An Investigation of Transactions Data for NYSE Stocks

Using transactions data, the behavior of returns and characteristics of trades at the micro level is examined. A minute-by-minute market return series is formed and tested for normality and autocorrelation. Evidence of differences in return distributions is found among overnight trades, trades during the first 30 minutes following the market opening, trades at the close, and trades during the remainder of the day. The latter distribution is found to be normal. Unusually high returns and standard deviations of returns are found at the beginning and the end of the trading day. When the beginning-and end-of-the-day effects are omitted, autocorrelation in the market return series is reduced substantially. A number of patterns in trading are reported.     

VOLUNTARY IMPORT EXPANSION AND DIRECT INVESTMENT*

This paper analyses the welfare effects of a market‐share Voluntary Import Expansion (VIE) in the presence of foreign direct investment utilizing a duality approach. Introducing the cost burden of VIE explicitly, this paper considers the conditions under which a market‐share VIE is voluntary to the importing country. It is shown that the voluntary nature of VIE depends upon the capital import, cost burden and price difference effects and that a VIE is truly voluntary if it is accompanied by direct investment. We also show the existence of a complementary relationship between VIE and direct investment in attaining a particular level of welfare.     

First Experiences with a Ranking Method for Portfolio Selection in Applied Research

Abstract— Starting from the premise that commercial research aims to maximize the expected profitability for a given expenditure on research, a Profitability Index is derived based on a decision tree concept. The practical application of this Profitability Index at the British Petroleum Company Limited's Sunbury Research Centre in the context of research sponsored by several departments is then described.     

Evaluating the Performance of International Mutual Funds

In this paper, we examine the performance of a sample of fifteen U.S.-based internationally diversified mutual funds between 1982 and 1988. Two performance measures are used, the Jensen measure and the positive period weighting measure proposed by Grinblatt and Titman. We find no evidence that the funds, either individually or as a whole, provide investors with performance that surpasses that of a broad, international equity index over this sample period.     

A MANDATE OF PRICE STABILITY FOR THE FEDERAL RESERVE SYSTEM

In recent years, the rules-versus-discretion debate over monetary policy has taken on new life. In the 1960s, this debate focused on the relative merits of nonactivist policies versus activist stabilization policies. When rational expectations arguments emerged in the 1970s, the debate broadened into three categories: activist policies characterized by rules, activist policies characterized by discretion, and nonactivist policies characterized by rules. This paper presents arguments for a particular example of the latter of these policies…specifically, a monetary policy which accords preeminence to achieving price-level stability. Central to these arguments is a comparison of this hypothetical policy with the actual monetary policy pursued by the Federal Reserve System, which is a type of activist policy characterized by discretion. The comparison suggests that actual monetary policy is more constrained than is generally realized. A rule mandating that the Federal Reserve accord preeminence to achieving price-level stability, then, should not be regarded as a policy which would significantly increase constraints on monetary policy. Instead, such a rule should be regarded as replacing implicit, poorly understood constraints with explicit constraints.