter component, all other main components of the consumer price index (CPI) either decline in response to a contractionary monetary policy shock or are not responsive. These findings motivated us to study the statistical properties of alternative measures of inflation that exclude the shelter component. We find that measures of inflation that exclude shelter have most of the statistical properties of the widely used measures of inflation, such as the CPI and the price index for personal consumption expenditures, but have higher standard deviations and react more to monetary policy shocks. Finally, we show that the response of housing rents accounts for a large proportion of the “price puzzle” found in the literature.     

The heteroskedasticity-consistent covariance estimator in accounting

The main purpose of this paper is to compare the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator with alternative estimators. Many regression packages compute the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator. The common procedure in Accounting and Finance research to deal with the heteroskedasticity problem is based on this estimator, despite its worse finite-samples properties when compared with other consistent estimators. In this paper we compare several HC covariance matrix estimators based on a sample of 3706 European listed companies from Austria, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and the United Kingdom. We conclude that HC standard errors increase when finite-samples more appropriate estimators are considered and in the most part of countries the Ohlson (1995) model coefficients estimates became statistically insignificant. This can be explained by the high leverage points in the design matrix. To the best of our knowledge it is the first time that these alternative estimators are compared with the one of White (1980) in accounting research.     

Choosing between Time and State Dependence: Micro Evidence on Firms' Price‐Reviewing Strategies

Because of recent findings based on survey data, it is now well known that firms differ from each other with respect to their price‐reviewing strategies. While some firms review their prices at fixed intervals of time, others prefer to perform price revisions in response to changes in economic conditions. Some theories have been suggested to explain this. However, empirical evidence on the relative importance of the factors that determine the different strategies of firms is virtually non‐existent. In this paper, we help to fill this gap by investigating the factors that explain why firms follow time‐dependent, state‐dependent, or both time‐ and state‐dependent price‐reviewing rules. We find that the strategies of firms vary with firm characteristics that have a bearing on the importance of information costs, with the variability of the optimal price, and with the sensitivity of profits to non‐optimal prices.     

Back to the cave or playing away? Gender roles in home-from-home environments

Abstract: This paper theorizes the gender roles that are played out in the alternative spaces acquired by purchasers of second homes in foreign rural environments. These homes are often constructed by their owners (both men and women) as bolt-holes, simple places of escape from normal routines; the lived reality is that they become arenas in which men often play at cave-building or peasant-style farming, while women find a different context for creative home-making, shopping and socializing, and the caring ethic of being involved with children, grandchildren and visitors. Both genders are freed from the constraints of their normal working lives, but the ambivalent nature of the context which is both home and holiday is one in which work is present, in the form of do-it-yourself or doing the domestic, while at the same time it provides opportunity for forms of ludic behaviour. Drawing from a series of unstructured interviews, I examine the consumption practices of second home owners and analyse the ways in which informants reflect on their activities and identities. The home-and-yet-away context allows the experiences and meanings of home and away from home to be explored from both genders’ perspectives, leading to conclusions about the dynamics of gender relationships in situations that combine routine and novelty.     

Sovereign Risk and Out‐of‐Equilibrium Exchange Rate Dynamics

We show that the sovereign risk premium contains important information on short‐run exchange rate dynamics in emerging economies. Net foreign assets serve as the key link between both variables, which acts as a “crude form of collateral.” We present two sets of empirical evidence. First, we show that increases in net foreign assets provide a statistically significant reduction on emerging markets sovereign risk premium. Then, we show that out‐of‐sample forecasts using realized values for the sovereign risk premium have a satisfactory performance when evaluated across three metrics: the mean squared error ratio, the direction of change statistic, and the consistency criterion.     

Pricing real options under the constant elasticity of variance diffusion

Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets. We use the constant elasticity of variance diffusion, where volatility is a function of underlying asset prices, and we provide analytic solutions for perpetual American options. We show that a firm that uses the standard lognormal assumption is exposed to significant errors of analysis, which may lead to nonoptimal investment and disinvestment decisions. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:230–250, 2011     

Quality of schooling and inequality of opportunity in health

This paper explores the role of quality of schooling as a source of inequality of opportunity in health. Substantiating earlier literature that links differences in education to health disparities, the paper uses variation in quality of schooling to test for inequality of opportunity in health. Analysis of the 1958 NCDS cohort exploits the variation in type and quality of schools generated by the comprehensive schooling reforms in England and Wales. The analysis provides evidence of a statistically significant and economically sizable association between some dimensions of quality of education and a range of health and health-related outcomes. For some outcomes the association persists, over and above the effects of measured ability, social development, academic qualifications and adult socioeconomic status and lifestyle.     

Do the Chinese “Keep up with the Jones”?: Implications of peer effects,growing economic disparities and relative deprivation on health outcomes among older adults in China

What are the health effects of unequal economic growth? What are the health consequences of ‘keeping up with the Jones’? Many developed countries (e.g., US and Japan) have experienced significant income growth between 1950s and 2000s but population survey shows that on average the population is not growing more satisfied with life. Theories that attempt to respond to these findings hypothesize that as income grows, people may spend more on conspicuous consumption because they compare themselves with others in their peer groups and care about their position in socio-economic distributions relative to others. Indeed, public health studies have found a relationship between income inequality and adult health outcomes in developed countries. Specifically, there seems to be a correlation between social hierarchy and mortality, as well as a correlation between social hierarchy and morbidity.China is a prime study site due to its growing spatial inequalities in the past decade. Though China has been committed to economic reform, different regions and cities have encountered very disparate rates of development and growth. In this paper, we utilize a set of panel data collected in China (China Health and Nutrition Survey 1989–2004) to examine the effects of peer groups, relative deprivation, and income disparities on individual health outcomes such as the probability of high waist circumference, body mass index categories, probability of hypertension, nutritional intake as well as health behavior such as smoking. We use a combination of multi-level mixed effects modeling as well as factor analysis to examine these effects and find significant and differential effects of income quartiles, peer groups, relative deprivation, and Gini coefficient on health.