Separating microstructure noise from volatility

There are two variance components embedded in the returns constructed using high frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high frequency return data recorded at different frequencies, we provide a simple and robust technique to identify both variance components.     

减少汽车业的浪费

汽车制造商和零件供应商可以节省巨大开支，但前提是双方要更为紧密地合作在一起麦肯锡的研究表明，北美汽车业每年在产品开发和组装过程中由于汽车生产商与供应商缺乏良好的计划和协调不当，造成了超过100亿美元的浪费。事实上．这只是较为保守的估算。因为我们的研究仅涵盖了供应商发生的成本，如：附加设计、生产工具最后改型和零件自身的附加成本。这还不包括因设计问题生产商需额外支付的改型费用、生产问题引发的车辆最终成本的增加或质保支出。这几项每年给汽车行业带来的浪费约为120亿美元。     

The Zilcha criterion for dynamic inefficiency

Summary. This paper reexamines the condition (1 + n), which Zilcha (1991) presents as a necessary and sufficient condition for dynamic inefficiency of stationary allocations in overlapping generation models with stochastic production. We show that this condition is necessary but not sufficient for a stationary allocation to be dynamically inefficient by Zilchas definition. We also show that there is a narrow but widely studied class of specifications in which the Zilcha test is both necessary and sufficient for dynamic inefficiency of stationary competitive equilibrium allocations. Outside this class, however, counterexamples can be constructed relatively easily.Received: 30 September 2002, Revised: 13 August 2004, JEL Classification Numbers: D51, D90, E13, E22. Correspondence to: Steven RussellWe thank Jon Burke, Subir Chakrabarti, Itzhak Zilcha and an anonymous referee for helpful conversations and/or comments.     

Aggregation bias, compositional change, and the border effect

Borders affect the composition, not only the level, of interregional trade. In disaggregated U.S. Commodity Flow data, border effects vary substantially across commodities. Substantial border–induced compositional change suggests the possibility that standard estimates suffer from aggregation bias arising from endogenous industry location patterns and the presence of zero observations in commodity–level trade. Adjusting for these effects reduces the estimate of the aggregate border effect from 20.9 to 5.7. JEL Classification: F14, F15
Biais d'agrégation, changement de composition, et effet de frontières. Les frontières affectent la composition et pas seulement le volume de commerce inter-régional. Une analyse des données désagrégées des flux de commerce de biens des Etats-Unis montre que l'effet de frontières varie substantiellement selon les biens. Le changement de composition du commerce engendré par les frontières suggère la possibilité que les estimations usuelles souffrent d'un biais d'agrégation résultant des patterns de localisation industrielle endogènes et de la présence d'observations nulles dans le commerce de certains biens. Un ajustement pour tenir compte de ces effets suggère que les effets de frontières passent de 20.9 à 5.7.     

Bringing the Future Forward: The Effect of Disclosure on the Returns-Earnings Relation

This paper studies how firm disclosure activity affects the relation between current annual stock returns, contemporaneous annual earnings and future earnings. Our results show that firms with relatively more informative disclosures "bring the future forward" so that current returns reflect more future earnings news. We also find that changes in disclosure activity are positively related to changes in the importance of future earnings news for current returns. These results suggest that a firm's disclosure activity reveals credible, relevant information not in current earnings, and that this information is incorporated into the current stock price.