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

persistence of interindustry wage differentials a reexamination using matched worker firm panel data we estimate interindustry wage differentials using new french longitudinal data that allow a tracking of workers and their firms over time we find that when measured on a cross sectional basis they primarily reflect the interindustry variations in unmeasured labor quality however interindustry wage differentials are only a minor component of interfirm wage differentials the average differential in wages paid to the same workers by different firms is about 20 30 in a given industry wage policies are more favorable to workers in large capital intensive firms

sorting and agglomeration economies in french economics departments abstract are agglomeration and peer effects at stake in academic research to tackle this question we study how departments characteristics affect the quantity and quality of academics publications in economics in france controlling for individual time varying characteristics and individual fixed effects department characteristics have an explanatory power at least equal to a quarter of that of individual characteristics and possibly as high as theirs the quantity and quality of an academic s publications in a field increase with the presence of other academics specialised in that field and with the share of the department s publications output in that field in contrast department size proximity to other large departments homogeneity in terms of publication performance presence of colleagues with connections abroad and composition in terms of positions and age matter for some publication measures but only if not controlling for individual fixed effects

symmetric pass through of tariffs and exchange rates under imperfect competition an empirical test abstract this paper examines the effect of tariffs and exchange rates on u s prices of japanese cars trucks and motorcycles in particular we test whether the long run pass through of tariffs and exchange rates are identical the symmetry hypothesis we find that this hypothesis is easily accepted in our sample we also find that the pass through relation varies across products ranging from about 0 6 for trucks to unity for motorcycles these coefficients have very different implications for trade policy we explain the results based on demand cost and institutional conditions in each industry

the turn of the year in canada a number of investigators have reported that january stock returns in the u s exceed returns for other months of the year this paper documents a similar finding for canadian stocks over the period 1951 1980 however canada did not introduce a capital gains tax until 1973 and the paper reports that january returns in canada exceed returns for other months of the year before and after this date thus these data do not support the tax loss selling pressure hypothesis as the entire explanation for the turnof the year effect in stock returns nor by implication do they support the tax lossselling pressure hypothesis as the complete explanation for the small firm effect in u s stocks returns recently keim 9 has reported that returns on nyse and ase firms with small market values exceed by significant margins returns on firms with large market values this result was previously reported by banz 1 and reinganum 11 but keim s analysis shows that most of the excess return for small firms is concentrated in january indeed it is concentrated in the first two weeks in january roll 13 also documents this phenomenon and investigates a number of possible explanations for it 2 after rejecting several possible nonexploitable explanations roll is left with year end tax loss selling pressure of the sort discussed by branch 2 dyl 5 and givoly and ovadia 6 as the most likely explanation of this result according to the tax loss selling pressure hypothesis toward the end of the year stockholders sell stocks that have declined in price during the year investors do this to take advantage of the opportunity to write off capital losses against ordinary income in computing their federal income taxes the year end sell off exerts downward pressure on stock prices as soon as the tax and calendar year ends the selling pressure is relieved and stock prices quickly rebound to their equilibrium levels roll 13 presents some evidence consistent with this hypothesis specifically he finds a negative correlation between stock returns in january and returns over the previous 12 months that is stocks that decrease in value during the year tend to be big gainers in january roll also finds that

patterns in japanese common stock returns day of the week and turn of the year effects stock markets in the united states and foreign countries exhibit a strong weekly seasonal 1 an empirical regularity for which no theoretical explanation has been found one s belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the united states by distance institutional arrangements and culture this paper extends the results found in 5 and more closely examines the day to day stock market returns for japan while we find a weekly seasonal in japan its nature is significantly different in a statistical sense from the american one for example the lowest mean return in japan occurs on tuesday not monday as in the united states thus while the day of the week effect for american stocks has been casually called the weekend effect it should not be referred to in this way for japanese stocks the next part of the paper examines causes for the unique japanese seasonal we investigate whether the results in japan are associated with those in the united states and in particular consider whether the low tuesday return in japan and the low monday return in the united states are due to time zone differ ences the settlement process and the measurement error problem also are treated we next consider the relationship between foreign exchange returns and stock market returns the seasonal in daily foreign exchange returns does not offset the seasonal in daily stock market returns thus both japanese and american investors confront a day of the week effect in the japanese stock mar ket our data also allow us to investigate the turn ofthe year effect japanese stock returns in january are significantly above the returns during the rest of the year however unlike some reports using u s data see 12 and 13 we find no interaction in japan between the monday effect and the january effect

pre holiday effects international evidence on the decline and reversal of a stock market anomaly abstract the pre holiday effect is one of the best known of the calendar effect anomalies this paper extends prior work by examining whether the effect has declined for the u s u k and hong kong markets for all three markets the effect is shown to have declined but only significantly in the u s the result is not surprising given the relative sophistication of the market what is surprising however is the reversal of the pre holiday effect during the period 1991 1997 with the mean return on pre holiday days becoming negative and the subsequent elimination of this effect during 1997 2003

anomalies weekend holiday turn of the month and intraday effects abstract this feature will report successful searches for disconfirming evidence economic anomalies as suggested by thomas kuhn an economic anomaly is a result inconsistent with the economics pa

is there a monthly effect in stock market returns evidence from foreign countries abstract in a recent paper ariel documents a monthly pattern for u s stock market returns our paper examines this pattern of returns in four other countries we find only weak evidence supporting this phenomenom in these foreign markets just one country exhibits a significant seasonal consistent with ariel s work however we do find stronger evidence of a last day of the month effect in addition there is evidence of a country unique monthly pattern i e one that is not consistent with the u s pattern

investigating the behavior and characteristics of the madrid stock exchange abstract this study examines the efficiency and characteristics of the nine major indexes of the madrid stock exchange from 1941 through 1992 the findings do not support weak form efficiency among the general bank construction investment metal working and chemical indexes results of the utility food and communications index tests are not consistent

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

a model of exchange rate pass through abstract exchange rate pass through is the phenomenon whereby changes in the value of foreign exchange are reflected in changes in import prices this paper presents a partial equilibrium model in which firms are price setters who anticipate exchange rate changes in equilibrium firms strategies incorporate expectations about the exchange rate consistently and are best responses to the strategies of all others in the world market it is shown that exchange rate changes give rise to import price changes but the degree of exchange rate pass through depends upon domestic and foreign market structures and the exchange rate regime in general exchange rate pass through is higher if the home market is monopolistic or if the foreign market is competitive

religious holidays investor distraction and earnings announcement effects abstract we examine price reactions to u s firms earnings announcements during easter week in order to analyze whether and how the religious holiday calendar impacts investors information processing we find that there is an asymmetric pattern of immediate and delayed responses to earnings surprises experienced during easter entailing similar immediate reactions to both good and bad news and a stronger delayed response to bad news moreover local religious characteristics affect investor s response to firm news the results are consistent with a religion induced distraction effect on investors information processing ability we also show that this effect can form the basis for a profitable trading strategy the findings highlight the importance of religion for firms information environment and for the local component of stock prices

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

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

firming up inequality earnings inequality in the united states has increased rapidly over the last three decades but little is known about the role of firms in this trend for example how much of the rise in earnings inequality can be attributed to rising dispersion between firms in the average wages they pay and how much is due to rising wage dispersion among workers within firms similarly how did rising inequality affect the wage earnings of different types of workers working for the same employer men vs women young vs old new hires vs senior employees and so on to address questions like these we begin by constructing a matched employer employee data set for the united states using administrative records covering all u s firms between 1978 to 2012 we show that virtually all of the rise in earnings dispersion between workers is accounted for by increasing dispersion in average wages paid by the employers of these individuals in contrast pay differences within employers have remained virtually unchanged a finding that is robust across industries geographical regions and firm size groups furthermore the wage gap between the most highly paid employees within these firms ceos and high level executives and the average employee has increased only by a small amount refuting oft made claims that such widening gaps account for a large fraction of rising inequality in the population

high stock returns before holidays existence and evidence on possible causes on the trading day prior to holidays stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year over one third of the total return accruing to the market portfolio over the 1963 1982 period was earned on the eight trading days which each year fall before holiday market closings examination of hourly pre holiday stock returns reveals high returns throughout the day pre holiday stock returns in the post test 1983 1986 period are also examined this paper explores a seeming empirical regularity in the pattern of daily stock index returns surrounding holidays the trading day prior to holidays on average exhibits high positive returns over one third of the return earned by the market over the twenty year test period accrued on the eight trading days which annually fall before holidays intimations of the pre holiday strength have appeared in the academic literature in an examination of the frequency of dow jones industrial average advances on days surrounding weekends during the 1901 to 1932 period fields 1934 finds a disproportionate frequency of advances on trading days preceding long holiday weekends roll 1983a finds high returns accruing to small firms on the trading day prior to new year s day lakonishok and smidt 1984 note that prices also rise in all deciles of market capitalization on the last trading day before christmas and conclude that the high christmas returns of large companies might be considered another mystery a number of stock market advisors have also noted the pre holiday strength merrill 1966 finds a disproportionate frequency of dow jones industrial average advances on days preceding holidays during the 1897 to 1965 period and fosback 1976 has noted high preholiday returns in sp further hourly returns and closing bid ask data are examined to determine when high returns accrue on preholidays tests are also conducted showing that pre holiday strength is not

the term structure of the forward premium abstract most studies of the efficiency of the foreign exchange market focus on a single maturity usually a one month forward exchange rate however one observes that forward contracts of many maturities are simultaneously traded in the foreign exchange market the hypothesis that the foreign exchange market uses all available information has implications for the joint behavior of forward exchange rates of various maturities this paper proposes an equilibrium theory of the term structure of the forward premium the model is tested using data on the german and canadian exchange rates the results indicate that the data are consistent with the theory for germany and inconsistent with the theory for canada

turn of month evaluations of liquid profits and stock returns a common explanation for the monthly and january effects this paper presents and tests a hypothesis that the standardization of payments in the united states at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month the hypothesis also asserts that returns generally will be greater following the month of december and will vary inversely with the stringency of monetary policy empirical results using stock index returns for 19691986 support the hypothesis this analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the january effect in a recent paper ariel 1987 documents an important empirical regularity in stock returns and terms it the monthly effect using value weighted and equally weighted daily stock index returns for the period 1963 1981 ariel shows that virtually all of the cumulative return on these indexes is realized on ten consecutive trading days of the calendar month beginning with the last trading day of the month and extending through the first nine trading days of the following month ariel considers various explanations for this phenomenon but none sufficed to explain the observed empirical regularity p 174 more recently lakonishok and smidt 1988 examine returns on the dow jones industrial average index for the period 1897 1986 and find that significant mean daily returns are realized consistently on only four consecutive trading days of the calendar month beginning with the last trading day of the month these trading days will henceforth be referred to as the turn of month trading days ariel s and lakonishok and smidt s tests indicate that the monthly effect is not merely another manifestation of the previously documented january effect rozeff and kinney 1976 first documented that average stock index returns in january are higher than in any other month keim 1983 and others find that the surge in january returns is largely confined to stocks of small firms and to the first few trading days in january branch 1977 and others have suggested that the surge in january returns is due to year end tax loss selling and subsequent repurchases in january studies by roll 1983 reinganum 1983 ritter 1988 and others provide evidence consistent with the tax loss selling

stock return comovement around the dow jones islamic market world index revisions we examine patterns of comovement in stock returns around the dow jones islamic market world index djimwi quarterly revision events our analysis is based on a sample of 8250 companies from eighteen countries during the period may 1999 june 2012 we find that a stock s comovement with the djimwi increases when it joins and decreases when it leaves the index we also find that the comovement of newly added deleted stocks with the existing djimwi constituents increases declines during periods of high trading activity and during the month of ramadan further tests reveal that changes in the fundamentals have no impact on the comovements of added and deleted stocks overall our results indicate that stock returns respond to the emotional state of investors around information free events

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

are seasonal anomalies real a ninety year perspective in recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return in addition to the widely studied relation between firm size and rate of return 1 these include seasonal regularities related to the time of the day harris 1986 the day of the week see ball and bowers 1986 cross 1973 french 1980 gibbons and hess 1981 jaffe and westerfield 1985 keim and stambaugh 1984 and lakonishok and levi 1982 the time of the month ariel 1987 and the turn of the year see haugen and lakonishok 1988 jones pearce and wilson 1987 lakonishok

decomposing the large firm wage premium in germany abstract we use an extensive matched employer employee dataset to analyze the employer size wage relation and its contribution to wage inequality in germany applying models with additive fixed effects for workers and establishments we document that the large firm wage premium lfwp which rose over 25 years has only recently started to decrease our decomposition shows that firm size explains a significant share of the trends in wage inequality the lfwp accounts for about 20 of the rise in wage inequality from the mid 80s to 2010 from 2010 onward wage inequality has slightly declined and the lfwp accounts for 33 of this trend reversal

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

identifying sorting in theory assortative matching between workers and rms provides evidence of the complementarities or substitutes in production the presence of complementarities is important for policies that aim to achieve the optimal allocation of resources for example unemployment insurance we argue that using wage data alone it is virtually impossible to identify whether assortative matching is positive or negative even though we cannot identify the sign of the sorting we can identify the strength i e the magnitude of the cross partial and the associated welfare loss we show rst that the wage for a given worker is non monotonic in the type of his employer this is due to the fact that in a sorting model wages reect the opportunity cost of mismatch we show analytically that this non monotonicity prevents standard rm xed eects to correlate with the true type of the rm we then propose an alternative procedure that measures the strength of sorting in the presence of search frictions knowing the strength of sorting facilitates the measurement of the output loss due to mismatch

households vulnerability from trade in vietnam abstract this paper assesses vulnerability from trade in vietnam by presenting an extended version of ligon and schechter s 2003 vulnerability as low expected utility veu measure it uses the vietnam household living standard surveys vhlss panel data covering the period 2002 06 the empirical results show that risk induced vulnerability and heterogeneity in trade exposure matter in determining household overall vulnerability and that this is not linked to the actual manifestation of shocks although it does not represent by any means an argument against free trade this work is relevant for policymaking since it contributes to deepen our knowledge on the subtle links between trade openness and vulnerability and informs us about suitable instruments to accompany it

the optimal pricing of exports invoiced in different currencies abstract the paper presents a model of optimal pricing of exports invoiced in different currencies integrating export pricing with exchange risk management the model maximizes the present value of an exporter s profits from sales in different currencies in the presence of covered interest arbitrage exchange risk and transactions costs given the corresponding cost minimization by the buyers it turns out that the optimal prices in the different currencies are equal at the spot exchange rate only by chance if all the other conditions for the equality of the prices are satisfied it is optimal to set a lower export price in the currency with the lower interest rate and a higher price in the currency with the higher interest rate in order to induce the buyers to pay in the currency offering the lower interest rate the effects on the optimal prices of factors such as interest rates spot exchange rates the buyers and seller s exchange rate expectations and initial foreign exchange positions as well as demand elasticities are analyzed in detail the paper shows that the observed pass through of exchange rates to prices of less than 100 is consistent with optimality

exchange rates and prices the adjustment of relative prices to exchange rate movements is explained in an industrial organization approach given labor costs in the respective currencies exchange rate movements change costs for firms selling in the home market and thus disturb the industry equilibrium the extent of absolute and relative price adjustment is shown to depend on market integration product substitutability the relative number of domestic and foreign firms and the market structure the impact of exchange rates on prices is illustrated in a variety of approaches including the cournot a dixit and j stiglitz 1977 and s salop 1979 models some empirical evidence is offered in support of the theory copyright 1987 by american economic association

high wage workers match with high wage firms clear evidence of the effects of limited mobility bias abstract limited mobility bias explains why positive assortative matching is not observed in the empirical literature using german social security records we estimate the correlation between worker and firm contributions to wage equations and find that it is unambiguously positive