The Hazard Rate of Foreign Direct Investment: A Structural Estimation of a Real‐option Model*

The hazard rate of investment is derived within a real‐option model, and its properties are analysed so as to directly study the relation between uncertainty and investment. Maximum likelihood estimates of the hazard are calculated using a sample of multinational enterprises (MNEs) that invested in Central and Eastern Europe over the period 1990–98. Employing a standard, non‐parametric specification of the hazard, our measure of uncertainty has a negative effect on investment, but the reduced‐form model is unable to control for nonlinearities in the relationship. The structural estimation of the option‐based hazard is instead able to account for the nonlinearities and exhibits a significant value of waiting, although the latter is independent of our measure of uncertainty. This finding supports the existence of alternative channels through which uncertainty can affect investment.     

Cr3+-H3PO4光度法测定磷酸体系中的Cr3+

Cr3 与H3PO4生成绿色配合物,其最大吸收峰在660nm,摩尔吸光系数为1.4×102L·mol-1·cm-1,Cr3 在0～0.5mg/30ml范围内符合比尔定律,用加入法直接测定磷酸体系中的Cr3 ,结果满意。     

Estimating the Probability of Informed Trading

Using a new empirical model, I estimate the probability of trades being generated by privately informed traders. Inference is drawn on a trade‐by‐trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in‐depth analysis of the estimated probability of informed trading at the intraday level and for stocks with different levels of trading activity. The most important empirical results are: (a) the intradaily pattern of the inferred probability of informed trading is highly correlated with the intradaily pattern of observed quoted spreads, (b) differences in the magnitude of quoted spreads across volume categories are not exclusively related to differences in the level of informed trading, and (c) private information is incorporated faster in the quotes for high‐volume stocks than in the quotes for low‐volume stocks.     

On the Statistical Significance of Event Effects on Unsystematic Volatility

We develop a method for determining the significance of the effect of a certain event (stock split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset returns. Simulations show that the suggested tests reject the true null hypothesis of no effect on volatility at appropriate levels, whereas the rejection rates of a false null hypothesis increase with the magnitude of the effect. An application of the method to corporate spin‐offs reveals statistically significant and long‐lasting estimated increases in unsystematic volatility of parent companies' returns.     

Intra-Industry Reactions to Stock Split Announcements

We examine whether favorable information conveyed by stock split announcements transfers to nonsplitting firms within the same industry. On average, nonsplitting firms' shareholders experience positive and significant abnormal returns at the stock split announcements of their industry counterparts. In addition, industrywide and firm-specific characteristics are important determinants in explaining nonsplitting firms' stock returns. These firms' earnings increase significantly, and the earnings changes are positively related to the stock price reactions. Finally, we find no evidence that investors revise the value of nonsplitting firms because they anticipate a decline in earnings volatility.     

Price rigidities and institutional variations in markets with posted prices

Summary Standard laboratory posted-offer markets respond slowly and incompletely to demand shocks. In these one-sided markets, where sellers control the setting of prices, very little information is transmitted via the process of exchange. For this reason, traders have trouble distinguishing randomness in their own experience from changes in market fundamentals. This paper reports the results of twelve laboratory markets conducted to assess whether some common variants to standard posted-offer rules can correct the adjustment deficiences. Although discounting, multiple postings and excess demand information all improve performance, we find that response remains poor, and efficiencies low.Support for this research was provided by the National Science Foundation (SBR 9319842 and SBR 9320044), and the University of Virginia Bankard Fund. Data are archived at FTP address: fido.econlab.arizona.edu. We wish to thank Charles Plott and Shyam Sunder for useful comments on an earlier draft of this paper. The usual disclaimer applies.     

Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis

Some empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell‐Tobin hypothesis. In this article we reinvestigate this negative relation from a long‐term point of view using cointegration analysis. The data on the historical interest rate on T‐bills and the inflation rate indicate that the Mundell‐Tobin hypothesis does not hold in the long run for the United States, the United Kingdom, and Canada. We also obtain similar results using the real interest rate on index‐linked gilt traded in the United Kingdom.     

Orange County Bankruptcy: Financial Contagion in the Municipal Bond and Bank Equity Markets

We examine the spillover wealth effects of the Orange County, California bankruptcy announcement in December 1994 on municipal bonds, municipal bond funds, and bank stocks. This bankruptcy is prominent because of unprecedented losses and because it was caused by a highly leveraged derivatives strategy rather than a shortage of tax revenues and excess spending. We find contagion in the bond market with significantly negative abnormal returns for municipal bond funds without direct exposure to Orange County and for non‐Orange County municipal bonds. In addition, our findings suggest the contagion spills over to the common stocks of investment and commercial banks that deal in or use derivatives; however, the equities of banks unexposed to derivatives are not affected.     

Partial Horizontal Inequity Orderings: A Non‐parametric Approach*

We provide a partial ordering view of horizontal inequity (HI), based on the Lorenz criterion, associated with different post‐tax income distributions and a (bistochastic) non‐parametric estimated benchmark distribution. As a consequence, several measures consistent with the Lorenz criterion can be rationalized. In addition, we establish the so‐called HI transfer principle, which imposes a normative minimum requirement that any HI measure must satisfy. Our proposed HI ordering is consistent with this principle. Moreover, we adopt a cardinal view to decompose the total effect of a tax system into a welfare gain caused by HI‐free income redistribution and a welfare loss caused by HI, without any additive decomposable restriction on the indices. Hence, more robust tests can be applied. Other decompositions in the literature are seen as particular cases.     

4P、4C与4R:交易费用经济学的视角

4P是经典营销理论的核心内容之一。随着经济、文化和技术的全球化与区域化不断发展,市场竞争异常激烈,顾客在大部分领域取得了绝对的选择权,营销理论随之出现了4C和4R等“崭新”内容。从交易费用经济学的角度看,4C和4R不是对4P的替代,而是一种重要补充和发展。