This paper examines the comovement of stocks with similar ticker symbols. For one such pair of firms, there is a significant correlation between returns, volume, and volatility at short frequencies. ...Deviations from "fundamental value" tend to be reversed within several days, although there is some evidence that the return comovement persists for longer horizons. Arbitrageurs appear to be limited in their ability to eliminate these deviations from fundamentals. This anomaly allows the observation of noise traders and their effect on stock prices independent of changes in information and expectations.
This paper disusses domestic energy supply and demand in rural India. Links between forest scarcity and household fuel collection are analyzed in a non-separable household model, focusing on ...substitution of non-commercial fuels from the commons and the private domain. Based on data from villages bordering a protected area, a novel maximum entropy approach is used for estimation. It is found that households respond to forest scarcity and increased fuelwood collection time by substituting fuels from private sources for forest fuelwood. However, the magnitude of the response appears insufficient to prevent current fuelwood collection practices from causing serious forest degradation.
Academic wage structure by gender Carlin, Paul Stewart; Kidd, Michael P; Rooney, Patrick Michael ...
Southern economic journal,
July 2013, Letnik:
80, Številka:
1
Journal Article
Recenzirano
We focus on understanding the role of productivity in determining wage structure differences between men and women in academia. The data arise from a pay equity study carried out in a single ...midwestern U.S. university over the 1996–1997 academic year. Econometric results confirm that external market forces exert influence over both male and female salary. But peer review ratings play a significant role in male but not female earnings determination, with similar results for objective measures of research, teaching, and service.
The relative merits of dealer versus auction markets have been a subject of significant and sometimes contentious debate. On January 20, 1997, the Securities and Exchange Commission began ...implementing reforms that would permit the public to compete directly with Nasdaq dealers by submitting binding limit orders. Additionally, superior quotes placed by Nasdaq dealers in private trading venues began to be displayed in the Nasdaq market. We measure the impact of these new rules on various measures of performance, including trading costs and depths. Our results indicate that quoted and effective spreads fell dramatically without adversely affecting market quality.
Undernutrition of children 0–60 months old in Mozambique is much higher in rural than in urban areas. Food security is about the same, although substantial regional differences exist. Given these ...outcomes, we hypothesized that the determinants of food security and nutritional status in rural and urban areas of Mozambique would differ as well. Yet we find that the determinants of food insecurity and malnutrition, and the magnitudes of their effects, are very nearly the same, although some differentiation in determinants of undernutrition does begin to appear among children 24–60 months old. The difference in observed outcomes appears primarily due to differences in the levels of critical determinants rather than in the nature of the determinants themselves.
This study examines how individual agents affect house selling prices and time on the market while controlling for brokerage firm-specific effects as well as supply and demand conditions that vary by ...neighborhood. Firm size effects disappear once firm specialization and agent characteristics are taken into account but geographic concentration by firms leads to higher selling prices. For individual agents, neither sex nor selling own listings affects price or selling time, but there are gains from partnering transactions across firms. Agents who specialize in listing properties obtain higher prices for their sellers while those who specialize in selling obtain lower prices for their buyers. Houses nearer to other transactions of an agent sell for higher prices. Finally, greater scale of listing and selling activity by an agent tends to lower selling price or lengthen the time on the market. PUBLICATION ABSTRACT
The purpose of this paper is to introduce the concept of worst practice DEA, which aims at identifying worst performers by placing them on the frontier. This is particularly relevant for our ...application to credit risk evaluation, but this also has general relevance since the worst performers are where the largest improvement potential can be found. The paper also proposes to use a layering technique instead of the traditional cut-off point approach, since this enables incorporation of risk attitudes and risk-based pricing. Finally, it is shown how the use of a combination of normal and worst practice DEA models enable detection of self-identifiers. The results of the empirical application on credit risk evaluation validate the method. The best combination of layered normal and worst practice DEA models yields an impressive 100% bankruptcy and 78% non-bankruptcy prediction accuracy in the calibration data set, and equally convincing 100% and 67% out-of-sample classification accuracies.
For many observers, the recession of the early 1990s signaled the end of what Berry called islands of renewal in seas of decay. In the past decade, however, shifts in mortgage finance have ...intersected with developments in assisted housing to alter the links between gentrification and housing policy. In this article, we use field observation, Home Mortgage Disclosure Act data, and HOPE VI plans to analyze the resurgence of gentrification in eight U.S. cities.
Between 1992 and 1997, gentrified neighborhoods attracted conventional homepurchase mortgage capital at a rate that grew at more than 2.3 times the suburban rate. Logit models confirm that mortgage capital favors gentrified neighborhoods even after controlling for applicant and loan characteristics, suggesting a new relationship between mortgage lending and neighborhood change. In some cities, gentrification has surrounded islands of decay and poverty with landscapes of renewal
This paper examines the effect of recent market reforms on the competitive structure of the Nasdaq. Our results show that changes in inventory and information costs cannot explain the post-reform ...decrease in bid-ask spreads. We interpret this as evidence that the reforms have reduced Nasdaq dealers' rents. Additionally, we find that the difference between NYSE and Nasdaq spread have been greatly diminished with the new rules. Further, the reforms have resulted in an exit, ceteris paribus, from the industry for market making. Overall, our results provide strong evidence that the reforms have improved competition on the Nasdaq.
This paper provides an analysis of the nature and evolution of a dealer market for Nasdaq stocks. Despite size differences in sample stocks, there is a surprising consistency to their trading. One ...dealer tends to dominate trading in a stock. Markets are concentrated and spreads are increasing in the volume and market share of the dominant dealer. Entry and exit are ubiquitous. Exiting dealers are those with very low profits and trading volume. Entering market makers fail to capture a meaningful share of trading or profits. Thus, free entry does little to improve the competitive nature of the market as entering dealers have little impact. We find, however, that for small stocks, the Nasdaq dealer market is being more competitive than the specialist market.
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