Stop and Go Agricultural Policies with a Land Market

This article studies the design of farm policy in the presence of asymmetric information about farmers' productivity, a government objective to insure farmers a minimum "parity" income, an endogenous land rent, and diminishing returns on alternative (nonprogram crop) land uses. In this setting, acreage set asides are never part of an optimal farm policy, although compensated acreage limits are. When there are new farmer entrants who cannot be excluded from farm programs, optimal policy takes the form of a pure voluntary acreage limitation—or "buyout"—program in which high-cost producers participate and low-cost producers do not.     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

Closing small open economy models

The small open economy model with incomplete asset markets features a steady-state that depends on initial conditions and equilibrium dynamics that possess a random walk component. A number of modifications to the standard model have been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five different specifications are considered: (1) A model with an endogenous discount factor (Uzawa-type preferences); (2) a model with a debt-elastic interest-rate premium; (3) a model with convex portfolio adjustment costs; (4) a model with complete asset markets; and (5) a model without stationarity-inducing features. The main finding of the paper is that all models deliver virtually identical dynamics at business-cycle frequencies, as measured by unconditional second moments and impulse response functions. The only noticeable difference among the alternative specifications is that the complete-asset-market model induces smoother consumption dynamics.     

Capital market trading volume: an overview and some preliminary conclusions

This paper suggests an explanation for the heavy trading volumeobserved on the US capital markets, the world's largest. Heterodoxeconomic theory puts much of this volume down to speculation.Mainstream theory tends to support this thesis, either directlyor indirectly, by giving space to the idea that trading activityis for the most part exogenous to the functioning of the capitalmarkets. The central hypothesis of this paper is that the tradingvolumes observed are an endogenous feature of the capital markets,because they are to a great extent determined by the needs ofthe institutional investors who predominate on these markets.This endogeneity of trading is posited in connection with theemergence of a new ‘core–satellite’ paradigmin institutional investment, a development that essentiallymanifests the asset-management industry's transformation froma small industry serving a few wealthy clients to a mass industryserving large sections of the population.     

Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models

The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naïve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the autoregressive model ranks first using the RMSE and MAPE criteria. We also examine three nonlinear models. These models are GARCH-M, EGARCH, and ESTAR. We find that nonlinear GARCH models dominate linear models utilizing the RMSE and the MAPE error statistics and EGARCH appears to be the best model for forecasting stock index futures price volatility.     

From T-Bills to Stocks: Seasonal Anomalies Revisited

This paper employed eleven data series which consist of stocks, bonds, bills, equity premiums, term premiums, and various default premiums to investigate whether January seasonality reported in existing literature is robust across different states of the economy as this has important trading implications. For the periods 1926–1990, small stocks, small stock premiums, low grade bonds, and default premiums (spread between high grade, low grade and government bonds) reveal January seasonality and that the seasonality is robust across different states of the economy except for low grade bond returns and default premiums. January seasonality for low grade bond returns and low grade bond default premiums are primarily driven by results found during periods of economic expansion. Overall, January seasonality is more evident during the economic expansion periods although the magnitude of default premiums is larger during periods of economic contraction. Furthermore, prior findings of strong summer equity returns are primarily driven by the results found during the periods of economic contraction. It is also found that equity returns are generally higher during periods of economic expansion.     

A note on the decomposition (at a point) of aggregate excess demand on the Grassmannian

This paper analyzes the properties of aggregate excess demand functions for economies with an arbitrary finite set of N commodities where agents face trading restrictions of a general, abstract form: their budget set is defined by K-dimensional planes in ^N. It is shown that, if there are at least K agents in the economy, the only general property satisfied by the value of aggregate excess demand and its derivative, at any arbitrary point, is Walras Law. The result is established by considering an economy where agents' preferences are of a ‘generalized Leontief' type.     

企业长期激励机制创新

长期激励机制匮乏问题一直是我国理论界和实业界最为关注的核心问题。指出目前在我国实行的长期激励措施的不足,提出了以“股息期权”,代替“股票期权”的激励方案,从而有效解决了我国目前的资本市场和法律法规对于“长期激励形式”的约束,可以为现阶段企业管理者进行薪酬激励机制设计时提供重要的参考和借鉴。     

进入权理论下的会计师事务所股权设置

Rajan和Zingales提出了进入权理论，认为企业的权力来源于进入权，即对关键资源接触和使用的权力。本文结合会计师事务所的特征，在分析其关键资源的基础上，建议会计师事务所的股权应设置为财产股、岗位股、贡献股。     

可修复航材二级库存模型研究

首先分析了可修复航材的消耗规律;其次以期望缺货数作为目标函数,建立了可修复器材的二级库存优化模型;最后利用进化计算理论制定了该模型的求解算法,并通过算例对该方法进行了验证.