what uip tests on extreme samples reveal about the missing variable abstract in their uip regressions huisman et al 1998 extreme support for uncovered interest parity journal for international money and finance 17 211 228 focus on extreme forward premia and find much higher coefficients we show that for such results the expectation signal needs to be thicker tailed than the missing variable transaction costs may produce the right sort of bias it is i bounded i e it has no tails at all ii wide i e it may generate betas below 1 2 and iii u distributed which makes an extreme sample quite effective we derive theoretical and numerical results in the direction of what huisman et al observe we also tighten fama s moment conditions

growth paths and survival chances an application of gambler s ruin theory this paper links new firm survival with growth with a focus on the patterns in firms growth paths we theorise a gambler s ruin framework by arguing that new firm performance is best modelled as a random walk process but that survival is nonrandom and depends primarily on the stock of accumulated resources a firm s resources are either there when the business begins or are generated by successful periods wins the empirical section tracks over six years the sales and survival non survival of 6247 uk start ups which all began trading in the same quarter of 2004 we do not find strong evidence in favour of a taxonomy of growth paths because we observe that every possible growth path seems to occur with roughly equal probability however we observe that growth paths influence subsequent survival controlling for lagged size we observe that longer lags of growth and even start up size have significant effects on survival

cost of living inequality during the great recession using detailed barcode level data we construct income group specific price indices for the period of 2004 to 2010 we find substantial differences across income groups arising mainly during the great recession the annual cost of living inflation of the highest quartile has been on average 0 7 percentage points lower than that of the lowest quartile of the income distribution the difference can be explained by the way consumers adjusted their shopping behavior to mitigate the crisis we find that product quality substitution a margin mostly available to richer households is the main mechanism explaining the differences in cost of living inflation our evidence suggests that not accounting for these differences during economic downturns could lead to significant biases in the calculation of inequality and poverty measures jel classifications d12 e31 e32 we thank fernando alvarez erik hurst anil kashyap robert lucas and joseph vavra for their advice and support the paper benefited from comments and suggestions by many others including bong geun choi jorge l garcia jessie handbury sara moreira roberto robatto adriaan ten kate yike wang chen yeh and seminar participants at the university of chicago iea meeting washington university graduate student conference and the midwest macro meeting contacts david argente dargente uchicago edu munseob lee munseob uchicago edu

consumer research with big data applications from the food demand survey foods in three separate studies based on data from the food demand survey foods which has been conducted monthly for over three years this paper explores heterogeneity in preference across consumers in traditional demand systems heterogeneity in preferences over time in choice experiments and the tail of the distribution for a particular food consumption pattern vegetarianism results show that elasticities of demand for food at home and food away from home vary widely across different groups of consumers defined by a priori cluster analysis based on demographic and attitudinal variables results from a choice experiment are found to depend on when the experiment was conducted and on the market prices prevailing at the time of the survey given the large sample of consumers observed over time there is sufficient data to demographically characterize a small portion of the population vegetarians using traditional logit models and a machine learning method a classifications tree

program trading and expiration day effects the arbitrage between index futures and the underlying cash index and the cash settlement feature of index futures contracts which requires arbitrageurs to unwind positions in the stock market are thought to be at the heart of the abnormal stock price movements during the triple witching hour the last hour of trading on days on which index futures index options and options on index futures expire simultaneously during 1984 and 1985 volume was substantially higher than normal in the last hour of trading on those quarterly fridays open interest in the expiring futures contracts on the expiration day amounted to about 40 per cent of the average month end open interest the incremental stock market volume however was approximately one third the volume that would be inmplied if the entire expiration day open interest were traded in the stock market analysis of stock market price changes in the last hour of expiration days and the first halfhour of the following day indicates that the volatility of price changes was significantly higher on expiration days with the stock market tending to fall stocks not in the sp index option expirations themselves did not lead to abnormal market movements when the magnitude of price effects was measured by the degree of reversal in prices on the morning after the expiration day the average magnitude of the price effect in the 10 most recent quarterly futures contract expirations examined was about 0 4 per cent of the closing index value at expiration the average expiration day price effect of 0 4 per cent is not large considering that a price impact of approximately 0 25 per cent of the value of the transaction can be expected on the basis of the bid ask spread once this market impact cost is drawn out the average expiration day price impact falls to about 0 15 per cent of the value of the transaction an amount representing the additional cost of liquidity furthermore price impacts in excess of those found on expiration days are frequently encountered in large block transactions where the cost of providing liquidity also increases on expiration days however transactions in many stocks occur simultaneously so the market as a whole is affected

costly arbitrage through pairs trading abstract we study the optimal trading policy of an arbitrageur who can exploit temporary mispricing in a market with two convergent assets we build on the model of liu and timmermann 2013 and include transaction costs which impose additional limits to the implementation of such convergence trade strategy we show that the presence of transaction costs could reveal an endogenous stop loss concern in a certain economy which affects the optimal policy of the arbitrageur in significant ways using pairs of dual listed chinese stock shares as samples and a pairs trading strategy based on standard deviation of the spread as benchmark we demonstrate the efficiency of the strategy implied by our model several extensions of our model are also discussed

business experience and start up size buying more lottery tickets next time around this paper explores the determinants of start up size by focusing on a cohort of 6 247 businesses that started trading in 2004 using a unique dataset on customer records at barclays bank quantile regressions show that prior business experience is significantly related with start up size as are a number of other variables such as age education and bank account activity quantile treatment effects qte estimates show similar results with the effect of business experience on log start up size being roughly constant across the quantiles prior personal business experience leads to an increase in expected start up size of about 50 instrumental variable qte estimates are even higher although there are concerns about the validity of the instrument

organizational transformation as punctuated equilibrium an empirical test the punctuated equilibrium model of organizational transformation has emerged as a prominent theoretical framework for explaining fundamental changes in patterns of organizational activity to date

stock volatility and the levels of the basis and open interest in futures contracts this article tests a theoretical model of the basis and open interest of stock index futures the model is based on the differences between stock and futures in terms of investors ability to customize stock portfolios and liquidity empirical evidence confirms the model s prediction that increased volatility decreases the basis and increases open interest copyright 1995 by american finance association

advertising sunk costs and barriers to entry this paper tests hypotheses about the entry deterring effects of advertising the model isolates three separate effects of advertising on entry the effect on the irrecoverable costs of entry the effect on the uncertainty underlying the entry environment and the effect on the measured rates of profit we find that advertising impedes entry since necessary advertising expenditures give rise to a sunk cost which raises the risk of entry however we also find a countervailing force due to advertising in that the entrant perceives a greater likelihood of success in markets where advertising is important our analysis shows that the overall impact of advertising on entry is positive

variable risk preferences in new firm growth and survival we outline and test a decision making theory of new venture growth and survival building upon research in entrepreneurship and decision making under risk we hypothesize that entrepreneurs attention to survival and aspiration reference points changes based on venture age experience based learning size differences in decision complexity and performance decision domain examining a panel of 14 760 new ventures in the professional services sector our findings show how risk preferences change as a venture ages and increases in size this approach offers a more nuanced view of decision making under risk and provides a theoretical explanation for the common patterns of new ventures probability of exit and growth diminishing with age and size

a transactions data test of stock index futures market efficiency and index arbitrage profitability this paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for the chicago board of trade s major market index contracts the spot value of the index is computed with transactions prices for the component shares of the index obtained from the fitch database the tests account for transaction costs execution lags and the uptick rule for short sales of stocks results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time index arbitrage is a strategy whereby institutions brokerage houses or other large investors seek to profit from the spread between prices in the spot and futures markets for stock indices for example an investor might purchase predetermined baskets of stocks on the floor of the new york stock exchange and simultaneously sell a related index futures contract on the floor of the chicago board of trade hoping to profit from the price differences on the two exchanges computer programs constantly monitor stock and futures prices and automatically execute buy and sell orders when it appears that a profit is possible stock index futures can be priced by a simple arbitrage argument if the dividends paid by the underlying basket of shares and interest rates are nonstochastic markets are perfect and there are no taxes the pricing equation is

normal costs and demand effects in price setting a study of retailing the study aims at contributing to the debate whether there are demand effects in models that seek to explain prices as mark ups on costs for costs it considers actual costs normal costs and an intermediate model with a partial adjustment to the deviation of actual from normal costs for demand effects it considers an effect on the price level of a change of demand with an allowance for asymmetry between demand growth and demand decline tests and estimates are conducted on the basis of data from retailing

who participates in household scanning panels we compare two widely used household scanning panels maintained by the nielsen company and information resources inc to a random sample of the u s population results indicate that the demographic characteristics of the random sample more closely match the census bureau data than the household scanning panels we also show that after controlling for demographic differences participants in the household scanning panels are slightly more price sensitive than participants in the random sample the two household scanning panels yield similar results in relation to one another which suggests that the household scanning panels may suffer from sample selection and participation biases

sets arbitrage activity and stock price dynamics this paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the trading behaviour of heterogeneous investors who use the exchange the recent introduction of sets in the london stock exchange provides an excellent opportunity to study the impact of an electronic trading system upon traders who use the exchange using the cost of carry model of futures prices we estimate non linearly the transaction costs and trade speeds faced by arbitragers who take advantage of mispricing of ftse100 futures contracts relative to the spot prices of the stocks that make up the ftse100 stock index we divide the sample period into pre sets and post sets sample periods and conduct a comparative study of arbitrager behaviour under different trading systems the results indicate that there has been a significant reduction in the level of transaction costs faced by arbitragers and in the degree of transaction cost heterogeneity finally generalised impulse response functions show that both spot and futures prices adjust more quickly in the post sets period these results suggest that both spot and futures markets have become more efficient under sets

predicting the effects of sugar sweetened beverage taxes on food and beverage demand in a large demand system a censored exact affine stone index incomplete demand system is estimated for 23 packaged foods and beverages and a numeraire good instrumental variables are used to control for endogenous prices a half cent per ounce increase in sugar sweetened beverage prices is predicted to reduce total calories from the 23 foods and beverages but increase sodium and fat intakes as a result of product substitution the predicted decline in calories is larger for low income households than for high income households although welfare loss is also higher for low income households neglecting price endogeneity or estimating a conditional demand model significantly overestimates the calorie reduction

international prices costs and markup differences relative cross border retail prices in a common currency comove closely with the nominal exchange rate using product level prices and wholesale costs from a grocery chain operating in the united states and canada we decompose this variation into relative costs and markup components the high correlation of nominal and real exchange rates is driven mainly by changes in relative costs national borders segment markets retail prices respond to changes in costs in neighboring stores within the same country but not across the border prices have a median discontinuous change of 24 percent at the border and 0 percent at state boundaries jel f31 l11 l81

demand uncertainty and sales a study of fashion and markdown pricing the theory of clearance sales is expanded and applied to explain why markups markdowns and the frequency of sales of merchandise sold by department stores have increased dramatically in recent years and why they differ across merchandise groups tha major theme of the paper is that the growing role of fashion and product variety is an important reason for these increases and for the differences between merchandise groups the growing importance of fashion is illustrated by documenting the declining use of whites and the increasing use of colors and prints estimates of the effects of imports and technological and demographic changes on markups and markdowns are presented copyright 1988 by american economic association

life cycle prices and production we use scanner data and time diaries to document how households substitute time for money through shopping and home production we document substantial heterogeneity in prices paid for identical goods for the same area and time with older households shopping the most and paying the lowest prices doubling shopping frequency lowers a good s price by 7 to 10 percent we estimate the shopper s price of time and use this series to estimate an elasticity of substitution between time and goods in home production of roughly 1 8 the observed life cycle time allocation implies a consumption series that differs markedly from expenditures

the outputs of retail activities concepts measurement and evidence from u s census data the authors develop a new economic framework for the empirical analysis of retail margins this framework formalizes the role of distribution services as outputs of retail activities their main results are the following the measures of outputs of retail activities identified in the data perform as important and robust determinants of retail margins variables that purport to capture oligopolistic features of market structure play a limited or no role in determining retail margins quantity setting and price setting under the assumptions of profit maximization and monopolistic competition are categorically rejected by the data the data base is information on 49 retail sectors from the 1982 u s census of retail trades copyright 1993 by mit press

entrepreneurial exit as a critical component of the entrepreneurial process theoretical development abstract by demonstrating the importance of entrepreneurial exit to the entrepreneur the firm the industry and the economy i contend that our understanding of the entrepreneurial process is incomplete without the inclusion of entrepreneurial exit i define entrepreneurial exit and demonstrate how this conceptualization provides concepts that are unique from those addressed by researchers in other domains thus outlining a space for it within the literature in each phase of the entrepreneurial process i explore the development of an exit strategy reasons for exit and options for exit

new firms societal contribution versus survival potential abstract new business firms are now considered a major source of new jobs economic growth technical innovation and economic flexibility they may provide a major strategic advantage for the united states in world competition a more complete precise understanding of the dynamics of new firm development their societal contributions and factors affecting their survival has considerable policy and managerial significance a study of new firm contributions and survival was completed to determine whether the same factors would account for both they do not the research began with a substantial body of descriptive information on 551 new firms initiated in minnesota between 1978 and 1984 the initial data were collected in the summer of 1984 a one year follow up was completed in 1985 to determine new firm survival the sample was representative of all major industry sectors and all regions of the state about 60 were located in the minneapolis st paul urban area attempts to predict current 1984 contributions indicated that age was not a significant factor older new firms did not contribute more than younger new firms the developmental pattern primarily the average annual growth rate was highly related to sales or jobs provided in 1984 next most significant was the industry of the new firm manufacturing distributive services and business producer service new firms provided more significant contributions the one year follow up was able to determine the survival status of 548 of the 551 firms slightly less than 10 48 had not survived major factors related to survival appeared to be age high death rates at 2 3 years and attention to financial matters

retail globalization and household welfare evidence from mexico the arrival of global retail chains in developing countries is causing a radical transformation in the way that households source their consumption this paper draws on a new and unique collection of mexican microdata to estimate the effect of foreign supermarket entry on household welfare and its underlying channels the richness of the data allows us to estimate a general expression for the welfare gains from retail fdi and to decompose the total effect into several distinct components to base our estimates on plausibly exogenous variation in foreign retail entry we propose an event study design that exploits data on the universe of foreign store locations and opening dates in combination with high frequency data on barcode level store prices consumption quantities and household incomes in those same locations over the period 2002 2014 we find that foreign retail entry causes large and significant welfare gains for the average household that are mainly driven by a reduction in the cost of living a substantial share of this price index effect is due to pro competitive effects on consumer prices charged by domestic stores we find little evidence of significant changes in average municipality level incomes wages or employment we do however find evidence of store exit and adverse effects on domestic store profits and the incomes of traditional retail sector workers finally we present evidence that the gains from retail fdi are on average positive for all income groups but strongly regressive and quantify the opposing forces that underlie this finding

selling costs and switching costs explaining retail gasoline margins recent theoretical work has shown that price discrimination can take place in imperfectly competitive as well as monopoly markets the persistence of higher retail margins on unleaded than on leaded gasoline during the 1980s suggests that discrimination may occur even in very competitive markets this article studies a number of cost based explanations for such gasoline pricing as well as the possibility of price discrimination the analysis indicates that gas stations discriminate against groups of customers who are less likely to switch to another station the conclusions highlight the influence of shopping or search costs on pricing decisions even in markets thought to be quite competitive

technology strategy and software new ventures performance exploring the moderating effect of the competitive environment abstract technology strategy ts is one of the most important aspects of any firm s strategic posture especially in dynamic environments such as the computer software industry not only do new ventures face the pressures that accompany all young companies e g shortages of capital but they also have to keep up with a rapid rate of technological change consequently ts the sum of a firm s choices on how to develop and exploit its technological resources can profoundly affect a venture s performance and survival this empirical study examines the relationships between ts and new venture performance nvp by focusing on ts variables and analyzing their performance outcomes the study offers insights into the factors that can influence the success of new ventures in a fast paced environment this study also examines key environmental moderators those external environmental forces which can significantly impact the strength or direction of the relationship between a firm s ts and nvp the study examines five tss that can enhance npv the first is radicality which means developing and introducing new products ahead of competitors the second is the intensity of product upgrades which refers to a venture s commitment to introducing more refinements and extensions of its products than its competition the third is the level of r d spending which indicates a venture s strong investment in internal research and development activities the fourth is the use of external technology sources e g strategic alliances and licenses to augment a firm s own r d efforts the final dimension is the use of

the aggregate implications of regional business cycles during the last recession and its aftermath aggregate price growth and aggregate nominal wage growth remained robust despite the high rate of unemployment we document that u s states with weaker labor markets experienced lower price growth lower nominal wage growth and lower real wage growth during the great recession given that reliable measures of local prices do not exist we create our own state price indices using scanner data from the nielsen retail scanner database the main innovation of the paper is the development of an econometric procedure that combines cross region data with aggregate time series data to infer the underlying shocks driving both aggregate and regional business cycles applying our procedure to the great recession we find that a combination of both demand and supply shocks are necessary to account for the joint dynamics of aggregate prices wages and employment during the 2007 2012 period in contrast we find that only demand shocks are needed to explain the cross region variation the results suggest that only using cross region variation to explain aggregate fluctuations is insufficient when shocks do not have a substantive regional component

a study of the impact of owner s mode of entry on venture performance and management patterns abstract this study examines if firm performance and the associated patterns of management vary with the owner manager s mode of entry into the firm in owner started os buyout bo and family firms ff prior research suggests that these three types of firms differ on certain managerial characteristics but has not examined the role of the owner manager s mode of entry in determining firm performance on the one hand and its influence on the firm s management pattern on the other we collected data from 345 firms employing four to 99 employees operating in four northeastern states self reported return on assets roa annual sales business strengths competitive strategies and management practices were compared for os bo and ff firms performance was found to vary with owner s mode of entry the 227 os firms average roa was significantly higher than that of the 61 family firms and the 57 bo firms successful start up owners may have enjoyed greater profits because they assumed greater risk compared to those who opted to buy an existing venture or took over a family firm annual sales were highest for ffs second for os firms and the lowest for bos in terms of management patterns owner started firms rated themselves significantly higher on business strengths and tended to have higher self ratings for competitive strategies and operations strengths than did ffs or bos all of these differences were significant after controlling for the age and size differences among the firms indicating that mode of entry did directly impact performance as well as the management patterns examining the impact of mode of entry versus management patterns on venture performance we found that while the os mode of entry was associated with greater roa this was primarily due to the different management patterns adopted by the oss looking at annual sales the ff mode of entry was associated with higher sales and this was independent of the types of management patterns adopted by the firms a priori bos would appear to be in a better position to achieve superior performance but this was not so in this sample further analysis revealed different paths to profitability for the three entry modes for os firms high roa was associated with operating in the service and retail sectors developing a broad range of business strengths and offering competitively priced but higher quality customized products for oss roa was also enhanced by using informal and personalized management practices sales performance was greatest when oss employed trained staff for functions such as budgeting and sales for ffs roa was enhanced by broad ranging strengths but it was hurt by price and quality competitiveness mainly because on average their lower prices were not supported by a competitive cost of goods sales performance was greatest when ffs had owner managers with extensive industry experience were conservative in adding workers emphasized product customization relied on written reports but avoided long range operations planning management patterns of bos were not related to their roa but their annual sales were marginally higher when the acquiring owners had extensive industry background and employed a large workforce thus this study confirms our hypotheses that performance and management patterns vary across mode of entry as does the effectiveness of strategic management patterns further our findings concurred with previous studies which suggested that sales performance and profitability were likely to be influenced by different management actions this study demonstrates that owner s mode of entry is an important explanatory variable for variations in performance as well as management patterns venture ceos need to recognize that different management approaches may be needed for success depending upon whether they founded purchased or inherited their firms

food environment in the united states as a complex economic system the food environment in the united states is complex sixteen socio economic demographic variables from various public data sources are studied with a machine learning algorithm to ascertain the causality structure associated with the food environment in the united states high levels of unemployment and poverty are direct causes of high levels of food insecurity while low income causes high levels of food insecurity via increased levels of poverty unemployment is a common cause for both increased levels of food insecurity and poverty we find that food insecurity and participation in supplemental nutrition assistance program snap are related yet no direct causality is observed contrary to past studies which find that snap participation decreased the occurrences of poverty in contemporaneous time we find that poverty and snap participation are related through several back door paths via food insecurity unemployment race and food taxes obesity and snap participation are indirectly related via several back door paths namely race income poverty and food insecurity and unemployment also food insecurity and obesity are related by several back door paths low income high food taxes and race being black and non hispanic are direct causes of obesity the complex causality structure in the us food environment reveals that policy variables cannot be treated independently of their rich causal structure government agencies responsible for designing policies for food assistance poverty alleviation combating food insecurity and obesity need to consider the interrelationships among these variables

retailers strategies and food price dynamics evidence from dairy scanner data abstract we investigate the relationship between retailers strategies and dairy price dynamics using high frequency italian scanner data for different dairy products we compute a weekly drift free price index specific for product category chain and type of store exploiting the unbalanced panel data structure to control for unobservable strategies by chain time and type of store we test if unobservables are statistically significant in influencing the price dynamics of each of the products covered by our analysis in general chain and type of store specific unobservables play a significant role moreover we identify the role of some observable strategic variables in controlling or in stimulating price inflation rates we obtain mixed results on the relationship between private label pl market shares and price trend while we find price promotions to be more effective if applied to national brands nbs rather than pls we conclude with some implications for the potential role of public policies in controlling food inflation

marketing strategies that make entrepreneurial firms recession resistant abstract the recession of 1990 1991 adversely affected nearly every industry in the united states and entrepreneurial manufacturing firms were among those hardest hit by the recession the failure rate among this group by mid year 1991 had risen 37 from the previous year thus recessions pose a serious threat to the survival of entrepreneurial firms understanding how the business cycle influences performance and what strategies are effective in such turbulent times has practical value for managers of entrepreneurial firms in this paper we report a large scale empirical research study involving subjective and financial information from 118 publicly traded u s manufacturing firms the participating firms are involved in technologically demanding and highly innovative industry segments industrial and computer equipment electrical equipment and components and measuring analysis and control instruments none of the firms has achieved a market share of more than one half of one percent we find that in these industries a company s marketing strategies preceding a recession strongly impact the extent of economic downturn on the firm and influence its odds of a timely and complete recovery our specific prescriptions follow first maintain marketing activities in the core business as assurance against recession increasing sales and advertising increasing breadth of production and increasing geographic coverage improve performance during both the peak and the contraction of the business cycle second during the peak period cautiously expand with an emphasis on marketing efficiency increasing the number of channels of distribution and cutting price have a negative effect unless accompanied by sales force performance measurement a simple emphasis on incentives and efficiency alone hurts a firm as a recession hits all of these prescriptions run counter to existing views that suggest that recession simply requires cutbacks and retrenchment recessions seem to be different from other threats to firm viability and marketing activities appear to help pull the firm through a macroeconomic downturn

optimal trading with mean reverting prices switching between foreign stocks and closed end country funds we develop a model based on options theory which shows the optimal trading strategy for switching between two similar assets when the difference in their prices is mean reverting statistical tests indicate that most closed end country funds discounts are mean reverting using empirical estimates of the volatility and rate of mean reversion of these funds we derive the optimal switch points and simulate the trading profits associated with switching between country funds and their foreign equities and vice versa whenever the optimal switch points are reached

start up ventures towards the prediction of initial success abstract there are numerous studies on new product activities that try to measure the relative impact of different factors on success or failure the research on new ventures is less comprehensive and often only a few items are considered this article reports on the early results from a research program that is combining the research on both new products and new ventures to come up with a more comprehensive evaluation of relative success factors the literature was reviewed to determine the most significant factors found in prior work a 68 item questionnaire was developed and used with the chief executives of 24 new technical ventures all associated with the rpi incubator or technology park ten of the 17 factors investigated yielded reliable measurements which were then subjected to siepwise regression analysis to determine the relative impact of each factor on the two success measurements used initial quantified success and initial subjective success it should be recognized that initial success does not necessarily predict ultimate success an area to be investigated in continuing studies the two success measurements were not correlated and the correlations with the independent variables were therefore different initial quantified success showed a strong negative correlation with market attractiveness companies entering smaller or more slowly growing markets were doing better than those in the larger faster growing markets initial quantified success was positively correlated with the level of entrepreneurial characteristics exhibited by the leader s these were the only two variables exhibiting significant relationships with quantified success initial subjective success was negatively correlated with market dynamism rather than market attractiveness negative correlation was also measured with both r d intensity and the organic nature of the firm this latter finding is contrary to much of the new product literature which emphasizes the need for individual independence and initiative such may be the case with new products or ventures within large organizations but in small independent ventures the entrepreneur should provide strong control and guidance a positive correlation was observed with the entrepreneurial characteristics and also with the degree of match between the firm s experience and the new business requirements no significant correlation was observed with 1 product or service uniqueness 2 gross margin or 3 strategic aggressiveness the lack of correlation with these variables is surprising but it may be due to the small size of the sample the research confirmed two items that are understood by most scholars and experienced practitioners the importance of the entrepreneur and the importance of pursuing new ventures that match the technical and market experience of the team the less obvious results are those that suggest that success is favored by strong review and control by the entrepreneur rather than the development of employee initiative and independence also the initial success appears to be coming more readily to firms in more slowly growing or less dynamic markets it will take an expanded sample and a longer time horizon to determine if these initial trends continue to ultimate success

a comparison of futures and forward prices abstract this paper uses the pricing models of cox ingersoll and ross 1981 richard and sundaresan 1981 and french 1982 to examine the relation between futures and forward prices for copper and silver there are significant differences between these prices the average differences are generally consistent with the predictions of the futures and forward price models however these models are not helpful in describing intra sample variations in the futures forward price differences this failure is apparently caused by measurement errors in both the price differences and in the explanatory variables

basis convergence and long memory in volatility when dynamic hedging with futures abstractwhen market returns follow a long memory volatility process standard approaches to estimating dynamic minimum variance hedge ratios mvhrs are misspecified simulation results and an application to the s p 500 index document the magnitude of the misspecification that results from failure to account for basis convergence and long memory in volatility these results have important implications for the estimation of mvhrs in the s p 500 example and other markets as well

understanding china s urban pollution dynamics china s ongoing urban economic growth has sharply increased the population s per capita income lowered the count of people living below the poverty line and caused major environmental problems we survey the growing literature investigating the causes and consequences of china s urban pollution challenges we begin by studying how urban population and industrial growth impacts local pollution levels and greenhouse gas production as the urban population grows richer its demand for private transportation and electricity sharply increases such privately beneficial activity exacerbates urban pollution externalities facing these severe environmental challenges china s urbanites increasingly demand quality of life progress we survey the emerging literature investigating the demand for environmental progress in china progress in mitigating externalities hinges on whether the powerful central and local governments choose to address these issues we analyze the political economy of whether government officials have strong incentives to tackle lingering urban externalities we conclude by discussing future research opportunities at the intersection of environmental and urban economics jel o18 p25 p28 q53 r23 r41 r58

international versus domestic entrepreneurship new venture strategic behavior and industry structure abstract international entrepreneurship is defined in this study as the development of international new ventures or start ups that from their inception engage in international business thus viewing their operating domain as international from the initial stages of the firm s operation one hundred and eighty eight new venture firms in the computer and communications equipment manufacturing industries are classified according to the percentage of their sales in the international market ventures with no sales derived from international activities are considered domestic new ventures and ventures with sales from international activities comprising greater than 5 of total sales are considered international new ventures the strategy and industry structure profiles of international new ventures are significantly different from domestic new ventures the internationals pursue much broader market based strategies seeking a strategy of broad market coverage through developing and controlling numerous distribution channels serving numerous customers in diverse market segments and developing high market or product visibility the internationals also emphasize a more aggressive entry strategy building on outside financial and production resources to enter numerous geographical markets on a large scale securing patent technology is also an important component of their strategy this suggests that the internationals compete by entering the industry on a large scale seeking to penetrate multiple markets with the recognition that external resources are necessary to support such an entry whereas both the domestics and the internationals characterize domestic competition as being relatively intense the international new ventures compete in industries with higher levels of international competition it is not clear from this research whether the new venture selects an industry with a high degree of international competition and therefore responds with an international orientation or because the new venture has an international orientation it perceives or recognizes a higher degree of international competition another industry structure difference is the internationals perceived higher degree of restrictiveness due to government regulation it is unclear whether this restrictiveness motivates new ventures to seek less regulated international environments or if it indicates that when competing internationally the new venture is confronted with increased regulatory requirements domestic new ventures are distinguished by their emphasis on a production expansion strategy and customer specialization strategy the production specialization strategy consists of focusing on limited geographical markets maintaining excess capacity and pursuing forward integration the customer specialization strategy incorporates the production of a specialty product that is purchased infrequently thus for both of the domestic strategies a consistent closeness between the producer and consumer is implied this may be an important basis underlining the new venture s decision to compete in an exclusive domestic context this study offers initial support for the notion of international entrepreneurship by its findings that there are significant differences between new venture firms competing domestically and new ventures choosing to also enter international markets

explaining the early discounts on stock index futures the case for disequilibrium 1984 explaining the early discounts on stock index futures the case for disequilibrium financial analysts journal vol 40 no 4 pp 43 47 67

the money and bond markets in france abstract when rates of return on bonds are computed over extremely short holding periods the ex post cross sectional relationship between realized return and risk is linear it is therefore possible at any time to extrapolate the cross sectional relationship to a zero risk level and thus to determine the implied instantaneous riskless rate of interest we apply this technique to french bond price data using a rather unique data set in which prices are sampled daily we are able to compare the overnight rate implied in bond price data to the actual overnight money market rate we conclude that the two rates are significantly different which is evidence of segmentation between the two markets the institutional set up prevailing in france during the sample period explains the segmentation result

index arbitrage with heterogeneous investors a smooth transition error correction analysis abstract the traditional index arbitrage model assumes a constant threshold mispricing between the futures and cash prices for all investors allowing for heterogeneity in investors transaction costs objectives and capital constraints we model the intraday mispricing of djia futures as a smooth transition autoregressive star process with the speed of adjustment toward equilibrium varying directly with the mispricing we show that the observed mean reversion in mispricing changes is induced by heterogeneous arbitrageurs instead of a statistical illusion infrequent trading of index portfolio stocks we further use a star error correction model to describe the nonlinear dynamics between the djia futures and index this model describes not only which market is more informationally efficient than the other but also the legging process the nonsimultaneous establishing of cash and futures positions

predictors of success in new technology based ventures abstract several recent studies have examined the causes of success and failure in new ventures from these a three level analysis has evolved which considers the management the venture s strategy and its competitive environment empirical testing is still at an early stage but results have generally supported the three level approach however the findings are not very strong this study considers only high potential technology based new ventures the companies on which venture capitalists concentrate it suggests that such firms face unusual time pressures and uncertainty and that their responses to these forces are major determinants of success or failure we propose 11 easily measured qualities describing management the firm s strategy and its environment which should influence how quickly the venture can act these should predict a new venture s performance the 11 attributes are tested on 36 new ventures representing essentially all of the startup investments of a major venture capital firm between 1974 and 1982 the data are taken from the firms original business plans performance is measured from the subsequent financial history using the compound rate of return to all shareholders founders employees and investors the ventures in this sample are primarily based on electronic or information technologies they are highly successful as a group with an average compound rate of return of 98 per year they are also very risky the standard deviation of returns is 171 per year and in 11 of 36 cases the shareholders lost on their investments results from a single sample must always be treated cautiously however several findings are strong enough to merit further study and to be incorporated as a part of a process for evaluating new ventures 1 1 a set of four measures representing all three areas explains 57 of the variance the four completeness of the founding team technical superiority of the product expected time for product development and buyer concentration all behave as expected the first two have a positive effect the latter two have an inverted u shaped relationship with an optimum development time of 12 months and an optimum number of customers of approximately 60 three other measures prior shared experience of the founders competitive conditions and projected market share show an influence when management strategy and environment are examined one area at a time 2 2 these relatively simple measures predict success well probably at least as well as any other study has done using more subtle measures 3 3 the measures used in this study though they have strong predictive power apparently did not influence the young capitalists otherwise the relationships should have been different when the return to venture capital investors was used in place of the total return in fact they were the same this suggests that the venture capital investors did not give sufficient weight to the qualities that we consider and could make better choices by giving greater attention to those measures 4 4 prospective entrepreneurs and investors should benefit from using our model aspart of their screening processes specifically they might calculate a predicted rate of return if it is low say below 30 per year they should examine the reason for the low score and consider whether circumstances exist which outweigh or invalidate that apparent weakness 5 5 an additive model seems realistic that is one can combine dissimilar qualities with appropriate weighting for relative importance to arrive at an overall figure of merit with strong predictive power the specific parameters imply that a company must have a complete management team and score well on two of the remaining three measures in order to be an attractive opportunity more generally the model allows a practitioner to make a rough assessment of the tradeoffs among management product and industry this is important because few if any new companies have all the qualities an investor may desire 6 6 although individual qualities of the founders are no doubt important this remains a difficult matter to demonstrate statistically 7 7 firms exist in an ever changing competitive environment to the extent that these findings are valid beyond this sample they may have been recognized and incorporated in more recent new ventures if so this may change the nature of competition and alter the key determinants of success or failure

market attractiveness resource based capabilities venture strategies and venture performance abstract this research seeks to identify variables that should be related to venture performance it is hypothesized that both market attractiveness and resource based capabilities are directly related to new venture performance in addition specific resource based capabilities are hypothesized to be directly related to the competitive strategies chosen by a firm finally the fit between strategies and resource based capabilities is hypothesized to be related to venture performance the sample consisted of all manufacturing businesses sic codes 20 39 started or reorganized in the corporate form between 1980 and 1991 in nine counties in northwestern pennsylvania as identified by a major marketing research service of the 800 companies surveyed completed questionnaires were returned for 155 representing a 19 response rate the 155 responding companies had a median age of 5 years with a median of 15 employees the major products of companies in the sample included flour lumber household and office furniture plastic containers tools and dies ready mixed concrete pipe fittings measuring devices paint and varnish machine tools electroplate carbon and graphite composite products plastic laminated products circuit boards electronic components and parts for internal combustion engines in general the results confirm the validity of the measures of environmental and organizational characteristics as we have adapted them for new ventures as hypothesized perceived market attractiveness and the overall abundance of resource based capabilities were significantly related to venture performance also in two of three cases the evidence suggests that specific resource based capabilities are related to the firm s stated competitive strategies finally although the relationship between fit and performance is not supported in all cases the performance of the emerging manufacturing ventures included in this sample appears to be enhanced when resource based capabilities are supportive of a cost leadership strategy and when firms seeking to differentiate based on product and service quality have the resource based capabilities to support that strategy the results of this emerging research stream will make an important contribution to our understanding of the factors that impact firm performance for scholars the results provide additional information needed to develop comprehensive new venture performance models a clear understanding of the factors that have a strong influence on venture performance will enable practitioners to better identify viable business opportunities and academicians to provide potential business founders with tools to help them recognize opportunity in addition the identification of appropriate levels of abstraction will provide building blocks for future research that seeks to integrate environmental and firm level constructs

index arbitrage and nonlinear dynamics between the s p 500 futures and cash we use a cost of carry model with nonzero transaction costs to motivate estimation of a nonlinear dynamic relationship between the s p 500 futures and cash indexes discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship between the futures and cash indexes we use minute by minute data on the s p 500 futures and cash indexes the results indicate that nonlinear dynamics are important and related to arbitrage and suggest that arbitrage is associated with more rapid convergence of the basis to the cost of carry than would be indicated by a linear model article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

consumer prices the consumer price index and the cost of living after presenting major findings and recommendations the cpi commission reiterates the estimate of a 1 1 percentage point per annum upward bias it rejects the contention that the bls already makes substantial corrections for quality change that quality improvements and new products accrue only to the rich and that procedures to make more extensive quality adjustments valuations of new products and adjustments for commodity and outlet substitution are impractical the bias in the cpi can be sharply reduced as the authors detail in this paper coauthors are ellen r dulberger robert j gordon zvi griliches and dale w jorgenson

stock index futures mispricing profit opportunities or risk premia this paper reports empirical evidence on stock index futures pricing based on about four years of synchronous hourly data from the uk reported index values are based on firm quotes identified arbitrage opportunities are therefore actually exploitable and economically significant the analysis controls for cash market settlement procedures the results show that ex ante trading rules would have generated attractive profits after transaction costs and after the risks of dividend uncertainties marking to market and possible delays in execution are considered the far contract and the near contract tend to be mispriced in the same direction the mild tendency of futures to be overpriced in rising markets and underpriced in falling markets appears to be unimportant finally significant positive relationships are observed between the absolute magnitude of mispricing and time to maturity and between mispricing and index option implied volatility

information and index arbitrage a random cash futures basis is derived in a dynamic multimarket learning game with sequential information shocks and strategic arbitrageurs who trade to exploit gaps in the basis statistical properties of the authors theoretical basis are derived both with and without index arbitrage the authors find that basis volatility a measure of intermarket mispricing may initially increase even as individual prices become more precise and that arbitrage reduces basis volatility the model is also used to analyze regulatory issues such as the possible impact of circuit breakers on the quality of the trading process copyright 1994 by university of chicago press

when more poor means less poverty on income inequality and purchasing power we show theoretically that the poor can benefit from price changes induced by higher income inequality as the number of poor increases the market for products aimed toward the poor grows and such products become more profitable as a result there are circumstances where an increase in income inequality associates with higher purchasing power of the poor using cross country data on the price of one kilogram of rice and the price of a big mac hamburger we confirm a negative association between income inequality and the price of inferior goods robust to the inclusion of a large set of control variables results are also robust to a first difference specification and to a two stage instrumental variables approach examining economic well being it is thus important to analyze not only the incomes of households but also the prices of the products and services that they buy

welfare consequences of asymmetric growth abstract standard models in macroeconomics and development economics imply that growth in the aggregate enhances welfare for everyone in the economy i show that instead if economic growth is biased toward the consumption bundle of the rich the welfare of the poor may fall i document the relevance of this mechanism during the latter part of the twentieth century by showing that new information technology disproportionately benefited sectors consumed by the rich

new firm survival industry strategy and location abstract how important is the physical location of a new firm for its chances of survival location of a new firm whether in urban metro or rural vicinities can have important impacts on performance outcomes urban locations often contain a wealth of diverse resources but may also have a greater number of competitors rural locations may lack diversity but can enable the firm to exploit a niche with limited competition we suggest that a simple examination of new firm location will not adequately predict survival chances rather the impact on location of the new firm will be influenced by the industry in which the new firm operates and by the strategy the new firm pursues the industry of the new firm is examined by focusing on where the new firm is located in the value chain we predict that a new firm upstream in the industry value chain will have better chances of survival than new firms downstream in the industry value chain new firms with broadly focused strategies are hypothesized to have greater survival chances than new firms strategically positioned to exploit a narrow market focus and we predict that new firms in urban locations will have greater chances for survival than new firms in rural locations

arbitrage in stock index futures the textbook description of arbitrage suggests that it is a straightforward matter of taking offsetting positions in different securities and realizing the arbitrage profit such descriptions however typically ignore the transaction costs that give rise to the arbitrage opportunity in the first place taking proper account of these transactions costs may considerably complicate the problem particularly when as is usually the case the arbitrage potential is restricted this article is concerned withoptimal arbitrage strategies with transaction costs when the arbitrage potential is restricted by position limits the particular case we shall analyze is the standard and poor s sp the corresponding figure for the s p 500 portfolio for the same period was

the ambitious entrepreneur abstract during the last two decades researchers have sought to develop categories of entrepreneurs and their businesses along a variety of dimensions to better comprehend and analyze the entrepreneurial growth process some of this research has focused on differences related to industrial sectors firm size the geographical region in which a business is located the use of high technology or low technology and the life cycle stage of the firm i e start up vs more mature formalized companies researchers have also considered ways in which entrepreneurs can be differentiated from small business managers one of these classifications is based on the entrepreneur s desire to grow the business rapidly this is the focus of our study to date the media have paid considerable attention to rapidly growing new ventures however still lacking are large scale research studies guided by theory through which we can expand our knowledge of the underlying factors supporting ambitious expansion plans some research has identified factors that enhance or reduce the willingness of the entrepreneur to grow the business factors include the strategic origin of the business i e the methods and paths through which the firm was founded previous experience of the founder owner and the ability of the entrepreneur to set realistic measurable goals and to manage conflict effectively our study attempted to identify the strategic paths chosen by entrepreneurs and the relation of those paths to the growth orientation of the firm the entrepreneurs sampled in this study are women entrepreneurs across a wide range of industrial sectors recent reviews of entrepreneurship research have suggested the need for more studies comparing high growth firms with slower growth firms to better delineate their differences in strategic choices and behaviors our study sought to answer the following questions what characterizes a high growth oriented entrepreneur is this distinction associated with specific strategic intentions prior experience equity held in previous firms the type of company structure in place or success factors the entrepreneur perceives are important to the business do high growth entrepreneurs show greater entrepreneurial intensity i e commitment to the firm s success are they willing to pay the price for their own and their firm s success i e the opportunity costs associated with business success and growth other relationships under investigation included different patterns of financing the business start up and early growth do high growth entrepreneurs use unique sources of funding compared with lower growth entrepreneurs eight hundred thirty two entrepreneurs responded to a survey in which they were asked to describe their growth intentions along nineteen strategic dimensions as well as respond to the foregoing questions some of the strategic activity measures included adding a new product or service expanding operations selling to a new market and applying for a loan to expand operations actual growth rates based on sales revenues were calculated and average annualized growth rates of the industrial sectors represented in the sample were obtained this study showed that high growth oriented entrepreneurs were clearly different from low growth oriented entrepreneurs along several dimensions the former were much more likely to select strategies for their firms that permitted greater focus on market expansion and new technologies to exhibit greater intensity towards business ownership my business is the most important activity in my life and to be willing to incur greater opportunity costs for the success of their firms i would rather own my own business than earn a higher salary while employed by someone else the high growth oriented entrepreneurs tended to have a more structured approach to organizing their businesses which suggests a more disciplined perception of managing the firm in summary results showed the group of high growth oriented entrepreneurs labeled ambitious as having the following distinctions strategic intentions that emphasize market growth and technological change stronger commitment to the success of the business greater willingness to sacrifice on behalf of the business earlier planning for the growth of the business utilization of a team based form of organization design concern for reputation and quality adequate capitalization strong leadership and utilization of a wider range of financing sources for the expansion of the venture the purpose in uncovering these differences is to enable entrepreneurs and researchers to identify more clearly the attributes of rapid growth ventures and their founders and to move closer to a field based model of the entrepreneurial growth process which will help delineate the alternative paths to venture growth and organizational change

the temporal nature of growth determinants in new bank foundings implications for new venture research design abstract several authors have suggested the founding period as a critical time in the development of a firm arguing that the resource and decision choices made at this point have a substantive impact on the firm s future yet historically most studies have measured new venture choices considerably after the founding period we suggest that the uniqueness of the founding event is important and test its validity through the examination of two implicit assertions these implicit assertions are those of temporal stability and temporal locus of growth determinants

hedging performance and basis risk in stock index futures in early 1982 trading began at three different exchanges in futures contracts based on stock indexes stock index futures were an immediate success and quickly led to a proliferation of new futures and options markets tied to various indexes one reason for this success was that index futures greatly extended the range of investment and risk management strategies available to investors by offering them for the first time the possibility of unbundling the market and nonmarket components of risk and return in their portfolios many portfolio management and other hedging applications in investment banking and security trading have been described elsewhere1 ranging from use by a passive fund manager to reduce risk over a long time horizon to use by an underwriter to hedge the market risk exposure in a stock offering for one or two days in considering the potential applications of index futures it is clear that in nearly every case a cross hedge is involved that is the stock position that is being hedged is different from the underlying portfolio for the index contract 2 this means that return and risk for an index futures hedge will depend upon the behavior of the basis i e the difference between the futures price and the cash price hedging a position in stock will necessarily expose it to some measure of basis risk risk that the change in the futures price over time will not track exactly the value of the cash position basis risk can arise from a number of different sources and is a more significant problem for stock index contracts than for other financial futures like treasury bills and bonds 3 the most apparent cause of basis risk is the nonmarket component of return on the cash stock position since the index contract is tied to the behavior of an underlying stock market index nonmarket risk cannot be hedged this is the essential problem of a cross hedge however basis risk can be present even when the hedge involves a position in the index portfolio itself and there is no nonmarket risk for one thing returns to the index portfolio include dividends while the index and the index future only track the capital value of the portfolio any risk associated with dividends on the portfolio will become basis risk in a hedged position still dividends are fairly low and also quite stable so this may not be a terribly important shortcoming

technology strategy and new venture performance a study of corporate sponsored and independent biotechnology ventures abstract new ventures companies eight years or younger play a major role in the development of an emerging high technology industry corporate sponsored new ventures those supported by an established corporation and independent ventures those founded by independent entrepreneurs frequently battle for industry leadership and financial success whereas both venture types use technology to achieve financial and market success little is known about the differences in their technology strategies technology strategy is the plan that guides a new venture s decisions on the development and use of technological capabilities this strategy covers six major areas the first is selecting the pioneering posture where a venture decides whether or not be among the industry s first companies to introduce new products technologies to the market the second is determining the number of products to be introduced to the market the third is choosing the extent of a venture s use of internal and external r d sources internal sources usually refer to in house r d activities external sources may include purchasing or licensing of technology from other companies or joining strategic alliances to acquire that technology the fourth is deciding the level of r d spending the fifth is selecting the combination portfolio of applied and basic research projects whereas basic r d advances science applied r d leads to new products and technologies the sixth and final dimension is the venture s use of patenting to protect any competitive advantages it might gain from its r d activities this article reports the results of a study that explored the differences in the technology strategies and performance of corporate and independent ventures the biotechnology industry was chosen to test the study s hypotheses using 112 ventures seven of the study s hypotheses focused on the potential variations in technology strategy between corporate and independent ventures independent ventures ivs were expected to surpass corporate ventures cvs in pioneering new products technologies using internal r d and emphasizing applied r d cvs were expected to surpass ivs in introducing new products using external r d sources spending on r d and patenting the study s remaining three hypotheses covered possible variations in new venture performance nvp and their sources the results showed that ivs focused more on pioneering pursued a more applied r d portfolio and emphasized internal r d more than cvs cvs utilized external technology sources spent more heavily on r d stressed basic r d and used patenting more intensively than ivs these results were consistent with the hypotheses however contrary to expectations there were no significant differences between cvs and ivs in the frequency of new product introductions probably because most ventures were at the invention rather than the commercialization stage the results on the nvp of cvs and ivs were counter to expectations ivs outperformed cvs probably because of the high motivation of the iv owners who reaped the rewards of growth and profitability also whereas cvs may have greater access to the resources of their sponsors political conflicts and rigid corporate controls might have reduced their ability to achieve competitive advantages the results also indicated that cvs and ivs appeared to gain competitive advantages from different technological choices pioneering a focus on applied r d and extensive use of the internal r d sources were also positively associated with the performance of ivs heavy r d spending the use of both internal and external r d sources frequent product introductions and patenting were positively associated with the performance of cvs finding that technology strategies significantly impacted nvp should encourage executives to consider pursuing a formal technology strategy likewise the finding that different dimensions of technology strategy influenced the performance of cvs and ivs in different ways has practical implications cv managers can learn from their higher performing iv rivals also because established companies frequently acquire ivs information about their technology strategies can be valuable in assimilating the acquired ventures overall the results show that technology strategy is an important factor in enhancing new venture performance

strategic experimentation understanding change and performance in new ventures abstract this research was motivated by an interest in understanding more about the extent to which entrepreneurs initiate changes along various dimensions of strategy the nature of those changes and their implications for firm performance our interest in this topic began with the observation that within the large body of strategic change literature the research effort has focused almost exclusively on large and established firms moreover a fundamental assumption underlying much of this work is that strategic change involves movement from one dominant strategic approach to another this premise does little to motivate or contribute to the understanding of change and strategy in new ventures where it is less likely that a dominant approach exists thus we drew upon the literature in managerial cognition to develop the idea of strategic experimentation as the conceptual foundation for studying change and strategy in new ventures our basic premise is that in new ventures changes along dimensions of strategy are reflective of a process of trial and error learning whereby the entrepreneur seeks to develop an understanding of the competitive situation and determine how to compete within that context further we suggest that some aspects of the firm s strategy are more likely to be the focus of experimentation than others building on these premises we developed a series of research hypotheses which propose that the greater the level of perceived environmental hostility the higher the level of strategic experimentation that will be undertaken we also propose that experimentation will always be greater along some dimensions of strategy than others and that the degree of environmental hostility will influence the extent to which there are performance benefits associated with strategic experimentation our hypotheses are tested using data from a three year study of over 400 young businesses overall we find support for our assertions for entrepreneurs and their advisors this study has several important implications first it suggests that strategic experimentation is a normal part of the process by which entrepreneurs seek to position their businesses although the present study does not empirically address the linkage between formal planning and experimentation the learning and cognition literature upon which the construct of strategic experimentation is based suggests that no matter how much attention to detail is involved in the preparation of the business plan the actual formation and development of the business will involve considerable adjustment to and or deviation from that plan this is because the process of new business development involves iterative changes in the way the entrepreneur positions his her firm as he she develops an understanding about what does and does not work the results of this study further suggest that some dimensions of the firm s strategy are more likely to change than others specifically it appears that peripheral changes competitive emphasis and time allocation are more likely to be the focus of such learning and adaptation efforts than core features product scope and partnership status this in part is because the former dimensions are easier to change than the latter moreover our results show that ventures in more hostile environments clearly face difficult dilemmas although poor performance may stimulate experimentation along various dimensions of strategy the complexity of learning within a hostile environment suggests that entrepreneurs will have a particularly difficult time determining the type of changes that will make a difference

intraday relationships among index arbitrage spot and futures price volatility and spot market volume a transactions data test abstract this paper examines intraday temporal relationships among arbitrage spreads cash and futures price volatility and cash trading volume using transactions data for the major market index futures contracts and the component stocks of the index results indicate that changes in the spread have a significant impact on cash and futures price volatility as well as on cash trading volume the impact of the spread however is attenuated by the short sale restriction in the cash market contrary to popular beliefs a more volatile market leads to subsequent decreases in the spread probably because of increases in the supply of arbitrage services or faster price adjustments

do the poor pay more for food evidence from the united kingdom does food cost more for low income households this paper compares two well known approaches to answering this question i find that quantity discounts for a broad range of foods are statistically significant and economically important however quantity discounting does not lead to the poor paying more for food i find that the poor pay less than average for the food they purchase this is explained by the poor spending a greater share of their income on foods where quantity discounting occurs copyright 2010 oxford university press

income and ir rational food choice abstract increasing affluence is associated with increases in the variety and diversity of consumers diets while this relationship likely reflects a heightened ability of consumers to satisfy unique preferences it is also possible that higher income and food expenditure are associated with more preference instability as the relative cost of a mistake falls with income this paper shows that the ability to detect preference instability increases with income in an empirical application involving almost 540 000 food choices by almost 60 000 people 47 committed at least one preference reversal the odds a preference reversal are 1 8 2 5 times higher for individuals who spend at least 160 week on food at home away from home compared to individuals who spend less than 20 week individuals who commit preference reversals are less likely to rate price and are more likely to rate novelty as important food values

short sale restrictions implications for stock index arbitrage abstract this paper offers a study of relevant transaction costs when examining the efficiency of stock index futures markets we suggest that a different transaction cost estimate should be used when testing the upper side of the cost of carry model than when testing the lower side of the model empirical evidence indicates that this explains most of the underpricing observed in the finnish stock index futures market

price discrimination in grocery trade evidence from italy this paper investigates the determinants of price dispersion between staple and non staple goods in grocery retailing as the result of pricing decisions by multiproduct firms theoretical predictions about the nature of supermarkets pricing behaviour are compared and tested empirically using disaggregated data from the italian grocery trade over the period 1990 1992 the empirical results provide evidence for the existence in all types of retail organization of the form of price discrimination suggested by bliss particularly for specialist shops the results are consistent with discrimination due to the exploitation of consumers switching costs

index futures arbitrage and the behavior of stock index futures prices this article examines intraday transaction datafor s p 500 stock indexfutures prices and the intraday quotes for the underlying index the data indicate that thefutures price changes are uncorrelated and that the variability of these price changes exceeds the variability ofprice changes in the s p 500 index this excess variability of the futures over the index remains even after controlling for the nonsynchronous prices in the index quotes which induces autocorrelation in the index changes we advance and examine empirically two hypotheses regarding the difference between the futures price and its theoretical value that this mispricing increases on average with maturity and that it is path dependent evidence supporting these hypotheses is presented

the socioeconomic impact of shared appreciation mortgages on borrowers empirical evidence from south australia shared appreciation mortgages sams realign traditional incentives in the lender borrower relationship by substituting future capital gains for interest income this makes them a potentially innovative solution to affordability and other homeownership crises taxation and regulatory barriers have impeded sam development limiting empirical studies of their impact on households this has not been the case in south australia where state government implementation of sams has made available a unique and detailed dataset of low income sam financed households examining this population it is found that sam borrowers benefit from increased budgetary expenditure on discretionary items following take up while simultaneously saving on some non discretionary items relative to a control sample furthermore sam homeownership also seems associated with increased borrower levels of neighbourhood satisfaction and community involvement overall these results indicate that sam financed homeownership leads to changes in borrower behaviour and deserves further consideration by the housing industry and research community

investment policy financing policy and performance characteristics of de novo savings and loan associations abstract this paper develops a simultaneous equation model to investigate the investment policies financing policies and risk return characteristics of de novo thrift institutions a model to explain state entry rates for de novo institutions is also presented entry dates are significantly influenced by investment powers as the numbers of de novo charters are found to be significantly higher in states with the most liberal set of permissible activities economic growth and the demand for financial services also contributed to higher entry rates utilization of the liberal powers did not however contribute positively to returns firms with riskier asset portfolios were found to have lower realized returns efficiency in operations and strong capitalization were found to be positively associated with higher returns

initial human and financial capital as predictors of new venture performance abstract this research seeks to predict the performance of new ventures based on factors that can be observed at the time of start up indicators of initial human and financial capital are considered to determine how they bear upon the probability of three possible performance outcomes 1 failure 2 marginal survival or 3 high growth four categories of initial human and financial capital are examined general human capital represented here by the entrepreneur s education gender and race may reflect the extent to which the entrepreneur has had the opportunity to develop relevant skills and contacts management know how embodied in the entrepreneur or available through advisors or partners reflects management specific skills and knowledge without regard to the kind of business industry specific know how reflects specific experience in similar businesses financial capital is one of the most visible resources it can create a buffer against random shocks and allow the pursuit of more capital intensive strategies which are better protected from imitation the study utilizes a longitudinal study of 1053 new ventures representative of all industry sectors and geographical regions the research departs from most previous studies in considering different measures of performance marginal survival and growth and in considering explicitly whether the factors contributing to marginal survival differ from those contributing to high growth it was found that measures of general human capital influenced both survival and growth except for gender with women owned ventures being less likely to grow but just as likely to survive management know how variables had more limited impact having parents who had owned a business contributed to marginal survival but not to growth number of partners contributed to growth but not to survival management level prior employment in non profit organizations or not having been in the labor force and the use of professional advisors did not have significant effects industry specific know how contributed to both survival and growth amount of initial financial capital also contributed to both the usefulness of the model is enhanced by the fact that the resource variables considered are relatively easy to assess and all can be considered at the time of start up although some of the human capital variables cannot easily be changed the benefits or risks associated with each can be assessed in some cases potential problems can be identified so that plans can be modified to improve prospects overall it appears that using a model based upon the initial human and financial capital of the venture it is possible to predict the performance of new ventures with some degree of confidence

age order of entry strategic orientation and organizational performance abstract this paper proposes an empirical test of several hypotheses linking age order of entry and strategic orientations to a firm s performance three strategies are defined cost leadership strategy innovative differentiation and marketing differentiation the aim is to show that the impact on performance of both age and each of the three strategic orientations may differ according to a firm s order of entry into an industry following lieberman and montgomery s 1998 evaluation of their major contribution on first mover advantage we emphasize three points first we develop and test hypotheses related to early and late followers strategic orientations broadening the scope of traditional studies on pioneers second the model combines the dimensions of a firm s age order of entry and strategic orientations as well as industry conditions stage of the industry environmental unpredictability and technology diffusion to establish a contingent model of performance analysis finally the empirical study deals chiefly with organizational performance and not market share which is considered a typical advantage accruing to pioneers in addition the scope of the study 582 french manufacturing firms provides the means to fill a void in empirical studies because it is a broad cross sectional test on non u s data the firms are mainly private small to medium sized and single or dominant business firms therefore our assumptions must be understood as particularly applicable to this type of firm the results reveal important lessons for practitioners first we did not find a first mover advantage in terms of organizational performance in addition pioneers organizational performance is enhanced by the cost leader strategy contrary to our assumption emphasizing innovative differentiation for these firms second early followers performance benefits from innovative differentiation and marketing differentiation finally late entrants developing a cost leader strategy have a significantly higher performance all groups considered late followers are the firms most sensitive to environmental uncertainty and age effects our study clarifies the impact of a firm s age and strategic orientations on its performance depending on the firm s order of entry the implications of these results are particularly relevant for practitioners and entrepreneurs first a cost leadership strategy seems to be a guarantee for a pioneer to increase its organizational performance new ventures should therefore take into consideration the fact that newness and innovative differentiation might not be the best strategic orientations for high performance in the long run second as a second mover however developing a superior product and being able to market it efficiently appear to be the enhancing factors of firm performance third for both pioneers and early followers age does not significantly reduce their performance however the longer a firm waits before entering the greater is the negative effect of age on its performance this is due to the difficulty of resisting competitive erosion because pioneers and early followers drive the changes in the industry the identification of these effects should help managers and stakeholders to make more effective entry decisions to sustain a firm s advantage leading to better performance and higher probability of survival

the role of prices in measuring the poor s living standards in this paper we revisit two pieces of conventional wisdom in the current debate about poverty paying close attention to the price data underlying these findings that the poor pay more than households of higher income for the goods and services they purchase and that poverty rates at least as measured by the u s census have remained essentially flat since the late 1960s raising questions about the success of the policies implemented to reduce poverty by examining scanner data on thousands of household purchases we find that the poor pay less not more for the goods they purchase and by extending the advances on price measurement in the recent decade back to the 1970s we find that current poverty rates are less than half of the official numbers

direct tests of index arbitrage models previous tests of stock index arbitrage models have rejected the no arbitrage constraint imposed by these models this paper provides a detailed analysis of actual s p 500 arbitrage trades and directly relates these trades to the predictions of index arbitrage models an analysis of arbitrage trades suggests that i short sale rules are unlikely to affect the cashfutures mispricing ii the opportunity cost of arbitrage funds exceeds the treasury bill rate and iii the average price discrepancy captured by arbitrage trades is small tests of the models provide some support for a version ofthe arbitrage model that incorporates an early liquidation option the ability of these models to explain arbitrage trades however is surprisingly low

the relation between forward prices and futures prices abstract this paper consolidates the results of some recent work on the relation between forward prices and futures prices it develops a number of propositions characterizing the two prices these propositions contain several testable implications about the difference between forward and futures prices many of the propositions show that equilibrium forward and futures prices are equal to the values of particular assets even though they are not in themselves asset prices the paper then illustrates these results in the context of two valuation models and discusses the effects of taxes and other institutional factors

liquidity and the law of one price the case of the futures cash basis deviations from no arbitrage relations should be related to market liquidity because liquidity facilitates arbitrage at the same time a wide futures cash basis may trigger arbitrage trades and in turn affect liquidity we test these ideas by studying the dynamic relation between stock market liquidity and the index futures basis there is evidence of two way granger causality between the short term absolute basis and liquidity and liquidity granger causes longer term absolute bases shocks to the absolute basis predict future stock market liquidity the evidence suggests that liquidity enhances the efficiency of the futures cash pricing system copyright 2007 by the american finance association

the saga of the first stock index futures contract benchmarks models and learning in the presence of imperfect or perturbed benchmarks pricing based on relative valuation or arbitrage can be affected adversely this study highlights persistent pricing irregularities in the kansas city value line kcvl stock index futures market this contract is especially interesting because the underlying benchmark underwent a midstream change in definition from a complex equally weighted geometric index to an equally weighted arithmetic index empirical analysis reveals that during a four year period the market displayed herd like behavior and priced the kcvl geometric contract using the simple but wrong cost of carry benchmark model a dramatic change occurs around the publication of the eytan harpaz 1986 model when the market turns efficient from the perspective of this new model the market appears to have succumbed initially to a bad information cascade primarily because arbitrage was difficult to understand and carry out under complex benchmarking the evidence provides empirical extension to the observational social learning paradigms of simon 1955 banerjee 1992 and bikhchandani hirshleifer and welch 1992 that lead to behavioral herding and information cascades