The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets

This paper provides insight into the sources of time variation and persistence in volatility by presenting new evidence concerning the price behavior of three index futures contracts and associated stock price indexes (the New York Stock Exchange Composite index, Standard and Poor's 500 index, and Toronto 35 index). Although persistence in the second moments of stock returns distribution is widely documented, the economic explanation for generalized autoregressive conditional heteroskedasticity is not established. Cross-sectional differences in measured persistence indicate that market characteristics thought to impede information flows may not play a significant role in explaining generalized autoregressive conditional heteroskedasticity effects.     

Institutional Investors, Analyst Following, and the January Anomaly

Average stock returns for small, low stock price firms are higher in January than for the rest of the year. Two explanations have received a great deal of attention: tax-loss selling and gamesmanship. This paper documents that seasonality in returns is not a phenomenon observed only for small firms' stock or those with low prices. Strong seasonality in excess returns is reported for a sample of widely followed firms. Sample firms have unusually low excess returns in January and returns adjust upward over the year. These results are consistent with the gamesmanship hypothesis, but not the tax-loss-selling hypothesis.     

Margin,Short Selling,and Lotteries in Experimental Asset Markets

The robustness of bubbles and crashes in markets for assets with finite lives is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders pay higher prices for the asset with lottery characteristics (i.e., a claim on a large, unlikely payoff). However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell.     

Information Opacity,Credit Risk,and the Design of Loan Contracts for Private Firms

This paper examines the structure and cost of a large sample of bank loans to private firms. Compared to public firms, private firms are more informationally opaque and riskier. The results suggest that the design of a loan to a private firm is significantly different from that to a public firm. Bank loans to private firms are more likely to be by a sole lender, collateralized, and have sweep covenants than loans to public firms. The cost of borrowing is higher for a private firm than for a public firm, even after holding constant firm and loan characteristics.     

Controlling nitrate pollution: An integrated approach

The introduction of the EU Water Framework Directive requires policy to address non-point source pollution as part of an overall integrated strategy to improve the ecological status of water bodies. In this paper, we combine an economic optimisation framework with a dynamic simulation model of N transport in the Kennet Catchment to link decisions taken at the farm level to reductions in nitrate concentrations in the River Kennet. We examine a variety of policies targeted at reducing fertiliser use and changing the way in which farm land is used. We find that a tax on nitrogen emerges as the best policy both in terms of cost- and environmental effectiveness. Such a policy involves a considerable reduction in fertiliser use, as well as, a restructuring of land-use away from arable towards increased use of set-aside. Budgetary implications of such a radical move towards set-aside would be huge and hence unlikely to be politically palatable given the objective of reducing the EU budgetary allocation to agriculture. Additionally, the current rise in world demand for food may also mitigate calls for increasing the proportion of land taken out of agricultural production. Although the study succeeds in establishing a link between actions on the farm and nitrate concentrations in the stream water, further work is required to explore the effect of the retention of nitrates in the unsaturated zone and groundwater on this link.     

工作郁闷的三座大山

管理层的本质就是让人们去做自己不愿意做的事情。所以改善下属的生活即使不是完全不可能，也是相当困难的。     

年度商业废话奖

每年的大约这个时候,我都会对来年进行预测.每年的预测都相同,但结果都不准.……     

Exploring Impacts of Community-Based Legal Aid on Intrahousehold Gender Relations in Tanzania

Community-based legal aid (CBLA) has been promoted as a promising intervention to reach rural marginalized populations who face barriers to accessing formal legal services and is increasingly implemented with the specific goal of protecting women's rights. This study evaluates the impact of a twelve-month CBLA program in northwestern Tanzania on intrahousehold gender relations using a clustered-randomized control trial across 139 villages. Among 1,219 women, the study finds those in treatment villages are more likely to refer others to paralegals for a variety of domestic issues; however, there are no measureable impacts on aggregate knowledge of marital law, intrahousehold decision making, or reported experience of twelve-month intimate partner violence. These overall results are robust to a number of other sensitivity analyses, including accounting for spillovers, attrition bounds, and modeling choices. While these results indicate limited potential for intrahousehold and gender-progressive change, program duration and intensity likely affected measurable positive impacts.     

Gift giving: an interdisciplinary review

• The issue of why individuals choose to support charity has been the focus of considerable research in the disciplines of economics, psychology, social psychology, sociology, anthropology and more recently, management and marketing. This paper draws together extant work, developing a content model of giving behavior that fundraisers may use to inform their professional practice. A number of specific propositions are developed from the literature to assist in this goal. The paper provides summary tables of existing empirical studies categorized by the dimensions of the model, explores ambiguity in research findings, and concludes by highlighting opportunities for further research

Copyright © 2007 John Wiley & Sons, Ltd.