An Analysis of Closed-end Fund Seasoned Equity Offerings

We examine the stock price reaction to seasoned equity offerings (SEOs) of closed‐end funds and the determinants of the issuance decision. We find that sample funds have negative and significant average announcement‐day returns that are less than the returns associated with industrial firm SEOs, most likely because funds have fewer information asymmetries. Issuing funds have higher pre‐issue returns, higher premiums, lower betas, and lower three‐year, post‐issue returns than nonissuing funds. The results of the study are consistent with the argument that fund managers time issues to take advantage of mean reversion in fund returns.     

Persistence and Predictability of Skewness in Country Equity Market Returns

This article explores the skewness characteristics of eighteen developed country equity market returns. The empirical results indicate that country skewness tends to have the same sign for different measurement intervals. Also, the magnitude of country skewness increases as the measurement interval increases. Further, the results indicate that positive skewness is not a predominant phenomenon. In addition, this study examines the predictability of country skewness using a Spearman Rank Order test and an autoregression test. The findings generally indicate that past monthly country skewness could not be used to reliably predict the extent of skewness of future periods.

     

GAME-THEORETIC ANALYSIS OF CHINA's WTO ACCESSION

Abstract.  This paper studies the determination of split of total surplus among the negotiating parties (member countries and the acceding country) in a WTO accession negotiation using a sequential bargaining model. In particular, we are interested in the effect of the most-favored-nation (MFN) principle on the negotiation outcome. The MFN principle says that any tariff reduction offered by the applicant for accession has to be automatically granted to all existing members. The model suggests that it is quite plausible that China's share of surplus is more when MFN is in place.     

Accounting Returns Revisited: Evidence of their Usefulness in Estimating Economic Returns

Accounting information is used for measuring firm performance in various financial applications—a practice supported by empirical studies demonstrating the value relevance of accounting numbers, but disputed by theoretical papers arguing that a firm's accounting rate of return (ARR) serves poorly as a proxy for its internal rate of return (IRR). We derive a new model of the ARR–IRR relation, and describe how the conservatism of GAAP constrains a firm's IRR to fall in a range bounded by its historical growth rate and ARR. Using cross-sectional data, we demonstrate that economic returns can be estimated from accounting numbers for many firms. We link empirical results to underlying economic theory, and thus contribute to understanding why accounting information is value relevant.     

A Multiplicative Decomposition Method to Identify the Sectoral Changes in Various Developmental Stages: Taiwan, 1966–91

This paper examines the structural changes and identifies sources of sectoral growth in Taiwan, which is an open but rapidly developing economy. A multiplicative version of a decomposition based on the Leontief input–output model is proposed. Empirical results based on deflated data using the shifting base technique show that average changes in final demand coefficients, mainly in household consumption and exports, account for a large portion of sectoral change in most industries. Extensive variations in industrial structure are detected in various developmental stages.     

Effects of $9 Price Endings on Retail Sales: Evidence from Field Experiments

Although the use of $9 price endings is widespread amongst US retailers there is little evidence of their effectiveness. In this paper, we present a series of three field-studies in which price endings were experimentally manipulated. The data yield two conclusions. First, use of a $9 price ending increased demand in all three experiments. Second, the increase in demand was stronger for new items than for items that the retailer had sold in previous years. There is also some evidence that $9 price endings are less effective when retailers use Sale cues. Together, these results suggest that $9-endings may be more effective when customers have limited information, which may in turn help to explain why retailers do not use $9 price endings on every item.     

A Guadagni–Little Likelihood Can Have Multiple Maxima

Despite many advances in marketing models, the Guadagni–Little (1983) model is still in widespread use by both practitioners and academics. For many new marketing models, the Guadagni–Little model serves as a benchmark. The key variable that allows the Guadagni–Little model to accurately fit data is the loyalty variable, which is an exponential smoothing of past purchases. In this paper, I show that inclusion of this variable in the logit model may result in a likelihood function that can have multiple maxima. I am able to demonstrate this using simulated data and actual household scanner panel data. In addition, I document a systematic relationship between the loyalty coefficient and the loyalty smoothing parameter. Insight for this systematic relationship and the multiple maxima is obtained by recognizing a trade-off between capturing household heterogeneity and state dependence. Finally, in the Guadagni–Little model extreme parameter values capture two different idealized forms of consumer behavior. However, reported studies rarely find these extreme parameter values. I show that procedures commonly used to initialize loyalty biases against these extreme parameter values. This bias offers some explanation for the observed empirical regularity in Guadagni–Little parameter estimates and suggests that researchers should be cautious concluding these parameters capture regularity in consumer behavior.     

Choice in Computer-Mediated Environments

In the last several years, the increased diffusion of computer andtelecommunications technologies in businesses and homes has produced newways for organizations to connect with their customers. These computermediated environments (CMEs) such as the World Wide Web raise new researchquestions. In this paper, we examine the potential research issuesassociated with CMEs in five areas: (1) decision processes, (2) advertisingand communications, (3) brand choice, (4) brand communities, and (5)pricing.     

Trade liberalization and the allocation of labor between households and markets in a poor country

We consider the relationship between relative price changes and the allocation of labor between households and the formal wage labor market in the context of Vietnam's liberalization of its rice trade in the 1990s. Many individuals in poor economies work within their own household rather than in formal labor markets. We find that larger rice price increases in a community are associated with declines in hours adults devote to work within the household and increases in time spent in the wage labor market. We also observe increased specialization in household economic activities accompanying these shifts in hours towards wage work. Our results are consistent with the idea that a growth in the extent of the market shifts production and labor from households to markets during development, thereby inducing gains from specialization. Thus, the reallocation of labor between households and markets in response to a trade liberalization might be an important component in understanding the link between trade and growth in very poor economies, currently the focus of the Doha WTO negotiation round.