Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns

This study analyzes the impact of time varying jump risk on aggregate returns. We, in particular, examine the pricing of jump size and intensity components in the cross section of stock returns for four Asian markets. We use stochastic volatility model with jumps to estimate jump size and intensity. Fama–MacBeth regression results indicate that both jump size and intensity have statistically significant effect on expected returns. A one standard deviation increase in jump intensity beta lowers the expected annual returns by 1% for Japan, 2% for China, 5% for India, and 7% for South Korea. The results are consistent even after controlling for the Fama and French three factors, firm size, and liquidity proxies.     

MATURITY,STAGNATION AND CONSUMER DEBT: A STEINDLIAN APPROACH

This paper extends a Steindlian model of growth and income distribution to incorporate borrowing by consumers. It shows that borrowing by consumers can improve growth prospects in the short run by increasing consumer demand. However, in the longer run the effects of increasing consumer borrowing are ambiguous because, by increasing consumer debt, it redistributes income towards the rich who have a higher propensity to save, thereby possibly depressing aggregate demand and growth despite the borrowing‐induced expansion. The problem may be exacerbated by financial considerations involving the increase of the interest rate due to greater borrowing, but these considerations are not necessary for it. The problem is more likely to occur when autonomous investment demand is weak, i.e. when borrowing‐induced consumption increases are most required to counter tendencies towards stagnation.     

Consumer Attitudes toward GM Food and Pesticide Residues in India

Bacillus thuringiensis (Bt) vegetables will likely be commercialized in India soon. The technology could reduce pesticide residues in foods. Yet it is unclear whether consumers will appreciate this health advantage, or whether potential GM crop risks will dominate their attitudes. Using contingent valuation methods and a sample of urban households, we find that almost 60% of consumers would purchase Bt vegetables at current conventional vegetable prices, indicating a high acceptance level. The rest would purchase at a certain price discount. Strikingly, the required discount increases for people particularly concerned about pesticide residues, demonstrating that risk-averse consumers do not easily offset technology benefits against perceived risks.     

Explaining Monday Returns

The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis to examine the effects of various possible influences simultaneously, the average Monday return becomes positive and does not differ significantly from the average returns of most other days of the week. Fortnight, ex‐dividend day, account period, (bad) news flow, trading activity, and bid‐ask spread effects are all controlled for. The results broadly support the trading time hypothesis.     

THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS1

Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. an important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. the focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. the procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs.     

格林斯潘谈全球经济

很多人认为,如果美联储主席还是艾伦.格林斯潘的话,面对此次金融市场动荡,美国央行或许会更快、更有力地降息。不会的,格林斯潘如是说。在他位于华盛顿康涅狄格大道的办公室里,在长达3小时的采访过程中,这位前美联储主席表示：时代不同了。格林斯潘称："我们现在所处的时期,要比我在任时困难许多。当时,我们不用担心通胀的苏醒,现在则不得不关注这一点。"他补充道："相比之下,你在下调利率以应对危机时,不得不更加万分小心。"     

Convergence and equilibrium in two sector models of growth,distribution and prices

I am grateful to Lance Taylor for encouragement and discussions, and to two anonymous referees of this journal for their detailed and insightful comments on an earlier draft which resulted in its thorough revision.     

Is Group Affiliation Profitable in Emerging Markets? An Analysis of Diversified Indian Business Groups

Emerging markets like India have poorly functioning institutions, leading to severe agency and information problems. Business groups in these markets have the potential both to offer benefits to member firms, and to destroy value. We analyze the performance of affiliates of diversified Indian business groups relative to unaffiliated firms. We find that accounting and stock market measures of firm performance initially decline with group diversification and subsequently increase once group diversification exceeds a certain level. Unlike U.S. conglomerates' lines of business, and similar to the affiliates of U.S. LBO associations, affiliates of the most diversified business groups outperform unaffiliated firms.     

On the Use of Intra-Industry Information to Improve Earnings Forecasts

We investigate whether earnings forecasts are improved by earlier earnings disclosures by firms in the same industry. We find improvements for time series forecasts, but not for analysts' forecasts. Considering prior earnings announcements reduces correlations between forecast errors and security price reactions to earnings announcements, even when incorporating these announcements improves forecast accuracy. Our explanation for this anomaly, which is supported by additional analysis, is that intra-industry information facilitates predicting transitory, rather than permanent, earnings components. The question of whether information transfers improve earnings forecasts provides the context for the analysis, but the primary contribution is the documentation of intra-industry information transfers in a setting other than capital markets.