A Complete Analysis of Full Pareto Efficiency in Financial Markets for Arbitrary Preferences

This paper provides a complete analysis of the necessary and sufficient conditions for financial markets to achieve fully Pareto-efficient allocation of aggregate wealth through trade in economies with arbitrary preferences. We show that full Pareto efficiency obtains only if the market structure of contingent claims spans the information partition of a minimal aggregate wealth statistic and a Halmos-Savage sufficient statistic for the beliefs of the traders. All the known allocation efficiency results in the literature due to Arrow, Hakansson, John, Ross, and others are unified by this result.     

Adjusting for the intervalling effect bias in beta: A Test using Paris Bourse Data

This paper uses a sample of daily returns data from the Paris Bourse to test the predictions of and adjustment procedures implied by the Cohen-Hawawini-Maier-Schwartz-Whitcomb (1983a,b) model of the intervalling effect bias in OLS beta estimates. CHMSW show that the bias diminishes asymptotically to zero as the differencing interval increases and that the sign of the bias depends on a stock's relative value of shares outstanding. We employ the three-pass regression procedure of CHMSW (1983b), but we test a broader set of second pass functional forms and use the Box-Cox (1964) transformation model to verify our chosen form. The CHMSW adjustment procedures are compared with that of Scholes-Williams (1977), and the latter is shown to contain a significant intervalling effect bias.     

On Market Structure and the Taxation of Exhaustible Resources:

A bstract . The older static theory of the taxation of exhaustible resources is distinguished from the modern theory based on the work of Harold Hotelling Both advocate some form of a profits-based tax , which is appropriate for conditions of perfect competition. But an oligopolistic market structure has additional quasi-rents which could be captured through taxation. It is argued that a sales tax will not only capture the rents but also lower the cut-off grade of the ore mined.     

DIVIDEND POLICY AND ITS RELATIONSHIP TO INVESTMENT AND FINANCING POLICIES: EMPIRICAL EVIDENCE

In this paper it is argued that dividend policy is not determined as a residual, but rather that firms adopt independent dividend and investment policies. Empirical evidence, based on a questionnaire survey, supports this view. Independent dividend and investment policies are possible because debt finance is usually raised in sufficient quantities to accommodate the financial demands created by dividend and investment decisions.