order flow transaction clock and normality of asset returns the goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change clark 1973 addressed this issue by representing the price process as a subordinated process with volume as the lognormally distributed subordinator we extend clark s results and find the following i stochastic time changes are mathematically much less constraining than subordinators ii the cumulative number of trades is a better stochastic clock than the volume for generating virtually perfect normality in returns iii this clock can be modeled nonparametrically allowing both the time change and price processes to take the form of jump diffusions the relations among trading volume stock prices and price volatility the subject of empirical and theoretical studies over many years have lately received renewed attention with the increased availability of high frequency data a vast amount of research has focused on issues such as news arrivals volume and price changes or volatility moves usually outside any framework of general or even partial equilibrium is the normality of returns a key issue for example in the mean variance paradigm for portfolio choice or the recent study of the problems of risk management e g in value at risk verified at any time horizon the evidence accumulated from a number of studies that document the presence of leptokurtosis and skewness in the distribution of returns of a wide variety of financial assets suggests that the answer is no studies as early as for example fama 1965 showed that daily returns are more long tailed than the normal density with the distribution of returns approaching normality as the holding period is extended to one month in the same manner volatility smiles and other observed

the macroeconomic news cycle and uncertainty resolution we examine the behavior of return volatility and trading at 5 minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle we advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month the data indicate that these patterns arise from at least two sources 1 a higher level of uncertainty regarding the value of news in announcements in the first half of the month and 2 improvement in efficiency of macroeconomic forecasts from the first to the second half of the month

an incentive aligned mechanism for conjoint analysis abstract this article specifies analyzes and validates a rigorous and practical truth telling mechanism game for conjoint applications the mechanism requires only one real product variation and has truth telling in conjoint as its bayesian nash equilibrium thus making it possible to incentive align participants in most conjoint applications using the ipod package as the context the author shows empirically that the mechanism substantially improves purchase prediction compared with a standard conjoint procedure

quantifying and understanding the economics of large financial movements abstract financial market data offer the exciting possibility of quantifying and understanding the physics of a complex dynamical system and the hope that this line of thinking may give some insights into understanding collective human behavior various measures of stock market activity have been found to exhibit puzzling features that have recently attracted much research attention these features include the power law distributions of return volume number of trades assets under management of trading institutions and other power law relations linking them here we review these empirical results and show that some of these findings can be usefully interpreted within the framework of a reduced form model gabaix x gopikrishnan p plerou v stanley h e 2003 a theory of power law distributions in financial market fluctuations nature 423 267 270 and an economic model gabaix x gopikrishnan p plerou v stanley h e 2006b institutional investors and stock market volatility quarterly journal of economics 121 461 504 the features not only present a challenge to models of market fluctuations but their specific power law nature also suggests new modeling directions which include ideas from statistical physics which proved useful in understanding similar relationships that occur in the physics of critical phenomena

structural changes in volatility and stock market development evidence for spain abstract in this paper we review the factors that lead to changes in stock market volatility and use alternative methodologies of endogenous breakpoint detection in order to analyze whether the volatility of the spanish stock market has changed significantly over the period 1941 2001 this period corresponds to years of profound development of both the financial and the productive sides of the economy in this country the analysis of the spanish stock market suggests that volatility has behaved in a different manner over the period 1941 2001 after three decades of low volatility a structural break in volatility is detected in 1972 coinciding with the opening of the spanish economy from 1972 to 2001 the years of more intense financial development the stock market presents a higher level of volatility and lower persistence this effect is partly attributable to the increased growth of trading volume brought about by the economic development process

specific experience household structure and intergenerational transfers farm family land and labor arrangements in developing countries data from indian rural household survey was used to test th hypothesis that the coexistence in traditional rural societies of extended intergenerational families infrequent land sales and high reliance on family members as farm laborers is the result of the economic advantages which accrue from the knowledge gained by farming a particular ploy of land over a long period of time the land specific experience of elderly members of a intergenerational household who farmed the land as a child and then as an adult are expecially critical in adverse weather years most previous investigators attributed the existence of multigenerational households the use of family members rather than hired laboreds and the infrequency of land sales to deficiencies in the market i e labor market imperfections and an absence of capital insurance and asset markets in the present investigations these same characteristics are viewed as having an economic advantages a model for estimating the contribution of the experience of the elderly household members to agricultural profits was developed and applied to data from a 3 year panel study of 2900 indian rural farm households the data was collected between 1968 71 by the national council of applied economic research the survey collected information on farm profits farm inputs demographic characteristics and the effects of weather conditions on profits a major limitation of the study was a lack of information on the duration of land ownership age of household members was substituted as a proxy for duration of ownership findings were consistent withe the hypothesis in poor agricultural years gross returns for households which contained an elderly household member were greater than the gross returns for comparable households which did not contain an elderly member the economic advantages of specific knowledge embodied in the experienced elderly farmer were comparable to the economic advantages which accrued to households whose members were more educated the hypothesis cannot fully explain the existence of intergenerational families since there is a relatively large proportion of such families among nonfarm families in many countries including india findings suggest that intergenerational families may provide for more occupational diversity and thereby reduce income risks the specific experience hypothesis has policy implications if technological changes are introduced the value of specific experience may be lost and the frequency of intergenerational households may decline the hypothesis may also explain why farmers are reluctant to agree to land redistribution and consolidation schemes this reluctance may disappear after sufficient technological change has occurred

the variance gamma v g model for share market returns a new stochastic process termed the variance gamma process is proposed as a model for the uncertainty underlying security prices the unit period distribution is normal conditional on a variance that is distributed as a gamma variate its advantages include long tailedness continuous time specification finite moments of all orders elliptical multivariate unit period distributions and good empirical fit the process is pure jump approximable by a compound poisson process with high jump frequency and low jump magnitudes applications to option pricing show differential effects for options on the money compared to in or out of the money copyright 1990 by the university of chicago

the pricing of options on assets with stochastic volatilities one option pricing problem that has hitherto been unsolved is the pricing of a european call on an asset that has a stochastic volatility this paper examines this problem the option price is determined in series form for the case in which the stochastic volatility is independent of the stock price numerical solutions are also produced for the case in which the volatility is correlated with the stock price it is found that the black scholes price frequently overprices options and that the degree of overpricing increases with the time to maturity one option pricing problem that has hitherto remained unsolved is the pricing of a european call on a stock that has a stochastic volatility from the work of merton 12 garman 6 and cox ingersoll and ross 3 the differential equation that the option must satisfy is known the solution of this differential equation is independent of risk preferences if a the volatility is a traded asset or b the volatility is uncorrelated with aggregate consumption if either of these conditions holds the risk neutral valuation arguments of cox and ross 4 can be used in a straightfoward way this paper produces a solution in series form for the situation in which the stock price is instantaneously uncorrelated with the volatility we do not assume that the volatility is a traded asset also a constant correlation between the instantaneous rate of change of the volatility and the rate of change of aggregate consumption can be accommodated the option price is lower than the blackscholes b s 1 price when the option is close to being at the money and higher when it is deep in or deep out of the money the exercise prices for which overpricing by b s takes place are within about ten percent of the security price this is the range of exercise prices over which most option trading takes place so we may in general expect the b s price to overprice options this effect is exaggerated as the time to maturity increases one of the most surprising implications of this is that if the b s equation is used to determine the implied volatility of a near the money option the longer the time to maturity the lower the implied volatility numerical solutions for the case in which the volatility is correlated with the stock price are also examined the stochastic volatility problem has been examined by merton 13 geske 7 johnson 10 johnson and shanno 11 eisenberg 5 wiggins 16 and

the boundaries of loss aversion abstract in this article the authors propose some psychological principles to describe the boundaries of loss aversion a key idea is that exchange goods that are given up as intended do not exhibit loss aversion for example the authors propose that money given up in purchases is not generally subject to loss aversion the results of several experiments provide preliminary support for the hypotheses the authors find that consistent with prospect theory loss aversion provides a complete account of risk aversion for risks with equal probability to win or lose the authors propose boundaries for this result and suggest further tests of the model

price volatility trading volume and market depth evidence from futures markets the relations between volume volatility and market depth in eight physical and financial futures markets are examined evidence suggests that linking volatility to total volume does not extract all information when volume is partitioned into expected and unexpected components the paper finds that unexpected volume shocks have a larger effect on volatility further the relation is asymmetric the impact of positive unexpected volume shocks on volatility is larger than the impact of negative shocks finally consistent with theories of market depth the study shows large open interest mitigates volatility

consumers willingness to pay for the color of salmon a choice experiment with real economic incentives in most retail markets sellers post the price and consumers choose which products to buy we designed an experimental market with posted prices to investigate consumers willingness to pay for the color of salmon salmon fillets varying in color and price were displayed in twenty choice scenarios in each scenario the participants chose which of two salmon fillets they wanted to buy to induce real economic incentives each participant drew one binding scenario the participants then had to buy the salmon fillet they had chosen in their binding scenario the choice data were analyzed with a mixed logit model

forward curves scarcity and price volatility in oil and natural gas markets the role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by kaldor kaldor n 1939 speculation and economic stability the review of economic studies 7 1 27 and working working h 1949 the theory of the price of storage american economic review 39 1254 1262 and has since been documented in a vast body of financial literature including the reference paper by fama and french fama e f and k r french 1987 commodity futures prices some evidence on forecast power premiums and the theory of storage journal of business 60 55 73 on metals the goal of this paper is twofold i validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory the slope being defined in a way that filters out seasonality ii analyze directly for these two major commodities the relationship between inventory and price volatility in agreement with the theory of storage we find that i the negative correlation between price volatility and inventory is globally significant for crude oil ii this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas our results are illustrated by the analysis of a 15 year database of us oil and natural gas prices and inventory

subsidy or market reform rethinking china s farm consolidation strategy chinese food security policy is anchored increasingly on the conviction that domestic grain production should be greatly enhanced and the best way to do so is to expand farm production scale to that end an increasing stream of public investment has been directed to the grain sector in the form for example of farm expansion subsidies our purpose is to assess the potential impacts of china s farm scale expansion on both yields and per hectare economic returns analysis of a large sample of farm household production data finds with some exceptions that grain yields likely will decline as farm size grows compromising food self sufficiency targets more importantly in only isolated cases would per hectare economic returns decline with size thus an emphasis on reducing farmland transactions costs may stimulate cropland consolidation and achieve the desired long term structural transformation

the subsidization of farming households in china s agriculture concerned about national food self sufficiency and rural household incomes in 2004 china decided to reverse its longstanding policy of taxing farm households and instead began to provide them with subsidies since 2004 annual announcements have trumpeted rises in subsidies despite the historic turnaround of policy and likely implication of this subsidy policy to china s food economy there has been little household level survey based research that has sought to understand the nature of china s subsidy programs from the viewpoint of the farmer using data from two sets of household based surveys covering tens of thousands of households and most major producing provinces and survey data from government in this paper we examine the subsidies that are directly given to farmers one of the newest and relatively high profiles components of china s subsidy programs we focus on china s grain input seed and machinery subsidy programs according to the survey based findings we show that although agricultural subsidies per farm are low on a per hectare basis the rate of subsidies is high almost all producers are receiving them subsidies are mostly being given to the land contractor not the tiller most of grain input and seed subsidies are non distorting but machinery subsidy is based on farmers actual purchase of machineries

the rapid rise of cross regional agricultural mechanization services in china although adam smith 1776 and alfred marshall 1920 emphasized the gains from specialization that arise from the division of labor their focus was on the manufacturing sector both saw farming as being on too small a scale and bereft of economies of scale with a market that was too small and local with too sharp a seasonality and too quick a succession of tasks to support either the development of a division of labor over the tasks of a cropping season or of mechanization smith and marshall s vision of farming and its implications for division of labor and mechanization was manifest again in the 1950s to the present in asia ruttan 2001 puts forward nearly the same ideas and terms as smith and marshall but for contemporary small rice farms in asia he emphasizes that the use of machines for the series of short tasks performed on tiny farms would imply costly investment in specialized machines that small farmers would be loath to make and even if these farmers mechanized ruttan posited that it would not induce a segmented and specialized farm labor market as again the critical mass of demand for each segment would not be present otsuka 2012 goes further along these lines to note that only on larger farms would the mechanization investment

competitive inventory management in treasury markets abstract we decompose us treasury bid ask spreads into inventory adverse selection and order processing costs by using the fact that inventory trades have different effects on spreads than do proprietary trades we exploit this asymmetry and develop a technique to identify the three components of the spread in order to test three hypotheses dealers make larger changes to inventory 1 following macroeconomic announcements 2 at the start and toward the end of the new york trading hours and 3 when transaction sizes are relatively large we test these predictions using govpx data for on the run 2 year and 10 year treasury notes all three predictions are supported we also assess how primary dealers react to the federal reserve s open market operations omos our findings reveal interesting intraday patterns in the inventory component for both securities

changes in trade and domestic distortions affecting china s agriculture this paper assesses the implications of china s trade and domestic policies for incentives to producers in china it uses a price comparison methodology nominal rates of assistance at the border and the farmgate with adjustments for exchange rate distortions in the first part of the sample period 1981 1994 on average distortions to agricultural incentives have been reduced in the early 1980s on average china s domestic prices were far below international prices there were substantial variations however between imported which were being protected and exported goods during the 1980s and 1990s the gap between domestic and international prices for both imports and exports narrowed initially mainly due to the elimination of domestic policy distortions between the mid 1990s and 2004 trade liberalization policy furthered narrowed the gap between world and china farmgate prices by the mid 2000s china s agriculture was operating with only small price distortions

incentive aligned conjoint analysis abstract because most conjoint studies are conducted in hypothetical situations with no consumption consequences for the participants the extent to which the studies are able to uncover true consumer preference structures is questionable experimental economics literature with its emphasis on incentive alignment and hypothetical bias suggests that more realistic incentive aligned studies result in stronger out of sample predictive performance of actual purchase behaviors and provide better estimates of consumer preference structures than do hypothetical studies to test this hypothesis the authors design an experiment with conventional hypothetical conditions and parallel incentive aligned counterparts using chinese dinner specials as the context the authors conduct a field experiment in a chinese restaurant during dinnertime the results provide strong evidence in favor of incentive aligned choice conjoint analysis in that incentive aligned choice conjoint outperforms hypothetical choice conjo

food security policy options for china lessons from other countries the authors gratefully acknowledge financial support from the world bank and australia s rural industries research and development corporation

demand for beef from cattle administered growth hormones or fed genetically modified corn a comparison of consumers in france germany the united kingdom and the united states we compare consumer valuations of beef ribeye steaks from cattle produced without growth hormones or genetically modified corn in france germany the united kingdom and the united states results suggest that french consumers place a higher value on beef from cattle that have not been administered added growth hormones than u s consumers however valuations of non hormone treated beef are statistically indistinguishable across germany the united kingdom and the united states results also suggest that european consumers place a much higher value on beef from cattle that have not been fed genetically modified corn than u s consumers copyright 2003 oxford university press

are choice experiments incentive compatible a test with quality differentiated beef steaks this study compares hypothetical and nonhypothetical responses to choice experiment questions we test for hypothetical bias in a choice experiment involving beef ribeye steaks with differing quality attributes in general hypothetical responses predicted higher probabilities of purchasing beef steaks than nonhypothetical responses thus hypothetical choices overestimate total willingness to pay for beef steaks however marginal willingness to pay for a change in steak quality is in general not statistically different across hypothetical and actual payment settings

a direct test of the mixture of distributions hypothesis measuring the daily flow of information this paper proposes and conducts direct tests of the mixture of distributions model for stock prices by exploiting the model s bivariate conditional normality of price changes and trading volume these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market as a technical by product important parameters governing the distribution of this unobservable information flow are estimated

from measure changes to time changes in asset pricing abstract the goal of the paper is to review the last 35 years of continuous time finance by focusing on two major advances i the powerful elegance of the martingale representation for primitive assets and attainable contingent claims in more and more general settings thanks to the probabilistic tool of probability change and the economic flexibility in the choice of the numeraire relative to which prices are expressed this numeraire evolved over time from the money market account to a zero coupon bond or a stock price lastly to strictly positive quantities involved in the libor or swap market models and making the pricing of caps or swaptions quite efficient ii the persistent central role of brownian motion in finance across the 20th century even when the underlying asset price is a very general semi martingale the no arbitrage assumption and monroe theorem monroe i 1978 processes that can be embedded in brownian motion annals of probability 6 42 56 allow us to write it as brownian motion as long as we are willing to change the time the appropriate stochastic clock can be shown empirically to be driven by the cumulative number of trades hence by market activity consequently starting with a general multidimensional stochastic process s defined on a probability space f f t p and representing the prices of primitive securities the no arbitrage assumption allows for any chosen numeraire to obtain a martingale representation for s under a probability measure qs equivalent to p this route will be particularly beneficiary for the pricing of complex contingent claims alternatively changing the clock i e changing the filtration f t we can recover the brownian motion and normality of returns in all cases martingales appear as the central representation of asset prices either through a measure change or through a time change

inverse productivity land quality labor markets and measurement error abstract this paper examines the role that land quality and imperfect markets play in generating the inverse productivity relationship in the international crop research institute for the semi arid tropics icrisat data differences in land quality largely explain the inverse productivity ip relationship in the random effects profit regression but not in labor demand regressions controlling for labor and land market failures and differences in soil quality eliminates the ip relationship for male labor but not female labor in the random effects estimates the inverse relationship is much stronger in fixed effects than random effects estimates suggesting that the farm size variable may be subject to measurement error a view supported by the results of instrumental variables estimation

access to capital and agrarian production organisation there are two problems both universal that entrepreneurs in any economy must contend with firstly an agent generally has access only to a limited amount of working capital secondly workers hired by an agent are subject to moral hazard and this necessitates their supervision this paper models for an agrarian economy the constraints imposed on entrepreneurs activities by these two problems and endogenously determines the various organisational forms of production as well as the allocation of resources that will obtain with a simple model we endeavour to explain a diverse set of empirical observations pertaining to the less developed countries in terms of the general processes that determine the distribution of income among the various agents and the hierarchical relationships that develop among them agricultural production typically involves a period of several months between the time the inputs are purchased and the time the output is marketed access to working capital and hence to the credit market thus plays an important role in a farmer s production decisions the distribution of access to credit in turn tends to be an important determinant of income distribution in poor agrarian economies credit is invariably rationed according to the ability to offer collateral the amount of working capital a farmer can mobilise therefore depends on the amount of land he owns which is often a good proxy for his overall wealth and thus his ability to offer collateral further since hired hands have a propensity to shirk they need to be supervised and therefore the

what experimental protocol influence disparities between actual and hypothetical stated values preferences elicited in hypothetical settings have recently come underscrutiny causing estimates from the contingent valuation method to bechallenged due to perceived hypothetical bias given that the receivedliterature derives value estimates using heterogeneous experimentaltechniques understanding the effects of important design parameters onthe magnitude of hypothetical bias is invaluable in this paper we addressthis issue statistically by using a meta analysis to examine data from 29experimental studies our empirical findings suggest that on averagesubjects overstate their preferences by a factor of about 3 in hypotheticalsettings and that the degree of over revelation is influenced by thedistinction between willingness to pay and willingness to accept publicversus private goods and several elicitation methods

modeling and measuring intraday overreaction of stock prices abstract we introduce a model for stock prices consisting of a fundamental price process and a news impact curve which allows for either overreaction underreaction or correct response to changes of the fundamental value we further develop statistics based on ohlc data which separately measure upside and downside overreaction the distribution of these statistics under the hypothesis of correct response and fundamental prices following brownian motions is used to derive tests for upside and downside overreaction we show that more realistic and frequently used fundamental price processes with correct response leave the distribution of the test statistics widely unaffected or lead to conservative tests empirical application to different stock markets provides strong evidence for intraday overreaction particularly to bad news the economic significance of the discrimination induced by the proposed statistics is further illustrated by analyzing the performance of a simple buy on bad news strategy

bidding behavior and decision costs in field experiments i introduction positive opportunity costs of mental effort may invalidate the predictions of traditional models of rational or hyperrational agents conlisk 1996 uses deliberation costs as a recurring theme when discussing four important reasons for incorporating bounded rationality in economic models smith and walker 1993 and smith and szidarovszky 1999 present effort models that predict individual behavior will more closely match the predictions of rational behavior theories as 1 the stakes of the decision increase and 2 the decision costs decrease smith and walker 1993 find evidence of these two effects in a comprehensive review of 31 published laboratory experiments camerer and hogarth 1999 extend smith and walker s survey by examining 74 experimental papers and find evidence in favor of the cognitive effort theory noting that higher levels of incentives have the largest effects in judgment and decision tasks p 34 although the laboratory evidence is compelling there has been little verificati on of these predictions outside the laboratory 1 the present article fills this gap by examining field data from 214 multiunit sports card auctions carried out in an active marketplace on the floor of a sports card show we auctioned four types of trading cards with book values ranging from 3 to 70 providing significant variation in the stakes of the auction our auctions also included two distinct types of subjects some auctions had sports card dealers bidding against each other whereas others had individual card collectors as the participants this variation allows us to explore the second dimension of decision cost theory do dealers who commonly participate in sports card auctions and therefore likely require less effort to bid optimally bid more rationally than nondealers our measure of rational bidding comes from multiunit auction theory which predicts strategic demand reduction in uniform price auctions 2 for each type of bidder and each type of card we measure this demand reduction behavior in the uniform price auction relative to a control the multiunit vickrey 1961 auction where bidders are predicted to fully reveal their demands our sports card data generated from sales of 428 cards with a combined book value of nearly 10 000 provide two major insights first we find that the predicted strategic behavior is considerably greater when the auctioned cards have higher values second dealers exhibit more of the predicted strategic behavior than do nondealers for both lower and higher priced cards one conjecture to explain this finding is that nondealers may find that the cognitive effort required to bid strategically exceeds the benefits especially for low valued cards by contrast dealers have more experience with auctions and make their living by buying selling trading cards so their cognitive costs are likely much lower than those of nondealers these two findings are consistent with recent theoretical models of monetary rewards and decision costs and extend previous experimental evidence from the laboratory into the field ii experimental design as mentioned recent theoretical literature has suggested that demand reduction inherent in uniform price auctions with multiunit demand can induce inefficient allocations and possible reductions in auction revenue to avoid the inefficiencies associated with the uniform price auction theorists have identified an alternative mechanism the generalized vickrey auction which gives bidders a dominant strategy of revealing their true valuations for all units of the good in this multiunit vickrey auction as in the uniform price auction each bidder can submit up to n different sealed bids on individual units and the highest n bids are declared winners if a bidder submits one or more of the winning bids his or her price for the first unit equals the highest rejected bid submitted by someone else and his or her price for the kth unit equals the kth highest of the rejected bids submitted by others

time changed levy processes and option pricing abstract the classic black scholes option pricing model assumes that returns follow brownian motion but return processes differ from this benchmark in at least three important ways first asset prices jump leading to non normal return innovations second return volatilities vary stochastically over time third returns and their volatilities are correlated often negatively for equities time changed levy processes can simultaneously address these three issues we show that our framework encompasses almost all of the models proposed in the option pricing literature and it is straightforward to select and test a particular option pricing model through the use of characteristic function technology

macroeconomic news announcements and stock market jump intensity dynamics abstract this paper examines the effect of macroeconomic releases on stock market volatility through a poisson gaussian garch process with time varying jump intensity which is allowed to respond to such information the day of the announcement per se is found to have little impact on jump intensities employment releases are an exception however when macroeconomic surprises are considered inflation shocks show persistent effects while monetary policy and employment shocks reveal only short lived effects also the jump intensity responds asymmetrically to macroeconomic shocks evidence on macroeconomic variables relevance in explaining jump dynamics and improving volatility forecasts on event days is provided

can unobserved heterogeneity in farmer ability explain the inverse relationship between farm size and productivity abstract the well known inverse relationship between farm size and productivity is usually explained in terms of diminishing returns with respect to land and other inputs coupled with various types of market frictions that prevent the efficient allocation of land across farms we show that even in the absence of diminishing returns one can provide an alternative explanation for this phenomenon using endogenous occupational choice and heterogeneity with respect to farming skills

does supervision matter some hypothesis tests using indian farm level data abstract a model is developed and estimated to test for heterogeneity of family and hired labor in agricultural production and to estimate the impact of employer supervision on the productivity of hired labor plot level data are used from a rice growing village in semi arid tropical india the hypothesis that family and hired labor are homogeneous inputs was rejected results indicate that family member supervision is required to increase hired labor productivity output loss attributable to operating at reduced supervision intensity was greater than 10 on over 40 of the plots

do hypothetical and actual marginal willingness to pay differ in choice experiments application to the valuation of the environment abstract in this paper we test the validity of choice experiments with donations for environmental projects in particular we test whether or not there are differences in preferences between a hypothetical and an actual choice experiment our experiments indicate no differences in addition internal tests of validity indicate transitive and stable preferences in both experiments although there are some indications of possible learning effects during the experiment

experimental auction procedure impact on valuation of quality differentiated goods despite increased use of experimental auctions a myriad of different procedures are being employed without formal consideration of how the procedures might affect results this study investigates the effect of several procedural issues on valuation estimates from experimental auctions results indicate the second price auction generates higher valuations than english becker degroot marschak bdm and random nth price auctions especially in latter bidding rounds and that random nth price auction yields lower valuations than english and bdm auctions we find that endowing subjects with a good prior to eliciting bids can have an impact on valuations but the effect varies across auction mechanism

continuous time models realized volatilities and testable distributional implications for daily stock returns we provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous time jump diffusion models traditionally used in asset pricing finance our approach builds directly on recently developed realized variation measures and non parametric jump detection statistics constructed from high frequency intra day data a sequence of simple to implement moment based tests involving various transformations of the daily returns speak directly to the importance of different distributional features and may serve as useful diagnostic tools in the specification of empirically more realistic continuous time asset pricing models on applying the tests to the 30 individual stocks in the dow jones industrial average index we find that it is important to allow for both time varying diffusive volatility jumps and leverage effects to satisfactorily describe the daily stock price dynamics copyright 2009 john wiley sons ltd

are results from non hypothetical choice based conjoint analyses and non hypothetical recoded ranking conjoint analyses similar conflicting findings have been found in previous research that compared choice based conjoint analysis and ranking conjoint analysis in a public good setting the present paper revisits this issue for a private good in a non hypothetical context using small and large choice sets our results suggest that in a small choice set setting participants preferences and willingness to pay are similar across the two conjoint analysis formats however in large choice sets a divergence between the two conjoint analysis formats emerges hence the two conjoint analysis formats can only be used interchangeably in small choice sets not in large choice sets

stock prices and volume the authors undertake a comprehensive investigation of price and volume co movement using daily new york stock exchange data from 1928 to 1987 they adjust the data to take into account well known calendar effects and long run trends to describe the process they use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume four empirical regularities are found 1 positive correlation between conditional volatility and volume 2 large price movements are followed by high volume 3 conditioning on lagged volume substantially attenuates the leverage effect and 4 after conditioning on lagged volume there is a positive risk return relation article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

testing the continuous semimartingale hypothesis for the s p 500 large amounts of intraday data of the s p 500 stock index futures are used to test the hypothesis that the log return process corrected for drift is a continuous martingale we use the time change for martingales theorem to rephrase the hypothesis and test whether the return process corrected for drift is a time changed brownian motion this hypothesis cannot be rejected

an incentive compatible conjoint ranking mechanism a simple method for making ranking based conjoint analysis incentive compatible is proposed the incentive compatible mechanism involves people purchasing a product profile with a probability proportional to its assigned rank in an empirical application related to consumer preferences for beef attributes we find that the forecasted market share for a new pasture raised steak obtained using incentive compatible rankings was significantly greater than that implied from traditional hypothetical conjoint rankings people s rankings of ground beef products were not affected by the mechanism or by information about pasture raised beef copyright 2008 oxford university press

transactions volume and volatility we show that the positive volatility volume relation documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions thus it is the occurrence of transactions per se and not their size that generates volatility trade size has no information beyond that contained in the frequency of transactions our results suggest that theoretical research needs to entertain scenarios in which 1 both the frequency and size of trades are endogenously determined yet 2 the size of trades has no information content beyond that contained in the number of transactions article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

rural reforms and agricultural growth in china this paper employs province level panel data to assess the contributions of decollectivization price adjustments and other reforms to china s agricultural growth in the reform period decollectivization is found to improve total factor productivity and to account for about half of the output growth during 1978 84 the adjustment in state procurement prices also contributed positively to output growth its impact came mainly from the responses in input use the effect of other market related reforms on productivity and output growth was very small reasons for slowdown in agricultural growth after 1984 are also analyzed copyright 1992 by american economic association

deducing the implications of jump models for the structure of stock market crashes rallies jump arrival rates and extremes this article studies the structure of stock market crashes rallies their jump arrival rates and extremes large market moves are characterized in a pure jump modeling framework based on both raw and devolatized returns it is shown empirically that crashes are more severe in intensity than rallies and have higher arrival rates at the same time both left tail and right tail extreme events conform with frechet limit laws pure jump models which describe well the tail properties of market returns are identified via their levy measures the distribution of extreme events implied by our model s levy measure is closer to the actual realization of extremes than those of competing models finally there is information content in the levy measure of pure jump models for forward arrival rate of jumps

on price risk and the inverse farm size productivity relationship abstract the oft observed inverse relationship between farm size and productivity has elicited several explanations having important policy and theoretical implications using advances in the analysis of price risk effects on producer behavior and a simple two period model of an agricultural household that both produces and consumes under price uncertainty at the time labor allocation decisions are made this paper demonstrates analytically that a non degenerate land distribution and price risk can together produce an inverse relationship even absent any of the more common explanations empirical evidence from madagascar confirms the plausibility of this intuitive explanation for the phenomenon

new perspectives on farm size and productivity abstract the farm size and productivity debate has been limited by the focus on land or labor productivity generally showing respective productivity advantages to smaller or larger sized farms our purpose is to provide new perspectives on the debate by bringing together evidence from a set of novel case studies in both rich and poor countries common to them are the adoption of total factor productivity tfp as the comparative performance measure and the reliance on panels of farm micro data the present article presents a synthesis of findings from five case studies in i malawi tanzania and uganda ii bangladesh iii brazil iv australia and v the united states the preponderance of evidence from these studies suggests that there is no single economically optimal agrarian structure rather it appears to evolve with the stage of economic development certain farm sizes face relative productivity advantages such as small farms in africa but with economic and market growth that smallholder advantage will likely attenuate moving toward constant and eventually increasing returns to size yet importantly small farms may be quite dynamic and need not be a drag on agricultural growth until perhaps well into the development process

measuring consumers willingness to pay at the point of purchase abstract economists psychologists and marketing researchers rely on measures of consumers willingness to pay wtp in estimating demand for private and public goods and in designing optimal price schedules existing market research techniques for measuring wtp differ in whether they provide an incentive to consumers to reveal their true wtp and in whether they simulate actual point of purchase contexts the authors present an empirical comparison of several procedures for eliciting wtp that are applicable directly at the point of purchase in particular the authors test the applicability of becker degroot and marschak s 1964 well known incentive compatible procedure for assessing the utility of lotteries to measuring consumers wtp in three studies the authors explore the reliability validity and feasibility of the procedure and show that it yields lower wtp estimates than do non incentive compatible methods such as open ended and double bounded contingent valuation they show experimentally t

are valuations from nonhypothetical choice experiments different from those of experimental auctions due to the importance of comparability and external validity of results nonhypothetical experimental methods are increasingly used to elicit consumers willingness to pay for various goods two of the increasingly popular preference elicitation methods are the nonhypothetical choice experiments and experimental auctions we conduct experiments to compare willingness to pay estimates elicited from both methods our results generally suggest that valuations elicited from experimental auctions can differ from those obtained from nonhypothetical choice experiments copyright 2011 oxford university press

poverty population and environmental degradation in china this paper studies the relationship among population poverty and the environmental factors and the impact they have had on china s land water forests and pastures it does so by examining the extent of environmental degradation and china s success in controlling its environmental problems is reviewed by investigating how the leadership has tried to develop a legal framework and series of institutions to carry out environmental policy and by providing empirical evidence demonstrating the determinants of the successes that china has achieved in surmounting or slowing some of its environmental problems five of china s rural resource concerns are surveyed in this paper water pollution deforestation destruction of the grasslands soil erosion and salinization the paper finds that government policy has not been effective in controlling rural resource degradation primarily because it has limited fiscal resources and poorly trained personnel and under these constraints the government has delegated responsibility for environmental and resource protection to the ministries of agriculture and forestry two institutions that have an incentive to favor pro production policies instead china s efforts to alleviate policy integrate markets and control population appear to have helped mitigate a number of adverse environmental consequences of china s development effort of the last 40 years

the relation between price changes and trading volume a survey this paper reviews previous and current research on the relation between price changes and trading volume in financial markets and makes four contributions first two empiri cal relations are established volume is positively related to the magnitude of the price change and in equity markets to the price change per se second previous theoretical research on the price volume relation is summarized and critiqued and major insights are emphasized third a simple model ofthe price volume relation is proposed that is consis tent with several seemingly unrelated or contradictory observations and fourth several directions for future research are identified

the effects of experience on preferences theory and empirics for environmental public goods this article develops a choice model for environmental public goods which allows for consumers to learn about their preferences through consumption experiences we develop a theoretical model of bayesian updating perform comparative statics over the model and show how the theoretical model can be consistently incorporated into a reduced form econometric model our main findings are that in a random utility model rum discrete choice model a subject s scale should increase and the variability of scale should decrease with experience if subjects are bayesians we then estimate the model using field data regarding preferences for one particular public good water quality we find strong evidence that additional experience increases scale thereby making consumer preferences more predictable from the econometrician s perspective we find supportive but less convincing evidence that experience decreases the variability of scale across subjects

external validity of a framed field experiment abstract results obtained from a value elicitation experiment are used to predict the sales of a new grocery product while the experimental results correspond well with actual retail sales there is a tendency for subjects to exhibit more pro social behavior in the framed field experiment than in the naturally occurring market

pricing catastrophe options with stochastic claim arrival intensity in claim time abstract we model claim arrival and loss uncertainties jointly in a doubly binomial framework to price an asian style catastrophe cat option with a non traded underlying loss index using the no arbitrage martingale pricing methodology we span these uncertainties by benchmarking to the shadow price of a one claim bond and the premium of a reinsurance contract we implement a stochastic time change from calendar time to claim time to more efficiently price the cat option as a random sum a binomial sum of claim time binomial asian option prices this choice of the operational time dimension allows us to incorporate different patterns of catastrophe arrivals by adjusting the claim arrival probability we demonstrate this versatility by incorporating a mean reverting ornstein uhlenbeck intensity arrival process simulation results verify our model predictions and demonstrate how the claim arrival probability varies with the expected claim arrival intensity

impacts of migration on household production choices evidence from china abstractthe great migration from chinese farms to cities during the past several decades ranks among the most economically consequential of modern population movements we use a national sample of rice producing chinese households to examine the effects of that migration on agricultural production our assessment involves evaluating four alternative theories of labour market equilibrium in the framework of an expanded agricultural household model migration s farm production impacts appear to be slight not on account of farm labour market perfections or remittance financed technological improvements but by substituting a reduction in leisure and other low return activities for lost labour

a fully integrated liquidity and market risk model going beyond the simple bid ask spread overlay for a particular value at risk the author introduces an innovative framework that integrates liquidity risk funding risk and market risk he overlaid a whole distribution of liquidity uncertainty on future market risk scenarios and allowed the liquidity uncertainty to vary from one scenario to another depending on the liquidation or funding policy implemented the result is one easy to interpret easy to implement formula for the total liquidity plus market risk profit and loss distribution

pure jump levy processes for asset price modelling abstract the goal of the paper is to show that some types of levy processes such as the hyperbolic motion and the cgmy are particularly suitable for asset price modelling and option pricing we wish to review some fundamental mathematic properties of levy distributions such as the one of infinite divisibility and how they translate observed features of asset price returns we explain how these processes are related to brownian motion the central process in finance through stochastic time changes which can in turn be interpreted as a measure of the economic activity lastly we focus on two particular classes of pure jump levy processes the generalized hyperbolic model and the cgmy models and report on the goodness of fit obtained both on stock prices and option prices

intraday price change and trading volume relations in the stock and stock option markets this study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the cboe during the first quarter of 1986 after purging the price change series of the effects of bid ask spreads multivariate time series analysis is used to estimate the lead lag relation between the price changes in the option and stock markets the results indicate that price changes in the stock market lead the option market by as much as fifteen minutes the analysis of trading volume indicates that the stock market lead may be even longer the intense trading activity in and in fact the very existence of organized stock option markets attest to the economic benefits that these financial contracts provide reduced transaction costs and increased financial leverage are two reasons why trading in the stock option market may be more attractive than trading in the market for the underlying stock in addition these cheaper and more flexible trading opportunities attract new and differently informed investors to the marketplace the resulting increase in trading activity together with the inextricable arbitrage linkage between stock and option prices imply an increase in market efficiency this study investigates empirically the intraday price change and trading volume relations between stocks and options for a sample of firms whose options were actively traded on the chicago board options exchange during the first quarter of 1986 in particular intraday call option price changes are translated into implied stock price changes using the american call option pricing model these intraday implied stock price changes are then compared with the actual stock price changes to identify which if either market leads the other in perfectly functioning capital markets there should be complete simultaneity between the series that is new information disseminating into the marketplace should be reflected in the prices and the trading activity of both securities simultaneously institutional factors however may make the stock option market more attractive to information traders this may cause price changes and trading activity due to new information to be observed in the option market first followed by price

food insecurity income inequality and the changing comparative advantage in world agriculture i would like to argue in this article that in the process of economic development in land poor countries in asia agriculture faces three distinctly different problems food insecurity sectoral income inequality and the declining food self sufficiency associated with the declining comparative advantage in agriculture at the high income stage massive imports of food grains to asia if they occur will aggravate the world food shortage which will have significant implications for the poverty incidence in the world i argue that in order to avoid such a tragedy asia should expand farm size to reduce labor cost by adopting large scale mechanization sub saharan africa should realize a green revolution in grain production and latin america should further expand its grain production capacity

testing household specific explanations for the inverse productivity relationship the inverse relationship between land productivity and farm size is an old and puzzling empirical regularity most explanations for this relationship rely on market imperfections that jointly determine the farm size and the household s shadow price of some productive inputs we use plot level data from the icrisat vls to assess whether these household specific theories can explain the puzzle the data exhibit plots of different sizes being simultaneously cropped by the same household the inverse relationship is shown to hold true with the same magnitude across the plots of each household thus cross household heterogeneity does not suffice to explain the puzzle

is small beautiful farm size productivity and poverty in asian agriculture the debate on the relationship between farm size and productivity has gone through a complete circle in the 1960s it was perceived that small farms were efficient because they can fully use their resources particularly family labor and they can monitor their production activities closely but in the 1970s and 1980s as many asian countries rapidly moved towards industrialization and urbanization small farms were considered a major obstacle in this process

are hypothetical referenda incentive compatible a comment in a recent article in this journal cummings al 1997 offer experimental evidence rejecting the hypothesis that a hypothetical referendum is an incentive compatible mechanism for obtaining the social value of or willingness to pay for changes in the allocation of environmental goods and services while cautions in offering a blanket rejection of hypothetical referenda as a means of measuring economic values on the basis of their findings the authors do suggest that at least in experimental settings respondents appear to behave differently when real money is changing hands wheather hypothetical situations adequately mimic real market situations has been debated in the contigent valuation literature since its inception see cummings brookshire and schulze 1986 cummings et al s finding of incentive incompatibility appears to offer strong evidence for the critics of hypothetical referenda

bridging the gap between the distribution of realized ecu volatility and arch modelling of the euro the garch nig model summary this paper bridges the gap between traditional arch modelling and recent advances on realized volatilities based on a ten year sample of five minute returns for the ecu basket currencies versus the us dollar we find that the realized volatilities constructed from the summation of the high frequency intraday squared returns conditional on the lagged squared daily returns are approximately inverse gaussian ig distributed while the distribution of the daily returns standardized by their realized volatilities is approximately normal moreover the implied daily garch model with normal inverse gaussian nig errors estimated for the ecu returns results in very accurate out of sample predictions for the three years of actual daily euro us dollar exchange rates copyright 2002 john wiley sons ltd

can unobserved land quality explain the inverse productivity relationship abstract an inverse relationship between both farm productivity and labor intensity and farm size is a common empirical finding in developing country agriculture the traditional explanation has been imperfect labor markets recently it has been suggested instead that the inverse relationship is a statistical artifact resulting from omitted land quality using a farm level data set from java i investigate whether omitted variable bias can explain the inverse relationship i show that the inverse relationship and accompanying wage responses are inconsistent with a model of neoclassical farm behavior that ignores omitted variable bias instrumental variables techniques yield parameter estimates in which the inverse relationship is eliminated and the estimated wage elasticities are more in line with economic theory further econometric investigation hints that a model of omitted land quality may be a possible source of the inverse relationship these results emphasize the importance of considering the sources of cross sectional variation in estimating microeconomic relationships