not only what but also when a theory of dynamic voluntary disclosure we examine a dynamic model of voluntary disclosure of multiple pieces of private information in our model a manager of a firm who may learn multiple signals over time interacts with a competitive capital market and maximizes payoffs that increase in both period prices we show perhaps surprisingly that in equilibrium later disclosures are interpreted more favorably even though the time the manager obtains the signals is independent of the value of the firm we also provide sufficient conditions for the equilibrium to be in threshold strategies

equilibrium exchange rates and supply side performance this paper develops a two country optimising sticky price model of real exchange rate determination in the new open macroeconomics tradition which allows several different forms of deviation from purchasing power parity ppp both along the adjustment path and in the steady state the model has a rich structure and is designed to provide a flexible tool for policy analysis unlike most other papers in the literature both of the key components of the real exchange rate the relative price of non tradables and the terms of trade are made endogenous allowing a more complete analysis of the impact of structural shocks to illustrate one possible application the model is calibrated to match key elements of the uk and euro area economies and used to examine the extent to which possible improvements in the united kingdom s relative supply side performance might account for the sharp and persistent appreciation in sterling since 1996 the results are not supportive of this hypothesis in the model improvements in productivity goods market and labour market competitiveness are all associated with a depreciation in both the spot and the equilibrium real sterling exchange rates two potential supply side sources of an equilibrium appreciation a productivity improvement biased towards traded goods balassa samuelson effect and an anticipated future productivity rise are considered however each is insufficient to account for a long run equilibrium appreciation the latter may account for an initial appreciation of the real exchange rate we conclude by considering further mechanisms that could affect our results

endogenous information flows and the clustering of announcements we consider the strategic timing of information releases in a dynamic disclosure model because investors don t know whether or when the firm is informed the firm will not necessarily disclose immediately we show that bad market news can trigger the immediate release of information by firms conversely good market news slows the release of information by firms thus our model generates clustering of negative announcements surprisingly this result holds only when firms can preemptively disclose their own information prior to the arrival of external information these results have implications for conditional variance and skewness of stock returns jel d21 d83 g12 g14 l11

the characteristics of individual analysts forecasts in europe abstract this study investigates the determinants of financial analysts forecasts differential accuracy in 14 different european stock markets using the i b e s detail history database i find that european financial analysts forecast accuracy is positively associated with analyst firm specific experience forecast accuracy is negatively associated with the number of countries followed by analysts and the age of the forecast surprisingly i find no relationship between forecast accuracy and analysts job experience and the size of the bank employing the analyst

management earnings forecasts and value of analyst forecast revisions this study examines the stock price reactions to analyst forecast revisions around earnings announcements to test whether preannouncement forecasts reflect analysts private information or piggybacking on confounding events and news we find that management earnings forecasts influence the timing and precision of analyst forecasts more importantly evidence suggests that prior studies finding of weaker stronger stock price responses to forecast revisions in the period immediately after before the prior quarter earnings announcement disappears once management earnings forecasts are controlled for to the extent that management earnings forecasts are public disclosures our results suggest that the importance of analysts information discovery role documented in prior studies is likely to be overstated this paper was accepted by wei jiang finance

analyst responsiveness and the post earnings announcement drift abstract this study examines the responsiveness of analyst forecasts to current earnings announcements the results show considerable cross sectional variation in analyst responsiveness and suggest that this variation is related to the costs and benefits associated with prompt forecast revisions more importantly this study finds that with responsive forecast revisions more of the market reaction takes place in the event window and less in the drift window suggesting that analyst responsiveness mitigates the post earnings announcement drift and facilitates market efficiency

measuring macroeconomic instability a critical survey illustrated with exports series for at least 40 years the analysis of the causes and consequences of macroeconomic instability has greatly deepened our understanding of the handicaps faced by developing countries this concern on economic instability is evidenced by a broad spectrum of indicators based on the deviation of observed values of a given economic aggregate from its reference or trend value in general the choice of this or that indicator is not discussed advocating that the resulting instability indicators are closely correlated focusing on measurements of instability in export revenue data for 134 countries from 1970 to 2005 this paper finds that this assertion may be true for variancebased indicators measuring the average magnitude of deviations from the trend however great discrepancies may arise between different measures of the asymmetry or of the occurrence of extreme deviations around the trend when different trend computation methods are used our purpose is therefore to invite further discussions regarding the use of these indicators and to highlight the different dimensions of instability which have been so far unheeded by the economic literature

following the leader a study of individual analysts earnings forecasts abstract this paper develops and tests procedures for ranking the performance of security analysts based on the timeliness of their earnings forecasts the abnormal trading volume associated with these forecasts and forecast accuracy our framework provides an objective assessment of analyst quality that differs from the standard approach which uses survey evidence to rate analysts we find that lead analysts identified by our measure of forecast timeliness have a greater impact on stock prices than follower analysts further we find that performance rankings based on forecast timeliness are more informative than rankings based on abnormal trading volume and forecast accuracy we also present evidence that analyst s forecast revisions are correlated with recent stock price performance suggesting that security analysts use publicly available information to revise their earnings forecasts

a theory of tolerance abstract we propose a theory of tolerance where endogenous lifestyles and exogenous traits are invested with symbolic value by people value systems chosen by parents for their children affect the esteem enjoyed by individuals in society intolerant individuals attach all symbolic value to a small number of attributes and are irrespectful of people with different ones tolerant people have diversified values and respect social alterity we study the formation of values attached to various types of attributes and identify circumstances under which tolerance spontaneously arises policy may affect the evolution of tolerance in distinctive ways and there may be efficiency as well as equity reasons to promote tolerance an empirical investigation of tolerance of homosexuality demonstrates that our theory helps to shed light on survey data of endorsed values

analyzing the analysts career concerns and biased earnings forecasts this paper examines the career concerns of security analysts we relate long histories of their earnings forecasts to job separations we find that relatively accurate past forecasts lead to favorable career outcomes such as remaining at or moving up to a high status large prestigious brokerage house controlling for accuracy optimistic forecasts relative to the consensus increase the chances of favorable job separations job separations depend much less on accuracy for analysts who cover stocks that are underwritten by their brokerage houses such analysts are also much more likely to be rewarded for optimistic forecasts than other analysts furthermore job separations were much less sensitive to accuracy and somewhat more sensitive to optimism during the stock market mania of the late 1990s these findings suggest that the well documented analyst forecast optimism bias is likely due to incentives to promote stocks

marking to market versus taking to market while the debate on cost and market value accounting has been raging for years economists lack a framework allowing a comparison of their relative merits this paper considers an agency model in which the measurement of an asset can be based on public market data marking to market and or on the realization of its value through costly resale to an informed buyer taking to market at the optimal contract noisier market data lead to cost accounting and gains trading selling winners keeping losers whereas accurate data naturally favor market value accounting the quality of market data and the magnitude of resale costs both depend on the volume of transactions and therefore on accounting rules the paper studies the mutual feedback between individually optimal accounting rules and asset market liquidity this equilibrium approach reveals a socially excessive use of market value accounting that dries up market liquidity and reduces the informativeness of price signals

stock return seasonalities and earnings information previous literature documents significant seasonalities in stock market returns one explanation is seasonality in earnings information if true a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings employing all new york and american stock exchange firms over six years this study examines the seasonality of stock returns generally seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns thus it is doubtful that earnings news seasonality induces stock return seasonality

the perverse effects of partial labour market reform fixed term contracts in france we argue that the effects of a partial reform of employment protection by allowing firms to hire workers on fixed term contracts may be perverse the main effect may be high turnover in entry level jobs leading to higher not lower unemployment even if unemployment falls workers may be worse off going through many spells of unemployment and entry level jobs before obtaining a regular job considering french data for young workers since the early 1980s we conclude that the reforms have substantially increased turnover without a substantial reduction in unemployment duration if anything the effect on their welfare appears to have been negative

the balassa samuelson hypothesis in estonia oil shale tradable goods regulated prices and other culprits this paper analyses the balassa samuelson b s framework for the case of estonia using a unique dataset that consists of a 15 sectoral breakdown of gdp and a five digit level cpi disaggregation with 260 items over the period from 1993 to 2002 unlike the existing literature the paper focuses on the following four aspects of the phenomenon a data disaggregation b definition of goods tradability c price regulatedness in services and d possible heterogeneity across transition countries it turns out that the first three aspects do matter and in addition to this estonia appears to bear very specific characteristics when compared with other transition countries a battery of cointegration techniques dols ardl johansen shows that productivity is strongly related to relative prices only when regulated prices are controlled for appropriately in the consumer price index and when country specific classification is applied to the open and closed sectors the b s effect contributed to cpi by 1 to 1 5 per cent at the outset of the period and by 0 4 to 0 6 per cent in 2002 whereas its potential long run impact is estimated to be 1 to 1 2 per cent although real appreciation due to the b s effect seems higher in the early 1990s it explains that better real appreciation occurred in recent years

career concerns of banking analysts we study how career concerns influence banking analysts forecasts banking analysts first last earnings forecast of the year is relatively more optimistic pessimistic for a bank that could be their future employer this pattern is not observed when the same analysts forecast earnings of banks unlikely to be their future employer we use the global settlement as an exogenous shock on career concerns and show that this forecast pattern is more pronounced after the settlement moreover we find evidence that analysts benefit from this behavior as analysts that are more biased in their forecasts of potential future employers are more likely to move to a higher reputation bank

analyst characteristics timing of forecast revisions and analyst forecasting ability abstract we first examine whether analysts with certain characteristics that prior research has identified are related to superior forecasting ability systematically time their forecast revisions later in the fiscal quarter we then examine whether this superior ability persists after controlling for the timing advantage by using relative forecast error a measure that largely eliminates the timing advantage of recent forecasts using a sample of quarterly earnings forecast revisions over the 20 year period from 1990 to 2009 we find that analysts with more firm specific and general experience and more accurate prior period forecasts analysts employed by larger brokerage firms and analysts who follow fewer industries and companies tend to revise forecasts later in the quarter we also find that analyst characteristics that are positively correlated with revision timing are negatively related to relative forecast errors these results are consistent with analyst characteristics being useful proxies for analyst forecasting ability and analysts with greater ability revising forecasts later in the quarter

temporary contracts and work family balance in a dual labor market a well established finding in the literature is that self employment enables mothers to accommodate work and family needs better than when they are engaged in organizational employment with this result in mind the authors investigate within a dual system of job protection if women under temporary contracts face greater work family conflicts than those under permanent contracts the authors use data on women s work and fertility histories from the spanish continuous sample of working histories to analyze whether women under temporary contracts transition to self employment upon motherhood more than those who are under permanent contracts analyses show that being under a temporary contract increases women s likelihood of transitioning to self employment upon childbirth supplementary analyses show that this is partly the result of voluntary transitions and not an employer s decision to terminate a temporary contract upon motherhood overall these findings reveal a hidden cost of temporary contracts the greater difficulty in balancing work and family

expectations of future income and real exchange rate movements abstract we show that changes in expectations of future income driven by exogenous factors such as the discovery of oil and an increase in global demand for natural resources can cause movements in the real exchange rate rer in excess of and sometimes even in the opposite direction to what one would expect given the changes in current income we provide both a theoretical model and empirical evidence of this in particular we show that the signing of numerous production sharing agreements psas between the government of azerbaijan and foreign oil companies in 1994 1998 fueled expectations of higher future incomes resulting in a considerable appreciation of the rer some of these psas subsequently failed or ran into difficulties which led to a downward revision of expected future income and a depreciation of the rer in 1999 2003 even though the current income started to rise due to an increase in the current oil revenue

why are services cheaper in the poor countries in their important work on international comparisons of national incomes and of comparative price structure kravis heston and summers i982 p 8 have noted that services are much cheaper in the relative price structure of a typical poor country than in that of a rich country this phenonomen has been documented now fairly systematically by the data gathered under their guiding hand of the united nations international comparison icp which covers 34 countries table i reproduced from their work i982 and fig i based on rows 3 and ii 13 indeed show this tendencyfor the relationship between relative service prices and real per capita gdp in this kravis heston summers 34 country 6 group sample the tendency is strongly evident except for the intermediate groups iii and iv

measuring the dollar euro permanent equilibrium exchange rate using the unobserved components model this paper employs an unobserved component model that incorporates a set of economic fundamentals to obtain the euro dollar permanent equilibrium exchange rates peer for the period 1975q1 to 2008q4 the results show that for most of the sample period the euro dollar exchange rate closely followed the values implied by the peer the only significant deviations from the peer occurred in the years immediately before and after the introduction of the single european currency the forecasting exercise shows that incorporating economic fundamentals provides a better long run exchange rate forecasting performance than a random walk process

an empirical investigation of the speed of the market reaction to earnings announcements although substantial evidence exists on the association between earnings reports and the sign and magnitude of security price changes relatively little evidence has been provided on the dynamics of the process of price adjustments to earnings announcements some exceptions are pincus 1983 who showed that the duration of price adjustments was affected by the predictability of earnings and jennings and starks 1985 who found that the duration of price adjustments to interim reports increased with the magnitude of analysts revisions of forecasts and annual earnings in this study i investigated the duration speed of price adjustments to earnings announcements relative to other potential sources of variation across firms time firm size reporting lag and report type selection of the first two variables is consistent with research which has shown that the information content of an earnings announcement is associated with the size of the firm atiase 1985 and the length of the reporting lag foster 1981 givoly and palmon 1982 chambers and penman 1984 and kross and schroeder 1984 the third variable was selected on the assumption that various differences between annual and interim reports should affect the information

is infrastructure capital productive a dynamic heterogeneous approach this paper offers an empirical evaluation of the output contribution of infrastructure drawing from a large data set on infrastructure stocks covering 88 countries and spanning the years 1960 2000 and using a panel time series approach the paper estimates a long run aggregate production function relating gdp to human capital physical capital and a synthetic measure of infrastructure given by the first principal component of infrastructure endowments in transport power and telecommunications tests of the cointegration rank allowing it to vary across countries reveal a common rank with a single cointegrating vector which is taken to represent the long run production function estimation of its parameters is performed using the pooled mean group estimator which allows for unrestricted short run parameter heterogeneity across countries while imposing the testable restriction of long run parameter homogeneity the long run elasticity of output with respect to the synthetic infrastructure index ranges between 0 07 and 0 10 the estimates are highly significant both statistically and economically and robust to alternative dynamic specifications and infrastructure measures there is little evidence of long run parameter heterogeneity across countries whether heterogeneity is unconditional or conditional on their level of development population size or infrastructure endowments

initial public offerings in hot and cold markets the literature offers many explanations for why the ipo market cycles from hot to cold these include theories in which hot markets represent clusters of ipos in a new industry and signaling models that predict that hot markets draw in better quality firms others suggest hot market ipos stock returns reflect their poor quality we compare ipos over cycles during 1975 2000 and find that hot and cold ipo markets do not differ so much in the characteristics of the firms that go public as in the quantity of firms that go public both hot and cold ipos are largely concentrated in the same narrow set of industries and they have few distinctions in profits age or growth potential our results suggest that hot markets are not driven primarily by changes in adverse selection costs managerial opportunism or technological innovations but more likely reflect greater investor optimism

monetary transmission mechanism in central and eastern europe surveying the surveyable this paper surveys recent advances in empirical studies of the monetary transmission mechanism mtm with special attention to central and eastern europe cee our results indicate that the strength of the exchange rate pass through substantially declined over time mainly due to a fall in inflation rates and to some extent due to the so called composition effect the asset price channel is weak and is likely to remain weak because of shallow stock and private bond markets and because of low stock and bond holdings of domestic household house prices may become an exception with higher levels mortgage lending and with high owner occupancy ratios while the credit channel could be a powerful channel of monetary transmission as new funds raised on capital markets are close to zero in cee it is actually not as both commercial banks and non financial corporations can escape domestic monetary conditions by borrowing from their foreign mother companies the moderately good news is however that those banks and firms are influenced by monetary policy in the euro area because their parent institutions are themselves subjected to the credit channel in the euro area

is the market surprised by poor earnings realizations following seasoned equity offerings we examine the stock price reaction to earnings announcements in the five years following seasoned equity offerings seos on average post seo earnings announcements are met with a significantly negative abnormal stock price reaction although this negative reaction accounts for a disproportionately large portion of long run post seo abnormal stock returns on average abnormal stock price reactions to post seo earnings announcements are reliably negative only within the smallest quartile of equity issuers for small firms therefore these findings are broadly consistent with the hypothesis that firms issue equity when the market overestimates the firm s future earnings perfomance

financial analyst characteristics and herding behavior in forecasting this study classifies analysts earnings forecasts as herding or bold and finds that 1 boldness likelihood increases with the analyst s prior accuracy brokerage size and experience and declines with the number of industries the analyst follows consistent with theory linking boldness with career concerns and ability 2 bold forecasts are more accurate than herding forecasts and 3 herding forecast revisions are more strongly associated with analysts earnings forecast errors actual earnings forecast than are bold forecast revisions thus bold forecasts incorporate analysts private information more completely and provide more relevant information to investors than herding forecasts

exchange rate dynamics under state contingent stochastic process switching this paper offers a closed form solution of a process switching problem i e switching the exchange rate regime from free floating to a completely fixed one an example of such regime change is the adoption of the euro in contrast to previous studies on the subject this paper analyzes a specific case when foreign exchange market participants consider both the euro locking rate and locking date as uncertain preceding the locking the exchange rate is determined by three factors fundamental market expectations for the euro locking rate and date the model is used to examine the conditions under which the exchange rate volatility is mitigated by the prospect of locking

the rewards to meeting or beating earnings expectations abstract this paper finds that firms that meet or beat current analysts earnings expectations mbe enjoy a higher return over the quarter than firms with similar quarterly earnings forecast errors that fail to meet these expectations further such a premium to mbe although somewhat smaller exists in the cases where mbe is likely to have been achieved through earnings or expectations management the findings also indicate that the premium to mbe is a leading indicator of future performance this premium and its predictive ability are only marginally affected by whether the mbe is genuine or the result of earnings or expectations management

understanding the soft budget constraint we propose a clarification of the notion of a soft budget constraint a concept widely used in the analysis of socialist transitional and market economies our interpretation is broad enough to embrace most existing approaches to soft budget constraint phenomena and provides a classification of their causes and consequences in light of this interpretation we then review the theoretical literature on the subject and compare it with those on other dynamic commitment problems in economics

a comparison of the skewness of stock return distributions at earnings and non earnings announcement dates abstract this paper presents evidence that stock return prediction errors are less positively skewed in the time period surrounding accounting earnings report announcements than in a subsequent non announcement period assuming that information available about firms in non announcement periods depends on discretionary disclosure practices of firms and discretionary search for information by investors the results suggest that earnings reports cause more extreme bad news to be reflected in stock prices relative to discretionary sources of information

product market pricing power industry concentration and analysts earnings forecasts this is the first study to establish a link between product market power and analysts earnings forecast accuracy and bias relating two different dimensions of market power to earnings forecastability we document that a a firm s relative pricing power and b its industry concentration are strong positive determinants of analysts earnings forecast accuracy we find that forecasting earnings of higher market power firms is less complex due to their ability to withstand cost shocks as well as greater informational efficiency enjoyed by such firms further forecast optimism increases with weakening product market pricing power and with lower industry concentration the knowledge derived from this study will hopefully improve the accuracy of equity valuation and thereby engender better buy side stock selections and sell side recommendations by analysts our analysis also suggests that brokerage firms compensating analysts based on forecast accuracy need to adjust for the differential in the information complexity of different industries

do real exchange rates follow a nonlinear mean reverting process in developing countries in an effort to fight relatively high inflation many developing countries try to manage their nominal exchange rates through official intervention in addition developing countries tend to have high transportation costs tariffs and nontariff barriers these factors are among the sources of generating nonlinearity in real exchange rates and hence some nonlinear adjustment toward purchasing power parity ppp in developing countries in this paper we employ monthly real effective exchange rate reer data of 88 developing countries and test the null of nonstationarity versus an alternative of linear stationarity by the means of a conventional unit root test and compare the results with those obtained from a new test in which the null is the same but the alternative hypothesis is nonlinear stationarity the latter test supports the ppp theory in more developing countries compared with the former test suggesting that nonlinear adjustment toward ppp in developing countries is an important phenomenon reported country characterizations indicate that reversion in reer occurs more often for high inflation countries and for countries with high flexibility in their exchange rates

failure or voluntary exit reassessing the female underperformance hypothesis abstract we reevaluate the female underperformance hypothesis by challenging the assumption that female owned ventures are more likely to fail instead of equating exit with failure we draw on exit literature and feminist theories to argue that female entrepreneurs are actually more likely than males to exit voluntarily we argue for further gender differences by using an even more fine grained conceptualization of entrepreneurial exit failure exit for personal reasons and exit for other professional financial opportunities post hoc analyses also point to within gender heterogeneity depending on family status a sample probe of 219 spanish entrepreneurs who had exited their business supports our overall reasoning

disclosure and choice an agent chooses among projects with random outcomes his payoff is increasing in the outcome and in an observer s expectation of the outcome with some probability the agent will be able to disclose some information about the true outcome to the observer we show that choice is inefficient in general we illustrate this point with a characterization of the inefficiencies that result when the agent can perfectly disclose the outcome with some probability and can disclose nothing otherwise as in dye 1985a in this case the agent favours riskier projects even with lower expected returns on the other hand if information can also be disclosed by a challenger who prefers lower beliefs of the observer the chosen project is excessively risky when the agent has better access to information excessively risk averse when the challenger has better access and efficient otherwise we also characterize the agent s worst case equilibrium payoff we give examples of alternative disclosure technologies illustrating other forms the inefficiencies can take for example in a two dimensional setting we demonstrate a hitting for the fences effect where the agent systematically focuses on the harder dimension at the expense of success on the easier

uncovering the link between a flexible exchange rate and fundamentals the case of central and eastern european economies this article examines the link between a nominal exchange rate and macrofundamentals in central and eastern european cee countries we use the model based on the monetary policy rule as a theoret

the timing and value of forecast and recommendation revisions abstract this paper evaluates the information content of analysts one quarter ahead earnings forecast revisions and recommendation revisions at various points in event time relative to earnings announcement dates across three sets of tests we find that the revisions are least informative in the week after earnings announcements and that the information content of revisions generally increases over event time we find a sharp increase in the information content of upward forecast revisions and recommendation upgrades in the week before earnings announcements but we do not find a similar increase for downward revisions or for recommendation downgrades

low skilled immigration and work fertility tradeoffs among high skilled us natives fertility and labor force participation are simultaneous outcomes of a single time allocation decision empirical work by economists has largely focused on identifying a causal effect of childbearing on employment using a variety of mechanisms to provide variation in fertility that is exogenous to other determinants of family and work decisions however a parallel demographic literature is devoted to understanding the extent and determinants of the tradeoff or role incompatibility that women face in their allocation of time between working and parenting karin l brewster and ronald r rindfuss 2000 the most often used measure of role incompatibility is the correlation between fertility and female labor force participation flfp cross country research focuses on the substantial differences in family policies child care availability unemployment rates stability of labor contracts and gender norms that may result in international differences in the correlation between childbearing and work brewster and rindfuss 2000 alicia adsera 2004 although numerous studies continue to document a negative individual level relationship between childbearing and flfp the within country correlation between the two has weakened substantially in the past 50 years especially in the united states henriette engelhardt tomas kogel and alexia prskawetz 2004 we argue that a partial explanation for this phenomenon is the steady stream of low skilled immigration which increased the affordability of child rearing for high skilled us natives we start by writing a statistical model that allows the fertility flfp correlation a macro concept to be interpreted in terms of individual fertility and work decisions we then examine variation across us metropolitan areas over time to assess the degree to which low skilled mostly hispanic immigrant inflows attenuated the negative correlation between childbearing and flfp among college educated non hispanic natives this differentiation by skill and ethnicity allows us to draw on a commonly used instrumental variables approach to isolate a causal channel of influence of immigrants on the outcomes of natives via the cost of local household services finally we describe how our estimates of the effect of low skilled immigration on the correlation coefficient can be used to calculate concrete impacts on joint childbearing and labor force participation outcomes

not just a work permit eu citizenship and the consumption behavior of documented and undocumented immigrants this paper explores the impact of the 2007 european union enlargement on the consumption behavior of immigrant households using data from a unique italian survey and a difference in differences approach we find that the enlargement induced a significant consumption increase for the immigrant households from new member states both in the short and in the medium run this enlargement effect cannot be attributed to the mere legalization as it concerns both undocumented and documented immigrants albeit through different channels detailed information on immigrants legal status undocumented documented and sector of employment informal formal allows us to shed light on the exact mechanisms following the enlargement previously undocumented immigrants experienced an increase in the labor income by moving from the informal towards the formal economy whereas immigrants who were already working legally in italy benefitted from the increased probability of getting a permanent contract enhanced employment stability in turn reduced the uncertainty about future labor income leading to an increase in documented immigrants consumption expenditure

structural determinants of real exchange rates and national price levels some empirical evidence contrary to the long held notion of purchasing power parity ppp economists have found systematic evidence that the general level of prices across countries at a point in time varies dramatically irving b kravis alan w heston and robert summers 1982 for example report that some countries national price levels are no more than one third the u s price level extensions of this work show that such departures from ppp have persisted for decades recently efforts have been made to explain systematically these persistent or structural departures from ppp pioneering work by kravis and robert e lipsey 1983 1987 1988 has demonstrated that a positive correlation between the price level and real per capita gross domestic product is robust across numerous cross sectional specifications for instance using data from kravis et al 1982 table 6 12 87 percent of the variation in national price levels pl of 21 countries in 1975 is explained by per capita gdp y and a constant

the timing of and incentives for annual earnings forecasts near interim earnings announcements abstract security analysts anticipate and respond to interim earnings announcements when they revise their annual earnings forecasts analysts avoid revising for two weeks before an interim announcement and more frequently revise immediately after an announcement as expected revision activity after an interim announcement is greater if absolute unexpected interim earnings are larger if there are more competing analysts and if unexpected interim earnings are negative unexpectedly analysts are reluctant to revise their forecasts early in the fiscal year these findings carry implications for research designs that use analyst forecasts

the effect of low skilled immigration on u s prices evidence from cpi data i exploit the large variation across u s cities and through time in the relative size of the low skilled immigrant population to estimate the causal effect of immigration on prices of nontraded goods and services using an instrumental variables strategy i find that at current immigration levels a 10 percent increase in the share of low skilled immigrants in the labor force decreases the price of immigrant intensive services such as housekeeping and gardening by 2 percent wage equations suggest that lower wages are a likely channel through which these effects take place however wage effects are significantly larger for low skilled immigrants than for low skilled natives implying that the two are imperfect substitutes

retirement pensions and ageing we study the effects of demographic shocks and changes in the pension system on the macroeconomic performance of an advanced small open economy facing a given world interest rate we construct an overlapping generations model which includes a realistic description of the mortality process individual agents choose their optimal retirement age taking into account the time and age profiles of wages taxes and the public pension system the early retirement provision in most pension systems acts as a trap inducing most workers to retire well before the normal retirement age simulations show that pension reform must be drastic for it to have any effects on the retirement behaviour of workers

was weber wrong a human capital theory of protestant economic history max weber attributed the higher economic prosperity of protestant regions to a protestant work ethic we provide an alternative theory protestant economies prospered because instruction in reading the bible generated the human capital crucial to economic prosperity we test the theory using county level data from late nineteenth century prussia exploiting the initial concentric dispersion of the reformation to use distance to wittenberg as an instrument for protestantism we find that protestantism indeed led to higher economic prosperity but also to better education our results are consistent with protestants higher literacy accounting for most of the gap in economic prosperity

earnings management to avoid earnings decreases and losses this paper provides evidence that firms manage reported earnings to avoid earnings decreases and losses specifically in cross sectional distributions of earnings changes and earnings we lind unusually low frequencies of small decreases in earnings and small losscs and unusually high frequencies of small increases in earnings and small positive income we find evidence that two components of earnings cash flow from operations and changes in working capital are used to achieve increases in earnings we present two theories based on stakeholder use of information processing heuristics and prospect theory about the motivation for avoidance of earnings decreases and losses

real exchange rates in small open oecd and transition economies comparing apples with oranges abstract we find that productivity gains in tradables cause an appreciation of the real exchange rate via both tradable and nontradable prices in the cee 5 and have no affect in the baltic countries while they lead to a depreciation of the real exchange rate of tradables in oecd economies that overcompensates the appreciation due to nontradable prices rising net foreign liabilities lead to a real appreciation in the baltic countries instead of the expected depreciation found in oecd and cee 5 countries these differences are due to the different impact of the fundamentals on the real exchange rate depending on the time horizon studied

announcing the announcement abstract what drives investors attention we study how far in advance earnings calendars are pre announced and find that investors are more attentive to earnings news when such details are disclosed well ahead of time this variation in investors attention affects short run and long run stock returns thereby creating incentives for firms to strategically pre announce the report date on short notice when the earnings news is bad consistent with this idea firms pre announce their report dates well ahead of time when earnings are good and do it at the very last moment when earnings are bad a trading strategy that exploits such variations yields abnormal returns of 1 5 per month

do security analysts improve their performance with experience we investigate if sell side security analysts generate more accurate quarterly earnings forecasts and more profitable stock recommendations as their experience following a specific firm increases we measure firmspecific experience as the number of prior quarters for which the analyst has issued an earnings forecast for the firm if analysts improve their forecasting performance with repetition as suggested by the learning by doing lbd model an analyst s earnings forecasts will become more accurate with experience prior empirical work provides mixed evidence on whether analysts exhibit individual forecasting performance differences e g butler and

long run determinants of the irish real exchange rate smooth adjustment to real exchange rate shifts is one of the major challenges facing the irish economy under emu rather than assume purchasing power parity the long run real exchange rate is modelled as time varying being determined by relative output levels the terms of trade and the net foreign asset position it is shown that these factors account for a large proportion of the long run movement in the irish real exchange rate

forcing firms to talk financial disclosure regulation and externalities we analyze a model of voluntary disclosure by firms and the desirability of disclosure regulation in our model disclosure is costly it has private and social value and its precision is endogenous we show that i a convexity in the value of disclosure can lead to a discontinuity in the disclosure policy ii the nash equilibrium of a voluntary disclosure game is often socially inefficient iii regulation that requires a minimal precision level sometimes but not always improves welfare iii the same is true for subsidies that change the perceived cost of disclosures and iv neither regulation method dominates the other article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

real exchange rates and transition economies in a number of empirical studies transition economies have been shown to be subject to the harrod balassa samuelson effect this implies that the currencies of these countries have experienced a prolonged appreciation in real terms as their convergence proceeded in this paper we find that a long run relationship exists between the real exchange rate productivity differentials real interest rate differentials and the capital account for eight transition economies of central and eastern europe using monthly data over a period which extends from 1996 to 2013 we find that there are two sources of appreciation of the currencies of these countries namely the harrod balassa samuelson effect and the capital account effect and argue that their significance depends on the type of investment received by the countries while long run foreign direct investment enhances productivity porfolio investment leaves productivity unaffected so our argument is that the larger foreign direct investment relative to portfolio investment the greater the contribution of productivity in the determination of the real exchange rate moreover we find that while the variables are linked by a linear long run equilibrium relationship adjustment towards equilibrium is nonlinear and is well represented by a smooth transition mechanism where the degree of equilibrium correction is a function of the sign and or the size of the deviation from equilibrium interestingly we find that a logistic smooth transition model fits well a larger number of countries by allowing a different response of the real exchange rate to misalignments of different sign

growth in transition what we know what we don t and what we should abstract this essay surveys macroeconomic issues that marked the transition from planned to market economy in central and eastern european and former soviet union countries we first establish stylized facts of the transition so far we then critically survey the theoretical literature on transition discussing explanations for the initial output fall and mediumterm issues such as optimal speed of transition disorganization institutions and sectoral reallocation as source of output dynamics we review the empirical literature to assess how well it translates the theoretical models and explains the stylized facts we conclude with suggestions for future research

the new open economy macroeconomics a survey since the 1995 publication of obsteld and rogoff s redux model there has been an outpouring of research on open economy dynamic general equilibrium models that incorporate imperfect competition and nominal rigidities this paper offers an interim survey of this recent literature 2001 elsevier science b v all rights reserved

taylor rules and the canadian us equilibrium exchange rate abstract this paper identifies the canadian us equilibrium exchange rate based on a simple structural model of the real exchange rate in which monetary policy follows a taylor rule interest rate reaction function the exchange rate is explained by relative output and inflation as observable variables and by unobserved equilibrium rates as well as unobserved transitory components in output and the exchange rate using canadian data over 1974 2009 we jointly estimate the unobserved components and the structural parameters using the kalman filter and bayesian technique we find that canada s equilibrium exchange rate evolves smoothly and follows a trend depreciation the transitory component is found to be very persistent but much more volatile than the equilibrium rate resulting in few but prolonged periods of currency misalignments

the growth of temporary services work the temporary help services industry which provides client firms with workers on an as needed basis has expanded at a phenomenal rate over the last 20 years since 1972 the industry s employment has grown at an annual rate of over 11 percent and its share of total u s employment has risen from under 0 3 percent in 1972 to more than 1 8 percent in 1995 the growth of the temporary services industry has fueled controversy some analysts fear that temporary workers may become locked into a labor market underclass with low wages no benefits negligible job security little training and no possibility for advancement others challenge such claims and point to efficiencies created by temporary employment relationships this article will examine the growth of the temporary services industry and discuss the quality of temporary services jobs how such jobs fit into workers careers and some of the forces that may be driving the growth of temporary services work

theories of earnings announcement timing abstract recent empirical research has found that when a firm releases its earnings report earlier than expected its stock price rises on average while if the report is late its stock price declines the analysis here focuses on two alternative explanations for these findings each based on the premise that some firms with unfavorable earnings increase their reported income through earnings management in one case earnings management necessitates a reporting delay while in the other a delay is caused by the manager s desire to first observe other firms earnings both cases lead to market reactions consistent with the empirical findings

external wealth the trade balance and the real exchange rate abstract we examine the link between the net foreign asset position the trade balance and the real exchange rate in particular we decompose the impact of a country s net foreign asset position external wealth on its long run real exchange rate into two mechanisms the relation between external wealth and the trade balance and holding fixed other determinants a negative relation between the trade balance and the real exchange rate we also provide additional evidence that the relative price of nontradables is an important channel linking the trade balance and the real exchange rate

an empirical investigation of the effect of quarterly earnings announcement timing on stock returns this research examines both the association between quarterly announcement timing early or late and the type of news good or bad reported and the relationship between stock returns and timing around the earnings announcement date recent research on announcement timing givoly and palmon 1982 patell and wolfson 1982 kross 1981 and whittred 1980 has provided evidence that delayed announcements of annual earnings more often convey bad news i e lower than expected earnings than do early announcements however we know of no study which has reported evidence of the same phenomenon for quarterly earnings furthermore there is a limited amount of evidence regarding the reaction of market participants to announcement timing while three studies givoly and palmon 1982 kross 1982 and chambers and penman 1984 find that early late announcements are associated with higher lower abnormal returns or high low stock return variability relative to late early announcments only kross 1982 controlled for the sign of the earnings forecast error and none controlled for the magnitude of the earnings forecast error it is well accepted that stock returns are associated with the sign of the earnings forecast error efe since announcement timing is also

how is real convergence driving nominal convergence in the new eu member states abstract we evaluate the empirical relevance of real convergence on the process of nominal convergence for the new eu member states we focus our discussion on two main channels productivity growth and increased trade openness productivity growth can have a positive effect on price levels via the balassa samuelson effect whereas increased openness leads to reductions in mark ups and costs and therefore can have a negative impact on prices we empirically assess their relevance using a structural var model to which we applied a model reduction algorithm our findings show that in general openness has had a negative impact and productivity growth a positive one on price level convergence with respect to the euro area

disclosures and asset returns public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information when the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports equilibrium prices can be given a simple characterization in terms of the concatenation of binomial pricing trees there are a number of empirical implications the theory predicts that the return variance following a poor disclosed outcome is higher than it would have been if the disclosed outcome were good also when investors are risk averse this leads to negative serial correlation of asset returns other points of contact with the empirical literature are discussed

net foreign assets productivity and real exchange rates in constrained economies empirical evidence suggests that real exchange rates rer behave differently in developed and developing countries we develop an overlapping generations two sector exogenous growth model in which rer determination may depend on the country s capacity to borrow from international capital markets the country faces a constraint on capital inflows with high domestic savings the rer only depends on the productivity spread between sectors balassa samuelson effect if the constraint is too tight and or domestic savings too low the rer depends on both net foreign assets transfer effect and productivity we then analyze the empirical implications of the model and find that in accordance with the theory the rer is mainly driven by productivity and net foreign assets in constrained countries and by productivity in unconstrained countries

confirming management earnings forecasts earnings uncertainty and stock returns in this study we examine the association among confirming management forecasts stock prices and analyst expectations confirming management forecasts are voluntary disclosures by management that corroborate existing market expectations about future earnings this study provides evidence that these voluntary disclosures affect stock prices and the dispersion of analyst expectations specifically we find that the market s reaction to confirming forecasts is significantly positive indicating that benefits accrue to firms that disclose such forecasts in addition although we find no significant change in the mean consensus forecasts a proxy for earnings expectations around the confirming forecast date evidence indicates a significant reduction in the mean and median consensus analyst dispersion a proxy for earnings uncertainty finally we document a positive association between the reduction of dispersion of analysts forecasts and the magnitude of the stock market response overall the evidence suggests that confirming forecasts reduce uncertainty about future earnings and that investors price this reduction of uncertainty

accounting for u s real exchange rate changes this study measures the proportion of u s real exchange rate movements that can be accounted for by movements in the relative prices of nontraded goods the decomposition is done at all possible h

equilibrium exchange rates in transition economies taking stock of the issues in this paper we present an overview of a number of issues relating to the equilibrium exchange rates of transition economies of the former soviet bloc in particular we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss how useful they are likely to be for the transition economies amongst our findings is the result that the trend appreciation usually observed for the exchange rates of these economies is affected by factors other than the usual balassa samuelson effect such as the behaviour of the real exchange rate of the open sector and regulated prices we then consider three main sources of uncertainty relating to the implementation of an equilibrium exchange rate model namely differences in the theoretical underpinnings differences in the econometric estimation techniques and differences relating to the time series and cross sectional dimensions of the data the ensuing three dimensional space of real misalignments is probably a useful tool in determining the direction of a possible misalignment rather than its precise size copyright blackwell publishers ltd 2006

when to drop a bombshell sender who is either good or bad wishes to look good at an exogenous deadline sender privately observes if and when she can release a public flow of information about her private type releasing information earlier exposes to greater scrutiny but signals credibility in equilibrium bad sender releases information later than good sender we find empirical support for the dynamic predictions of our model using data on the timing of u s presidential scandals and u s initial public offerings in the context of elections our results suggest that october surprises are driven by the strategic behaviour of bad sender

security analysts career concerns and herding of earnings forecasts several theories of reputation and herding see e g scharfstein and stein 1990 suggest that herding among agents should vary with career concerns our goal in this paper is to document whether such a link exists in the labor market for security analysts specifically we look at the relationship between an analyst s job tenure a proxy for career concerns and various measures of stock earnings forecast performance we establish the following key results 1 older analysts are more likely to produce earnings forecasts of firms before younger ones 2 their forecasts also deviate more from the consensus forecast than their younger counterparts we argue that these results are consistent with some reputational models of herding we also establish a number of auxiliary findings regarding the relationship between forecast accuracy and frequency of forecast revisions with job tenure

why bank credit policies fluctuate a theory and some evidence in a rational profit maximizing world banks should msdntain a credit policy of lending if and only if borrowers have positive net present value projects why then are changes in credit policy seemingly correlated with changes in the condition of those demanding credit this paper argues that rational bank managers with short horizons will set credit policies that influence and are influenced by other banks and demand side conditions this leads to a theory of low frequency business cycles driven by bank credit policies evidence from the banking crisis in new england in the early 1990s is consistent with the assumptions and predictions of the theory

industry competition earnings management and leader follower effects this article examines the impacts of industry competition on the leader follower effects in different earnings management activities the empirical results show that there are the leader follower e

public schooling for young children and maternal labor supply as policy makers have sought to reduce the welfare rolls by increasing labor supply among single mothers much attention has been given to the possible role of expanded child care subsidies including direct provision of public preschool at the same time public interest in child care subsidies for two parent households is high for example former vice president gore not long ago proposed to make high quality pre school fully available to every family for every child in every community in america albert gore 1999 in this paper i use 1980 census data to estimate the effect of public school enrollment for a woman s five year old on measures of labor supply and public assistance receipt this approach has two advantages first i am able to estimate the effect of a large implicit child care subsidy 1 second because public kindergarten is universally available to all age eligible children where it is provided selection problems related to means testing do not arise a difficulty with public school enrollment arises because parents may choose to hold their children back a year or enroll them in private school i deal with this issue by using five yearold s quarter of birth qob variables as instruments for public school enrollment status this strategy works because parents ability to enroll a child in public kindergarten in the academic year when the child turns five typically depends on the calendar date of the child s birth 2 in most states children born in the second quarter april 1 june 30 of 1974 will have been eligible to start kindergarten in the fall of 1979 while children born in the first quarter january 1march 31 of 1975 generally will not eligibility for children born between july 1 and december 31 1974 depends on the rules where they live 3

debt and creative destruction why could subsidizing corporate debt be optimal the existing theoretical literature provides little justification for a corporate debt subsidy we illustrate the welfare benefit of this subsidy and study how the social costs and benefits change with the duration of industry distress in our model two firms engage in socially wasteful competition for survival in a declining industry firms differ on two dimensions exogenous productivity and endogenously chosen amount of debt financing resulting in a two dimensional war of attrition debt financing increases incentives to exit which although costly for the firm is socially beneficial these benefits decline as industry distress shortens our normative model sheds light on why the debt tax subsidy still persists around the world analogously the model can also rationalize a seemingly ad hoc feature of the u s tax system which subsidizes the conflict of interest between debt and equity regarding firm liquidation this paper was accepted by amit seru finance

home based work and women s labor force decisions home based work differs from other employment because the work site is the home itself this difference means that the fixed costs of working at home are less than the fixed costs of working on site and that home based workers may engage in joint market and household production using data from the 1990 census we find that home based work is an attractive option for women for whom the fixed costs of work are high women who have small children are disabled or live in rural areas and that home based workers are more likely to choose self employment than are on site workers

stock price response to accounting information in oligopoly in this article the authors explore the linkages between the ball brown effect and the information transfer effect in oligopoly using the data from the wall street journal s digest of earnings report column they analyze how the stock market reacts to the subearnings information the authors show that an unexpected increase in sales is good news to the disclosing firm as well as to its competitors however an unexpected increase in costs is bad news to the disclosing firm but good news to its competitors the ball brown effect can be viewed as a consequence of stock market reactions to subearnings disclosure copyright 1992 by university of chicago press