The impact of time duration between trades on the price of treasury note futures contracts

Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to identify institutional, or market microstructure, impacts on the pricing of these contracts. Relatively few articles have conducted empirical research on the microstructure of U.S. futures trading due to the limited availability of comprehensive transaction level data from the futures exchanges. This report uses the CBOT's Computerized Trade Reconstruction database, a comprehensive transaction level dataset, to identify the price impact of the time duration between trades in a manner analogous to that of A. Dufour and R. F. Engle (2000). Unique differences from prior research include the application to futures contracts with their relative higher frequency of trading, as well as the investigation of the price impact of the number of active traders present on the trading floor and the trading volume. Subsequent price and sign of trade significantly relate to the time duration between trades, the number of floor brokers, and the trading volume. © 2004 Wiley Periodicals, Inc. Jrl. Fut Mark 24:965–980, 2004     

Have Employment Relationships in the United States Become Less Stable?

There has been considerable debate as to whether job stability has declined in the United States. This paper uses data from the Survey of Income and Program Participation (SIPP) to examine the incidence of labor market turnover between 1986 and 1993. Specifically, we calculate one- and two-year separation rates and then analyze turnover by the source of separation. We find that the incidence of job separations did not increase over the period under investigation, but appears to have declined somewhat. When analyzing separations by reason, conditional on separating from an employer, we find little evidence of temporal changes in the composition of turnover that would indicate greater employment instability. Therefore, we do not find conclusive evidence that employment relationships have become more unstable in the recent past.      

New evidence on the convergence of international income from a group of 29 countries

This paper updates and extends the time-series evidence on the convergence of international incomes using a set of 29 countries over the period 1900–2001. Time-series tests for stochastic convergence are supplemented with tests which provide evidence on the notion of “β-convergence” predicted by the Solow model. The evidence indicates that the relative income series of 21 countries are consistent with stochastic convergence, and that β-convergence has occurred in at least 16 countries at some point during the twentieth century. Further examination of the properties of the β-convergence test provides anecdotal evidence of conditional convergence in three additional countries for which the convergence hypothesis was initially rejected. Consideration of convergence clubs strengthens the evidence in favor of convergence. Analysis of the cross-country dispersion of incomes over time also suggests that convergence has occurred over the 1900–2001 period, particularly within certain clubs, with structural breaks associated with World War II in many countries causing a break in the convergence process.      

Publishers, artists, and copyright enforcement

This paper investigates whether and to what extent there is a conflict of interest between artists and their publishers, regarding to whether and to what degree illegal distributions of their copyrighted recordings should be prevented. This conflict arises because artists also earn their profit from other market activities such as giving live performances, in addition to their share of profits from sales of their copyrighted recordings via the publishers.     

Performance Analysis of Lodging REITs in Relation to Market Segments

This article examines the financial performance of lodging real estate investment trusts (REITs) in relation to their market focus. Secondary data were collected for from 2004 to 2008 from lodging REITs that were traded on major U.S. stock exchanges. Data envelopment analysis (DEA) was used to assess the efficiencies of market segments to generate financial performance. The results showed that two lodging REITs were consistently efficient during the study period relative to other lodging REITs. In particular, lodging REITs investing and/or operating in one or more relatively similar market segments and those focusing on the upper-upscale segment were more efficient than others. This study could provide managers, owners, and investors of lodging REITs preliminary evidence of the relationship between market segments and firm performance. This article also proposes a framework for future investigations to assess the performance of REITs.     

Impact of off-farm income on food security and nutrition in Nigeria

While the poverty implications of off-farm income have been analyzed in different developing countries, much less is known about the impact of off-farm income on household food security and nutrition. Here, this research gap is addressed by using farm survey data from Nigeria. Econometric analyses are employed to examine the mechanisms through which off-farm income affects household calorie and micronutrient supply, dietary quality, and child anthropometry. We find that off-farm income has a positive net effect on food security and nutrition. The prevalence of child stunting, underweight, and wasting is lower in households with off-farm income than in households without. Using a structural model, we also show that off-farm income contributes to higher food production and farm income by easing capital constraints, thus improving household welfare in multiple ways.     

Increasing the credibility of the twin birth instrument

Twin births are an important instrument for the endogenous fertility decision. However, twin births are not exogenous either as dizygotic twinning is correlated with maternal characteristics. Following the medical literature, we assume that monozygotic twins are exogenous, and construct a new instrument, which corrects for the selection although monozygotic twinning is usually unobserved in survey and administrative datasets. Using administrative data from Sweden, we show that the usual twin instrument is related to observed and unobserved determinants of economic outcomes, while our new instrument is not. In our applications we find that the classical twin instrument underestimates the negative effect of fertility on labor income. This finding is in line with the observation that high earners are more likely to delay childbearing and hence have a higher risk to get dizygotic twins.     

Social Media Index Valuation: Impact of Technological,Social, Economic,and Ethical Dimensions

Marketing practitioners have recognized a growing need to measure consumer-generated social media in a standard way since there are numerous social media indicators in use, making intra- and inter-company comparisons difficult. This paper identifies four social media dimensions for measurement and evaluation: technological, social, economic, and ethical; and, subsequently, measures social media. The study makes a contribution to social media literature by using analytic hierarchy process of developing a mathematical model for social media index valuation. The “social media composite index number” will serve as an industry benchmark signifying the organization's share and commitment to social media.     

The Exchange Rate and Inflation in the UK

The United Kingdom is a highly open economy, and has a monetary policy strategy of targeting inflation in consumer prices. In this paper, we look at the evidence from the UK on inflation behaviour, and examine the propositions from several theoretical models about inflation dynamics in an open economy, focusing in particular on the hypothesized connections between the exchange rate and consumer price inflation. Theoretical open‐economy macroeconomic models ‘cover the waterfront’ on this issue, ranging from ‘exchange rate disconnect’ to a rigid link between nominal exchange rate changes and inflation. We estimate on UK data the open‐economy Phillips curves implied by the alternative explanations. We argue that, of the alternatives considered, only a model where imports are modelled as an intermediate good, as in McCallum and Nelson (1999) , provides a reasonable match with the data. Unlike the standard model, in which imports are treated as a final consumer good, the intermediate‐goods specification provides support for a policy of CPI inflation targeting.