Victory margins and the paradox of voting

This paper addresses a simple question: why do people vote? Though simple, this question remains unanswered despite the considerable attention it has received. In this paper, I show that purely rational–instrumental factors explain a large fraction of turnout variations, provided that the effect of the margin of victory on implemented policy is considered. I extend Myerson's models of elections based on Poisson games, and show that, when platforms are responsive to vote shares, the predictions of the model become consistent with several stylized facts, including the secular fall in turnout rates in the US.     

A Bayesian analysis of a variance decomposition for stock returns

We apply Bayesian methods to study a common vector autoregression (VAR)-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock returns, future real interest rates, and future dividends. We develop a new prior elicitation strategy, which involves expressing beliefs about the components of the variance decomposition. Previous Bayesian work elicited priors from the difficult-to-interpret parameters of the VAR. With a commonly used data set, we find that the posterior standard deviations for the variance decomposition based on these previously used priors, including “non-informative” limiting cases, are much larger than classical standard errors based on asymptotic approximations. Therefore, the non-informative researcher remains relatively uninformed about the variance decomposition after observing the data. We show the large posterior standard deviations arise because the “non-informative” prior is implicitly very informative in a highly undesirable way. However, reasonably informative priors using our elicitation method allow for much more precise inference about components of the variance decomposition.     

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.     

Catching up with the Americans

This paper develops an international version of the consumption-based capital asset pricing (CCAPM), which we refer to as “catching up with the Americans.” Previous CCAPM research develops the concept of “catching up with the Joneses,” where a representative economic agent exhibits higher marginal utility of consumption as a result of higher past per capita consumption in his own country. Catching up with the Americans, on the other hand, is an international habit-preference hypothesis. It extends the idea of catching up with the Joneses by stating that consumers of non-U.S. countries gain higher marginal utility of consumption as a result of higher past American consumption growth. Contrary to much of the CCAPM literature, we test this version of the model using long bond rates rather than equity returns. However, like most of the previous research on the CCAPM, the catching up with the Americans model fails to explain the relationship between consumption and asset returns.     

Estimation of the mean in ranked set sampling with non responses

The estimation of the population mean when ranked set sampling [rss] is used for selecting the sample and non responses [nr] are present, is studied. The nr stratum is sub sampled using simple random sampling with replacement. Two strategies are analyzed. One of them is based on the selection of a sub sample from the nr in each cycle. The other uses sub samples selected among the nr in each rank.  The accuracy of the proposed estimators is characterized by the corresponding expected variances. Simulations and real life data are used for analyzing the behavior of them. Acknowledgements: This paper was developed partially during the visit of the author to Université des Antilles et Gouyane. The author gratefully acknowledges the helpful suggestions of the referees and thanks the support of DAAD for visiting Humboldt University where a version of the paper version was made.     

Aggregate Dividend Behavior and Permanent Earnings Hypothesis

The study examines the aggregate dividend behavior of U.S. corporations based on the permanent earnings hypothesis. Using annual data of aggregate earnings and dividends from 1871–1993, I find that although managers change dividends proportional to permanent earnings changes, they make revisions with a larger percentage change in dividends than in permanent earnings. The results from the post‐war data show that firms follow a partial adjustment policy with a long‐term dividend payout target in mind and make revisions with a delay. The quarterly data analysis yields results similar to those of the post‐war annual data.     

Dividend Changes and Future Earnings Performance： Evidence from UK Market

This paper investigates the dividend signaling hypothesis, described here as the relationship between dividend changes and future earnings performance. We find that managers pursue different patterns in UK from that in US when making dividend policy. A positive and significant association between dividend changes and the growth of future earnings is observed in the immediately following year after dividend announced There isn＇t significant link in the longer future. These phenomena are caused by managers＇ near-eyesight in UK market. In addition, an interesting finding is that dividend decreases have larger negative influence on earnings growth than positive impact on earnings prospects of dividend increases. This is consistent with the infrequent occurrence of dividend reduction.     

Does an Industry Effect Exist for Initial Public Offerings?

We examine the impact of initial public offerings (IPOs) on rival firms and find that the valuation effects are insignificant. This insignificant reaction can be explained by offsetting information and competitive effects. Significant positive information effects are associated with IPOs in regulated industries and the first IPO in an industry following a period of dormancy. Significant negative competitive effects are associated with larger IPOs in competitive industries, those in relatively risky industries, those in high‐performing industries, and those in the technology sector. IPO firms that use the proceeds for debt repayment appear to represent a more significant competitive threat to rival firms relative to IPO firms that use their proceeds for other purposes.     

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.     

Hypothesis tests using data envelopment analysis

A substantial body of recent work has opened the way to exploring the statistical properties of DEA estimators of production frontiers and related efficiency measures. The purpose of this paper is to survey several possibilities that have been pursued, and to present them in a unified framework. These include the development of statistics to test hypotheses about the characteristics of the production frontier, such as returns to scale, input substitutability, and model specification, and also about variation in efficiencies relative to the production frontier.