have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

the effectiveness of keynes tobin transaction taxes when heterogeneous agents can trade in different markets a behavioral finance approach abstract we develop a model in which boundedly rational agents apply technical and fundamental analysis to identify trading signals in two different speculative markets whether an agent trades and if so in which market with which strategy depends on profit considerations as it turns out an ongoing evolutionary competition between the trading strategies causes complex price dynamics which closely resembles the behavior of actual speculative prices moreover we find that if the agents have to pay a transaction tax in one market price variability decreases in this market but increases in the other market however the imposition of a uniform tax on all transactions stabilizes both markets our results suggest that if regulators of a market introduce a transaction tax other markets are likely to follow

an empirical analysis of state and private sector provision of water services in africa under pressure from donor agencies and international financial institutions such as the world bank some developing countries have experimented with the privatization of water services this article reviews the econometric evidence on the effects of water privatization in developing economies and presents new results using statistical data envelopment analysis and stochastic cost frontier techniques and data from africa the analysis fails to show evidence of better performance by private utilities than by state owned utilities among the reasons why water privatization could prove problematic in lower income economies are the technology of water provision and the nature of the product transaction costs and regulatory weaknesses

privatisation in developing countries a review of the evidence and the policy lessons privatisation is widely promoted as a means of improving economic performance in developing countries however the policy remains controversial and the relative roles of ownership and other structural changes such as competition and regulation in promoting economic performance remain uncertain this article reviews the main empirical evidence on the impact of privatisation on economic performance in developing economies the evidence suggests that if privatisation is to improve performance over the longer term it needs to be complemented by policies that promote competition and effective state regulation and that privatisation works best in developing countries when it is integrated into a broader process of structural reform

methodical madness technical analysis and the irrationality of exchange rate forecasts substantial empirical research documents that exchange rate forecasts are not formed rationally this paper identifies a common technical trading signal the head and shoulders pattern as a potential source of departures from rationality in exchange rate forecasts forecasts based on this pattern are evaluated for daily dollar exchange rates over 1973 to 1994 using two criteria for rationality profitability and efficiency resulting profits replicable in real time are tested for statistical significance using a bootstrap technique we find that the rule is profitable but not efficient since it is dominated by simpler trading rules

privatization in latin america lessons for transitional europe abstract latin american economies are predominately private with functioning financial systems substantial purchasing power and widespread understanding of how markets work nevertheless transitional and latin american privatizers share similar problems poor performing state firms varied commitment to privatization technical difficulties and adverse macroeconomic conditions five lessons from latin america are particularly relevant for transitional economies a privatization can help foster competition b governments can build competent institutions for privatization despite weak capacity c labor can benefit without majority control d transparency and share distributions help win public support and e selling profitable efficient firms can benefit the economy

privatization in developing countries a review of the issues abstract the theory and early experience of privatization in developing countries are reviewed privatization has been spurred by widespread dissatisfaction with the performance of public enterprises and the need to cut government expenditures unless it is accompanied by liberalization measures privatization of public enterprises is unlikely to result in significant gains in economic efficiency the sequencing of privatization and liberalization reforms will often determine their impact on efficiency but the correct order of implementation is not clear political opposition to privatization is likely to be limited to the state bureaucracy which will often be able to mobilize in order to limit the impact of reforms early implementation experiences suggest technical difficulties are as constraining as political factors

how different is the efficiency of public and private water companies in asia several studies have compared the efficiency of publicly and privately owned water utilities and reached conflicting conclusions on the impact of ownership on efficiency this article provides further evidence by estimating a stochastic cost frontier for a sample of asian and pacific regional water companies the results show that efficiency is not significantly different in private companies than in public ones

exchange rate economics 1986 in the past fifteen years key exchange rates have moved in larger and more persistent ways than advocates of flexible rates in the late 1960s would have left anyone free to imagine certainly there was no expectation of constancy for nominal exchange rates but real exchange rate movements of 30 or forty percent were definitely not suggested as a realistic possibility moreover where these large movements did occur they did not obviously appear to be connected with fundamentals and hence seemed difficult to explain in terms of the exchange rate theories at hand the persistence of rate movements was as surprising as the rapid unwinding of apparent misalignments when they did ultimately occur the past fifteen years provide a natural dividing line between the keynesian and monetary approaches of the 1960s and the more recent analysis that takes into account exchange rate expectations and portfolio issues which took off in the early 1970s as well as the brand new approaches that concentrate on partial equilibrium microeconomics to review these ideas the paper starts with a brief look at the u s experience with flexible exchange rates from there it proceeds to the mundell fleming model as a comprehensive framework of analysis the following sections deal with persistent effects of policy disturbances links between exchange rates and prices the political economy of exchange rate movements and the question of policies toward excess capital mobility this abstract was borrowed from another version of this item

the use of flow analysis in foreign exchange exploratory evidence abstract this paper provides questionnaire evidence on the role of flow analysis for professional traders and fund managers this evidence suggests that besides fundamental information and technical analysis the analysis of flows provides an independent third type of information for professionals the view that flows can be used to learn about fundamentals is not consistent with the data instead evidence indicates that flows more likely provide insight into semi fundamental private information

money and financial markets introduction money and financial markets mark p taylor part 1 assessing the literature money demand analysis an outline keith cuthbertson david barlow financial market analysis an outline ronald macdonald and mark p taylor part 2 money demand studies money demand in five major countries estimating and interpreting error correction models james m boughton modelling broad and narrow money a study using cointegration martin brookes et al endogenous financial innovation and the demand for mo peter westaway and david walton money demand in high inflation countries a south american perpsective kate phylakis and mark p taylor the demand for money in four countries in the interwar period a study using monthly data jonathan slow et al part 3 money and financial markets some news on covered interest arbitrage mark p taylor patricia fraser monitoring bank risk a market based approach david miles stephen hall information interest rates and the volatility of asset prices laurence copeland richard c stapleton the decision to disclose research and development expenditure in the presence of a takeover threat jane black ian tonks persistence in stock market returns a disaggregated perspective roanld macdonald david power global capital market integration and the current account michael artis tamim bayoumi financial disorder and the theory of crisis e p davis part 4 new directions in financial market analysis neural networks and asset prices paul ormerod chartists fundamentalists and the transmission of opinion alan kirman

strategy switching in the japanese stock market abstract this paper investigates the expectation formation process of japanese stock market professionals by utilizing a monthly forecast survey dataset on the topix distributed by quick corporation we sort forecasters into buy side and sell side professionals we empirically demonstrate that the buy side and sell side professionals use either fundamental or trend following strategies throughout their expectation formation processes and that they switch between fundamental and trend following strategies over time we also discuss that strategy switching can be key in understanding the persistent deviation of the topix from the fundamentals

toward a theory of regulation for developing countries following jean jacques laffont s lead the efficient operation and expansion of infrastructures in developing countries is crucial for growth and poverty reduction however recent reforms aimed at improving the performance of these sectors have had limited success evidence suggests that in many instances this was because the traditional regulatory theory relied on by policymakers was not suitable for the institutional context in developing countries this article surveys more recent theoretical work focusing on problems with regulation in these countries at the heart of the survey is the work of jean jacques laffont who in the last decade of his life set about developing a theoretical framework for regulation in developing countries we consider the implications of his work which focused on the key institutional limitations faced in developing countries we then discuss where experience suggests that there are important omissions from this modeling bringing in extensions and alternative approaches pursued by other authors we conclude by summarizing the key ways in which regulatory policy will be different when institutions are weak overall we find that an understanding of the institutional context and its implications are crucial when designing a regulatory framework for developing countries

state divestiture as a policy instrument in developing countries abstract reducing the size and role of the public sector in developing countries and emphasizing prices and markets as allocative mechanisms has led to increased privatization measures of which divestiture has been the most common variant the paper examines this experience and indicates that ownership transfer is neither a necessary nor sufficient condition for achieving more efficient use of resources in the design of divestiture the weighting given to enhancing freedom of entry and intensity of competition remains critical at the same time the paper notes the existence of multiple constraints including profitability and capital market limitations that continue to impede the implementation of divestiture measures the conditions for divestiture to be both appropriate and successful are shown to be restrictive

bureaucrats in business chinese style the lessons of market reform and state entrepreneurialism in the people s republic of china in the 1990s parts of the state bureaucracy in china have been setting up new profit seeking risk taking businesses some of these businesses are entrepreneurial rather than rent seeking and are an unplanned and unanticipated development in china s market oriented economic reforms what are the lessons of this phenomenon for the developing world state entrepreneurialism may create problems such as reduced government control over departmental finance loss of state assets and uneven provision of services it is nevertheless an innovative solution to the politically difficult problem of bureaucratic restructuring and confounds the development orthodoxy fostered by neoliberalism that states will resist market reform it also demonstrates that to understand fully the politics of market reform we must research the activities of subcentral state bureaucrats as well as central leaders and policymakers

market efficiency of brazilian exchange rate evidence from variance ratio statistics and technical trading rules abstract this study utilizes the variance ratio test to examine the behavior of brazilian exchange rate we show that adjustments for multiple tests and a bootstrap methodology must be employed in order to avoid size distortions we propose a block bootstrap scheme and show that it has much nicer properties than the traditional chow denning chow k v denning k c 1993 a simple multiple variance ratio test journal of econometrics 58 3 385 401 multiple variance ratio tests overall the method proposed in the paper provides evidence refuting the random walk behavior for the brazilian exchange rate for long investment horizon but consistent with the random walk hypothesis for short run horizon additionally we also test for the predictive power of variable moving average vma and trading range break trb technical rules and find evidence of forecasting ability for these rules nonetheless the excess return that can be obtained from such rules is not significant suggesting that such predictability is not economically significant

privatization and employment a study of the jute industry in bangladesh this paper analyzes the effect of privatization upon employment in the bangladeshi jute textile industry privatization was partia and the selection of mills which were privatized was not based on current economic performance this provides us with a panel data set which permits reliable estimates of the effects of ownership on employment and output privatization has reduced employment of all categories of permanent workers significantly but the extent of employment reduction has been substantially greater among clerical workers and managers as compared to manual workers this implies that public sector excess employment benefited white collar workers who were both better off and better educated and suggests that public sector behaviour was clientelist rather than welfarist

the foreign exchange market a random walk with a dragging anchor this paper explores some anomalies in the foreign exchange market it is hard to find evidence of either short term overshooting or of longer term reversion to an equilibrium the forward exchange rate contains virtually no information on future spot rates discussions with practitioners indicate that longer term speculation based on fundamentals is strictly limited and survey data and other evidence suggest that expectations and speculation are based on a variety of models the interplay between speculation based on fundamentals and on a random walk or chartist approach influences the outcome this endorses the prior model of j a frankel and k a froot copyright 1988 by the london school of economics and political science

estimation of financial agent based models with simulated maximum likelihood abstract this paper proposes a general computational framework for empirical estimation of financial agent based models for which criterion functions have unknown analytical form for this purpose we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods in combination with the model developed by brock and hommes 1998 which is one of the most widely analysed heterogeneous agent models in the literature we extensively test the properties and behaviour of the estimation framework as well as its ability to recover parameters consistently and efficiently using simulations key empirical findings indicate the statistical insignificance of the switching coefficient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies in addition we document a slight proportional dominance of fundamentalists over trend following chartists in major world markets

a macro micro analysis of the effects of electricity reform in senegal on poverty and distribution abstract this paper uses a computable general equilibrium cge macro micro model to explore the distributional effects of price reform in the electricity sector of senegal in the first part of the paper we analyse the distribution of electricity in senegal by income quintiles between 1995 and 2001 the analysis demonstrates that poor and rural households are not the main beneficiaries of the expanded network the results of the cge model show that direct price effects are weaker than general equilibrium effects on poverty and inequality moreover compensatory policies tested can help attenuate some adverse effects

market reforms technocrats and institutional innovation abstract successful market reform projects require significant revision of government agencies institutional arrangements and policy making procedures in part to provide reformers autonomy from countervailing pressures this paper examines how such innovations facilitated reforms in mexico and argentina it finds executive leadership helped facilitate institutional change but that technocrat policymakers played more crucial roles than previously documented through rule changing instrument creating and strategizing behaviors they helped engineer their own autonomy and gained control of the policy agenda by changing the organization of decision making and the position they occupied in the bureaucracy these findings hold across distinct policy arenas and political systems

privatization in rent seeking societies abstract four latin american countries have devoted particular attention though not equal action to privatization policies the implementation of which has shed considerable light on the dynamics of rent seeking societies the fact that democratization in some form is also underway in each of the four has intensified the interplay of forces that shape the implementation of privatization programs the experiences of mexico and chile in particular demonstrate how important it may be to privatize the private sector by reforming macroeconomic policies and opening the economy to external competition before or at least concurrently with tackling the privatization of the public sector the obstructive force of rent seeking behavior is shown most clearly in the argentine case while the brazilian experience is useful along with that of mexico as a reminder that rent seeking dynamics are not necessarily incompatible with structural transformation and high rates of growth

the financial and operating performance of newly privatized firms an international empirical analysis this study compares the pre and postprivatization financial and operating performance of 61 companies from 18 countries and 32 industries that experience full or partial privatization through public share offerings during the period 1961 to 1990 our results document strong performance improvements achieved surprisingly without sacrificing employment security specifically after being privatized firms increase real sales become more profitable increase their capital investment spending improve their operating efficiency and increase their work forces furthermore these companies significantly lower their debt levels and increase dividend payout finally we document significant changes in the size and composition of corporate boards of directors after privatization the last fifteen years have witnessed a significant global shift away from state socialism towards entrepreneurial capitalism one of the most important and visible aspects of this trend has been the enthusiasm with which governments of all political persuasions have sold their state owned enterprises soes to private investors in hopes that the generally unsatisfactory economic performance of these firms can be improved by the discipline of private ownership this denationalization process given its current title of privatization by the conservative government of margaret thatcher in

testing the limits of privatization argentine railroads abstract just how far can privatization be pushed and with what consequences based on a study of argentine railroads this paper concludes that even large unprofitable firms in developing countries faced with market failures can be privatized but the gains from doing so depend on how badly the state enterprise was performing to begin with and the potential for introducing competition in the market and for the market the broader lesson is that when both market failures and government failures are present a public private solution is preferable to a purely private or a purely public solution privatization is not a panacea but potentially a palliative when it comes to reducing subsidies or coping with regulatory failures

the benefits of privatization evidence from mexico critics of privatization often argue that its benefits come at a high cost to society the authors test the validity of this criticism for mexico s privatization program one of the world s largest case by case programs assessing the performance of newly privatized firms in such areas as profitability and efficiency they find that these firms quickly close the gap with their peers in the private sector their findings suggest that the firms profit gains come from productivity gains 52 percent layoffs 33 percent and higher prices 15 percent

state owned and privately owned firms an empirical analysis of profitability leverage and labor intensity for some it is an article of faith that governmentowned firms must be less efficient or at least less profitable than privately owned firms maxim boycko et al 1996 argue that politicians cause government owned firms to employ excess labor inputs anne o krueger 1990 suggests that such firms may be pressured to hire politically connected people rather than those best qualified to perform desired tasks more generally government owned firms are thought to forgo maximum profit in the pursuit of social and political objectives such as wealth redistribution in addition the residual cash flow claims of these firms are not readily transferable like the shares of a private corporation this impairs residual claimant incentives to monitor managers and ultimately degrades firm performance as a consequence one expects government owned firms to be technically less efficient and therefore less profitable than private firms the implication is that in competitive markets without significant externalities private ownership is the superior organizational form the view that government firms are inherently less efficient than private ones however remains controversial among economists john vickers and george yarrow 1991 among others point out that agency problems arise in private firms as well as public ones in most large private corporations managers own little of the stock because monitoring managers is costly a divergence arises between their objectives and those of private shareholders private shareholders typically hold a small stake in any one firm and it may not pay any shareholder to bear the cost of monitoring management it follows from this discussion that whether government firms are more or less efficient than private firms is primarily an empirical issue to date the body of empirical evidence is mixed in this paper we report further empirical evidence on the relative efficiency of public and private enterprises we build on previous work by studying larger samples over longer time periods and by allowing for additional factors that influence firm performance in particular our analysis controls for time series variation in the general level of economic activity that may otherwise confound performance comparisons between government and private firms 2 we approach the issue in two different ways first using accounting numbers we conduct a large sample cross sectional comparison of government owned and privately owned corporations this comparison is similar in design to that of boardman and vining 1989 but our sample is three times the size of theirs and includes three

the rip tide of privatization lessons from chile abstract chile is one of the rare exceptions where the voluble enthusiasm for privatization has been put into effect of the 500 companies that were under state ownership in the early 1970s only 19 remained under public control at the end of the decade moreover a land reform which had affected 43 of the country s cultivable area was rolled back by almost 40 privatization indisputably increased the economic power of a number of conglomerates and fostered the concentration of assets however the complexity of the liberalization package that accompanied privatization makes it difficult to establish strict causality for the economic collapse that followed in the early 1980s the chilean experience with privatization reveals some interesting lessons that other countries may wish to consider

privatization technical efficiency and welfare consequences the case of the cote d ivoire electricity company cie abstract in 1990 cote d ivoire privatized the management of its electric power company lease contracting in this paper we are interested in identifying the economic effect of this institutional change by estimating a stochastic production frontier we have found that productive efficiency improved after privatization thanks to organizational innovations total factor productivity gains have been closely associated with a cost reduction strategy the way these gains have been distributed in a monopoly context suggests that consumers have been the main beneficiaries through a significant decrease of the relative price of electricity

private behaviour and government policy in interdependent economies this is a comprehensive survey of the macroeconomic co ordination of international economies subjects covered include monetary policies and exchange rates abolishing exchange controls policy co ordination and the international monetary system assessing monetary shocks and exchange rate variability ems stability economic interactions and fiscal policies the contributors are anthony s courakis ronald macdonald mark p taylor peter n smith michael r wickens jeffrey a frankel kenneth a froot michael j artis giorgio radaelli shaziye gazioglu michael j moore neil rankin s mansoob murshed somnath sen paul r masson malcolm knight patrick minford emanuel pikoulakis david currie ullrich hoffmeyer and frederick van der ploeg this book is intended for international monetary economists and macroeconomists graduate and third year undergraduate students

expectation formation in the foreign exchange market a time varying heterogeneity approach using survey data using consensus economics survey data on jpy usd and gbp usd exchange rate expectations for the 3 and 12 month horizons over the period november 1989 december 2012 we first show that expectations fail the conventional tests of unbiasedness and do not exhibit a learning process towards rationality our approach is consistent with the economically rational expectations theory feige and pearce 1976 which states that information costs and agents aversion to misestimating future exchange rates determine the optimal amounts of information on which they base their expectations the time variability of the cost aversion ratios justifies at the aggregate level a representation of expectations as a linear combination of the traditional extrapolative adaptive and regressive processes augmented by a forward market component whose parameters are allowed to change over time this mixed expectation model with unstable heterogeneity is validated by our kalman filter estimation results for the two currencies and

an econometric analysis of telecom competition privatization and regulation in africa and latin america this paper explores the effects of privatization competition and regulation on telecommunications performance in 30 african and latin american countries from 1984 through 1997 fixed effects regressions reveal that competition measured by mobile operators not owned by the incumbent is correlated with increases in the per capita number of mainlines payphones and connection capacity and with decreases in the price of local calls privatization combined with an independent regulator is positively correlated with telecom performance measures privatization alone however is associated with few benefits and is negatively correlated with connection capacity

intraday technical analysis of individual stocks on the tokyo stock exchange abstract this paper conducts an intraday technical analysis of individual stocks listed on the nikkei 225 in addition to the price based technical rules popularly examined in the literature we uniquely propose and statistically investigate technical rules that utilize information regarding 1 the order flow imbalance and 2 the order book imbalance technical analysis using the imbalance based trading rules is motivated by the evidence presented first in this paper that short term returns can be predicted from the information regarding the order flow and order book imbalances for more than half of nikkei 225 listed stocks however we demonstrate that no strategies including limit order trading where trading signals are derived from the order book imbalance beat the buy and hold strategy within our sample the results imply that past prices and demand supply imbalances do not contribute to profiting in intraday trading and that non execution and picking off risks are too large for limit order trading to be profitable in our sample

order aggressiveness pre trade transparency and long memory in an order driven market abstract recent empirical research has documented that the state of the limit order book influences stock investors strategies investors place more aggressive orders when the same side of the order book is thicker and less aggressive orders when it is thinner we conjecture and demonstrate that this behavior is related to long memories of trading volume volatility and order signs in stock markets we investigate our conjecture in two types of artificial stock markets a transparent market in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade and a less transparent market in which agents observe only the best five bid and ask quotes with the depth available at these limit prices the first market structure resembles certain actual stock exchanges in the level of pre trade transparency such as the australian stock exchange nyse openbook and the london stock exchange whereas the second market structure is consistent with stock exchanges such as euronext paris the toronto stock exchange the tokyo stock exchange and hong kong exchanges and clearing we demonstrate that our long memory results are robust with different levels of pre trade transparency implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges

when does privatization work the impact of private ownership on corporate performance in the transition economies this paper compares the performance of privatized and state firms in the transition economies of central europe while controlling for various forms of selection bias it argues that privatization has different effects depending on the types of owners to whom it gives control in particular privatization to outsider but not insider owners has significant performance effects where privatization is effective the effect on revenue performance is very pronounced but there is no comparable effect on cost reduction overlooking the strong revenue effect of privatization to outsider owners leads to a substantial overstatement of potential employment losses from postprivatization restructuring

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

the economic value of fundamental and technical information in emerging currency markets abstract we measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997 2007 and explicitly accounts for trading restrictions on foreign capital movements by using non deliverable forward data we document that both types of information can be exploited to implement profitable trading strategies in line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis we find that combining the two types of information improves the risk adjusted performance of the investment strategies

regulation institutions and commitment in telecommunications a comparative analysis of five country studies within any system of utility regulation there is a tension between the ability to commit to a stable set of rules and the ability to respond flexibly to changing circumstances countries differ in their institutional endowments and hence in the ways in which they can resolve this tension a first group of countries can design regulatory systems that afford the regulator substantial formal discretion to respond to changing circumstances and can use process to restrain arbitrary action a second group of countries can restrain arbitrary action only by calling on specific substantive rules and may have to sacrifice some flexibility to achieve credible commitment a third group may lack the domestic institutions to put in place a credible and workable regulatory system of any kind

the use of technical analysis in the foreign exchange market abstract technica or chartist analysis of financial markets involves providing forecasts or trading advice on the basis of largely visual inspection of past prices without regard to any underlying economic or fundamental analysis this paper reports the results of a questionnaire survey conducted on behalf of the bank of england among chief foreign exchange dealers based in london in november 1988 amongst other findings it is revealed that at least 90 per cent of respondents place some weight on this form of non fundamental analysis when forming views at one or more time horizons there is also a skew towards reliance on technical as opposed to fundamentalist analysis at shorter horizons which becomes steadily reversed as the length of horizon considered is increased a very high proportion of chief dealers view technical and fundamental analysis as complementary forms of analysis and a substantial proportion suggest that technical advice may be self fulfilling jel f31

the financial and operating performance of privatized firms during the 1990s this study compares the pre and postprivatization financial and operating performance of 85 companies from 28 industrialized countries that were privatized through public share offerings for the period from 1990 through 1996 we document significant increases in profitability output operating efficiency and dividend payments and significant decreases in leverage ratios for our full sample of firms after privatization and for most subsamples examined capital expenditures increase significantly in absolute terms but not relative to sales employment declines but insignificantly combined with results from two previous directly comparable studies these findings strongly suggest that privatization yields significant performance improvements during the past two decades the privatization of state owned enterprises has moved from being a radical almost desperate policy initiative of the thatcher government in britain to being an accepted economic policy for governments of all ideological stripes according to gibbon 1998 860 billion has been raised by governments worldwide through privatizations with the bulk of this total coming since 1987 and at least one commentator roche 1996 predicts that no less than 6 trillion will be raised through privatizations over the next two decades in 1997 alone sales of public enterprises totaled a record 161 billion worldwide with more than 110 billion of the total coming during the second half of the year and 1998 s total of almost 140 billion indicates that the pace shows no sign of slackening as we approach a new millennium

exchange rate dynamics central bank interventions and chaos control methods abstract we use a simple chartist fundamentalist model developed by day and huang to explore recent chaos control algorithms as potential candidates for central bank intervention rules we find that methods such as delayed feedback control ogy and constant feedback have in principle the potential to reduce exchange rate variability and deviations from fundamentals even in the presence of large dynamic noise

heterogeneous expectations exchange rate dynamics and predictability abstract this paper proposes a simple chartist fundamentalist model in which we allow for nonlinear time variation in chartists extrapolation rate estimation of the model using monthly data for the major currencies vis a vis the us dollar shows that the model is significant in sample and that it has out of sample predictive power for some of the currencies we investigate the power of tests of the random walk model to detect predictability against the alternative of the proposed model we find that the evidence of short term unpredictability and the long term predictability are consistent with our model

a theory of privatisation public enterprises around the world have proved to be highly inefficient primarily because they pursue strategies such as excess employment that satisfy the political objectives of politicians who control them privatization of public enterprises can raise the cost to politicians of influencing them since subsidies to private firms necessary to force them to remain inefficient are politically harder to sustain than wasted profits of the state firms in this way privatization leads to efficient restructuring of firms moreover privatization is more effective when combined with a tight monetary policy and when the new owners of firms are profit maximizing investors rather than their employees or even managers copyright 1996 by royal economic society

the corporate propensity to save why do corporations accumulate liquid assets we show theoretically that intertemporal trade offs between interest income taxation and the cost of external finance determine optimal savings intriguingly we find that controlling for tobin s q saving and cash flow are negatively related because firms lower cash reserves to invest after receiving positive cash flow shocks and vice versa consistent with theory we estimate negative propensities to save out of cash flow we also find that income uncertainty affects saving more than do external finance constraints therefore contrary to previous evidence saving propensities reflect too many forces to be used to measure external finance constraints

learning with misspecification in an artificial currency market abstract agents evolve their forecast rules over time via a modified genetic algorithm in a simple artificial currency market these forecast rules can be nonlinearly misspecified when the misspecification is suppressed learning tends to be complete when it is not suppressed learning can generate persistent exchange rate dynamics

characteristics of privatization evidence from developed less developed and former communist countries a privatization wave has swept the world starting in the u k in the early 1980s and then progressing to other developed and less developed nations this study examines how the country characteristics for the formerly state owned enterprises relate to the nature of the privatization deal and the strategy of the acquiring firm in particular this paper examines how country characteristics affect government privatization policies and in turn firm strategy results indicate that there are differences with respect to the characteristics of privatization and government policies that translate into differences in firm strategy in former communist less developed and developed countries

the impact of negative cash flow and influential observations on investment cash flow sensitivity estimates abstract kaplan and zingales quart j econ 112 1997 169 and clearly j finance 54 2 1999 673 diverge from the large literature on investment cash flow sensitivity by showing that investment is most sensitive to cash flow for the least financially constrained firms we examine if this result can be explained by the fact that when firms are in sufficiently bad shape incurring cash losses investment cannot respond to cash flow we find that while cleary s results can be explained by such negative cash flow observations the kaplan zingales results are driven more by a few influential observations in a small sample we also record a decline in investment cash flow sensitivity over the 1977 1996 period particularly for the most constrained firms

explaining dispersion in foreign exchange expectations a heterogeneous agent approach this paper combines survey forecasts with a heterogeneous agent model to examine the dispersion of expectations of participants in the foreign exchange market we find distinct variations in the level of dispersion and document that dispersion arises because of the combined effect of market participants holding private information and attaching different weights to fundamental technical and carry trade analyses we estimate a heterogeneous agent model on the survey forecasts and show that the weight attached to the three forecast rules is adjusted over time in response to the relative importance of the rules in the actual foreign exchange market the weights are related to market circumstances the switching model is finally shown to outperform the random walk model in an out of sample forecast exercise

the adaptive markets hypothesis evidence from the foreign exchange market we analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true out of sample tests on previously studied rules the excess returns of the 1970s and 1980s were genuine and not just the result of data mining but these profit opportunities had disappeared by the early 1990s for filter and moving average rules returns to less studied rules also have declined but have probably not completely disappeared high volatility prevents precise estimation of mean returns these regularities are consistent with the adaptive markets hypothesis lo 2004 but not with the efficient markets hypothesis

the financial and operating performance of newly privatized firms evidence from developing countries this paper examines the change in the financial and operating performance of 79 companies from 21 developing countries that experienced full or partial privatization during the period from 1980 to 1992 we use accounting performance measures adjusted for market effects in addition to unadjusted accounting performance measures both unadjusted and market adjusted results show significant increases in profitability operating efficiency capital investment spending output employment level and dividends we also find a decline in leverage following privatization but this change is significant only for unadjusted leverage ratios our results are generally robust when we partition our data into various subsamples

privatization and efficiency differentiating ownership effects from political organizational and dynamic effects this paper argues that the private public ownership factor should be differentiated from other factors that also influence the effect of privatization on efficiency this is empirically confirmed in a longitudinal study of 24 spanish firms for which several political and organizational factors are found to influence the estimated effects of privatization on efficiency the analysis of the timing of the effects reveals a strong significance for post privatization years 5 6 negative and 7 8 positive this suggests that the negative effect of these factors is transitional being eventually offset by the positive effects of the change to private ownership 2000 elsevier science b v all rights reserved jel classification l33

does the source of capital affect capital structure prior work on leverage implicitly assumes capital availability depends solely on firm characteristics however market frictions that make capital structure relevant may also be associated with a firm s source of capital examining this intuition we find firms that have access to the public bond markets as measured by having a debt rating have significantly more leverage although firms with a rating are fundamentally different these differences do not explain our findings even after controlling for firm characteristics that determine observed capital structure and instrumenting for the possible endogeneity of having a rating firms with access have 35 more debt copyright 2006 oxford university press

temporal patterns in foreign exchange returns and options although the foreign exchange market is believed to be one of the most efficient financial markets in the world there is significant evidence that technical analysis is profitable in this market in this study we investigate the ability of information from the options market to supplement the commonly used information on past prices to predict temporal patterns in foreign exchange returns we find that information from the options market improves the performance of technical trading strategies strategies using information from at the money options were more consistently profitable than the most commonly used strategies based on only historical spot exchange rates past prices our results hold out of sample as well as in the late nineties a period when few sources of information have proven reliable consequently options appear to contain valuable information regarding future spot exchange rate movements

privatization and economic growth an empirical investigation from a sample of developing market economies this paper explores the economic determinants of privatization programmes and the macroeconomic impact of this institutional reform on the growth rate of the gdp a sample of thirty five developing market economies is considered over the 1988 92 period probit and tobit models are used to identify the determinants of successful privatization programmes then regressions are run where probabilities probit and expected values tobit are successively included as additional regressors beside the potential influence of other economic policy variables a significant positive effect is highlighted giving evidence of the importance of divestiture the economic effect is found to be stronger when this institutional reform took place in industry or infrastructure

where did all the dollars go the effect of cash flows on capital and asset structure this paper documents the short and long term balance sheet effect of cash flows we show that cash savings in the short run and debt reduction in both the short and the long run account for a substantial fraction of cash flow use although in the long run investment exhibits substantial sensitivity to cash flows investment does not absorb the entire cash flow shock in fact the tighter the financial constraints the smaller the fraction of cash flow absorbed by investment and the more by leverage reduction firms stage their response to increases in cash flow delaying investment while building up cash stocks and reducing leverage these results suggest that much of the short run economic effect of cash flow shocks to the corporate sector may be channeled into the corporate debt market rather than the capital goods market especially when financing constraints tighten

the use of fundamental and technical analyses by foreign exchange dealers hong kong evidence abstract this article reports the results of a questionnaire survey conducted in february 1995 on the use by foreign exchange dealers in hong kong of fundamental and technical analyses to form their forecasts of exchange rate movements our findings reveal that 85 of respondents rely on both fundamental and technical analyses for predicting future rate movements at different time horizons at shorter horizons there exists a skew towards reliance on technical analysis as opposed to fundamental analysis but the skew becomes steadily reversed as the length of horizon considered is extended technical analysis is considered slightly more useful in forecasting trends than fundamental analysis but significantly more useful in predicting turning points interest rate related news is found to be a relatively important fundamental factor in exchange rate forecasting while moving average and or other trend following systems are the most useful technical technique

how sensitive is investment to cash flow when financing is frictionless i analyze the sensitivity of a rm s investment to its own cash ow in the benchmarkcase where nancing is frictionless this sensitivity has been proposed as a measure of nancing constraints in earlier studies i nd that the investment cash ow sensitivities that obtain in the frictionless benchmarkare very similar both in magnitude and in patterns they exhibit to those observed in the data in particular the sensitivity is higher for rms with high growth rates and low dividend payout ratios tobin s q is shown to be a more noisy measure of near term investment plans for these rms does a high sensitivityof a rm s investment to its own cash ow indicate that the rm is nancially constrained a large body of research starting with fazzari hubbard and petersen 1988 hereafter fhp suggests that rms facing nancing constraints should exhibit high investment cash ow sensitivities re ecting the wedge between the costs of external and internal funds empirical ndings seem to give support to this hypothesis since rms classi ed as constrained on a priori criteria such as size dividend payout or leverage do have higher cash ow sensitivities even after controlling for their investment opportunities by conditioning on tobin s q however the reliability of these results critically depends on whether q is a proper control for the investment opportunity set if q performs worse for certain classes of rms higher sensitivities may obtain for these rms simply because cash ow re ects information about investment opportunities this critique is not new in his discussion of fhp poterba 1988 was the rst to point out that measurement error in q may cloud the empirical results similar concerns have been raised in subsequent studies as well while the qualitative point is well known its quantitative impact on the investment cash ow sensitivity has not been analyzed can the linkbetween cash ow and the investment opportunity set account for the observed magnitudes of the sensitivity or are these magnitudes too large to be explained without nancing frictions