is development path dependent or political a reinterpretation of mineral dependent development in botswana abstract poor management of earnings from valuable natural resources results in a syndrome known as dutch disease characterised by real exchange rate appreciation high labour costs and structural imbalances in economic development often a product of rentier politics dutch disease undermines long term economic performance in resource dependent economies resulting in a resource curse the conventional wisdom argues that institutions and state development at the time of a resource boom lock countries into divergent developmental trajectories i argue that political coalitions lay the foundation for development of state and other institutions and that changes in coalitions drive changes in policy responses to resource booms botswana s experience illustrates the argument botswana has not entirely avoided symptoms of dutch disease but has kept them largely in check despite the fragility of state institutions when diamonds were discovered a broad and stable political coalition during the first decade

evaluating the economic impact of planning controls in the united kingdom some implications for housing this paper explores some implica tions for the housing market of the operation of the land use planning system in the united king dom drawing out the relevance of the methodol ogyfor other forms of land use regulation in con trast to the american zoning system the u k system ensures enough land is released to meet foreseeable housing needs by national allocation however the u k system is implemented and mediated locally in response to political and other pressures neo classical comparative stat ics combined with a more behavioral approach enables us to examine the interface between three related sub markets in a rapidly growing region jel r20

applied general equilibrium models of taxation and international trade an introduction and survey we wish to acknowledge the help of three referees and of john pencavel on several earlier drafts as well as the assistance of the modelers whose work is referred to in the paper they corrected our lack of understanding of their work and provided many other helpful comments excellent research and bibliographical assistance have been provided by debbie fretz radwan shaban and janet stotsky helpful comments have been made by charles ballard michael boskin lans bovenberg sylvester damus harvey galper glenn harrison gordon lenjosek jack mutti serena ng t n srinivasan charles stuart and eric toder the authors also acknowledgefinancial support from the national bureau of economic research the national science foundation international business machines and the social sciences and humanities research council ottawa canada

on the number of factors in the arbitrage pricing model recent theory has demonstrated that the arbitrage pricing model with k factors critically depends on whether k eigenvalues dominate the covariance matrix of returns as the number of securities grows large the purpose of this paper is to test whether sample covariance matrices can be characterized as having k large eigenvalues using all available data on the 1983 crsp tapes we compute sample covariance matrices of returns in sequentially larger portfolios of securities analyzing their eigenvalues we find evidence that one eigenvalue dominates the covariance matrix indicating that a one factor model may describe security pricing we also find that for values of k larger than one there is no obvious way to choose the number of factors nevertheless we find that while only the first eigenvalue dominates the matrix the first five eigenvalues are growing more distinct arbitrage pricing theory apt as originally developed by ross 22 23 is built on the twin assumptions of no arbitrage opportunities in the capital market and a linear relationship between actual returns and k common factors the principal hypothesis of the model is that expected returns should be linearly related to the weights of the common factors in the assumed linear process in every test of the model the focus has been to use factor analysis to extract k factors from sample covariance matrices and then to test the hypothesis by regressing returns or average returns against the factor loadings of the common factors most previous tests have either assumed that the number of factors is equal to some predetermined number or have estimated k simultaneously with estimation of the factor loadings thus existing tests of the apt are joint tests of the apt pricing result and an assumed or estimated number of factors the question of how many factors are important has not been addressed separately from the pricing tests because the apt pricing result is the significant prediction of a theory which has little to say about the value of k nevertheless crosssection linear models have been a central part of financial economics and it is clearly important to know at least the approximate number of factors which will be significant in such regressions particularly given the computational difficulties of large scale factor analysis furthermore dhrymes friend and gultekin 6 report that the number of factors needed for standard chi squared tests increases university at buffalo suny i am in debt to donald bosshardt gary chamberlain thomas ho richard roll lemma senbet mark zmijewski and the participants in finance workshops at the universities of michigan wisconsin and buffalo for their extensive comments nevertheless i am solely responsible for what remains this paper would not have been started without the unselfish cooperation of jay leavitt director of academic computing university at buffalo suny who designed the eigenvalue algorithm which i used i am also grateful for partial financial support and lavish computer funds from the school of management and for the expert programming assistance provided by ravi shukla

booming sector economic activity in paraguay 1973 86 a case of dutch disease the primary purpose of this study is to investigate the applicability of the dutch disease model as a means of explaining the changing sectoral composition of output for paraguay in the period 1973 86 the consequences of booming sector activity for 1 the distribution of income as it affects wages and 2 the in stability of export earnings for paraguay are examined the dutch disease model predicts that the consequences of booming activity will include a contraction of non booming sector activity as well as a real appreciation of the exchange rate these outcomes are tested in several single and multiple equation estimable models for the case of paraguay

the impact of land use planning and tax subsidies on the supply and price of housing in britain this article presents new empirical estimates of the impact of two types of policy intervention tax subsidies and land use planning on the housing market in britain the estimates are derived from a set of models representing the demand and supply sides of the market for the new private housebuilding which include an explicit land supply element the models are fitted to cross sectional data at the inter urban local authority level and then employed in medium period simulations of alternative policies modelling at this level enables estimates to be made of the extent of variation between local markets in the elasticity of supply and also in the impacts of policy measures including the capitalisation of tax subsidies

tourism welfare and de industrialization in a small open economy this paper investigates the effects of an expansion of tourism on welfare output and factor prices in the host country using a general equilibrium international trade model in the absence of taxes foreign ownership and distortions an increase in foreign visitors will increase welfare only if the price of nontradables increases factor mobility and foreign ownership tend to reduce the gains from tourism while commodity taxes tend to increase them conditions under which an increase in tourism can lead to deindustrialization are also discussed copyright 1991 by the london school of economics and political science

can the cross sectional variation in expected stock returns explain momentum it has been hypothesized that momentum might be rationally explained as a consequence of the cross sectional variation of unconditional expected returns stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period we evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series we measure the unconditional expected return on each stock as its mean return in the whole sample period we find momentum effects vanish in demeaned returns

the effects of inflation news on high frequency stock returns previous research using daily returns finds conflicting evidence about the relationship between unanticipated inflation news and stock returns we explore the relationship by looking at the response in minutes and trades of size based stock portfolios to unexpected changes in the regularly scheduled producer price index and consumer price index announcements in particular we answer the following three questions 1 do stocks respond to inflation news 2 what is the speed and path of that response 3 is the response stable or does it vary with the economy the direction of the news or time

active and passive behaviour in land ownership in recent years empirical studies of the motives and behaviour of landowners have helped enlighten theoretical understandings of the process of land supply for urban development structuralist and behaviourist approaches have both been used in empirical work this paper presents the results of recent research on the involvement of landowners in the local planning process the research points to a much greater variety of landowner behaviour than either acknowledged by structuralist typologies or contained within behaviourist characteristics involvement in the local planning process would however appear to be an early indicator of later activity by the landowner in the development process such early warnings may be useful in enabling landowner behaviour to be predicted

egypt s development in the seventies this paper seeks to examine aspects of the changes in the economic performance and management of the economy that occurred in egypt during the 1970s this era of change began with the death of nassar in 1970 and was given its impetus in 1973 with the presentation of the new policy of opening egyptian economy and society to the rest of the world this liberalization was a movement away from a ussr type of physical planning toward a greater use of market mechanisms to guide the economy section i is a brief discussion of the general social and political environment within which the economy had to be managed and development effected in section ii the conventional national accounts are examined and tables showing gdp gross domestic product growth balance of payments exports and employment by sector are presented in section iii monetary developments and exchange rate issues are reviewed and tables provide data on government revenues and expenditures foreign exchange in deposits and growth in liquidity the final section offers some conclusions about the development process that the egyptian story reveals the delicate political and social environment within which economic policy is made is a factor in every decision egypts social and political stability is 1 of its great assets and to jeopardize it by policies that may penalize key groups is to be avoided the government hopes to provide all egyptians with a high level of consumption by the year 2000 at no cost to the people themselves by means of a series of large sector projects this approach will not succeed unless a way is found to use foreign exchange to create an indigenous dynamic to enable egypts own resources to achieve continually increasing productivity what foreign exchange rich countries are now learning is that the heart of development must be indigenous resources and their commitment to the nations development

trend definition or holding strategy what determines the profitability of candlestick charting abstract we ask what determines the profitability of candlestick trading strategies is it the definition of trend and or the holding strategy that one uses in candlestick charting analysis to answer this we systematically consider three definitions of trend and four holding strategies applying candlestick trading strategies to the djia component data we find that regardless of which definition of trend is used eight three day reversal patterns with a caginalp laurent holding strategy are profitable when we set the transaction cost at 0 5 and after we account for data snooping bias while the patterns with a marshall young rose holding strategy are not profitable for sensitivity analysis we also find that our results are not qualitatively changed on a lower transaction cost of 0 1 or when we conduct the subsample analyses based on three equal periods and three distinct market conditions when considering a more volatile market evidence in favor of candlestick trading strategies is strengthened

market overreaction and investment strategies we investigated the overreaction of the korean market in response to shocks in the us stock market and analysed the dynamic relationship between these two markets since 1996 we found that the kospi 200 index futures overreacted to the s p 500 index returns during the period from 2000 to 2009 when the korean market was in its growth stage as the korean market matured and the kospi 200 overnight futures were introduced in 2009 the overreaction disappeared when investors employed the kelly model or value at risk to exploit the overreaction their trading strategies produced significant profits during the growth stage even after considering transaction costs and risk but the profits attenuated once the overnight futures market was launched in 2009

momentum investment strategies portfolio performance and herding a study of mutual fund behavior this study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit herding behavior i e buying and selling the same stocks at the same time the authors find that 77 percent of the mutual funds were momentum investors buying stocks that were past winners however most did not systematically sell past losers on average funds that invested on momentum realized significantly better performance than other funds the authors also find relatively weak evidence that funds tended to buy and sell the same stocks at the same time copyright 1995 by american economic association

dutch disease economics and the colombian export boom abstract dutch disease models predict a primary export boom may result in deindustrialization due to an appreciating real exchange rate this paper examines the effects on the colombian economy of large increases in foreign exchange earnings from coffee and illegal drug exports as predicted by dutch disease models the relative price of nontraded goods rose and the real exchange rate appreciated once the boom was over both were slow to return to previous levels nontraded sectors are shown to have increased their growth rates during the boom years while traded goods experienced slower growth non coffee exports also grew more slowly econometric estimation shows that the real exchange rate was sensitive to the price of coffee and fiscal expansion that sectoral production adjusts to the exchange rate and level of absorption as predicted and that non coffee exports respond to changes in the real exchange rate and foreign demand the paper concludes with a discussion of economic policy in response to the export boom

housing price land supply and revenue from land sales in a recent study peng and wheaton empirically examine the effect of restrictive land supply on hong kong house prices however we argue that the impact of the supply of new land by the hong kong government is not as important as they maintain in accounting for the volatile house prices in hong kong we show that there is no causal relationship between land supply and housing prices our estimations based on the annual data of hong kong s public land sales find that the government acts to maximise land revenue maximisation of revenue from land sales is however consistent with the efficient allocation of resources we also show that the amount of land sales by the government and land in developers land banks tend to decrease when market interest rates increase land banking behaviour is governed by economic conditions long term land holding costs should cover interest costs

short term reaction of stock markets in stressful circumstances abstract in this paper we document the short term stock price behaviour following a period of stock market stress we focus on price behaviour using daily market indexes from 39 stock exchanges over the period 1989 1998 our results are not consistent with the overreaction hypothesis we find positive negative abnormal price performance in the short term window up to 10 days following positive negative price shocks our analysis also highlights differences between developed and emerging markets we show that the post shock abnormal performances are significantly larger for emerging markets but that this momentum behaviour is markedly less in the late 1990s we find the size of the after shock tremors to be related to market liquidity with larger post shock price changes in less liquid markets

is subsidising tourism firms an effective use of public funds abstract this study assesses the impact of state aid on firms in the tourism sector by implementing an accurate micro econometric evaluation of their causal effect analyses consider subsidies allocated by the main regional policy in italy the law 488 1992 during the period 1999 2003 a matching difference in difference mdid estimator is applied considering the presence of selection on observable and non observable factors effects on the tourism sector are compared with those in the manufacturing industry the impacts with respect to different types of tourism destinations where tourism firms operate are also evaluated the results show higher output and employment growth but lower labour productivity dynamics in subsidised firms relative to non subsidised ones the impacts are diverse across types of tourism destinations

currency diversification and export competitiveness a model of the dutch disease in egypt abstract the paper presents a dynamic portfolio model under currency inconvertibility which rationalizes the recent egyptian experience of real exchange rate appreciation and currency diversification following the increase in oil exports and the partial financial liberalization that took place after 1976 the two shocks are linked because the relative price of manufacturing exports in terms of oil is also the premium of the gray market rate over the official exchange rate the effects of various official exchange rate policies on the temporary equilibrium values of the premium and the real wage and on the steady state values of asset stocks are examined a review of the egyptian experience in light of the model results suggests that the unification of 1979 was ineffective against this variant of the dutch disease but that the restoration in 1981 of a parallel rate closer to the gray market rate applicable to competitive exports may be more effective

learning to love the dutch disease evidence from the mineral economies abstract recent literature proposes that a booming minerals sector may not only lead to dutch disease effects it may also be a development curse mineral economy case studies have tentatively confirmed this recourse curse thesis this paper examines the long run economic and development performance of a more general grouping of mineral based economies and finds little corroborating evidence

evaluating tourism s economic effects new and old approaches abstract techniques such as multiplier analysis and input output analysis are still very commonly used to make estimates of the economic impact of changes in tourism expenditure these techniques have serious limitations and as a result alternative techniques have been developed to address the problems computable general equilibrium cge models are now extensively used especially in australia the uk the us and canada to estimate economic impacts of a wide variety of changes and policies across most sectors cge techniques have been used in the tourism context but so far not extensively economic evaluation in tourism thus fails to achieve best practice the paper presents arguments in support of cge modelling as the preferred technique in analysing the economic impacts of tourism and discusses its potential to drive future research in this area that is more relevant to real world tourism destinations

oil prices and rural migration the dutch disease goes south abstract we construct a two period general equilibrium model to evaluate policies affecting agricultural migration and exports the model is applied to mexico for the period 1986 1987 to obtain certain qualitative policy conclusions related to the dutch disease brought about by oil price increases dutch disease phenomena can be brought about both as the result of real exchange rate changes as well as price changes caused by migration out of agriculture in the short run it may be possible to use fiscal policy such as value added subsidies to agriculture to at least partially negate the effects of an oil price increase on agricultural exports jel f31 f41

tourism in the balearic islands a dynamic model for international demand using panel data abstract the balearic islands are one of the most important tourist destinations in the mediterranean sea the tourism sector dominates the economic activity of the islands the purpose of this study is to identify and measure the impact of the main determinants of the inbound international tourism flows the annual panel data set includes the number of arrivals from the 14 most important generating countries during the period 1991 2003 and a number of possible explanatory variables taking into account the changing structure of consumer preferences a dynamic model is estimated the estimated coefficient for the lagged dependent variable may be reflecting the importance of consumer loyalty to the destination as a determinant of tourism demand the results suggest that the demand is heavily dependent on the evolution of economic activity in each of the origin countries and on the relative cost of living of tourists in the destination this study also suggests that diversification of promotion and provision of high quality services are some recommended measures of tourism policy

mesdames et messieurs momentum performance is not so abnormal after all this article provides evidence regarding the performance of momentum investment strategies that is consistent with the neoclassical theory more specifically while momentum investment returns appear orthogonal to systematic risk in the extant literature this article illustrates that they are due to correlated changes of hedge portfolio systematic risk exposures with market conditions momentum portfolios are excellent market timers in both expanding and contracting markets their returns however are generally not abnormal when timing is considered in an augmented unconditional capital asset pricing model capm while the standard version erroneously considers them to be so possibly explaining why momentum studies have so far rejected the neoclassical theory

a prospect theoretical interpretation of momentum returns abstract the puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance however by applying a prospect theoretical assessment of us stock momentum returns we provide a possible direction for explaining the puzzle

profitability of momentum strategies in international markets the role of business cycle variables and behavioural biases the paper investigates whether business cycle variables and behavioural biases can explain the profitability of momentum trading in three major european markets unlike previous studies the paper nests both risk based and behavioural based variables in a two stage model specification in an attempt to explain momentum profits the findings show that although momentum profitability in european markets is unexplained by conditional asset pricing models it is attributable to asset mispricing that systematically varies with global business conditions in addition behavioural variables do not appear to matter much thus risk factors which are undetected thus far and are largely attributable to the business cycle could explain the momentum payoffs in european stock markets

the distribution of cross sectional momentum returns abstract although there is a vast empirical literature on cross sectional momentum csm returns there are no known analytical results on their distributional properties due in part to the mathematical complexity associated with their determination in this paper we derive the density of csm returns in analytic form along with moments of all orders under the assumption that underlying asset returns are multivariate normal the resulting expressions are highly non trivial in general and involve truncated normal distributions the distribution of csm returns can be formally described as a mixture of the unified skew normal family of distributions however if the asset returns are independent then the density of the csm returns is shown to be a mixture of univariate normals in order to shed light on the general case we present a detailed analysis of the case of two underlying assets which is shown to explain many of the key features of csm returns reported in the empirical literature

forecasting international tourist flows to macau abstract the vector autoregressive var modelling technique is used to forecast tourist flows to macau from eight major origin countries regions over the period 2003 2008 the existing literature shows that the var model is capable of producing accurate medium to long term forecasts and also separate forecasts of the explanatory variables are not required a further justification for using the var technique is that it permits an impulse response analysis to be performed in order to examine the ways in which the demand for macau tourism responds to the shocks in the economic variables within the var system the implications of this analysis are discussed the forecasts generated by the var models suggest that macau will face increasing tourism demand by residents from mainland china since the needs of chinese tourists tend to be different from those from other origin countries regions especially western countries the business sectors in macau need to pay considerable attention to catering for the needs of chinese tourists

the implications of tourism specialisation in the long run an econometric analysis for 13 oecd economies abstract the paper aims to illumine the longrun impact of specialisation in tourism it is shown that specialisation in tourism may not be deleterious for economic welfare once the terms of trade are considered conditions for an improvement in welfare are laid out and their existence tested by econometric methods within an almost ideal demand system formulation of tourist expenditure for 13 oecd economies the analysis uses cointegration techniques and novel sequential break dating procedures evaluated where the time dimension is small the values of the estimated parameters suggest that long run growth may not be harmed by tourism specialisation

the dutch disease a disease after all many third world oil producers are encountering serious problems in building up a diversified export base while west european oil and gas producers netherlands united kingdom are suffering a decline in their traded goods manufacturing sector induced by real wage pressures it is becoming increasingly clear that high but temporary oil revenues may be somewhat ora mixed blessing the quip of the economist notwithstanding the mechanism behind this unbalance is clear enough part of the oil revenues is spent on non traded goods which leads to a real appreciation i e a rise in the relative price of non traded goods in terms of traded goods this in turn draws resources out of the non oil traded sector into the non traded goods producing sector corden and neary 1982 van wijnbergen 1980 one may say that this is an efficient response to the increase in income from oil production the united kingdom mexico egypt simply should move into oil derived industries and non traded goods and forget about their manufacturing sector until oil reserves are exhausted however many developing countries are hesitant to take this advice after all the post world war ii success stories in economic development involve without exception countries that promoted their traded goods sector aggressively moreover it is a well established stylised fact that technological progress is faster in the traded non sheltered sectors of an economy than in the non traded sector balassa 1964 is an early reference considering the hypothesis that technological progress rather than taking place exogenously with the passage of time is a function of accumulated experience the concern of countries like egypt mexico or indonesia is much easier to understand since solow 1957 and denison 1962 it is known that capital accumulation explain only a small part of economic growth if most of economic growth is caused by learning by doing induced technologica

the small business capital market behavior in athens stock exchange financing small and medium enterprises smes especially business investments and growth is a composite and particular complicated affair in the greek entrepreneurial reality this paper examines the significance of secondary capital markets as an alternative source of financing small medium enterprises new entrepreneurial plans cointegration technique is applied to test the relationship between the secondary capital market and the dominant sectors in athens stock exchange ase causality tests are also used to provide evidence on the existence of interdependence between the cointegrated series the results indicate that there is significant uni directional causality between primary and secondary capital market in greece enhancing us to suggest valuable policy implications

price responsiveness efficiency and the impact of structural adjustment on egyptian crop producers abstract this paper examines the role of prices and the impact of the structural adjustment reforms undertaken by the government of egypt in 1986 on the producers of five major crops the results indicate that the program had a positive net impact on the welfare of individual crop producers evaluated as a gain in production efficiency crop profitability was also found to be highly responsive to input and output prices the results highlight the importance of market based prices in agricultural development

pairs trading performance of a relative value arbitrage rule we test a wall street investment strategy pairs trading with daily data over 1962 2002 stocks are matched into pairs with minimum distance between normalized historical prices a simple trading rule yields average annualized excess returns of up to 11 for self financing portfolios of pairs the profits typically exceed conservative transaction cost estimates bootstrap results suggest that the pairs effect differs from previously documented reversal profits robustness of the excess returns indicates that pairs trading profits from temporary mispricing of close substitutes we link the profitability to the presence of a common factor in the returns different from conventional risk measures wall street has long been interested in quantitative methods of speculation one popular short term speculation strategy is known as pairs trading the strategy has at least a 20 year history on wall street and is among the proprietary statistical arbitrage tools currently used by hedge funds as well as investment banks the concept of pairs trading is disarmingly simple find two stocks whose prices have moved together historically when the spread between them widens short the winner and buy the loser if history repeats itself prices will converge and the arbi

overreaction delayed reaction and contrarian profits this paper presents a decomposition of short horizon contrarian profits into various sources based on an analysis os stock price reactions to common factors an firm specific information in sharp contrast with the conclusions in the extant literature we find that the lead lag structure in stock prices contributes less than 5 of the observed contrarian profits with most of the profits being attributable to stock price overreaction

the 52 week high momentum strategy in international stock markets abstract we study the 52 week high momentum strategy in international stock markets proposed by george and hwang george t hwang c y 2004 the 52 week high and momentum investing journal of finance 59 2145 2176 this strategy produces profits in 18 of the 20 markets studied and the profits are significant in 10 markets the 52 week high momentum profits exist independently from the jegadeesh and titman jegadeesh n titman s 1993 returns to buying winners and selling losers implications for market efficiency journal of finance 48 65 91 individual stock and moskowitz and grinblatt moskowitz t j grinblatt m 1999 do industries explain momentum journal of finance 54 1249 1290 industry momentum strategies these profits do not show reversals in the long run we find that the 52 week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price the individualism index a proxy to the level of overconfidence has no explanatory power to the variations of the 52 week high momentum profits across different markets however the profits are no longer significant in most markets once transaction costs are taken into account

modelling multivariate international tourism demand and volatility international tourism demand which is typically measured as tourist arrivals to australia has experienced dramatic fluctuations in recent years due to changes in the economic financial and political environment however variations in tourism demand specifically the conditional variance or volatility have not previously been investigated in the tourism literature an analysis of such volatility is essential for investigating the effects of shocks in tourism demand models this paper models the conditional mean and conditional variance of the logarithm of the monthly tourist arrival rate from the four leading tourism source countries to australia namely japan new zealand uk and usa using three multivariate static or constant conditional correlation ccc volatility models specifically the symmetric ccc mgarch model of rev econ stat 72 1990 498 symmetric vector arma garch model of econ theory 19 2003 278 and asymmetric vector arma agarch model of australasian meeting of the econometric society brisbane australia 2002 monthly data from july 1975 to 2000 are used in the empirical analysis the results suggest the presence of interdependent effects in the conditional variances between the four leading countries and asymmetric effects of shocks in two of the four countries this is an important result as it emphasizes interdependencies between major tourism source countries as well as the asymmetric effects of positive and negative shocks in tourism demand the estimated ccc matrices for the three models are not substantially different from each other which confirms the robustness of the estimates to alternative specifications of the multivariate conditional variance

modelling international tourism and country risk spillovers for cyprus and malta abstract small island tourism economies sites are developing sovereign countries that rely on tourism as a source of exports and need a consistent inflow of foreign investment in order to facilitate economic growth access to international capital markets helps sites smooth out their consumption over time while absorbing adverse domestic production shocks this paper provides a comparison of tourism growth country risk returns and their associated volatilities or uncertainty for 2 sites namely cyprus and malta monthly data are available for both international tourist arrivals and composite country risk ratings compiled by the international country risk guide icrg for the period may 1986 to may 2002 the time varying conditional variances of tourism growth and country risk returns for the 2 sites are analysed using multivariate models of conditional volatility empirical results show that cyprus and malta are complementary destinations for international tourists changes to tourism patterns in cyprus lead to changes to tourism patterns in malta hence tour operators and national tourism promotion authorities in cyprus and malta should collaborate closely in marketing and promoting joint tourism products moreover foreign entities interested in investing in the tourism sectors of cyprus and malta should consider investment projects that span a long period of time the performance of the tourism sector and the associated composite risk are independent of each other for the two countries however there is a direct relationship between the tourism sectors of cyprus and malta and their respective country risk settings

booming sector and de industrialisation in a small open economy this paper presents a theoretical analysis of the dutch disease the phenomenon whereby a boom in one traded goods sector squeezes porfitability in other traded goods sectors both by directly bi

assessing indirect tax reform in a tourism dependent developing country summary the paper investigates the effects of reform of the current structure of indirect taxes in mauritius a relatively tourism dependent economy it uses a computable general equilibrium model to explore the relative efficiency of changing sales tax rates on tourism and nontourism related sectors and allowing for equity considerations the efficiency of tax reforms are also distinguished for cases where tourist arrivals are exogenously set and where they endogenously adjust to changes in relative prices the simulation results show that the tourism sectors are currently undertaxed additionally taxing tourism sectors is found to be the most socially efficient means of raising tax revenue

overreaction to intra industry information transfers prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry we document a stock market anomaly associated with this phenomenon of intra industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports apparently the stock market overestimates the intra industry implications of early announcers earnings for late announcers earnings and that overestimation is corrected when late announcers disclose their earnings

price trends and patterns in technical analysis a theoretical and empirical examination while many technical trading rules are based upon patterns in asset prices we lack convincing explanations of how and why these patterns arise and why trading rules based on technical analysis are profitable this paper provides a model that explains the success of certain trading rules that are based on patterns in past prices we point to the importance of confirmation bias which has been shown to play a key role in other types of decision making traders who acquire information and trade on the basis of that information tend to bias their interpretation of subsequent information in the direction of their original view this produces autocorrelations and patterns of price movement that can predict future prices such as the head and shoulders and double top patterns the model also predicts that sequential price jumps for a particular stock will be positively autocorrelated we test this prediction and find that jumps exhibit statistically and economically significant positive autocorrelations

understanding the nature of the risks and the source of the rewards to momentum investing buying recent winners and shorting recent losers guarantees time varying factor exposures in accordance with the performance of common risk factors during the ranking period adjusted for this dynamic risk exposure momentum profits are remarkably stable across subperiods of the entire post 1926 era factor models can explain 95 of winner or loser return variability but cannot explain their mean return components are more profitable than those based on total returns neither industry effects nor cross sectional differences in expected returns are the primary cause of the momentum phenomenon article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

efficiency and the bear short sales and markets around the world we analyze cross sectional and time series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices we find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced a common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic we find strong evidence that in markets where short selling is either prohibited or not practiced market returns display significantly less negative skewness

can one day candlestick patterns be profitable on the 30 component stocks of the djia abstractwe set out in this study to conduct a comprehensive analysis of the profitability of every possible 1 day candlestick pattern using data on the 30 component stocks of the dow jones industrial average index our study involves a very lengthy sample period running from january 1974 to december 2009 with the results revealing a noticeable increase in the predictive power of 1 day candlestick patterns from 1992 onwards our evidence shows that several of the patterns may well prove to be profitable for the dow jones industrial average stocks the robustness of our results is subsequently confirmed based upon a bootstrap analysis

deep learning with long short term memory networks for financial market predictions abstract long short term memory lstm networks are a state of the art technique for sequence learning they are less commonly applied to financial time series predictions yet inherently suitable for this domain we deploy lstm networks for predicting out of sample directional movements for the constituent stocks of the s p 500 from 1992 until 2015 with daily returns of 0 46 percent and a sharpe ratio of 5 8 prior to transaction costs we find lstm networks to outperform memory free classification methods i e a random forest raf a deep neural net dnn and a logistic regression classifier log the outperformance relative to the general market is very clear from 1992 to 2009 but as of 2010 excess returns seem to have been arbitraged away with lstm profitability fluctuating around zero after transaction costs we further unveil sources of profitability thereby shedding light into the black box of artificial neural networks specifically we find one common pattern among the stocks selected for trading they exhibit high volatility and a short term reversal return profile leveraging these findings we are able to formalize a rules based short term reversal strategy that yields 0 23 percent prior to transaction costs further regression analysis unveils low exposure of the lstm returns to common sources of systematic risk also compared to the three benchmark models

infrequent rebalancing return autocorrelation and seasonality a model of infrequent rebalancing can explain specific predictability patterns in the time series and cross section of stock returns first infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns autocorrelations can switch sign and become positive at the rebalancing horizon second the cross sectional variance in expected returns is larger when more traders rebalance this effect generates seasonality in the cross section of stock returns which can help explain available empirical evidence

optimal investment choice for developing countries rational theory and rational decision making abstract this paper analyzes a key feature of the conceptual process that governments use for making major investment choices in the developing countries both through their direct investment activities and through the special incentives e g credit foreign exchanage and tax subsidies they provide governments typically play a large role in the allocation of investment resources in ldc s consequently the public investment choice process has significant effects on the efficiency of capital formation and on economic growth in developing countries although the feature of the investment choice process on which we focus has important theoretical and practical implications it has so far received little analytical attention

starting on the wrong foot seasonality in mutual fund performance abstract we document a systematic seasonal component in the aggregate underperformance of active mutual funds at the aggregate level active funds underperform the market and other passive benchmarks only in the first month of a quarter this intra quarter performance seasonality holds across fund sizes and investment styles the pattern is consistent with short term stock return reversal effects along with aggregate window dressing and to a lesser extent nav inflation practices around quarter ends we find marginal or no evidence of microstructure biases fund investor flows or cash distributions as sources of this seasonality our findings highlight new features of the active management underperformance puzzle

the determination of the price of land received theories of the land market are inadequate since they ignore the supply of land it is known that occupiers of land are usually unwilling to sell at the market price but require compensation for being forced to move incorporating this as a theory of supply into land market theory allows us to explain or predict that a urban sprawl will occur in the absence of planning controls b a development gains tax will slow down the rate of development of land and increase its price c whether land is owner occupied or occupied by tenants will affect its development and d powers of compulsory purchase may be necessary for certain kinds of development but may cause social costs

price dynamics in a market with heterogeneous investment horizons and boundedly rational traders this paper studies the effects of multiple investment horizons and investors bounded rationality on the price dynamics we consider a pure exchange economy with one risky asset populated with agents maximizing crra type expected utility of wealth over discrete investment periods an investor s demand for the risky asset may depend on the historical returns so that our model encompasses a wide range of behaviorist patterns the necessary conditions under which the risky return can be a stationary iid process are established the compatibility of these conditions with different types of demand functions in the heterogeneous agents framework are explored we find that conditional volatility of returns cannot be constant in many generic situations especially if agents with different investment horizons operate on the market in the latter case the return process can display conditional heteroscedasticity even if all investors are so called fundamentalists and their demand for the risky asset is subject to exogenous iid shocks we show that the heterogeneity of investment horizons can be a possible explanation of different stylized patterns in stock returns in particular mean reversion and volatility clustering

discussion of momentum and autocorrelation in stock returns jegadeesh and titman 1993 document individual stock momentum strategies that buy stocks that have performed relatively well in the past and sell stocks that have performed relatively poorly in the past generate significant positive returns over the 3to 12 month horizon this finding obtained using data from the u s market also holds for a number of international markets e g haugen and baker 1996 rouwenhorst 1998 what are the economic mechanisms behind individual stock momentum one approach to answering this question is to relate momentum to other factors driving the cross section of expected stock returns a number of findings have emerged adjustments for factors such as the fama and french three factor model tend to strengthen rather than explain momentum e g fama and french 1996 grundy and martin 2001 contrary to the finding of conrad and kaul 1998 cross sectional differences in expected returns is not an important cause of momentum e g jegadeesh and titman 1993 grundy and martin 2001 and contrary to the finding of moskowitz and grinblatt 1999 a number of subsequent articles find that industries or industry effects do not explain momentum e g asness porter and stevens 2000 lee and swaminathan 2000 grundy and martin 2001 stock price momentum is partially related to earnings momentum but both past returns and public earnings surprises in a multiple regression help to predict subsequent returns at horizons of six months to a year e g chan jegadeesh and lakonishok 1996

a tale of three schools insights on autocorrelations of short horizon stock returns this article reexamines the autocorrelation patterns of short horizon stock returns we document empirical results which imply that these autocorrelations have been overstated in the existing literature based on several new insights we provide support for a market efficiency based explanation of the evidence our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns

combining momentum with reversal in commodity futures this paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures while the single sort momentum strategies returns 11 14 per annum on average a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation combining the observed reversal pattern with the momentum signal our double sort strategy returns 20 24 per annum which significantly outperforms single sort strategies the proposed strategy is robust to seasonality effects and sample adjustments in commodity futures the profitability of the double sort strategy cannot be explained by standard risk factors term structure market volatility investor sentiment data mining or transaction costs but appears to be related to global funding liquidity as a consequence the double sort strategy in commodity futures may be employed as a portfolio diversification tool

a paradigm shift to a new strategy for small island economies embracing demand side economics for value enhancement and long term economic stability abstract the article answers three interrelated questions pertaining to small island economies and tourism development under the condition of globalization 1 why is tourism relevant for small island economies 2 why is a supply perspective inappropriate for these economies and 3 why is a demand perspective more appropriate for small island economies in the era of globalization empirical realities indicate that small islands have performed well in specializing as tourist destinations despite their size constraints and resulting disadvantage in economic terms the caribbean region is an appropriate proxy for small island economies however globalization may be taking its toll on sectoral specialization in the caribbean as a development strategy the supply side strategy seems to have lost its effectiveness to reverse this trend the study proposes the implementation of new tourism strategies based on a demand focused approach to sustain value enhancement these strategies have important managerial and policy implications

taxing tourism and subsidizing non tourism a welfare enhancing solution to dutch disease abstract using a combined analysis of a general equilibrium and a partial equilibrium this study models the impacts of a combined policy tool based on taxing tourism and subsidizing non tourism in a tourism dependent destination the results suggest that such a policy tool while widely discussed in economics literature may not be suitable for a tourism destination as it might have adverse effects on local welfare