Forecast Encompassing as the Necessary Condition to Reject Futures Market Efficiency: Fluid Milk Futures

The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposed—forecast encompassing. Using the procedure of Harvey and Newbold , multiple forecast encompassing is tested using Chicago Mercantile Exchange fluid milk futures. Time series models and USDA experts provide competing forecasts. Results suggest milk futures do not encompass the information contained in the USDA forecasts at a two-quarter horizon. While the competing forecasts generate positive revenues, it is unlikely that returns exceed transaction costs in this relatively new market.     

Bank mergers: Integration and profitability

The Treasury Department's 1991 recommendations for financial service reform would have allowed interstate branching by banks, eliminating the requirement that banking companies form a separate subsidiary for each state in which they do business. Supporters of the proposal argue that allowing bank holding companies to merge their subsidiary banks would improve performance. We tested this proposition by studying the before- and-after performance of all bank mergers in the New England states between 1982 and 1987. In the aggregate, merging banks did not achieve significant improvements in operating profits relative to other banks during the first two years after a merger. It is important to distinguish, however, between mergers of newly acquired banks and mergers of banks acquired earlier by the holding company. Mergers of previously acquired banks performed significantly better than mergers of newly acquired banks and, measured by operating return on assets, achieved significant performance improvements relative to the industry.This article may not be reproduced in any form without permission of the authors, who hold the copyright.     

The Structure of Banking Systems in Developed and Transition Economies

The paper empirically analyses the determinants of banking system structure (as measured by bank assets, number, branches and employees) for 26 developed OECD countries. The estimated regressions are then applied to 23 transition economies, to obtain benchmarks for the efficient structure of their banking systems. The actual and benchmark measures of banking structure are compared to evaluate the state of banking system development, including the computation of a measure of 'banking system convergence'. The results are objective and replicable multidimensional measures of banking system development for the transition economies.     

The Changing Liability Structure of Savings and Loan Associations

The paper surveys the key factors, past and future, affecting Savings and Loan Association liability structure. The economic principles underlying Savings and Loan liability management are illustrated with emphasis on the dynamic aspects of decision-making and on the lack of perfect competition within the industry. Specific topics include the matching of asset and liability maturities, liquidity management, discrimination among classes of liabilities, and Regulation Q ceilings. The major shifts in the liability structure of Savings and Loan Associations during the 1970s is then reviewed. Key points include the steadily declining share of passbook accounts, the increasing average maturity of liabilities until 1978, and the ramifications of newly introduced deposit categories such as Money Market Certificates. Finally, the likely liability structure of Savings and Loans during the 1980s is discussed in the context of the removal of Regulation Q ceilings. The necessity for Savings and Loans to offer competitive interest rates on all maturity categories, and to offer deposit liabilities with liquidity features comparable to those available from other sources is emphasized.     

Beyond brand attitude: Individual drivers of purchase for symbolic cobranded products

Cobranding, or the use of two brand names on a single product, generally coincides with higher purchase intentions. Prior research focuses on ingredient co-branding and suggests that attitude toward both the primary and the secondary brands and congruence between the brands are important drivers of cobranded products' success. This research shows that self-congruity with the secondary brand and need for uniqueness have significant positive impacts on symbolic co-branding purchase, in addition to perceived congruence and attitude toward the primary brand. In contrast, attitude toward the secondary brand does not relate to purchase of symbolic cobranded products. Therefore, managers should rely on self-congruity, instead of attitude toward the secondary brand, when choosing a partner for symbolic cobranded products. Moreover, product category involvement enhances the impact of self-congruity on purchase intent.     

Optimal Insurance With Costly Internal Capital

We introduce costly internal capital into a standard insurance model, in which a risk‐averse policyholder buys insurance from a risk‐neutral insurer with limited liability. The unique optimal contract and internal capital lead to a strictly positive probability for insurer default. Some risks are uninsurable in that the insurer chooses not to provide insurance against such risks. An increase in the cost of capital may lead to a higher optimal amount of internal capital. The results extend to multiple policyholders in a symmetric setting. Our extension of the classical model to include costly internal capital provides a fruitful approach to many real world insurance markets.     

从历史和国际的视角看中国的经济增长

新增长经济学关于各种变量因素估计的研究结果表明,中国在实际经历经济快速增长之前,早已对这种快速增长寄予厚望.中国不处在热带地区,不属于内陆国,自然资源也不富裕,但是,中国是一个教育水平非常高的发展中国家.在20世纪50年代,中国经历过一段短时期的快速增长,然而,这种增长只是长期战乱后的经济恢复而已.直到1978年以后,中国把改革开放作为基本国策之后,持续的快速增长的时代才到来.经济开放带来经济增长的事实在跨国研究的发现中也得到了印证.但是,在中国,并非所有与GDP的高速增长相关的因素都很完美.比如,在法律规则的制度建设方面,中国还有大量工作要做.然而,1978年后,经济政策的改变促进了中国全要素生产率(TFP)的增长,而较高的全要素增长率和GDP的增长又反过来加速了资本的形成.中国经济的快速增长在很大程度上揭示了一个道理:经济开放政策促进了劳动生产率的提高.     

Oil and gas stock price reactions to federal tax legislation

The purpose of this research is to assess the effects of major tax legislation on the stock prices of firms in the oil and gas industry. Event study methodology is used to examine the behavior of security prices of oil and gas firms in response to the Joint Conference Committee vote in August 1986.