The use of indicator variables in computing predictions

The use of indicator variables to construct predictions and to estimate the variances of prediction errors is illustrated for systems of equations, nonlinear regressions and autoregressions.     

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.     

A MODIFIED METHOD FOR INFERRING THE EFFECTIVE BID-ASK SPREAD FROM SECURITY RETURNS

This paper presents a modified method for inferring the effective bid-ask spread from security returns in an eMicient market. The Modified Method removes from security returns the systematic effect of market movements and makes use of the equivalence properties of the moving average process and serial covariance function. The Modified Method is tested with the CRSP daily, weekly, and monthly returns data. The results show that the spread estimates are non-negative and sample time-interval independent. The results are compared with those of Roll (1984) and Amihud and Mendelson (1986).     

An Ampirical Assessment of the Contribution of Small Business Employment to U.S. State Economic Performance

Small Business Economics - Small business proponents regularly couple their arguments for favorable government policies and reduced tax and regulatory burdens, to the presumed benefits of increased...     

CONSIDERATION OF WEATHER RISK IN FORAGE MACHINERY SELECTION

This paper concerns a procedure jor measuring the major economic risks and returns involved in forage production. Conventional static production economics was modified to permit the use of decision criteria under conditions of weather risk. Twenty-six years of rainfall data were analyzed to determine the expected mean number of days available for fieldwork ivithin each of three specified seasons. These seasons correspond with three critical forage production periods: e.g., (1) land preparation and planting, (2) hay harvest, and (3) corn silage harvest and fall plouiing. A probability distribution of days available for field operations was derived, and the number of days available in any one year was randomly selected from this distribution. Given the acreage involved and the machinery system, the days required to perform nine specified field operations were calculated. If the number of days required within a specified season exceeded the number of days available, the value of the crops produced was reduced by a set of yield reducing functions for each deficient day. Overhead and use-associated machinery costs uiere calculated, and net returns over machinery costs were determined for five machinery systems at 75,150, 225, and 300 acres. Cette publication montre une façon de mesurer les plus grands risques économiques et les profits provenant de la production fourragére. On a modifyé?économie de production conventionnelle et statique afin de tenir compte des critéres de décision utilisés sous les conditions de risques climatologiques. Les chutes de pluie ont été analysées sur une période de vingt-six ans afin de determiner la moyenne des jours disponibles au travail des champs, et ce, pour chacune des trois saisons specifiées. Ces saisons correspondent aux trois périodes critiques de la production fourragere: (1) la préparation du sol et le semis, (2) la récolte du foin, et (3) la récolte du maïs à ensiler et les labours ?automne. On a calculé la distribution probable des jours disponibles pour les travaux des champs et, de cette distribution, le nombre des jours disponibles fut choisi au hasard dans une quel-conque année. Selon une superfécie et un systéme dé machinerie determineés, le nombre de jours nécessaires à?exécution de neuf operations differéntes fut calculé. Lorsque le nombre de jour requis pour ?exécution des travaux ?une saison donnee dépasse le nombre de jours disponibles, la valeur des récoltes produites est réduite par une diminution de rende-ment de plusieurs facteurs, une diminution fonction du nombre de jours manquants. Les frais géneraux et les dépenses associées à?utilisation de la machinerie furent calculés. Les profits nets sur les dépenses de machinerie ont été déterminés pour chaque systéme ?equipement avec 75, 150, 225, et 300 âcres.     

What does the timing of dividend reductions signal?

Review of Quantitative Finance and Accounting - Dividend reduction theory suggests that during an economy-wide shock, a relatively early dividend reduction indicates that a firm reduces its cash...