Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years

We commemorate the 50th anniversary of Ball and Brown [1968] by chronicling its impact on capital market research in accounting. We trace the evolution of various research paths that post–Ball and Brown [1968] researchers took as they sought to build on the foundation laid by Ball and Brown [1968] to create a body of research on the usefulness, timeliness, and other properties of accounting numbers. We discuss how those paths often link back to the groundwork laid and questions originally posed in Ball and Brown [1968].     

Passive Investment Strategies and Efficient Markets

This paper presents the case for and the evidence in favour of passive investment strategies and examines the major criticisms of the technique. I conclude that the evidence strongly supports passive investment management in all markets—small–capitalisation stocks as well as large–capitalisation equities, US markets as well as international markets, and bonds as well as stocks. Recent attacks on the efficient market hypothesis do not weaken the case for indexing.     

Contrarian Investment in the Dutch Stock Market

The efficient markets hypothesis states that at any times security prices fully reflect all available information. Contrarian investment strategies do not recognize the efficiency of capital markets. They call for buying undervalued stocks, i.e. stocks with a low price relative to their fundamentals. The idea behind such a strategy is to take advantage of the extrapolation behaviour of naive investors. Using a fresh and extensive data set from the Dutch stock market, we found that these strategies yield an outperformance without a higher risk. Our results make it hard to maintain the efficient market hypothesis.     

Political Measures for Strategic Environmental Policy with External Effects

This paper investigates an environmental policy designed to reduce the emission of pollutants under uncertainty, with the agent problem as an optimal stopping problem. We first analyze the two cases in which there are one agent and two competing agents by following Ohyama and Tsujimura (2005). When we consider a model of strategic agents, we need to analyze the external economic effect that is peculiar to an agent’s environmental policy implementation. Then, to improve and resolve these external effects, we examine three alternative political measures, comprising an environmental subsidy, an environmental tax and an emission trading system. The results of the analysis indicate that the environmental subsidy and environmental tax promote environmental policy. However, they do not create an incentive to be the leader. On the other hand, an emissions trading system not only promotes environmental policy but also creates an incentive for leadership.This paper was previously circulated under the title “Political Measures for Strategic Environmental Policy with Induced Effects”. The authors would like to thank Masaaki Kijima for helpful comments. The authors would also like to thank Alistair Munro and two anonymous referees providing detailed comments and suggestions. This research was partially supported by Daiwa Securities Group Inc. The second-named author was partially supported by the Ministry of Education, Culture, Sports, Science and Technology, Grant-in-Aid for Scientific Research (B) (2), 16310118.     

Efficient Liability Rules: Complete Characterization

Received May, 18, 2000; revised version received March, 19, 2001     

Designing Optimal Crop Revenue Insurance

When the indemnity schedule is contingent on the farmer's price and individual yield, an optimal crop revenue insurance contract depends only on the farmer's gross revenue. However, this design is not efficient if, as is the case with available contracts, the coverage function is based on imperfect estimators of individual yield and/or price. The producer's degree of prudence and the extent of basis risks have important influences on the optimal indemnity schedule. In this broader context, optimal protection is not provided by available U.S. crop insurance contracts and may include combinations of revenue insurance, yield insurance, futures, and options contracts.     

财政补贴改革刍论

财政补贴是国家宏观调控的杠杆之一,但是,目前补贴不规范,财政补贴数额大、项目繁杂,补贴效果‘异化’,加大了社会不公。为了强化财政补贴杠杆功能,提高财政补贴效益,必须按照建立公共财政的要求,本着满足公共需要原则、弹性补贴制度原则和补贴方式间接化原则,改变“一刀切”和补贴刚性的局面,确保采暖费收支合理化,取消肉食、副食品、粮食等价格补贴,改革国有企业的亏损补贴制度。     

Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures

This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer "newsworthy," that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest-time corn price expectations, which are uncovered using a Hamilton-type modeling approach. Results show that reports are still "newsworthy," as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis.     

矫枉何须过正--评美国《2000年持续性倾销与补贴补偿法》

2000年底，美国国会通过了《持续性倾销与补贴补偿法》(CDSOA)，依据该法，海关征收的反倾销、反补贴税将以补偿的形式分配给受影响的国内生产者。CDSOA借维护公平贸易之名，行保护主义之实，不但缺乏经济上的合理性，也违背了美国依WT0协定承担的国际义务，从而引起了各国的声讨。     

On the Use of Value Efficiency Analysis and Some Further Developments

The purpose of this paper is to discuss the use of Value Efficiency Analysis (VEA) in efficiency evaluation when preference information is taken into account. Value efficiency analysis is an approach, which applies the ideas developed for Multiple Objective Linear Programming (MOLP) to Data Envelopment Analysis (DEA). Preference information is given through the desirable structure of input- and output-values. The same values can be used for all units under evaluation or the values can be specific for each unit. A decision-maker can specify the input- and output-values subjectively without any support or (s)he can use a multiple criteria support system to assist him/her to find those values on the efficient frontier. The underlying assumption is that the most preferred values maximize the decision-maker's implicitly known value function in a production possibility set or a subset. The purpose of value efficiency analysis is to estimate a need to increase outputs and/or decrease inputs for reaching the indifference contour of the value function at the optimum. In this paper, we briefly review the main ideas in value efficiency analysis and discuss practical aspects related to the use of value efficiency analysis. We also consider some extensions.