The book-to-market effect is often interpreted as evidence of high expected returns on stocks of "distressed" firms with poor past performance. We dispute this interpretation. We find that while a ...stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the "intangible" return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good proxy for the intangible return. Also, a composite equity issuance measure, which is related to intangible returns, independently forecasts returns.
This study empirically establishes the direction of causality between electricity consumption and economic growth in Burkina Faso for the period 1968–2003. The bounds test yields evidence of ...cointegration between electricity consumption, GDP, and capital formation when electricity consumption and GDP are used as dependent variable. Causality results indicate that there is no significant causal relationship between electricity consumption and investment. Estimates, however, detect in the long-run a bidirectional causal relationship between electricity use and real GDP. There is also evidence of a positive feedback causal relationship between GDP and capital formation. Burkina Faso is therefore an energy dependent country. It is also a country in which electricity consumption is growing with the level of income. All of this shows that electricity is a significant factor in socio-economic development in Burkina Faso; as such, energy policy must be implemented to ensure that electricity generates fewer potential negative impacts.
The lengthening of childhood Deming, David; Dynarski, Susan
The Journal of economic perspectives,
07/2008, Letnik:
22, Številka:
3
Journal Article
Recenzirano
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Over the past 40 years, the age at which children enter first grade has slowly drifted upward. In the fall of 1968, 96 percent of six-year-old children were enrolled in first grade or above. By 2005, ...the proportion had dropped to 84 percent, mainly because a substantial share of six-year-olds were still in kindergarten. About a third of the increase in age at school entry can be explained by legal changes. Almost every state has increased the age at which children are allowed to start primary school. The other two-thirds of the increase in the age at school entry reflects the individual decisions of parents and teachers who choose to keep children out of kindergarten or first grade even when they are legally eligible to attend. This practice is sometimes called “red-shirting,” a phrase originally used to describe the practice of holding college athletes out of play until they have grown larger and stronger. Red-shirting is referred to as “the gift of time” in education circles, reflecting a perception that children who have been allowed to mature for another year will benefit more from their schooling. As we will discuss, little evidence supports this perception. It is indeed true that in any grade, older children tend to perform better academically than the younger children. In the early grades there is a strong, positive relationship between a child's age in months and his performance relative to his peers. But there is little evidence that being older than your classmates has any long-term, positive effect on adult outcomes such as IQ, earnings, or educational attainment. By contrast, there is substantial evidence that entering school later reduces educational attainment (by increasing high school dropout rates) and depresses lifetime earnings (by delaying entry into the labor market).
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. ...We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation.
This article argues that a satisfactory theory of wealth inequality should account not only for the marginal distribution of wealth, but also for the joint distribution of wealth and earnings. The ...article describes the joint distribution of retirement wealth and lifetime earnings in the Panel Study of Income Dynamics. It then evaluates the ability of a stochastic life-cycle model to account for key features of this distribution. The life-cycle model fails to account for three key features of the data. (1) The correlation between lifetime earnings and retirement wealth is too high. (2) The wealth gaps between earnings rich and earnings poor households are too large. (3) Wealth inequality among households with similar lifetime earnings is too small. Models in which households differ in rates of return or time preferences account much better for the joint distribution of retirement wealth and lifetime earnings.
This paper addresses the question of whether the time series for the trip and time charter indices between 1968-2003 and 1971-2003 are identically and independently distributed, and whether they have ...nonlinear dependence. The test method used was based upon the work of Brock, Dechert and Scheinkman and is called the BDS test. The results show that the indices were not random and identically and independently distributed, and indeed nonlinear dependence exists.
As a consequence of this result, linear and other traditional models are not suitable for modelling the distributions; the distributions for the indices are not normal, but instead show skewness, kurtosis and non-periodic cycles, all of which we have provided estimates for. Putting the results of the present study together with previously published papers by the same authors, which have covered a range of distributions including the second-hand shipping market, the trip charter and time charter markets, it has now been demonstrated that distributions that are frequently studied in marine economics show fat tails and long-term memory. Non-normality in these distributions has been identified by other authors in previous studies also. However, previous authors have not suggested any alternative to the conventional methods of analysis and modelling. The authors of the present paper propose the use of the rescaled range analysis (Hurst exponent) which was brought into prominence by Benôit Mandelbrot. It is further proposed that future work in this field should be directed towards forecasting.
This paper presents a Seemingly Unrelated Regressions estimation of earnings differentials between three generations of immigrants and natives in Sweden. The results show that male first-generation ...immigrants were at an earnings advantage compared to male natives. Among male second-generation immigrants the earnings differentials compared to natives were very small, while third-generation immigrants were at an earnings disadvantage compared to natives. The same pattern was found among females. Thus, the results indicate that ethnic differences in earnings are likely to occur even after several generations spent in a country and that the problem of immigrant assimilation that exists in many European countries may last for several generations.
It has been found that the consumption‐wealth ratio (cay) constructed from revised data is a strong predictor of stock market returns. This paper shows that its out‐of‐sample forecasting power ...becomes substantially weaker if cay is estimated using information available at the time of forecast. The difference, which mainly reflects periodic revisions in consumption and labor income data, is consistent with the conjecture that cay is a theoretically motivated variable. That is, revised data outperform real‐time data because the former have smaller measurement errors. Nevertheless, practitioners should be cautious when they need to use real‐time cay as a forecasting variable. (JEL G10, G14)
In this paper, we model the long-run relationship between goods and services inflation for the United States over the period 1968:1–2003:3. Our empirical methodology makes use of recent developments ...on threshold cointegration that consider the possibility of a nonlinear relationship between the two inflation series. According to our results, the null hypothesis of linear cointegration would be rejected in favor of a two-regime threshold cointegration model. Consequently, we could expect a cointegrating relationship only when the divergence between services inflation and goods inflation is above the threshold point estimate.
Nine midwestern states have laws that restrict the involvement of publicly held corporations in agriculture. Opponents argue that the laws' direct efforts to regulate ownership structure may have an ...adverse indirect impact on size structure. Restricting corporate involvement might stifle the emergence and growth of efficient, large-scale establishments if corporations have advantages over other organizational forms in meeting capital requirements. Since 1982, Nebraska has had an anti-corporate farming law that prohibits corporate ownership of feedlots. We test whether the implementation of the Nebraska law had an impact on the stochastic process governing the evolution of the state's feedlot size distribution.
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