Generalized method of moments and present value tests of the consumption-capital asset pricing model under transactions costs: evidence from the UK stock market

In this paper we test for the inclusion of the bid–ask spread in the consumption CAPM, in the UK stock market over the time period of 1980–2000. Two econometric models are used: first, Fisher’s (in J Appl Econometrics 9:S71–S94, 1994) asset pricing model is estimated by GMM. We obtain plausible values of all the structural parameters and transactions costs. We subsequently test the robustness of our results by extending the VAR approach proposed by Campbell and Shiller (in Rev Financ Stud 1:195–228, 1988). This is achieved with the inclusion of the normalised bid–ask spread as an independent variable in the pricing equation. Overall, the statistical tests are unable to reject the bid–ask spread as an independent explanatory variable in the C-CAPM. In addition, in the VAR specification we find that both the normalised and the absolute bid–ask spread is a significant predictor of the dividend to price ratio. The paper’s main conclusion is that transaction costs should be included in asset pricing models, as they possess independent explanatory power.      

Environmental regulation and international trade

In this paper, we investigate how a country's choice of environmental policy instrument affects the international competitiveness of its firms. We show that in a Cournot-Nash equilibrium, the total market share of firms regulated through tradeable emission permits increases relative to that of the firms operating under command and control due to better allocation of total abatement among the firms in the country. Our work suggests that free trade situations should not only result in similar environmental standards but also in similar regulatory regimes. It may come as no surprise that the environmental authorities in Canada are seriously considering following the United States in instituting a tradeable emission permits mechanism.Most of the work was completed during the time that E.S. Sartzetakis was a post-doctoral fellow at the Department of Economics, Université Laval. He gratefully acknowledges the hospitality of the department during this period. Earlier, versions of the paper were presented at the fifth conference of the European Association of Environmental and Resource Economists and at the 1993 Rancontre Franco-Québécoise du GREEN. We would like to thank Joseph Doucet, Thomas Ross, and Aart de Zeeuw for extremely helpful suggestions. We would also like to thank two anonymous referees of this journal for their comments. Financial support from the LRSA of the Faculté des sciences de l'administration, Université Laval, the Groupe de rechearche en économie de l'énergie et des ressources naturelles (GREEN), Université Laval, and the Centre for International Business Studies (CIBS), University of British Columbia, is gratefully acknowledged. The responsibility for errors and omissions remains ours.     

A spatial analysis of provincial corporate income tax responses: evidence from Canada

Abstract.  Using a model of interdependent tax choices, and accounting for equalization entitlements and general transfers, this paper estimates – making use of a spatial econometric framework – corporate income tax-setting functions for all Canadian provincial governments. The results show that there is a statistically significant positive fiscal interaction among a subset of provinces and between all provinces and the federal government. Provincial corporate income taxes are also found to be negatively related to equalization entitlements, general federal transfers, and the federal corporate income tax. A robustness check on the fiscal relationship between Ontario and Quebec verifies the existence of significant bi-directional fiscal interdependencies. The paper also introduces U.S state corporate income taxes as covariates and examines their interaction with Canadian provinces.     

Multiple taxes and alternative forms of FDI: evidence from cross-border acquisitions

This paper explores the role of tax instruments in affecting foreign direct investment (FDI), paying particular attention on their effect on two forms of FDI strategy, ‘horizontal’ and ‘vertical’. Applying a decomposition of FDI strategies to the universe of cross-border mergers (the dominant form of FDI) over the period 1999–2010, it emerges that taxes have a much more nuanced effect on FDI than frequently suggested; while corporate taxes affect FDI negatively, the tax elasticity varies depending on the FDI strategy (with vertical FDI being in general more responsive), the exact measure of taxation, and international tax considerations (double taxation, withholding taxes). Sales taxes also affect FDI, but only horizontally.     

Cost-Effectiveness Analysis Combining Medical and Mental Health Services for Older Adults with HIV in New York City

Atlantic Economic Journal - Older adults with the human immunodeficiency virus or HIV (OAWH), people 50 years and older, are aging with the disease and experience low quality of life....     

Assessing output and productivity growth in the banking industry

This paper assesses the evolution of output and productivity in the Greek banking industry for the period 1990–2006. Three main categories of bank output were estimated based on modern theoretical approaches, while for the estimation of output and productivity (partial and total factor) we relied on the index number method (Tornqvist index). We also considered the effect of labor quality on banks’ productivity and the contribution of total factor productivity to bank output growth. Bank output and labor productivity outpaced considerably the respective GDP growth and labor productivity of the Greek economy during the period under examination. Capital and total factor productivity have also improved remarkably mainly since 1999, due to the structural changes that took place within the industry, capital (mainly IT) investments and improvement in the quality of human capital.     

A test of stability in a linear altruism model

Linear altruism predicts the estimated preferences to be independent of the subject’s position in the game, if the role allocation is randomly determined, because subjects, in each role, have the same preferences ex ante. We test and reject this hypothesis.