CONSISTENT ESTIMATION OF RESIDUAL VARIANCE IN REGULATORY EVENT STUDIES

This study presents new evidence on alternative methods used to test for abnormal returns in regulatory event studies where cross-sectional correlation in residuals is significant. Results contradict earlier studies that find no advantages to using joint generalized least squares (JGLS) methods over ordinary least squares (OLS). We find that in an actual regulatory event study cross-correlation is significant, and that failing to correct for this correlation results in substantially higher calculated F-statistics. In Monte Carlo simulations we find that OLS test statistics are not well specified when residuals exhibit cross-sectional correlation at levels that are reasonable to expect in daily return data, while JGLS test statistics are well specified. The study includes tests of the effective power of the OLS and JGLS statistics.     

A characterization of the demand for land

In a model of an economy where land is modelled explicitly as heterogeneous subsets of the plane and utility takes an integral form, demand can be characterized as a specific map from endowments and prices into subsets of the plane. A modified form of the Neyman-Pearson lemma is used to obtain this result, the modification being necessary because the analog of randomized tests must be excluded from this model.     

an anti-trust regime for Britain

Britain needs a complete transformation of its policy towards monopoly. Robert Miller argues that freedom of entry is the vital ingredient of policy for regulating monopolies and public utilities.     

The underpricing of initial public offerings: A theoretical and empirical reconsideration of the adverse selection hypothesis

In this paper we generalize Rock's theory regarding the underpricing of IPOs. In Rock's model, informed investors have a firm-specific informational advantage pertaining to a firm's cash flow. We derive the new results that the level of beta and the size of the market risk premium positively affect underpricing. These implications extend the adverse selection theory and further distinguish this theory from the current state of signalling theories of underpricing. The results put the “hot and cold” issue markets phenomenon in a theoretical context. Empirical results are consistent with the theoretical propositions and provide support for Rock's theory of underpricing.     

Spotting management fads

Business fads can change companies, for better or worse. They can introduce useful ideas but often fail to deliver on promises. So how can managers tell a fad from a tool that might endure? For one thing, beware of suspiciously simple techniques. If they seem too easy, they probably are.