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.     

Race and the discouraged female worker: A question of labor force attachment

This article presents an empirical examination of female attachment to the labor market. An econometric model of the discouragement process is built to determine how strongly women exhibit the inclination to remain labor force participants over the course of the business cycle. The estimated results imply that women, as a group, have a stronger response to changes in short-run cyclical fluctuations and therefore will sever their attachment to the labor force significantly sooner than their male counterparts. However, when the analysis is broken down by race, minority females are discovered to demonstrate only a modest response to short-run fluctuations and a very pronounced long-run sensitivity to cyclical swings. Thus, the results suggest that while females as a whole do not exhibit the same degree of labor force attachment as males, minority females respond in a manner similar to that of male workers. Such a conclusion is in agreement with the growing literature on the labor market behavior of minority females who are increasingly playing the same economic role in society as men.     

Research and development policy in the USA: Implications for satellite communications

Research and development in fields as diverse as microelectronics and space vehicles have profoundly affected the technologies of information transmission, as well as the way in which government regulates the communications and information service industries. This article focuses on R&D policy in the USA, drawing from 1984 OTA reports. The article focuses briefly on industry and universities and at greater length on government actions and policies, indicating possible implications for communication satellites.     

Closed-End Fund Expenses and Investment Selection

Investment returns on closed‐end funds are highly volatile. Because expenses have a definite negative impact on closed‐end fund returns, investors should include the expense ratio as a criterion for fund selection in addition to performance, investment objective, and risk of the fund. This paper constructs a model of the expense ratio of closed‐end funds to explain cross‐sectional differences in the expense ratios for the period between 1989–1996. We relate closed‐end fund expenses to fund characteristics and identify the factors that can help investors choose low expense closed‐end funds.     

A theory of bank regulation and management compensation

We show that concentrating bank regulation on bank capital ratiosmay be ineffective in controlling risk taking. We propose, instead,a more direct mechanism of influencing bank risk-taking incentives,in which the FDIC insurance premium scheme incorporates incentivefeatures of top-management compensation. With this scheme, weshow that bank owners choose an optimal management compensationstructure that induces first-best value-maximizing investmentchoices by a bank's management. We explicitly characterize theparameters of the optimal management compensation structureand the fairly priced FDIC insurance premium in the presenceof a single or multiple sources of agency problems.     

Reconsidering performance evaluative style

Journal of Accounting Research, 10, 156–182, modeled “performance evaluative style” as the predictor of unintended effects from performance measurement control systems, stimulating one of the few areas of cumulative research in behavioral accounting. However, despite twenty-five years of empirical testing, this stream of research has failed to converge. This paper considers the validity issues created by evolution in the conceptualisation and specification of the relevant variables and classifies them by calculation type. Results of an empirical test designed to explore comparability between the variable types are reported. Finally, implications for interpreting prior research and for future research directions are considered. ©