which reforms work and under what institutional environment evidence from a new data set on structural reforms abstract are structural reforms growth enhancing is the effectiveness of reforms constrained by a country s distance from the technology frontier or by its institutional environment this paper takes a new and comprehensive look at these questions by employing a novel data set that includes several kinds of real trade agriculture and networks and financial domestic finance banking securities and capital account reforms for an extensive list of developed and developing countries going back to the early 1970s first pass evidence based on growth breaks analysis and on panel growth regressions suggests that on average both real and financial sector reforms are positively associated with higher growth however on several occasions botched reforms resulted in growth disasters more important the positive reform growth relationship is shown to be highly heterogeneous and to be influenced by a country s constraints on the authority of the executive power and by its distance from the technology fro

occupational choice and the process of development this paper models economic development as a process of institutional transformation by focusing on the interplay between agents occupational decisions and the distribution of wealth because of capital market imperfections poor agents choose working for a wage over self employment and wealthy agents become entrepreneurs who monitor workers only with sufficient inequality however will there be employment contracts otherwise there is either subsistence or self employment thus in static equilibrium the occupational structure depends on distribution since the latter is itself endogenous we demonstrate the robustness of this result by extending the model dynamically and studying examples in which initial wealth distributions have long run effects in one case the economy develops either widespread cottage industry self employment or factory production employment contracts depending on the initial distribution in the other example it develops into prosperity or stagnation

day of the week effects and asset returns the number of empirical studies using daily stock returns is rapidly increasing researchers generally assume that the distribution of stock returns is identical for all days of the week a convenient statistical assumption but not a necessary condition of market equilibrium nevertheless there are reasons to suspect that the distribution of returns may vary according to the day of the week the most obvious is the impact of weekends on monday s return since monday s return is calculated over three instead of one calender day the mean and variance may well be higher on monday compared with any other daily return perhaps three times as large previous research has examined the daily distribution of stock returns for a monday effect while fama 1965 does not compare daily mean returns he does report that monday s variance is about 20o greater than other daily returns with a traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week contrary to this plausible assumption this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week the most notable evidence is for monday s returns where the mean is unusually low or even negative several explanations of the results are investigated but none proves satisfactory aside from documenting significant day of the week effects the implications of the results for tests of market efficiency are examined while market adjusted returns continue to exhibit day of the week effects these effects are no longer concentrated on monday during the last year we have had many conversations with our colleagues throughout the professions we are particularly thankful to the participants at sessions of the western and american finance associations where preliminary versions of this paper were presented special thanks are due to gene fama gailen hite jon ingersoll robert jarrow merton miller clifford smith and rex thompson the expert research assistance of frank rabinovitch and youngsup yun is gratefully acknowledged 1 the list of papers using daily stock returns is too long to name recent examples include charest 1978 dodd 1980 banz 1981 and reinganum 1981

borrowing constraints human capital accumulation and growth abstract borrowing constraints increase aggregate savings and therefore may increase growth this paper argues however that by reducing human capital accumulation borrowing constraints also have negative effects on growth these effects are discussed in an overlapping generations model with endogenous growth empirical evidence for oecd and developing countries lend support to the main predictions of the model

agriculture diffusion and development ripple effects of the neolithic revolution are the effects of the neolithic revolution still impacting on incomes across the world today i find strong support for this proposition using new country specific estimates of the timing of the agricultural transition and provide evidence that the differences are due to how technological diffusion is accounted for a correction for world migrations since 1500 significantly improves the fit transition year also helps to explain income in 1500 itself and an alternative measure of pre modern development state history has similar ability to predict income in 1500 and 1997

valuation and optimal exercise of the wild card option in the treasury bond futures market the chicago board of trade treasury bond futures contract allows the short position several delivery options as to when and with which bond the contract will be settled the timing option allows the short position to choose any business day in the delivery month to make delivery in addition the contract settlement price is locked in at 2 00 p m when the futures market closes despite the facts that the short position need not declare an intent to settle the contract until 8 00 p m and that trading in treasury bonds can occur all day in dealer markets if bond prices change significantly between 2 00 and 8 00 p m the short has the option of settling the contract at a favorable 2 00 p m price this phenomenon which recurs on every trading day of the delivery month creates a sequence of 6 hour put options for the short position which has been dubbed the wild card option this paper presents a valuation model for the wild card option and computes estimates of the value of that option as well as rules for its optimal exercise the treasury bond futures contract on the chicago board of trade gives several delivery options to the short position the quality option which allows the short to deliver any of several eligible delivery bonds has already been studied fairly extensively because many bonds are eligible to be delivered against the futures contract and the conversion factors used to adjust for the bond actually delivered do not perfectly reflect relative price differences the short side trader will choose to deliver the cheapest eligible bond kilcollin 71 presents a discussion and analysis of conversion factors and their effects on the optimal delivery bond gay and manaster 4 present a theoretical valuation model for the quality option when two classes of commodities with uncertain end of period spot prices may be delivered garbade and silber 3 provide a similar analysis and estimate parameters of the valuation formula for a variety of agricultural commodity futures kane and marcus 6 have used monte carlo simulations to value the quality option in the treasury bond futures market in contrast the various timing options embedded in the delivery process have received comparatively little attention one of the most important of these is the so called wild card option the wild card option arises because the futures market closes each trading day at 2 p m central standard time which locks in the futures settlement price for the rest of the day while the short trader has until 8 p m of each trading day in the delivery month to declare an intent to deliver

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

the finance and growth nexus revisited we find that an expansion of credit has a positive effect on per capita output growth only up to a point beyond this threshold the impact of finance on growth is not statistically significant anymore we show however that the estimated non linear relationship may stem from the omission of factors not considered in the literature so far these factors may have a negative impact on growth in mature financial systems and include the magnitude of financial cycles as well as the importance of non intermediation activities in banks business models

anomalies or illusions evidence from stock markets in eighteen countries abstract this paper examines five seasonal patterns in stock markets of eighteen countries the weekend turn of the month end of december monthly and friday the thirteenth effects we find a daily seasonal in nearly all the countries but a weekend effect in only nine countries interestingly the daily seasonal largely disappears in the 1980s the last trading day of the month has large returns and low variance in most countries many countries have large december pre holiday and inter holiday returns the january returns are large in most countries and a significant monthly seasonal exists in ten countries

dualism and macroeconomic volatility this paper develops a simple macroeconomic model that shows that combining capital market imperfections together with unequal access to investment opportunities across individuals can generate endogenous and permanent euctuations in aggregate gdp investment and interest rates reducing inequality of access may be a necessary condition for macroeconomic stabilization moreover countercyclical escal policies have a role to play in our model savings are underutilized in slumps because of the limited debt capacity of potential investors therefore the government should issue public debt during recessions in order to absorb those idle savings and enance investment subsidies or tax cuts for investors the most important single fact about saving and investment activities is that in our industrial society they are generally done by different people and for different reasons for years there might tend to be too little investment leading to deeation losses excess capacity and unemployment for other years there might tend to be too much investment leading to periods of chronic ineation unless prudent and proper public policies in the escal and monetary eelds are followed paul a samuelson economics 8th edition 1970 pp 196 198

an examination of the robustness of the weekend effect this paper analyzes the robustness of the day of the week dow and weekend effects to alternative estimation and testing procedures the results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted down ward specification tests reveal widespread departures from ols assumptions hypothe sis tests results are reported using robust econometric methods and a garch model the strength of the dow and weekend effect evidence appears to depend on the estimation and testing method both effects seem to have disappeared by 1975

income distribution and macroeconomics this paper analyzes the role of wealth distribution in macroeconomics through investment in human capital it is shown that in the presence of credit markets imperfections and indivisibilities in investment in human capital the initial distribution of wealth affects aggregate output and investment both in the short and in the long run as there are multiple steady states this paper therefore provides an additional explanation for the persistent differences in per capita output across countries furthermore the paper shows that cross country differences in macroeconomic adjustment to aggregate shocks can be attributed among other factors to differences in wealth and income distribution across countries

the interactive effects of human capital and quality of life on economic growth abstractto bridge the gap in the quality of life qol and economic growth literature and understand the reinforcing effects of qol and human capital on economic development we examine the interactive effects of these two factors on wage growth from 2000 to 2007 at the county level across the united states first a rosen roback model is employed to estimate implicit values of amenities including climate clean air and other natural attributes which are used to generate qol indices second qol human capital represented by the share of college graduates and their interaction serve as key variables in the wage growth model an instrumental variable approach and location fixed effects are used to address endogeneity of human capital and control for location specific unobservable characteristics results suggest that human capital and qol significantly contribute to economic growth and the growth effects are even larger in nonmetropolitan counties importantly we find that the effect of human capital on

from t bills to common stocks investigating the generality of intra week return seasonality the authors investigate the extent to which intra week seasonality still exists and whether its pattern is uniform across three stock indices and treasury bonds with seven different maturities they find that intra week seasonality continues to be significant and that its pattern is not uniform either between the stock indices and the treasury bonds or even among the bonds alone a pattern shared by stocks and bonds is that monday returns become increasingly negative with maturity these findings suggest that neither institutional nor general equilibrium explanations by themselves can explain the pattern of intra week seasonality in securities markets

random earnings differences lifetime liquidity constraints and altruistic intergenerational transfers abstract this paper develops a model of private savings behavior in which households care about their descendants cannot have negative net worth and have lifetime earnings depending on random draws from an exogenous distribution of abilities the elements interact very lucky parents are likely to leave large estates constrained children are unusually likely to receive intergenerational transfers the paper proves the existence of a stationary cross sectional distribution of wealth endogenously determines where liquidity constraints will bind and shows that the long term interest rate must be such that ricardian neutrality fails its last section generates several illustrative numerical simulations

a further investigation of the weekend effect in stock returns this study uses a longer time period and additional stocks to further investigate the weekend effect we find consistently negative monday returns 1 for the s p composite as early as 1928 2 for exchange traded stocks of firms of all sizes and 3 for actively traded over the counter otc stocks the otc results are based on bid prices and therefore appear to reject specialist related explanations for the 30 individual stocks of the dow jones industrial index the average correlation between friday and monday returns is positive and the highest of all pairs of successive days the latter finding is inconsistent with fairly general measurement error explanations some of the most puzzling empirical findings reported in recent years indicate that the distribution of common stock returns varies by day of the week most notably the average return for monday close friday to close monday is significantly negative cross 3 and french 6 find negative monday returns using the standard and poor s composite index and gibbons and hess 7 find negative monday returns for the 30 individual stocks of the dow jones industrial index 1 this negative monday return or weekend effect has yet to be explained this study undertakes a further investigation of the weekend effect in stock returns we examine additional time periods extending the total period covered to 55 years we examine additional stocks such as those of small low capitalization firms and those traded over the counter in all cases the data exhibit a weekend effect that is at least as strong as that reported in previous studies the study also readdresses potential explanations for the effect such as measurement error but concludes that none of these explanations is satisfactory the first section presents a history of the weekend effect from 1928 through 1982 based on the standard and poor s composite index we essentially double the length of the period beginning in 1953 examined by french 6 the results indicate consistently negative monday returns throughout the 55 year period during much of the 25 year period from 1928 through 1952 the new york stock exchange was open on saturdays so monday s return is then computed from saturday s close to monday s close 2 these returns for one day weekends are consistently negative and not significantly different from the two day weekend

asset bubbles economic growth and a self fulfilling financial crisis abstract a tractable model in which asset bubbles can exist in spite of infinitely lived agents is presented an intrinsically useless asset has a positive value and raises welfare because it helps investors with idiosyncratic productivity to obtain more credit in imperfect financial markets however the bubbly equilibrium is only the second best moreover bubbles may burst and this leads to recessions the model s analytical solution allows for the study of many policies we find that a policy of purchasing the asset avoids financial crises but nevertheless results in the second best outcome a policy that taxes depositors and subsidizes investors both prevents crashes and achieves the first best outcome

day of the week and intraday effects in stock returns abstract this study examines day of the week effects using hourly values of the dow jones industrial average we find that over the 1963 1983 period the weekend effect has sifted from characterizing active trading on monday to characterizing the non trading weekend over the early part of our sample period negative returns characterize each hour of trading on monday while the return from friday close to monday open is positive in the most recent subperiod monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from friday close to monday open

pareto superiority of unegalitarian equilibria in stiglitz model of wealth distribution with convex saving function this paper extends the conclusions obtained by stiglitz and others about the asymptotic wealth distribution in the neo classical growth model when the saving function is convex it is shown not only that locally stable two class unegalitarian equilibria may exist along with the egalitarian equilibrium but also that they necessarily are pareto superior to it more generally the paper also analyzes the class of pareto optimal unegalitarian equilibria

day of the week effects in financial futures an analysis of gnma t bond t note and t bill contracts this paper provides a comprehensive study of weekly seasonal effects in gnma t bond t note and t bill futures returns two distinct patterns are found in returns on gnma t bond and t note contracts while no seasonals are noted for t bill futures a negative monday seasonal similar to the well known monday effect in stock returns is found for gnma and t bond contracts a positive tuesday seasonal is found on gnma t bond and t note contracts our evidence indicates that the significance of weekly sea sonals depends in an important way on the time period studied the negative monday phenomenon occurs only in the data before 1982 while the positive tuesday effect is present only after 1984 in addition we find that both seasonal phenomena occur only during months prior to a delivery month this effect appears to be related to the calendar month more specifically the monday effect is apparently concentrated during february while the tuesday effect is concentrated during may

r d implementation and stagnation a schumpeterian theory of convergence clubs we use schumpeterian growth theory to account for the divergence in per capita income that has taken place between countries since the mid 19th century as well as for the convergence that took place amongst the richest countries during the second half of the 20th century the argument is based on the premise that technological change underwent a fundamental transformation in the 19th century associated with new scientific ideas and the increasingly scientific content of new technologies countries then sorted themselves into three convergence groups r d implementation and stagnation a country s group membership depends on initial conditions as well as on fundamentals

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

equity measurement in facility location analysis a review and framework abstract in selecting sites for facilities especially in the public sector the issue of equity is becoming increasingly important beginning with the work of mumphreys et al 1971 mcallister 1976 and savas 1978 a substantial literature has developed that incorporates equity in facility siting decision models despite this level of interest however there has been little agreement in these models as to how equity should be measured further except for some recent works there has generally been little comparison of alternative measures or assesment of their relative value let alone any consensus on the best measure s to use perhaps even more surprising is the great number and variety of measures employed the motivation for this paper is to address these problems and provide for researchers a base from which issues of equity can be included in facility siting models more specifically we seek to review the equity literature as it pertains to facility location assemble the set of measures that have been developed and introduce a framework and common notation for organizing them we also will discuss approaches that can be used to select an appropriate measure of equity

human capital risk and economic growth this paper develops a tractable incomplete markets model of economic growth in which households invest in risk free physical capital and risky human capital the paper shows that a reduction in uninsurable idiosyncratic labor income risk decreases physical capital investment but increases human capital investment growth and welfare a quantitative analysis based on a calibrated version of the model reveals that these effects are substantial and of the same order of magnitude as the effects of distortionary income taxation the analysis further suggests that government sponsored severance payments to displaced workers increase growth and welfare even if these payments have to be e nanced through distortionary income taxation

on the efficiency fairness trade off this paper deals with a basic issue how does one approach the problem of designing the right objective for a given resource allocation problem the notion of what is right can be fairly nebulous we consider two issues that we see as key efficiency and fairness we approach the problem of designing objectives that account for the natural tension between efficiency and fairness in the context of a framework that captures a number of resource allocation problems of interest to managers more precisely we consider a rich family of objectives that have been well studied in the literature for their fairness properties we deal with the problem of selecting the appropriate objective from this family we characterize the trade off achieved between efficiency and fairness as one selects different objectives and develop several concrete managerial prescriptions for the selection problem based on this trade off finally we demonstrate the value of our framework in a case study that considers air traffic management this paper was accepted by yossi aviv operations management

freight villages a literature review from the sustainability and societal equity perspective abstract the purpose of this study is to present a state of the art literature review on freight villages from the sustainability and equity perspective and discuss their impacts and place in the supply chain and logistics networks while focusing on the core concepts of freight transportation with an understanding of the structure of freight villages it is clear that they have potential for a number of merits with the increase in freight transportation activities however our review shows that current literature does not present satisfying evidence that these villages fulfill their purpose in terms of sustainability and social equity

who benefits from financial development new methods new evidence abstract this paper takes a fresh look at the impact of financial development on economic growth by using recently developed kernel methods that allow for heterogeneity in partial effects nonlinearities and endogenous regressors our results suggest that while the positive impact of financial development on growth has increased over time it is also highly nonlinear with more developed nations benefiting while low income countries do not benefit at all we also conduct a novel policy analysis that confirms these statistical findings in sum this set of results contributes to the ongoing policy debate as to whether low income nations should scale up financial reforms

the weekly pattern in stock index futures a further note in a recent note in this journal cornell 2 examines weekly patterns in returns in the cash and futures markets for common stock he finds a close toopen weekend effect in the cash market similar to the result previously reported by rogalski 4 however based on his results for the futures market he concludes during the close to open period the mean returns are virtually indistinguishable across days of the week in short the behavior of the future prices is consistent with the predictions of the efficient market hypothesis p 586 cornell s results contrast markedly with those reported by dyl and maberly 3 from a very similar study albeit over a slightly different time period both studies examined standard poor s 500 stock index futures in an attempt to resolve this puzzling inconsistency we replicated cornell s study for the period from may 3 1982 through july 24 1984 we were unable to duplicate his results in addition we also report results for the period from may 3 1982 through december 31 1985 that further confirm the existence of a close to open weekend effect in the market for standard poor s 500 stock index futures i differences in methodology there were several minor differences in the methodologies employed in the cornell 2 and dyl and maberly 3 studies in addition to examining a different sample i e time period as contracts approached maturity we switched to the contract that was next closest to maturity at a different time from when cornell did the results reported below use cornell s switching convention both studies used the same procedure for dealing with holidays deleting both holidays and days following holidays a more important methodological difference between the two studies is that

current account imbalances and systemic risk within a monetary union abstract the aim of this paper is to cast light on possible influences of current account imbalances on the escalation of systemic risk which hit the eurozone the hypothesis which was set up by examining empirical evidence points to heterogeneity across the macroeconomic conditions prevailing in different clusters of emu countries given the strengthened financial and real interconnections across the emu countries the capital flows triggered by widening distances between surplus and deficit trade balances and also between sound and deteriorating public budgets represent an important factor magnifying systemic risk and contagion the econometric estimates we conducted concern two sub periods the two decades from the launch of the ems in 1979 to 1999 and the first twelve years 1999 2010 of the monetary union the findings sound as a confirmation that the strengthened financial and real interconnections across the emu countries instead of facilitating convergence among the core and the peripheral economies have magnified and mutually reinforced imbalances the divide between surplus and deficit countries the backward emu countries running larger current account deficits and the more advanced countries accumulating larger current account surpluses have brought about increasing capital outflows from the periphery to pay for excess imports from the core conversely increasing capital flows were invested by the banks of the core countries in the periphery s public bonds

does the weekday effect of the yen dollar spot rates exist in tokyo london and new york an analysis of panel probability distribution using probability distribution techniques this article explores whether any differences exist between the returns and volatility of yen dollar spot markets in tokyo london and new york after the intraday returns were fit into probability distributions new york is found to have the highest return followed by london and then tokyo in estimating the peaks and widths of the distributions of volatility tokyo is found to have the lowest volatility in the log normal distribution while london and new york show similar volatility distributions implying similar investor risk return preference behaviour in the london and new york markets the findings also imply that arbitrage opportunities between london and new york could be trivial after estimating the panel distribution from monday to friday across the three markets we found that the monday effect disappears instead tuesday shows negative and significantly lower returns the friday weekend effect no longer exists instead thursday shows a positi

some consequences of credit rationing in an endogenous growth model an endogenous growth model is developed where all investment is financed via credit extension there is also an adverse selection problem in loan markets so that in equilibrium credit rationing arises endogenously the result is that equilibrium levels of credit rationing and real growth rates are jointly determined in this context several changes in the environment can have unusual consequences for instance improvements in the technology for producing capital can reduce growth because of their adverse impacts on credit rationing for similar reasons various government investment subsidies can be growth reducing this phenomenon is often observed empirically

on the behavioral differences between professional and amateur investors after the weekend abstract this paper compares the trading patterns of amateur and professional investors during the days following the weekend the comparison is based on all the daily transactions of a large sample of both amateurs and professionally managed investors in a major brokerage house in israel from 1994 to 1998 we find that weekends influence both amateurs and professional investors however they affect them in opposite directions individuals increase both their buy and sell activities and their propensity to sell rises more than their propensity to buy professionals on the other hand tend to perform fewer buy as well as sell trades after the weekend but unlike individuals the drop in their activity is almost the same for buy trades and for sell trades the results agree with previous hypotheses raised in the literature which were not directly tested about the effects of the weekend on the predisposition to trade of individuals and institutions in other markets we also find that returns on the israeli stock market index are correlated in general with the behavioral patterns exhibited by the investors in our sample in particular the returns on the days following the weekend are lower than those in other weekdays in a manner consistent with the behavioral patterns we found

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

information shares in the us treasury market abstract this paper highlights the previously neglected role of the futures markets in us treasury price discovery the estimates of 5 and 10 year govpx spot market information shares typically fail to reach 50 from 1999 on the govpx information shares for the 2 year contract are higher than those of the 5 and 10 year maturities but also decline after 1998 relative bid ask spreads number of trades and realized volatility are statistically significant and explain up to 21 of daily information shares in roughly 1 4 of cases when public information is released the futures market gains information share but macroeconomic announcements rarely explain information shares independently of liquidity

the weekly pattern in stock returns cash versus futures a note this paper presents tests designed to determine whether the weekly pattern in stock returns continues after the introduction of futures trading on stock indexes and whether the pattern carries over to the futures market using data for the sp500 i find that the monday effect does persist in the cash market but there is no evidence of a similar pattern in the futures market among the growing array of market anomalies one of the most widely documented but least understood is the day of the week effect detailed research by french 2 gibbons and hess 3 lakonishok and levi 6 and keim and stambaugh 5 clearly shows that the mean return on monday is less than that

the dynamics of the wealth distribution and the interest rate with credit rationing are uniquely determined and wealth dispersion among individuals or firms is irrelevant introducing credit rationing into the solow model modifies these conclusions multiple stationary interest rates and wealth distributions can exist because higher initial rates can be self reinforcing through higher credit rationing and lower capital accumulation the wealth accumulation process is ergodic in every steady state but wealth mobility is lower with higher steady state interest rates aggregate output is higher in steady states with lower interest rates because credit is better allocated short run interest rate or distribution shocks can be self sustaining and can have long run effects on output through the induced dynamics of the wealth distribution and credit rationing

a transaction data study of weekly and intradaily patterns in stock returns abstract weekly and intradaily patterns in common stock prices are examined using transaction data for large firms negative monday close to close returns accrue between the friday close and the monday open for smaller firms they accrue primarily during the monday trading day for all firms significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens on monday mornings prices drop while on the other weekday mornings they rise otherwise the pattern of intraday returns is similar on all weekdays most notable is an increase in prices on the last trade of the day

weekend effects on stock returns a note some researchers have apparently been surprised to discover that the distribution of stock returns depends on the day of the week kenneth french 3 for example in testing whether daily stock returns are generated by a trading time or calendar time hypothesis provided convincing evidence of a negative market return on mondays as french carefully notes this finding runs counter to both hypotheses since a trading time view would have expected stock returns equal on different days and a calendar time view would have higher expected returns on monday to compensate for the longer holding period in this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns we argue that the expected stock returns as measured for example from closing to closing prices should depend on the day of the week in general we argue that the expected returns on mondays should be lower than would be implied simply by a trading time or calendar time model and the returns on fridays should be higher in addition we anticipate that holidays will have complex effects on stock returns on other days of the week our argument is based on the delay between trading and settlements in stocks and in clearing checks the explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis as correctly adjusted expected returns should not differ according to the day of the week

financial development and economic growth views and agenda this critique argues that the preponderance of theoretical reasoning and empirical evidence suggests a positive first order relationship between financial development and economic growth the body of work would push even most skeptics toward the belief that the development of financial markets and institutions is a critical and inextricable part of the growth process and away from the view that the financial system is an inconsequential sideshow responding passively to economic growth many gaps remain however and the paper highlights areas in acute need of additional research