settlement tax and non synchronous effects in the basis of u k stock index futures abstract the basis in stock index futures markets is analytically and empirically studied in this paper within a no arbitrage cost of carry framework explanatory power improved when the implications of the u k stock exchange settlement system were introduced into the modelling process and until recently with the maturity of the market evidence indicating the presence of non synchronicities between the cash and futures markets was found strong evidence for tax effects upon the basis was not found to be present in the data analysed statistically significant relationships between basis mispricing and volume and volatility were found

the distribution of daily stock returns and settlement procedures the paris bourse in many countries settlements take place a fixed number of business days after the transaction u s japan in other countries settlements take place periodically on a fixed date when all transactions performed before this date are settled u k france italy in both cases settlement procedures should cause returns not to be identically distributed over all days the effect is likely to be the largest on markets where all trades are settled only once a month an empirical investigation of the largest of those markets the paris bourse demonstrates the importance of the settlement procedure on the distribution of daily returns settlement procedures vary considerably across national stock markets in many countries settlements take place a fixed number of business days after the transaction these countries are referred to in this paper as countries with a fixed settlement lag in other countries settlements take place periodically on a fixed date and all transactions performed before this date are settled then these countries are referred to as countries with a fixed settlement date in both cases settlement procedures should cause returns not to be identically distributed over all days

day of the week effects and asset returns the number of empirical studies using daily stock returns is rapidly increasing researchers generally assume that the distribution of stock returns is identical for all days of the week a convenient statistical assumption but not a necessary condition of market equilibrium nevertheless there are reasons to suspect that the distribution of returns may vary according to the day of the week the most obvious is the impact of weekends on monday s return since monday s return is calculated over three instead of one calender day the mean and variance may well be higher on monday compared with any other daily return perhaps three times as large previous research has examined the daily distribution of stock returns for a monday effect while fama 1965 does not compare daily mean returns he does report that monday s variance is about 20o greater than other daily returns with a traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week contrary to this plausible assumption this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week the most notable evidence is for monday s returns where the mean is unusually low or even negative several explanations of the results are investigated but none proves satisfactory aside from documenting significant day of the week effects the implications of the results for tests of market efficiency are examined while market adjusted returns continue to exhibit day of the week effects these effects are no longer concentrated on monday during the last year we have had many conversations with our colleagues throughout the professions we are particularly thankful to the participants at sessions of the western and american finance associations where preliminary versions of this paper were presented special thanks are due to gene fama gailen hite jon ingersoll robert jarrow merton miller clifford smith and rex thompson the expert research assistance of frank rabinovitch and youngsup yun is gratefully acknowledged 1 the list of papers using daily stock returns is too long to name recent examples include charest 1978 dodd 1980 banz 1981 and reinganum 1981

predicting early data revisions to u s gdp and the effects of releases on equity markets the effects of data uncertainty on real time decision making can be reduced by predicting data revisions to u s gdp growth we show that survey forecasts efficiently predict the revision implicit in the second estimate of gdp growth but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate we use forecasting models to measure the impact of surprises in gdp announcements on equity markets and to analyze the effects of anticipated future revisions on announcement day returns we show that the publication of better than expected third release gdp figures provides a boost to equity markets and if future upward revisions are expected the effects are enhanced during recessions

day of the week effect on the paris bourse abstract we present evidence on the day of the week effect on a stock market with a particular settlement procedure the paris bourse a strong and persistent negative return is found on tuesdays a similar result was previously found for japan and australia the settlement procedure is shown to have an effect on the distribution of daily returns consistent with forward pricing theory it cannot explain the negative tuesday return after adjusting for this settlement effect the mean return on mondays is the largest in the week a result at odds with the evidence in the u s a

applicant screening and performance related outcomes a fundamental problem faced by employers is how to elicit effort from employees most economic models suggest that employers meet this challenge by monitoring employees carefully to prevent shirking but there is another option that relies on heterogeneity across employees and that is to screen job candidates to find workers with a stronger work ethic who require less monitoring we might therefore expect employers who screen candidates more intensively to monitor them less using data from a national sample of us employers we find that employers who screen applicants more intensively for factors that should predict work ethic also monitor employees less and also make greater use of systems such as teamwork where monitoring by supervisors is more difficult this screening is also associated with higher wages higher employee productivity and lower involuntary turnover rates screening for other attributes such as work experiences and academic performance does not produce these results jel codes m51 m54 j30

intraweek and intraday seasonalities in stock market risk premia cash and futures abstract the unique nature of the settlement procedures on the london stock exchange are utilised to directly investigate intraweek and intraday seasonalities in ex post risk premia rather than total returns and compare them with the corresponding intraweek and intraday seasonalities in the index futures market seasonalities in the occurrence of extreme price changes are also examined the results reported are based on about 4 years of hourly cash and futures data the analysis is conducted using both parametric and non parametric methods the observed empirical regularities have implications for explanations of seasonality based on market microstructure timing of news and psychological behavioural patterns it is also found that the stock market has not efficiently accounted for the interest costs inherent in its own settlement procedures

new findings regarding day of the week returns over trading and non trading periods a note this paper decomposes daily close to close returns into trading day and non trading day returns we discover that all of the average negative returns from friday close to monday close documented in the literature for stock market indexes occurs during the non trading period from friday close to monday open in addition average trading day returns open to close are identical for all days of the week january firm size turn of the year anomalies are shown to be interrelated with day of the week returns

seasonality estimation in thin markets the greater availability of daily data in the u s has led to a number of studies of the seasonality of daily stock index returns while the studies recognized the potential impacts of nontrading and price adjustment delays in general no formal analyses of such impacts were presented in this paper analytic results are presented for the articulation between these phenomena the implications of the analysis are discussed and shown to be consistent with a sample of u k index data a modified form of the negative weekend effect is found to be present in the u k data analyzed tests for the presence of seasonality in equity returns have been carried out by a number of authors at both the monthly and daily return levels at the monthly level rozeff and kinney 18 discovered evidence of seasonality in the u s while officer 15 detected the presence of seasonality in australian data fama 7 carried out some early work on u s daily data and more recent contributions have been made by cross 5 french 9 and gibbons and hess 10 while these studies recognized the presence of thin trading and its potential impacts upon the experimental results no formal analyses were presented in this paper we derive analytic results for the articulation between seasonality and nontrading effects section i the implications of this analysis are tested using a sample described in section ii of u k daily index data2 in section iii section iv discusses the implications of the results for capital market efficiency finally

optimal supervision intensity collusion and the organization of work the intensity of supervision defined as the proportion of supervisors to bottom rank productive workers differs widely across organizations and nations analysing three monitoring systems that differ in their supervision intensity i show that the possibility of collective shirking arrangements can impose a system dependent limit on the range of implementable performances this brings about a tradeoff in the choice of the monitoring system the system that economizes on incentive costs may implement an inferior range of performances applications of the model generate work disutility ethics and job characteristics based explanations for variations in the intensity of supervision l intensite de supervision definie par la proportion de superviseurs par rapport au nombre de travailleurs productifs de plus bas niveau differe vastement d une organisation a l autre et d un pays a l autre on analyse trois systemes de surveillance qui different par leur degre d intensite de supervision et on montre que la possibilite d arrangements de resquille collective peut imposer des limites a l eventail de performances realisables voila qui met de l avant une relation d equivalence dans le choix du systeme de surveillance un systeme qui economise sur les couts d incitation peut mettre en place un eventail de performance relativement inferieur les applications du modele suggerent des explications fondees sur la desutilite du travail l ethique et les caracteristiques du travail pour expliquer les variations dans l intensite de supervision

rigidities through flexibility flexible labour and the rise of management bureaucracies judging from organisation level survey data we find that organisations employing high shares of flexible workers have higher shares of managers in their personnel this is in line with earlier findings that anglo saxon countries with deregulated labour markets have thicker management bureaucracies than countries with more regulated labour markets of the rhineland style we argue that flexibility in labour markets i e easier firing and higher labour turnover damages trust loyalty and commitment this requires more management and control related research suggests that easy hire and fire is at the cost of organisational learning knowledge accumulation and knowledge sharing thus damaging innovation and labour productivity growth

turn of month and pre holiday effects on stock returns some international evidence abstract this study examines turn of month and pre holiday effects on international markets turn of month effects are significant in canada the uk australia switzerland and west germany pre holiday effects are significant in canada japan hong kong and australia the absence of these effects in certain markets suggests that they originate from country specific institutional practices all countries exhibiting pre holiday effects do so before local holidays only hong kong does so before us holidays this reinforces the conclusion that such anomalies are not generated solely by american institutions

rolling settlement and market liquidity this paper investigates the impact on uk stock and option markets of the change from an account based settlement system to a rolling settlement procedure such a change increases the transaction costs of short term margin traders and is likely to impact on the liquidity of the underlying market as well as trading in the options market evidence is presented that the settlement procedure does impact on the liquidity of the market further we find that rolling settlement increased market liquidity consistent with the exit of margin traders as a result of the increase in short selling costs associated with this increase in liquidity is a significant reduction in nonoptionable stock trading volume implying that margin trading may have been more prevalent in stocks without options finally it is shown that while trading in stock options increased the volatilities implied from call and put option prices indicate that put options have become relatively more expensive this reflects the change in demand i

are employment and managerial control equivalent evidence from an electronics producer abstract transaction cost economics recognizes two alternative forms of governing production and exchange market coordination and managerial control when examining the contractual relationship between firms and workers researchers generally consider employment to represent managerial control this paper tests the assumption that employment is characterized by managerial control using evidence from an electronics producer this paper tests whether factors affecting the employment status of workers such as asset specificity task interdependence and high knowledge requirements also affect the degree to which workers are managerially controlled this research helps explain a number of market organizational and managerial innovations such as employee self management and the use of temporary workers

a theory of demand shocks this paper presents a model of business cycles driven by shocks to consumer expectations regarding aggregate productivity agents are hit by heterogeneous productivity shocks they observe their own productivity and a noisy public signal regarding aggregate productivity the public signal gives rise to noise shocks which have the features of aggregate demand shocks they increase output employment and inflation in the short run and have no effects in the long run numerical examples suggest that the model can generate sizable equilibrium dsge models of the business cycle include a large number of shocks to technol ogy monetary policy preferences etc but typically do not include expectational shocks as independent drivers of short run fluctuations 1 this paper explores the idea of expectation driven cycles looking at a model where technology determines equilibrium output in the long run and consumers receive noisy signals about technology in the short run the presence of noisy signals produces expectational errors this paper studies the role of these expectational errors in gener ating volatility at business cycle frequencies the model is based on two ingredients first consumers take time to recognize permanent changes in aggregate fundamentals although they may have good information on the current state of the individual firm or sector where they operate they have only limited information regarding the long run determinants of aggregate activity second consumers have access to public information that is relevant to estimate long run productivity this includes news about technological innovations publicly released macroeconomic and sectoral statistics financial market prices and public statements by policy makers however these signals provide only a noisy forecast of the long run effects of technological innovations this opens the door to noise shocks which induce consumers to temporarily overestimate or underestimate the productive capacity of the economy

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

human resource management and performance in european firms we develop a theoretical framework to examine three hypotheses on the relationship between human resource management hrm practices and organisational performance in european firms the first is that collaborative forms of hrm practice are more strongly associated with superior firm performance than calculative forms the second is that these associations are strongest where national institutional and normative settings support them the third is that employer employee consultative committees and collective payment methods are also associated with superior firm performance the first two propositions are strongly empirically supported as is the third albeit more weakly the implications of the findings for european policy and varieties of capitalism theory are discussed

when labour market rigidities are useful for innovation evidence from german iab firm level data abstract supply side economists made numerous pleas for removing labour market rigidities through structural reforms from a schumpeterian viewpoint however one can argue that labour market rigidities create useful incentives for innovation our estimates on german panel data 2007 2015 support the schumpeterian view using the taxonomy of industries by peneder 2010 we find that evidence of the schumpeterian view is particularly strong in r d intensive manufacturing industries as well as in service industries with high degrees of cumulativeness of knowledge evidence of the schumpeterian view is weaker in low technology industries and in start ups when firms rely more on generally available knowledge rather than on firm specific and tacit knowledge accumulated in the past

weekend effects on stock returns a note some researchers have apparently been surprised to discover that the distribution of stock returns depends on the day of the week kenneth french 3 for example in testing whether daily stock returns are generated by a trading time or calendar time hypothesis provided convincing evidence of a negative market return on mondays as french carefully notes this finding runs counter to both hypotheses since a trading time view would have expected stock returns equal on different days and a calendar time view would have higher expected returns on monday to compensate for the longer holding period in this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns we argue that the expected stock returns as measured for example from closing to closing prices should depend on the day of the week in general we argue that the expected returns on mondays should be lower than would be implied simply by a trading time or calendar time model and the returns on fridays should be higher in addition we anticipate that holidays will have complex effects on stock returns on other days of the week our argument is based on the delay between trading and settlements in stocks and in clearing checks the explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis as correctly adjusted expected returns should not differ according to the day of the week