A Multivariate Linear Regression Test for the Arbitrage Pricing Theory

A test for the arbitrage pricing theory which employs a multivariate linear regression model is developed. Given a sample of return premiums for a set of N assets which includes a subset of k linearly independent portfolios, the k factor APT hypothesis is accepted if the intercept term is zero in the multivariate regression of the $(N?k)$ returns on the k portfolios. The test may be carried out simply, by using univariate multiple regression software. The relation of this test to the concept of performance potential and Sharpe's measure of performance is also discussed. If the performance potential of the k portfolios is not significantly less than the performance potential of the complete set of N assets, then the k factor APT hypothesis is accepted.     

Chicago board call options as predictors of common stock price changes

The intent in this study is to determine, using response surface methodology, whether call option prices can be relied upon to predict future rises in common stock prices. If call option prices are bid up by insiders prior to the time that new information becomes available to stock traders, recognition of this price action could form the basis of a stock trading strategy yielding returns superior to buy and hold. Evidence of such an advantage would be inconsistent with the efficient market hypothesis.     

THE ANALYSIS OF NET FARM INCOME: AN EXAMINATION OF FARM MANAGEMENT SURVEY DATA

The practical significance of the conventional “net farm income” is elusive. It would be useful to have an accepted method of dividing “management and investment income” into its recognised Components—managerial salary and return on tenant's capital. One is a residual if the other can be calculated, and both alternatives are considered. An empirical formula is suggested for estimating the managerial salary which may be imputed to the farmer, taking account of his total turnover, his labour bill and his net farm income. This formula is then applied to Farm Management Survey data, for individual farms and for groups of average, high and low performance (output per £ input). The method may permit closer analysis of relative profitability.     

Altruism and economic behavior: II--private charity and public policy

A bstract . The relative advantages of private charitable organizations as against government agencies in achieving efficient redistribution of income and supply of services are examined. Central to this discussion is the elasticity of private giving to tax concessions and the propoition of donor dollars being absorbed in overhead. Recent estimates of these magnitudes are summarized. Of parallel concern is to what extent can reliance on altruism by sellers of goods and services serve as a substitute for government regulations to enforce standards, prices or product disclosures. Finally, the ways in which government can use and encourage private charitable impulse to maximize social welfare are examined; of particular interest here is the literature surrounding Richard Titmuss' work on blood donorsbip which raises the issue of whether or not extension of markets reduces, rather than extends, individual choice. The growing technological complexities of society, it is concluded, render the altruistic virtues of trust and consideration increasingly valuable—if increasingly rare.     

SHORT-AND LONG-RUN FARM PLANNING UNDER UNCERTAINTY; INTEGRATION OF LINEAR PROGRAMMING AND DECISION TREE ANALYSIS

The paper presents an approach to an integrated long-run and short-run farm planning under uncertainty, based on a decomposition of the problem into (i) a series of short-run plans, and (ii) a master long-run plan. The series of the short-run plans are parametrically solved by linear programming "variable right hand" techniques and are later integrated into a long-run program using a (computerized) decision tree analysis. The attitude towards risk of the farm operator is expressed in the willingness to maximize the expected value of the income stream over the planning horizon subject to the restriction that alternatives which may lead to lack of liquidity must be eliminated.
Ce travail présenle une approche tentative ďintégrer, sous conditions incertaines, une planification de ferme à court et long terme. La planification est basée sur la partition du problème en (i) série de courte durée et (ii) de tongue durée. Les séries de courte durée sont résolues àľaide dun programme linéaire, et intégreés ensuite dans un programme à long terme àľaide de ľanalyse de "décision arbre."ľattitude envers les risques de ľentrepreneur est exprimée par la volonté-de maxiliser la valeur de revenu prévu au delá de la planification sous resérve de la restriction que des alternatives qui peuvent conduire à un manque de moyens liquides, doivent être éliminees.