The Many Faces of Information Disclosure

In this article we ask: what kind of information and how muchof it should firms voluntarily disclose? Three types of disclosuresare considered. One is information that complements the informationavailable only to informed investors (to-be-processed complementaryinformation). The second is information that is orthogonal tothat which any investor can acquire and thus complements theinformation available to all investors (preprocessed complementaryinformation). And the third is information that substitutesfor the information of the informed investors in that it revealsto all what was previously known only by the informed (substituteinformation). Our main results are as follows. First, in equilibrium,all types of firms voluntarily disclose all three types of information.Second, in contrast to the existing literature, complementaryinformation disclosure by firms strengthens investors' privateincentives to acquire information. Substitute information disclosureweakens private information acquisition incentives. Third, whilecomplementary information disclosure has an ambiguous effecton financial innovation incentives, substitute information disclosureweakens those incentives.     

The role of co-skewness in the pricing of real estate

The current study investigates whether systematic skewness offers an alternative perspective as to why the risk-adjusted returns on real estate should be similar to that for stocks. This is not a trivial issue since an affirmative finding implies that we might be incorrectly measuring real estate risk from both a pricing and a portfolio allocation perspective. A multivariate test of the Kraus-Litzenberger model is used to investigate this skewness proposition with the K-L CAPM tested against several alternative versions of the CAPM. The study finds that the Kraus-Litzenberger model offers additional insights into the measurement of real estate risk. Evidence is also found that both the zero beta and the consumption-oriented CAPM hold, which is consistent with the recent literature in real estate.     

Hours worked and output growth reserves

This paper discusses the role of the indicator of average time worked per employee in assessing current market situation and output growth reserves. This indicator, considered a key one worldwide, is not published in Russia at all (though estimated). Considered are general and specific factors underlying differences in hours worked in different countries and industries, with their dynamics across 20 industries of Russia’s economy in 1959–2004. Output growth reserves due to this indicator are assessed.     

Migration Flows and Intra-Industry Trade Adjustments

In this paper we analyse the link between trade and migration. Focusing on the experience of Spain, we relate a marginal index of intra-industry trade to the stock of foreign workers—classified according to their country of origin and their situation in the Spanish labour market. We focus on the possibility that existing networks of foreign workers and their connections with their countries of origin could stimulate trade with the host country. Our results show a significant impact of the number of immigrants with work permits on intra-industry trade adjustment. However, this impact being positive or negative depends on whether foreign workers are employees or self-employed, the duration of the work permits and the type of job they occupy. JEL no. F10, F14, F15, F22     

On Endogenously Staggered Prices

Taylor's model of staggered contracts is an influential explanation for nominal inertia and the persistent real effects of nominal shocks. However, in standard imperfect competition models, if agents are allowed to choose the timing of pricing decisions, they will typically choose to synchronize. This paper provides a simple model of imperfect competition which produces stable staggering. Our argument relies on strategic interaction at two levels—between firms within an industries, and across industries—and produces a continuum of staggered price equilibria. These equilibria are strict, and hence stable under a simple adaptive learning process.     

Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry

We test the hypothesis that when their compensation is linked to relative performance, managers of investment portfolios likely to end up as “losers” will manipulate fund risk differently than those managing portfolios likely to be “winners.” An empirical investigation of the performance of 334 growth-oriented mutual funds during 1976 to 1991 demonstrates that mid-year losers tend to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid-year winners. Furthermore, we show that this effect became stronger as industry growth and investor awareness of fund performance increased over time.     

Tariff protection and workforce gender: Evidence from U.S. manufacturing industries

A data set of 266 four-digit SIC U.S. manufacturing industries is used to examine the relationship between tariff protection and workforce gender. The paper shows that industries with a relatively large proportion of women are more likely to be protected by U.S. tariff policy, even when factors such as wages and human capital are controlled. Furthermore, this result is robust in that it is not driven by any particular industry or industries.     

Investment planning for irrigation development projects

This paper considers the problem of choosing among the technologies available for irrigation by tubewells to obtain an investment plan which maximizes the net agricultural benefits from a proposed project in a developing country. Cost and benefit relationships are derived and incorporated into a mathematical model which is solved using a modification of the dynamic programming procedure for solving the knapsack problem. The optimal schedule is seen to favor small capacity wells, drilled by indigenous methods, with supplementary water distribution systems.