what drives the high moments of hedge fund returns abstractwe study the high moment distribution of hedge fund returns and identify factors that drive high moment risk using hedge fund monthly returns we find a strong correlation between the first four moments of returns i e mean standard deviation sd skewness and kurtosis and different characteristics of the funds such as leverage liquidity incentives and strategy related factors we find that after controlling for other factors incentives related factors and a hedge fund s specific strategy have the greatest impact on the distribution of fund returns our evidence also suggests investors allocate across hedge fund characteristics while placing greater emphasis on fund strategies and incentive factors

inherited corporate control and returns on investment this paper contributes to the literature on management in family firms by investigating how succession in family firms affects returns on investment the identities of the chief executive officer ceo and the chairman of the board cob were used to establish whether the management of the firm can be characterized as founder descendant or external management a unique unbalanced panel data set on listed swedish firms covering the period from 1990 to 2005 was used in the analysis the results show that founder management has a positive effect on the returns on investment in family firms whereas descendant management has a negative impact an external ceo as a successor in family firms leads to more efficient investment policies with increased firm value as a result that is when studying corporate governance in family firms it is important to account for what type of management the firm has further studies are required to understand the relationship between ownership control management and firm performance

social capital informal governance and post ipo firm performance a study of chinese entrepreneurial firms social capital can serve as informal governance in weak investor protection regimes using hand collected data on entrepreneurs political connections and firm ownership we construct several original measures of social capital and examine their effect on the performance of entrepreneurial firms in china after their initial public offerings political connections or a high percentage of external investors tend to enhance firm performance but intragroup related party transactions commonly lead to performance decline these forms of social capital have a strong influence on the performance of chinese firms whereas formal governance variables such as board size or board independence have little effect although social capital may serve as an informal governance mechanism and effectively substitute for formal governance mechanisms in an emerging market this role of social capital raises several ethical concerns notably the development of rent seeking and crony capitalism

revisiting the bright and dark sides of capital flows in business groups prior studies report that the business group structure and the associated intra group capital flows are prone to conflicts of interest between controlling shareholders and minority investors yet business group is a prevalent and stable structure around the globe particularly where capital markets are underdeveloped using data from china this paper empirically studies the trade off between the negative and positive roles played by intra group capital flows and tests the efficiency implications of such trade off we find that from the perspective of the whole group intra group capital flows are most efficient when the groups are least subject to conflicts of interest between controlling shareholders and minority shareholders and when they face strong external financing constraints

risk return and the three moment capital asset pricing model another look abstract most studies on three moment capital asset pricing models have found a strong and consistent relationship between an asset s returns and its higher statistical moments other studies report results which are opposite to what the theory would suggest this paper re examines the empirical evidence of the three moment capital asset pricing model on 43 randomly selected mutual funds from 1970 1986 the results indicate that trade offs of risks for returns on the selected mutual funds are less than predicted and inconsistent

reducing drunken driving which policies are most effective traffic fatalities are the leading cause of accidental deaths and the leading cause of all deaths for people between the ages of 16 and 25 4 a major cause of traffic accidents is drunken driving reed 12 estimates that the annual number of deaths could be reduced by 12 000 if all drunken driving were eliminated recently increased attention has been directed toward finding ways to reduce the incidence of drunken driving this paper evaluates the relative effectiveness of several policies in terms of reduced fatalities these policies include raising the minimum legal drinking age increasing legal sanctions and enforcement and increasing the price and reducing the availability of alcoholic beverages most studies have focused on a single policy studies by cook 3 mccornac 7 and williams et al 16 examined the effect of raising the minimum legal drinking age their results indicate that auto fatalities have fallen in states where the minimum legal drinking age has been increased ross 13 and votey 15 both examined the drunken driving deterrence policies in scandanavian countries ross was unable to show that they had any effect on behavior using a more sophisticated model votey concluded that the severe deterrence policies reduced the incidence of drunken driving cook and tauchen 2 found that increasing taxes on alcoholic beverages reduced consumption and led to fewer auto fatalities and a lower incidence of cirrhosis death

management ownership and market valuation an empirical analysis we investigate the relationship between management ownership and market valuation of the firm as measured by tobin s q in a 1980 cross section of 371 fortune 500 firms we find evidence of a significant nonmonotonic relationship tobin s q first increases then declines and finally rises slightly as ownership by the board of directors rises for older firms there is evidence that q is lower when the firm is run by a member of the founding family than when it is run by an officer unrelated to the founder

the distribution of foreign exchange price changes trading day effects and risk measurement a comment in their 1982 study mcfarland pettit and sung 16 mps found that consecutive daily foreign exchange rates conform to neither a normal nor a nonnormal stable process and that day of the week data could be adequately described by a series of different stable distributions the authors have also documented a weekday effect in the foreign exchange market mondays and wednesdays offered higher average price changes than did thursdays and fridays in a more recent study jaffe and westerfield 9 documented negative monday returns for the currencies of the u k canada and australia in estimating the parameters of the distribution mps have utilized the fama and roll 5 6 method which assumes a symmetric distribution jaffe and westerfield 9 report only estimates of the sample moments the sample moments reported in mps s table ii part of which is reproduced in table i here reveal that most currencies especially the minor currencies the australian dollar the spanish peseta and the swedish krona have significant skewness the results indicate that the asymmetric stable paretian distribution may be more appropriate for the overall daily returns this hypothesis is consistent with

area policy impacts a multiplier analysis of gear this paper attempts to quantify the employment and income effects of the glasgow eastern area renewal gear programme on its target area this is done using an augmented keynesian multiplier approach the multiplier model is adjusted to take into account the particular characteristics of the injection and the fact that the target area is small and well integrated within a large conurbation the results are disaggregated so that the impact of each element of the programme is separately identified and the overall results are subject to sensitivity analysis although the estimated increases in employment and income are large in absolute terms they are small relative to the decline that immediately preceded the introduction of the gear programme

filling or abusing the institutional void ownership and management control of public family businesses in an emerging market despite increased attention given to family firms in the theory of organization and management the value of family governance in emerging markets is not clearly understood we draw insights from agency and institutional economics perspectives to address the debate on whether family governance fills or abuses the void left by weaker market and legal institutions we propose a dual focus on the pattern of family control and weak institutions to reconcile these opposed assessments we analyze how various combinations of family control over ownership strategy and operations yield different benefits and costs for the operational performance of firms in the absence of strong market and legal institutions the uneven development of market institutions across industries and the impact of independent directors reinforce the importance of separating different patterns of family control we find support for our hypotheses when tested on a data set consisting of all publicly listed firms in taiwan between 1996 and 2005 our study contributes to a deeper understanding of family businesses in emerging markets highlights the importance of weak institutions in shaping relative agency costs and illuminates the differential effects of independent directors

pounds that kill the external costs of vehicle weight heavier vehicles are safer for their own occupants but more hazardous for other vehicles simple theory thus suggests that an unregulated vehicle fleet is inefficiently heavy using three separate identification strategies we show that controlling for own vehicle weight being hit by a vehicle that is 1000 pounds heavier generates a 40 50 increase in fatality risk these results imply a total accident related externality that exceeds the estimated social cost of us carbon emissions and is equivalent to a gas tax of 0 97 per gallon 136 billion annually we consider two policies for internalizing this external cost a weight varying mileage tax and a gas tax and find that they are similar for most vehicles the findings suggest that european gas taxes may be much closer to optimal levels than the us gas tax language en

policy review section in this policy review section gerry stoker of the institute of local government studies presents a critical review of the role of urban development corporations udcs in comparing the experience of the udcs consideration is given to the varying nature of the land and property market in each udc area to the relationship with local authorities and other local bodies and the regeneration strategies pursued by the udcs this is followed by an assessment of the impact of the udcs in economic social and political terms in the second article john britton of the university of toronto examines the theoretical case for interventionist public policies to assist the innovation process in small and medium sized enterprises these arguments are supported by a review of the experience of various national support programmes introduced in the uk in particular the manufacturing advisory service introduced in 1978 and the design advisory service launched in 1982

optimal gasoline tax in developing oil producing countries the case of mexico this paper uses the methodology of parry and small 2005 to estimate the optimal gasoline tax for a less developed oil producing country the relevance of the estimation relies on the differences between less developed countries ldcs and industrial countries we argue that lawless roads general subsidies on gasoline poor mass transportation systems older vehicle fleets and unregulated city growth make the tax rates in ldcs differ substantially from the rates in the developed world we find that the optimal gasoline tax is 1 90 per gallon at 2011 prices and show that the estimate differences are in line with the factors hypothesized in contrast to the existing literature on industrial countries we show that the relative gasoline tax incidence may be progressive in mexico and more generally in ldcs

the accident externality of driving evidence from observance of the jewish sabbath in israel we document and measure an externality of driving whereby a driver s decision to take to the road affects fellow drivers risk of accident because religious jews refrain from driving during the sabbath traffic on israeli roads decreases sharply when the sabbath begins each friday at a precisely defined time before sundown and increases after the sabbath ends on saturday evening at a precisely defined time after sunset using plausibly exogenous variation in traffic volume associated with the sabbath we estimate the effect of traffic volume on the risk of fatal or injurious accident we find that a positive accident externality emerges only at the sabbath exit when traffic volumes are greater remarkably similar results arise when the analysis is confined to non jewish drivers whose travel choices are not bound by the precise timing of the sabbath supporting the interpretation that our findings reflect an externality finally the effect emerges mainly on a class of road sections that is considered highly perilous suggesting that the interaction of traffic volume and road perilousness is important for understanding this issue and shaping implicated policy

south korean chaebols and value based management south korean industrial conglomerates chaebols are discussed in the context of value based management vbm recent economics and finance literature on the diversion of corporate resources from the firm to the controlling shareholders tunneling for which chaebols are notoriously known is discussed chaebols have engaged in empire building and expropriation of minority shareholders distorting the process of efficient resource allocation in south korea and became the root cause of the 1997 financial crisis we argue that the 1997 crisis should be viewed as a consequence of chaebols systematic deviation from the guiding principles of vbm we use tunneling within chaebols as an example of the need to directly address prohibition of the expropriation of minority shareholders as a primary postulate of vbm we argue that vbm should require that the value generated by the firm not be expropriated from minorities or any stakeholders by dominant shareholders we also examine moral and ethical considerations and present explanations as to why the unethical practice of tunneling has been tolerated by the south korean public we show that public opinion on tunneling is changing and that the treatment of minority shareholders by chaebols controlling families is becoming increasingly unacceptable to south koreans

rights offerings takeup renounceability and underwriting status rights offerings in australia provide valuable choices to the issuer in terms of both underwriting and renounceability we formulate a set of hypotheses from a quality signaling perspective affording an analysis of the key interrelations between quality underwriting status renounceability takeup and subscription price discount we analyse rights offerings from two perspectives market reaction to rights announcements and identification of the factors driving the choice of issue type evidence strongly supports the relation between quality signals and issue type using a robustly constructed takeup variable we establish empirical relations between takeup underwriting status and renounceability that differ significantly from those previously reported but which are consistent with the hypotheses developed in this paper 2008 elsevier b v all rights reserved

asset pricing higher moments and the market risk premium a note following the work of rubinstein 4 kraus and litzenberger kl 2 derived and tested a linear three moment pricing model finding the additional variable co skewness to explain the empirical anomalies of the two moment capital asset pricing model capm the three moment model was reexamined by friend and westerfield fw 1 with mixed results the purpose of this note is to examine why the market risk premium rm rf may influence tests of asset pricing models with higher moments when skewness is added to a pricing model developed within the usual two fund separation assumptions the market risk premium enters the pricing equation in a nonlinear fashion and is implicit in the estimation of each moment s coefficient unless this nonlinearity is recognized incorrect conclusions regarding the tests of such models may result section i examines the implications of the risk premium nonlinearity while section ii contains a brief summary

founders heirs and corporate opacity in the united states abstract we argue that information about firm activities can vary substantially in the presence of founder or heir ownership thereby influencing the risks borne by minority investors we explore two hypotheses with regard to these controlling shareholders and corporate transparency focusing on their role as monitor in place and their potential to exploit firm opacity to accrue private benefits of control to test these notions we create an opacity index that ranks the relative transparency of the two thousand largest industrial us firms and find founder and heir ownership in 22 and 25 of these firms respectively our analysis indicates that in large publicly traded companies both founder and heir firms are significantly more opaque than diffuse shareholder firms we also find that founder and heir controlled firms exhibit a negative relation to performance in all but the most transparent firms surprisingly additional tests reveal that concerns about divergences in ownership versus control management type dual class shares and board influence appear to be substantially less important than corporate opacity in explaining the performance impacts of founder and heir control finally we decompose corporate opacity into disclosure and market scrutiny components finding that the disclosure quality component appears to be of greater importance to investors however irrespective of whether these controlling shareholders create or stay in the firm because of corporate opacity our analysis suggests that founders and heirs in large publicly traded firms exploit opacity to extract private benefits at the expense of minority investors

insiders incentives for asymmetric disclosure and firm specific information flows abstract recent research suggests that insiders incentives for capturing cash flows affect price formation process in which insiders are inclined to withhold good news and to accelerate the release of bad news jin and myers 2006 we investigate whether insiders incentives for private control benefit proxied by control ownership wedge affect firm specific return characteristics we find that control ownership wedge is negatively related to the likelihood of positive return jumps and positively related to the extent of asymmetric market reaction to good news rather than to bad news overall our results support the notion that corporate insiders increase opaqueness and withhold good news in order to capture unexpected cash flow

a new test of the three moment capital asset pricing model this paper tests the kraus litzenberger 1976 three moment capital asset pricing model using hansen s 1982 generalized method of moments gmm the gmm approach does not impose strong distributional assumptions on the asset returns this is an interest ing issue since there is no obvious multivariate distribution for returns that also exhibits co skewness using monthly stock returns to test the model there is some evidence that systematic skewness is priced

national culture and corporate debt maturity abstract we investigate the influence of national culture on corporate debt maturity choice based on the framework of williamson we argue that culture located in social embeddedness level can shape contracting environments by serving as an informal constraint that affects human actors incentives and choices in market exchange we therefore expect national culture to be related to debt maturity structure after controlling for legal political financial and economic institutions using hofstede s four cultural dimensions uncertainty avoidance collectivism power distance and masculinity as proxies for culture and using a sample of 114 723 firm years from 40 countries over the 1991 2006 period we find robust evidence that firms located in countries with high uncertainty avoidance high collectivism high power distance and high masculinity tend to use more short term debt we interpret our results as consistent with the view that national culture helps explain cross country variations in the maturity structure of corporate debt

highway safety economic behavior and driving environment author s keeler theodore e abstract economic analysis has enhanced our understanding of the efficacy of highway safety regulations specifically a consumer theoretic literature has developed on drivers responses to regulations based on ideas first set forth by lester lave and w e weber 1970 and more fully thought out by sam peltzman 1975 meanwhile an empirical literature has also developed testing hypotheses relating to the effects on safety of speed limits safety device regulations and alcohol policies among other things yet despite extensive research controversies remain as to the effects of regulations on highway safety this paper contributes to the literature on economic aspects of highway safety in an four important ways first it is based on a county level data set for the u s for 1970 and 980 affording over 2 600 observations each year in a consistent panel many more observations than previous studies have used second this study uses different and more appropriate estimation procedures than most previous studies allowing for the count nature of highway fatalities and correcting for omitted variable bias otherwise possible in cross section analysis third the model used here controls for more variables in a single model than previous studies finally this study allows for important differences in the estimated coefficients between urban and rural driving environments

doing more with less innovation input and output in family firms family firms are often portrayed as an important yet conservative form of organization that is reluctant to invest in innovation however simultaneously evidence has shown that family firms are flourishing and in fact constitute many of the world s most innovative firms our study contributes to disentangling this puzzling effect we argue that family firms owing to the family s high level of control over the firm wealth concentration and importance of nonfinancial goals invest less in innovation but have an increased conversion rate of innovation input into output and ultimately a higher innovation output than nonfamily firms empirical evidence from a meta analysis based on 108 primary studies from 42 countries supports our hypotheses we further argue and empirically show that the observed effects are even stronger when the ceo of the family firm is a later generation family member however when the ceo of the family firm is the firm s founder innovation input is higher and contrary to our initial expectations innovation output is lower than that in other firms we further show that the family firm innovation input output relationships depend on country level factors namely the level of minority shareholder protection and the education level of the workforce in the country

international trade transmission channel of a local crisis a simple model espanolproponemos un modelo de interdependencia general lineal para la economia mundial y utilizamos datos de la division estadistica de las naciones unidas para estimar sus parametros esto nos permite evaluar la propagacion de un shock exogeno a los gastos autonomos de un pais mediante el canal del comercio internacional pudiendo construir un ranking de vulnerabilidad para los paises de la muestra frente a un shock a cualquiera de ellos la respuesta del sistema a un shock negativo sobre los gastos autonomos de estados unidos es llevado a cabo como ejemplo si bien sujeto a multiples debilidades estos resultados de estatica comparativa pueden ser utiles para analisis de politica englishwe propose a linear general interdependence model of the world economy and use united nations statistics division data to estimate its parameters this allows us to assess the propagation through the channel of international trade of an exogenous shock to one country s autonomous expenditures thereby constructing a vulnerability ranking for the countries in the sample to an exogenous shock to any of them the response of the system to a negative shock to the united states autonomous outlays is carried out as an example though subject to multiple caveats these comparative statics results might be useful for policy analysis

the agency problems embedded in firm s equity investment we find that agency problems are embedded in firm s excess and abnormal equity investments that are mainly dictated by controlling shareholder s motives and ethical choices manifested in ownership and board structure the excess equity investment is gauged with respect to industry average the abnormal equity investment is specifically referred to the number of nominal investment companies that are fully controlled by the controlling owners while subject to little governance our empirical evidences of 345 taiwanese non financial listed firms show that firm s excess and abnormal equity investments are negatively correlated with controlling shareholder s cash flow rights while are positively correlated with the control cash flow deviation and board affiliation the results are supportive of the positive incentive hypothesis and the negative entrenchment hypothesis put forth by la porta et al 2002 journal of finance57 1147 1171 and claessen et al 2002 journal of finance57 2741 2742 the negative relation between equity investment and firm s value further supports the agency postulation that corporate excess and abnormal equity investments represent a leeway for controlling shareholder to exploit wealth of minority shareholders this study potentially contributes to the literature of business ethics by portraying an empirically testable linkage from controlling owner s ethical choices to his actions and therefore firm s value

ownership concentration in privatized firms the role of disclosure standards auditor choice and auditing infrastructure we rely on a unique data set to estimate the impact of disclosure standards and auditor related characteristics on ownership concentration in 190 privatized firms from 31 countries accounting transparency can help alleviate the agency conflict between minority investors and controlling shareholders which is evident in the extent of ownership concentration since the expropriation of corporate resources by insiders hinges on these private benefits remaining hidden after controlling for other country level and firm level determinants we find weak no evidence that extensive disclosure standards auditor choice reduce ownership concentration in contrast we provide strong robust evidence that ownership concentration is lower in countries with securities laws that specify a lower burden of proof in civil and criminal litigation against auditors consistent with ball s 2001 predictions collectively our research implies that minority investors worldwide value legal institutions that discipline auditors in the event of financial reporting failure over both the presence of a big five auditor and better disclosure standards

disentangling the incentive and entrenchment effects of large shareholdings this article disentangles the incentive and entrenchment effects of large ownership using data for 1 301 publicly traded corporations in eight east asian economies we find that firm value increases with the cash flow ownership of the largest shareholder consistent with a positive incentive effect but firm value falls when the control rights of the largest shareholder exceed its cash flow ownership consistent with an entrenchment effect given that concentrated corporate ownership is predominant in most countries these findings have relevance for corporate governance across the world

national elections and tail risk international evidence abstract we investigate stock tail risk around national elections worldwide over the period of 1982 2012 we find that firm stock is less likely to crash during the election years and is more likely to crash during the post election period this inter temporal pattern is consistent with the suppression of negative information when there is heightened political uncertainty around elections and with the subsequent release of adverse news when the uncertainty is reduced further analysis shows that the impact of political uncertainty on tail risk is stronger in countries with poorer investor protection fewer electoral checks and balances more uncertain election outcomes and pro business incumbent governments in industries which are more politically sensitive and in firms with larger information asymmetry

gas prices beer taxes and gdl programmes effects on auto fatalities among young adults in the us efforts to reduce teenage driving fatalities can be categorized as enhancing driving skills constraining driving behaviour and limiting the exposure of young drivers to the road this article uses state year specific fatality analysis reporting system fars data on the motor vehicle fatalities of young adults aged 15 24 to estimate the effects of gasoline prices beer taxes and the enactment of graduated drivers license gdl programmes over the 1985 2006 period results indicate that a 10 increase in gasoline prices reduce fatalities by 3 2 6 2 the largest percentage reductions occurred among 15 to 17 year old drivers 10 higher beer taxes were estimated to reduce motor vehicle fatalities among young drivers by approximately 1 3 in this case there was virtually no effect on 15 to 17 year old drivers finally the introduction of more restrictive gdl programmes those with a 6 month learner s permit phase and subsequent limits on early nighttime driving or on the number of passengers reduced

tourism and economic development a survey this article surveys the literature on tourism and economic development identifying the contribution that tourism can make to development including foreign currency income and employment and the costs that it entails single equation and system of equations models for estimating tourism demand are provided indicating developing countries potential to benefit from increasing expenditure on tourism but their susceptibility to deterioration in price competitiveness the main sectors of tourism supply transportation tour operators travel agents and accommodation are examined and the importance of cross country integration between firms is highlighted the article argues that many of the problems associated with the use of environmental resources for tourism stem from market failure and it considers methods for increasing sustainably the returns from them

do jumps contribute to the dynamics of the equity premium abstract this paper investigates whether risks associated with time varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns we find that jumps and jump dynamics are significantly related to the market equity premium the results from our time series approach reinforce the importance of the skewness premium found in cross sectional studies using lower frequency data and offer a potential resolution to sometimes conflicting results on the intertemporal risk return relationship we use a general utility specification consistent with our pricing kernel to evaluate the relative value of alternative risk premium models in an out of sample portfolio performance application

quantifying the premium externality of the uninsured in some insurance markets the uninsured can generate a negative externality on the insured leading insurance companies to pass on costs as higher premia using a novel panel data set and a staggered policy change that exogenously varied the rate of uninsured drivers at the county level in california we quantitatively investigate the effect of uninsured motorists on automobile insurance premia consistent with predictions of theory we find uninsured drivers lead to higher insurance premia specifically a 1 percentage point increase in the rate of uninsured drivers raises insurance premia by between 1 2 we also discuss corrective pigouvian taxes

investor protection and corporate governance recent research has documented large differences among countries in ownership concentration in publicly traded firms in the breadth and depth of capital markets in dividend policies and in the access of firms to external finance a common element to the explanations of these differences is how well investors both shareholders and creditors are protected by law from expropriation by the managers and controlling shareholders of firms we describe the differences in laws and the effectiveness of their enforcement across countries discuss the possible origins of these differences summarize their consequences and assess potential strategies of corporate governance reform we argue that the legal approach is a more fruitful way to understand corporate governance and its reform than the conventional distinction between bank centered and market centered financial systems

tunneling and propping a justification for pyramidal ownership abstract this paper links existence of the pyramidal ownership structure to tunneling and propping tunneling refers to a transfer of resources from a lower level firm to a higher level firm in the pyramidal chain whereas propping concerns a transfer in the opposite direction intended to bail out the receiving firm from bankruptcy we show that tunneling alone cannot justify the pyramidal structure unless outside investors are myopic since rational outside investors anticipate tunneling and adjust their willingness to pay for the firm s shares accordingly with propping however they may be willing to be expropriated in exchange for implicit insurance against bankruptcy

structural models and endogeneity in corporate finance the link between managerial ownership and corporate performance this paper presents a parsimonious structural model that isolates primary economic determinants of the level and dispersion of managerial ownership firm scale and performance and the empirical associations among them in particular variation across firms and through time of estimated productivity parameters for physical assets and managerial input and corresponding variation in optimal compensation contract and firm size combine to deliver the well known hump shaped relation between tobin s q and managerial ownership to assess the effectiveness of standard econometric approaches to the endogeneity problem we apply those remedies to panel data generated from the model the unfortunate conclusion is that at least in the ownership performance context proxy variables fixed effects and instrumental variables do not generally provide reliable solutions to simultaneity bias

the optimal gas tax for california this paper calculates the optimal gasoline tax for the state of california according to our analysis the optimal gasoline tax in california is 1 37 gal which is over three times the current california tax when excluding sales taxes the pigovian tax is the largest part of this tax comprising 0 85 gal of this the congestion externality is taxed the most heavily at 0 27 followed by oil security accident externalities local air pollution and finally global climate change the other major component a ramsey tax comprises a full 0 52 of this tax reflecting the efficiency in raising revenues from a tax on gasoline consumption due to the inelastic demand of this consumption good

finance and inequality the case of india although theory emphasizes the role of financial market frictions in explaining income inequality there is little empirical research exploring how financial development and financial sector reforms influence the evolution of income inequality this article examines how finance impacts income inequality in india using annual time series data for over half a century the results indicate that while financial development helps reduce income inequality financial liberalization seems to exacerbate it the results are robust to the use of different measures for financial development and financial liberalization although the relationship between financial development and economic growth has been extensively studied in the literature see for example king and levine 1993 demetriades and hussein 1996 arestis and demetriades 1997 levine loayza and beck 2000 bell and rousseau 2001 ang and mckibbin 2007 little is known about how finance impacts income inequality the importance of the finance inequality relationship has recently been highlighted in an insightful survey article by claessens and perotti 2007 they indicate that while financial development can help reduce income inequality financial liberalization captured by established interests may do the opposite the theoretical predictions of the effects of finance on income inequality are controversial rajan and zingales 2003b argue that improvements in the formal financial sector primarily benefit the rich greenwood and jovanovic 1990 predict a nonlinear relationship between financial development and income inequality where it is hypothesized that income inequality first increases with the degree of sophistication in the financial systems then stabilizes and eventually declines others propose that the presence of financial market imperfections deters the poor from borrowing adequately to invest in human and physical capital implying that financial development helps alleviate income inequality banerjee and newman 1993 galor and zeira 1993 aghion and bolton 1997 mookherjee and ray 2003 2006 given that theories provide ambiguous predictions regarding the effects of finance on the distribution of income it is useful to approach the issue at the empirical level this could facilitate our understanding of the relationship between finance and inequality and help us to assess the validity of each theoretical model despite the important role of financial market frictions in the theories of poverty and income inequality researchers so far have not adequately addressed whether financial

the accident externality from driving we estimate auto accident externalities more specifically insurance externalities using panel data on state average insurance premiums and loss costs externalities appear to be substantial in traffic dense states in california for example we find that the increase in traffic density from a typical additional driver increases total statewide insurance costs of other drivers by 1 725 3 239 per year depending on the model high traffic density states have large economically and statistically significant externalities in all specifications we check in contrast the accident externality per driver in low traffic states appears quite small on balance accident externalities are so large that a correcting pigouvian tax could raise 66 billion annually in california alone more than all existing california state taxes during our study period and over 220 billion per year nationally

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

comovement information production and the business cycle abstract recent theoretical research suggests that information production is a positive externality of aggregate economic activity veldkamp 2005 both the quantity and quality of information increase during periods of economic expansion and decrease during periods of contraction based on this insight we hypothesize and confirm that time varying information production drives the comovement patterns observed in stock returns we examine stock return comovement in 36 countries from 1980 to 2007 and show that consistent with the theory comovement patterns are countercyclical that is when information production is high low comovement is low high we also find that the relation between comovement and the business cycle is stronger in countries that experience large intertemporal swings in information production finally we show that the relation between business cycle and comovement is stronger in poor countries countries with less developed financial markets and countries with weaker accounting and transparency standards these results suggest that financial development and transparency are conducive to a steady flow of financial information over the business cycle

full privatization through controlling rights transfer in china the extent of its success this article investigates the effect of the second step of privatization in china which is full privatization through controlling rights transfer after share issue partial privatization it finds that fully privatized firms perform worse than state controlled enterprises expropriation by private block shareholders is greater than that by state block shareholders furthermore increase in expropriation is negatively related to performance change the results suggest that full privatization may not yield the expected efficiency gains in transition economies with weak legal system they also emphasize the importance of preventing private block shareholders from exploiting minority shareholders in the process of full privatization

corporate governance and conditional skewness in the world s stock markets we investigate why stock returns in emerging markets tend to be more positively skewed than those in developed markets we argue that differences in the quality of corporate governance matter to return skewness using return data from more than fourteen thousand individual stocks in 38 countries we find that positive skewness is most profound in stocks from markets that have poor corporate governance our results are robust to a variety of model specifications different measures of return asymmetries and alternative measures of corporate governance finally analogous results are also obtained from aggregate stock market returns

do countries matter for voluntary disclosure evidence from cross listed firms in the us this paper explores the likelihood and consequences of voluntary disclosure proxied by management earnings forecasts for a sample of 1005 cross listed firms in the us from 40 countries over the period 1996 2005 our study is grounded in a three tiered conceptual framework that relies on insights from and implications of institutional theory agency theory and bonding theory to explain the costs and benefits associated with voluntary disclosure consistent with institutional theory and agency theory our results indicate that disclosure likelihood increases with the strength of cross listed firms home country legal institutions and is also influenced by us listing type product market internationalization and ownership structure further our results show that voluntarily committing to us disclosure practice is associated with lower information asymmetry which supports reputational bonding theory overall our study provides a costs and benefits framework to understand voluntary disclosure practices in an international context our work also presents evidence that home country institutions still matter when foreign firms migrate into the us financial market which highlights the importance of country level institution development

firm ownership and productivity a study of family and non family smes motivated by a lack of consensus in the current literature the objective of this paper is to reveal whether family firms are more or less productive than non family firms as a first step this paper links family business research to the theoretical notion that family involvement has an effect on the factors of production from a productivity standpoint second by using a cobb douglas framework we provide empirical evidence that family labour and capital indeed yield diverse output contributions compared with their non family counterparts in particular family labour output contributions are significantly higher and family capital output contributions significantly lower interestingly differences in total factor productivity between family and non family firms disappear when we allow for heterogeneous output contributions of family production inputs these findings imply that the assumption of homogeneous labour and capital between family and non family firms is inappropriate when estimating the production function

legal institutions and fragile financial markets abstract this study investigates equity liquidity variation with a funding constraint across 38 countries and examines whether the effectiveness of a country s legal institutions is systematically related to cross country differences in fragile equity liquidity our results show that firms from countries with more extensive disclosure requirements tend to have lower liquidity shocks due to funding constraints leading to higher firm value this effect is stronger for ex ante disclosures especially for countries with a high level of openness and market volatility our empirical results are robust to the 2sls regression model the random effect regression model the alternative measure of fragile equity liquidity and the alternative measure of disclosure and enforcement variables our study provides a better understanding of the effect of information environments amidst periods of funding constraint

reviewing the business case for corporate social responsibility new evidence and analysis this study complements previous empirical research on the business case for corporate social responsibility csr by employing hitherto unused data on corporate social performance csp and proposing statistical analyses to account for bi directional causality between social and financial performance by allowing for differences in the importance of single components of csp between industries the data in this study overcome certain limitations of the databases used in earlier studies the econometrics employed offer a rigorous way of addressing the problem of endogeneity due to simultaneous causality although the study s results provide no evidence that there is a generic or universal business case for csr they indicate that there is a strong link between single stakeholder related issues of csr and financial performance however the analysis does not establish causality within these relationships

separating risk and return in the capm a general utility based model abstract the author proposes a new utility function which captures trade offs between return and a large body of risk measures as defined by popular risk return models in the management science literature while exhibiting desirable properties for a financial investor this function forms the basis for an extension to the capital asset pricing model which links general asymmetric risk measures and risk value models with equilibrium asset pricing

financing reputation and information disclosure quality in the chinese market abstractin this article we propose a theoretical model based on the reputation theory and hypothesize a positive relation between the information disclosure quality and the company s refinancing decision we collected data from the listed companies which refinances in shenzhen main board and sme board during 2006 2012 as a panel sample and tested the hypothesis empirically the results indicate that there exists a significant positive correction short term relation between refinancing decision and the information disclosure quality but in the long term the relationship between the information disclosure quality and refinancing decision is not significant

principal principal conflicts and corporate philanthropy evidence from chinese private firms the principal principal perspective suggests that controlling shareholders have excessive influence on corporate philanthropy and may direct corporate funds to charitable causes to support their personal interests analysis of a sample of chinese private firms listed on the shenzhen or shanghai stock exchange between 2004 and 2011 shows that 1 there is a significant and negative relationship between corporate giving and the share held by the largest shareholders suggesting that controlling shareholders are opportunistic in directing corporate charitable contributions 2 there is a significant and positive relationship between corporate giving and the political connections of the largest shareholders and their agents suggesting compatibility between corporate contributions and the personal interests of the controlling shareholders 3 there is a stronger negative relationship between corporate giving and the share of the company held by the largest shareholders in politically connected firms suggesting that political connections contribute to increased opportunistic corporate giving overall our study provides important evidence for the one dominant controlling shareholder phenomenon yigududa by testing and extending the principal principal framework and showing that the largest shareholders of chinese firms appear to donate to charitable causes that ultimately serve their personal interests at the expense of minority shareholders

does home bias affect firm value evidence from holdings of mutual funds worldwide this study finds strong evidence that home bias affects firm valuation at both country and firm levels at the country level increasing the bias of domestic investors toward home equity lowers the market valuation of home equity at the firm level firm value increases as the compositions of local equities held by domestic and foreign investors tend toward the firms global market capitalization weights but decreases as their weights deviate from global weights overall the evidence is consistent with the optimal global risk sharing hypothesis that the greater risk sharing between domestic and foreign investors in international capital markets reduces the cost of capital and hence enhances market valuation

conditional volatility skewness and kurtosis existence persistence and comovements abstract recent portfolio choice asset pricing value at risk and option valuation models highlight the importance of modeling the asymmetry and tail fatness of returns these characteristics are captured by the skewness and the kurtosis we characterize the maximal range of skewness and kurtosis for which a density exists and show that the generalized student t distribution spans a large domain in the maximal set we use this distribution to model innovations of a garch type model where parameters are conditional after demonstrating that an autoregressive specification of the parameters may yield spurious results we estimate and test restrictions of the model for a set of daily stock index and foreign exchange returns the estimation is implemented as a constrained optimization via a sequential quadratic programming algorithm adequacy tests demonstrate the importance of a time varying distribution for the innovations in almost all series we find time dependency of the asymmetry parameter whereas the degree of freedom parameter is generally found to be constant over time we also provide evidence that skewness is strongly persistent but kurtosis is much less so a simulation validates our estimations and we conjecture that normality holds for the estimates in a cross section setting we also document covariability of moments beyond volatility suggesting that extreme realizations tend to occur simultaneously on different markets

estimating the impact of incidents on urban controlled access highways an empirical analysis abstractan empirical analysis is developed that quantifies the impact of different types of traffic incidents on the speed and maximum flow averages of vehicles on a controlled access highway the incident types considered include damage to highway infrastructure vehicle rollover crashes into stationary objects collisions with moving vehicles rain fog vehicle breakdowns pedestrians on roadway etc using real world data from chile s most heavily used urban motorway freeway estimates of incident impacts on speed are generated using a multiple linear regression model incorporating instrumental variables to correct for endogeneity flow results are then generated using the fundamental traffic equation relating speed flow and density a ranking of the impacts on highway traffic of the different incident types based on incident frequency as well as impact size demonstrates that for the real case studied the incidents with the greatest cumulative effect are in order of magnitude vehicle breakdow

automobile externalities and policies this paper discusses the nature and magnitude of externalities associated with automobile use including local and global pollution oil dependence traffic congestion and traffic accidents it then discusses current federal policies affecting these externalities including fuel taxes fuel economy and emissions standards and alternative fuel policies summarizing insofar as possible the welfare effects of those policies finally we discuss emerging pricing policies including congestion tolls and insurance reform and summarize the appropriate combination of policies to address automobile externalities

the estimation of keynesian income multipliers at the sub national level 1988 the estimation of keynesian income multipliers at the sub national level applied economics vol 20 no 11 pp 1435 1444

the economic impact of the operation and closure of a nuclear power station lewis p m 1986 the economic impact of the operation and closure of a nuclear power station reg studies 20 425 432 this paper addresses the question of the extent to which one nuclear power station has generated economic benefits for its host economy throughout its operational stage and how far these benefits will be reversed on its closure it does this by evaluating the employment impact of the station s operation and thence predicting the impact of closure on employment opportunities and on unemployment a keynesian multiplier exercise forms the basis of the predictions which relate to the travel to work area which plays host to the power station an essential element in the question in the effect of remoteness on economic impact and dependence the implications of closure for planners are considered

the effects of legal reforms on the ownership structure of listed companies a general view in the corporate governance literature is that corporate ownership structures are rather stable in time and change slowly however even if changes in ownership structures are difficult due to path dependence anecdotal evidence indicates that some sort of transition towards the us style corporate ownership could be occurring in civil law countries the aim of this article is to test the so called law and finance view which predicts that this convergence will only happen if the appropriate regulatory framework is in place we test this prediction using longitudinal data from italian listed companies assessing the effects of recent legal reforms our results show that an increase in the protection of investors rights is associated with a lower use of control enhancing mechanisms and a lower separation of control and cash flow rights while it is less evident if it is associated with a more dispersed ownership these findings carry important implications for theory and practice

regulation of road accident externalities when insurance companies have market power abstract accident externalities that individual drivers impose on one another via their presence on the road are among the most important external costs of road transport we study the regulation of these externalities when insurance companies have market power some of the results we derive have close resemblance to the earlier literature on externality regulation with market power in aviation and private roads but there are important differences too using analytical models we compare the first best public welfare maximizing outcome with a private profit maximizing monopoly and oligopoly we find that insurance companies will internalize some of the externalities depending on their degree of market power we derive optimal insurance premiums and regular parametric taxes as well as manipulable ones that make the companies set socially optimal premiums the latter take into account that the firm tries to exploit knowledge of the tax rule applied by the government finally we also study the taxation of road users rather than that of firms

conditional coskewness in stock and bond markets time series evidence in the context of a three moment intertemporal capital asset pricing model specification we characterize conditional coskewness between stock and bond excess returns using a bivariate regime switching model we find that both conditional u s stock coskewness the relation between stock return and bond volatility and bond coskewness the relation between bond return and stock volatility command statistically and economically significant negative ex ante risk premiums the impacts of stock and bond coskewness on the conditional stock and bond premiums are quite robust to various model specifications and various sample periods and also hold in another major developed country the united kingdom the findings also carry important implications for portfolio management