The road to a market economy

The ongoing conversion of the economies of former socialist countries into market economies has so far suffered from the lack of a theory of system transformation (policy) which indicates the means of achieving the desired objectives and makes it possible to evaluate the transformation policies of individual countries. The following article outlines the essential aspects of such a theory.     

Explaining Differences in Economic Performance Among Racial and Ethnic Groups in the USA

A bstract . By utilizing self-reported race and ancestry in the 1980 and 1990 USA censuses and the Blinder-Oaxaca decomposition technique, the extent of wage discrimination experienced by women and by men is examined across 50 ethnic/racial groups. Systematic evidence of negative discrimination is revealed in both census years for Asian, Indian, black (African-American), Vietnamese, Cuban, Mexican, Puerto Rican , and Native American males. To assess the charge that the Blinder-Oaxaca decomposition indicates cultural rather than discriminatory differentials, two additional data experiments are performed—one that controls for color and varies culture, and one that controls for culture and varies color. Race appears to matter.     

Changes in REIT Liquidity 1990–1994: Evidence from Intra-day Transactions

This study uses data on intra-day transactions to analyze whether real estate investment (REIT) liquidity as measured by the bid-ask spread changed from 1990 to 1994, a period during which the industry's market capitalization increased from $8.7 billion to $45 billion. REIT percentage spreads (spread as percentage of share price) narrowed significantly, primarily attributable to higher share prices rather than narrower dollar-value spreads. An empirical model is used to analyze the determinants of percentage spreads. Return variance and share price, not market capitalization are found to be the primary determinants of percentage spreads in both periods. This suggests that the liquidity of REIT securities is similar to that of non-REIT securities with similar prices and return variance. In addition, percentage spreads are wider for REITs trading on the NASDAQ.     

The Dynamics of Alliance Conditions in the Alliance Development Process

One of the key issues in understanding the developmental processes of strategic alliances is how the alliance conditions change over the different stages of alliance development. A related question concerns the nature of the co-evolutionary dynamics of alliances in terms of their constituent partner firms. In this article we propose an integrated process model of alliances that is based on alliance conditions, allianc developmental stages, and an alliance system comprising co-evolutionary elements. We suggest that alliance conditions, or the key characteristics of an alliance at any given moment, link the alliance environment (firm characteristics) and the alliance development process. We also explore how specific patterns of alliance conditions have differential impacts on the interactive elements of the alliance co-evolutionary system.     

On the E-optimality of truncated block designs

Sufficient conditions are found for designs, derived from completely symmetric designs by deleting binary blocks, to be E-optimal. Sufficient conditions are also found for E-optimality of designs obtained from other E-optimal designs by deleting all blocks forming a balanced incomplete block design on a subset of the treatments. The results include many binary and non-binary designs for which E-optimality was previously unknown.     

Elicitation using multiple price list formats

We examine the properties of a popular method for eliciting choices and values from experimental subjects, the multiple price list format. The main advantage of this format is that it is relatively transparent to subjects and provides simple incentives for truthful revelation. The main disadvantages are that it only elicits interval responses, and could be susceptible to framing effects. We consider extensions to address and evaluate these concerns. We conclude that although there are framing effects, they can be controlled for with a design that allows for them. We also find that the elicitation of risk attitudes is sensitive to procedures, subject pools, and the format of the multiple price list table, but that the qualitative findings that participants are generally risk averse is robust. The elicitation of discount rates appear less sensitive to details of the experimental design. Electronic Supplementary Material Supplementary material is available in the online version of this article at . JEL Classification C9, D81, D91 An erratum to this article is available at .     

Combining information for prediction in linear regression

This article deals with the prediction problem in linear regression where the measurements are obtained using k different devices or collected from k different independent sources. For the case of k=2, a Graybill-Deal type combined estimtor for the regression parameters is shown to dominate the individual least squares estimators under the covariance criterion. Two predictors ŷ _c and ŷ _p are proposed. ŷ _c is based on a combined estimator of the regression coefficient vector, and ŷ _p is obtained by combining the individual predictors from different models. Prediction mean square errors of both predictors are derived. It is shown that the predictor ŷ _p is better than the individual predictors for k≥2 and the predictor ŷ _c is better than the individual predictors for k=2. Numerical comparison between ŷ _c and ŷ _p shows that the former is superior to the latter for the case k=2.     

A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts

Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSE‐100 Index futures and the FTSE‐100 European index options contracts. This study uses the put–call–futures parity condition to throw light on the relationship between options and futures written against the FTSE Index. The arbitrage methodology adopted in this study avoids many of the problems that have affected prior research on the relationship between options or futures prices and the underlying index. The problems that arise from nonsynchroneity between options and futures prices are reduced by the matching of options and futures prices within narrow time intervals with time‐stamped transaction data. This study allows for realistic trading and market‐impact costs. The feasibility of strategies such as execute‐and‐hold and early unwinding is examined with both ex‐post and ex‐ante simulation tests that take into consideration possible execution time lags for the arbitrage trade. This study reveals that the occurrence of matched put–call–futures trios exhibits a U‐shaped intraday pattern with a concentration at both open and close, although the magnitude of observed mispricings has no discernible intraday pattern. Ex‐post arbitrage profits for traders facing transaction costs are concentrated in at‐the‐money options. As in other major markets, despite important microstructure differences, opportunities are generally rapidly extinguished in less than 3 min. The results suggest that arbitrage opportunities for traders facing transaction costs are small in number and confirm the efficiency of trading on the London International Financial Futures and Options Exchange. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:31–58, 2002