the role of feelings in investor decision making abstract this paper surveys the research on the influence of investor feelings on equity pricing and also develops a theoretical basis with which to understand the emerging findings of this area the theoretical basis is developed with reference to research in the fields of economic psychology and decision making recent advancements in understanding how feelings affect the general decision making of individuals especially under conditions of risk and uncertainty e g loewenstein et al 2001 psychological bulletin 127 267 286 are covered by the review the theoretical basis is applied to analyze the existing research on investor feelings e g kamstra et al 2000 american economic review forthcoming hirshleifer and shumway 2003 journal of finance 58 3 1009 1032 this research can be broadly described as investigating whether variations in feelings that are widely experienced by people influence investor decision making and consequently lead to predictable patterns in equity pricing the paper concludes by suggesting a number of directions for future empirical and theoretical research

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

weather and intraday patterns in stock returns and trading activity abstract we examine the relation between weather in new york city and intraday returns and trading patterns of nyse stocks while stock returns are found to be generally lower on cloudier days cloud cover has a significant influence on stock returns only at the market open there are significantly more seller initiated trades when there is more cloud cover at the market open which is consistent with the return results cloudy skies are associated with higher volatility and less market depth over the entire trading day finally cloud cover is not significantly correlated with spread measures and turnover ratios the findings overall suggest that weather has a significant influence on investors intraday trading behavior

the effect of the sloping land conversion programme on farm household productivity in rural china abstractthe objective of this paper is to examine the treatment effect on farm household productivity induced by the sloping land conversion program using large balanced household level data from five provinces during 1996 2010 this study shows that the slcp significantly improved the productivity of participants during the first round of funding of the programme until 2008 while the effects decreased gradually in the second round with most years not showing significant differences moreover it is found that there are heterogeneous effects on farm household productivity between the south and north as well as between poor and rich regions

a note on information seasonality and the disappearance of the weekend effect in the uk stock market the weekend effect in uk stock prices has disappeared in the 1990s beneath the surface however there remain systematic day of the week effects only visible when returns are partitioned by the direction of the market a systematic pattern of market wide news arrivals into the uk stock market is discovered and found to provide an explanation for these day of the week effects

sports sentiment and stock returns this paper investigates the stock market reaction to sudden changes in investor mood motivated by psychological evidence of a strong link between soccer outcomes and mood we use international soccer results as our primary mood variable we find a significant market decline after soccer losses for example a loss in the world cup elimination stage leads to a next day abnormal stock return of 49 basis points this loss effect is stronger in small stocks and in more important games and is robust to methodological changes we also document a loss effect after international cricket rugby and basketball games this paper employs a novel mood variable international soccer results to investigate the effect of investor sentiment on asset prices using a cross section of 39 countries we find that losses in soccer matches have an economically and statistically significant negative effect on the losing country s stock market for example elimination from a major international soccer tournament is associated with a next day return on the national stock market index that is 38 basis points lower than average we also document a loss effect after international cricket rugby and basketball games on average the effect is smaller in magnitude for these other sports than for soccer but is still economically and statistically significant we find no evidence of a corresponding effect after wins for any of the sports that we study controlling for the pre game expected outcome we are able to reject the hypothesis that the loss effect after soccer games is driven by economic factors such as reduced productivity or lost revenues we

nonfarm income diversification and household livelihood strategies in rural africa concepts dynamics and policy implications abstract asset activity and income diversification lie at the heart of livelihood strategies in rural africa this paper introduces a special issue on the topic income diversification and livelihoods in rural africa cause and consequence of change we concentrate on core conceptual issues that bedevil the literature on rural income diversification and the policy implications of the empirical evidence presented in this special issue

china s sloping land conversion program does expansion equal success this paper uses a 2003 household survey to examine implementation and impacts of china s sloping land conversion program we find that land targeting has been strongly influenced by program goals but that mistargeting also occurred using a treatment effects approach to evaluate program impact we find evidence of positive impact on cropping husbandry and total income though the results are not robust enough to support government claims of huge gains we also find evidence that lack of participant choice could be dampening program impacts and that allowing households autonomy could lead to improvement in program cost effectiveness and outcomes

new evidence on the monday seasonal in stock returns equity derivatives and the institutionalization of equity markets affect the monday seasonal the seasonal in the standard and poor s 500 s p declines significantly over 1962 93 this decline is positively related to the ratio of institutional to individual trading volume in contrast the seasonal for small stocks does not decline and is unaffected by institutional versus individual trading higher trading costs sustain the seasonal in small stocks and unlike the s p these costs are not lower for institutions than for individuals futures minus spot s p returns exhibit a reverse seasonal informed traders use the less costly market to exploit the seasonal copyright 1997 by university of chicago press

a new look at the monday effect it is well documented that expected stock returns vary with the day of the week the monday or weekend effect in this article we show that the well known monday effect occurs primarily in the last two weeks fourth and fifth weeks of the month in addition the mean monday return of the first three weeks of the month is not significantly different from zero this result holds for most of the subperiods during the 1962 1993 sampling period and for various stock return indexes the monthly effect reported by ariel 1987 and lakonishok and smidt 1988 cannot fully explain this phenomenon

the day of the week effect the international evidence abstract we re examine the day of the week effect for eleven indexes from nine countries during the 1969 1992 period the standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week but not necessarily on monday for the full period as in chang et al international evidence on the robustness of the day of the week effect journal of financial and quantitative analysis 28 1993 497 514 the anomaly disappears for the most recent period in the usa however the effect is still strong for european countries hong kong and toronto

is it the weather response abstract kamstra kramer and levi kkl in their comment seem to miss the main point of our paper many things are correlated with the seasons so it is difficult to distinguish between them when we try to explain the well known summer winter pattern in stock returns finding an isolated seasonal affective disorder sad effect without proper control variables does not disprove our point but strengthens it to sidestep all of the issues they raise and take our point to the extreme we show using plain vanilla regressions that the seasonal stock market pattern they attribute to sad can also be explained by variables like ice cream consumption or airline travel the new variations of sad variables onset and incidence kkl propose in their recent work for north america are even more problematic than the original sad variables we find that these new sad proxies are not significant in countries where according to kkl they should be canada and the united states

international evidence on the robustness of the day of the week effect consistent with connolly s 1989 1991 evidence this study finds that sample size and or error term adjustments render u s day of the week effects statistically insignificant in contrast day of the week effects in seven european countries and in canada and hong kong are robust to individual sample size or error term adjustments and day of the week effects in five european countries survive the simultaneous imposition of both types of adjustments in most countries where day of the week effects are robust however the effects are statistically significant in not more than two weeks out of the month these findings are inconsistent with explanations of the day of the week effect based on institutional differences or on the arrival of new information thus in the absence of other potential explanations already dismissed by jaffe and westerfield 1985 evidence in this study further complicates the international day of the week effect puzzle

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

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

china s sloping land conversion program institutional innovation or business as usual abstract china s sloping land conversion program slcp is the largest land retirement reforestation program in the developing world having the goal of converting 14 67 million hectares of cropland to forests by 2010 4 4 million of which is on land with slopes greater than 25 and an additional soft goal of afforesting a roughly equal area of wasteland by 2010 pending successful completion it could represent a 10 20 increase in china s national forest area and a 10 decrease in current cultivated area in contrast to china s other forest sector policies slcp uses a public payment scheme that directly engages millions of rural households as core agents of project implementation and has the stated principals of volunteerism thus insofar as current or future de facto program implementation involves decentralized voluntary grassroots participation slcp represents an important departure from business as usual in how china manages its forest resources this work draws upon current available research of the program and uses a 2003 household and village level survey conducted by the center for chinese agricultural policy cas to examine program design implementation and outcomes to date results indicate that significant problems in design and implementation exist with these including shortfalls in subsidies delivered lack of respect of the principals of volunteerism and insufficient technical support and budgeting for local implementation costs more fundamentally some program goals appear to be based on common misperceptions regarding the linkages between forests and watershed services overall slcp contains both innovative elements volunteerism and the direct engagement of farmers as well as components that hark back to policies and mindsets of decades past the program s top down simplified contract structure lack of sufficient consultation with local communities and rural households and campaign style mobilization the paper concludes by providing four main suggestions to improve the program 1 increase local community input in design and implementation and ensure that households have full autonomy in participation choice 2 improve technical support and budgeting for local administrative costs and capacity building 3 clarify the environmental services targeted and verify the measures needed to acquire these services and 4 integrate slcp into an overall package of complementary policies aimed at the rural sector

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

us day of the week effects and asymmetric responses to macroeconomic news abstract this study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining us day of the week effects macroeconomic news is measured by movements in large firms stock prices the average response of smaller stocks to these movements is abnormally high on mondays especially in down markets after corrections for these asymmetries the us day of the week effect weakens substantially for most size ranked portfolios in most of the six approximately equal subperiods between 1962 and 1992 these findings suggest that seasonals in processing macroeconomic news account for much of the day of the week effect in equity returns

rural nonfarm incomes in nicaragua abstract this paper examines nonfarm incomes of rural nicaraguan households using a nationwide survey lsms from 1998 the key findings are as follows a rural nonfarm income rnfi constitutes 41 of rural household incomes b rnfi is much more important than farm wage labor income c rnfi tends to be relatively concentrated geographically and socioeconomically toward the rural areas of the managua zone and the rest of pacific zone which are denser in infrastructure and population and toward the upper income quartile of rural households this concentration implies high entry barriers and capital requirements for rural nonfarm activity that the poor are simply not equipped to overcome equipping the rural poor through training and acquisition of diverse forms of capital to have a chance at the higher return nonfarm jobs would be a major step toward helping them to share the benefits of the rural nonfarm economy d self employment small enterprise income in manufactures is very minor probably due to the ease of obtaining manufactured goods from urban industries and imports wage employment constitutes the bulk of rnfi despite it receiving little attention in development programs and debate e three quarters of rnfi is in the service sector and only one quarter is from manufactures that can be contrasted with the emphasis on small manufactures enterprises in rural development programs and research f education road access as well as access to electricity and water were found to be important to nonfarm incomes

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

conservation payments liquidity constraints and off farm labor impact of the grain for green program on rural households in china this study evaluates the labor response of rural households participating in the grain for green program in china the largest payments for ecosystem services program in the developing world using a panel data set that we designed and implemented we find that the participating households are increasingly shifting their labor endowment from on farm work to the off farm labor market however the effects vary depending on the initial level of human and physical capital the results support the view that one reason why the participants are more likely to find off farm employment is because the program is relaxing households liquidity constraints

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

an analysis of occupational upgrading differentials between black and white males the racial occupational mobility gap is examined by applying a decomposition methodology to logistic functions results indicate that approximately one third of the mobility gap between black and white male workers is due to differences in average characteristics the endowment effect the residual difference accounts for the remaining two thirds formal education is found to be a major component of both the endowment effect and the resdiual difference the returns to tenure with a firm overall labour market experience and marriage reduce the mobility gap in favour of black workers

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

a theory of career mobility this paper analyzes theoretically and empirically the role and significance of occupational mobility in the labor market focusing on individuals careers it provides additional dimensions to the analysis of investment in human capital wage differences across individuals and the relationships among promotions quits and interfirm occupational mobility it is shown that part of the returns to education is in the form of higher probabilities of occupational upgrading within or across firms given an origin occupation schooling increases the likelihood of occupational upgrading furthermore workers who are not promoted despite a high probability of promotion are more likely to quit

peasant household behaviour with missing markets some paradoxes explained a model of peasant household behavior under varying degrees of household specific food and labor market failures is constructed to show that these structural features can explain several well known patterns of peasant response which have often been attributed to peculiar motives presumed specific to peasants the model explains sluggish response to cash crops prices and high instability in perceived food and labor scarcities the key role of manufactured consumer goods prices in stimulating peasants effort in cash crops production the effectiveness of taxation as opposed to incentives in stimulating cash crops production and the key role of technological change in food production to enhance cash crop production results are obtained analytically in the case of one market failure and by numerical simulation with more than one

the saturday effect an interesting anomaly in the saudi stock market the vast majority of empirical research on calendar anomalies has studied financial markets in countries where the western calendar is used this article investigates day of the week effects in saudi arabia s stock market where an islamic calendar is used and where saturday is the first working day of the week over the sample period considered the saudi stock market is the largest in the gulf region and we consider both total market data the tasi index and data for 15 sector indices our investigation reveals the existence of a positive saturday effect which contrasts with the results on first day of the week effects that are typically obtained for western calendar markets

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

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

the asian crisis and calendar effects on stock returns in thailand abstract this paper systematically examines daily returns of the thai stock market index to determine whether there is evidence of calendar effects due to the day of the week the month of the year days before or after holidays and within month effects particular attention is given to the evidence of these anomalies prior to during and after the asian crisis most of the previous empirical evidence examines each of these effects in isolation the approach adopted within this paper is to start with a general model which incorporates a range of different calendar anomalies before estimating the conditional volatility models daily data from 3rd january 1995 to 29th december 2000 are used for estimation providing 1473 observations the final models are tested by comparing their forecast performance for 2001 244 observations with various models which do not include calendar effects the conclusion is that the inclusion of calendar effects improves the forecast accuracy

the sloping land conversion program in china effect on the livelihood diversification of rural households summary through addressing the motivations behind rural households livelihood diversification this paper examines the effect of the sloping land conversion program slcp on livelihood diversification using a longitudinal household survey data set spanning the overall implementation of the slcp our results show that the slcp works as a valid external policy intervention to increase rural livelihood diversification in addition the findings demonstrate that the implementation of the slcp has had heterogeneous effects on livelihood diversification across different rural income groups the lower income group was more affected by the program in terms of income diversification

determinants of income diversification amongst rural households in southern mali abstract household level panel data from a representative sample of rural households in southern mali describing the different sources of household income are used to examine the determinants of income diversification a conditional fixed effects logit model is employed in the analysis to control for household specific effects we find evidence that poorer households have fewer opportunities in non cropping activities such as livestock rearing and non farm work and hence less diversified incomes this appears to reflect their relative lack of capital which makes it difficult for them to diversify away from subsistence agriculture the results also indicate that households in remote areas are less likely to participate in the non cropping sector than their counterparts closer to local markets while households with educated heads are more likely to participate in the non farm sector than those with illiterate heads the significance of entry constraints in explaining portfolio diversification suggests that the role of government in making assets as well as improved infrastructure available to poorer households is still essential in promoting income diversification

the individual investor and the weekend effect it is well known that stock returns on average are negative on mondays yet it is less well known that this finding is substantially the consequence of returns in prior trading sessions when friday s return is negative monday s return is negative nearly 80 percent of the time with a mean return of 0 61 percent when friday s return is positive the subsequent monday s mean return is positive 0 11 percent this relationship is stronger than for any other pair of trading days and is most acute in small and medium size companies the trading behavior of individual investors appears to be at least one factor contributing to this pattern individual investors are more active sellers of stock on mondays particularly following bad news in the market

does daylight saving time save energy evidence from a natural experiment in indiana abstract we take advantage of a natural experiment in the state of indiana to estimate the effect of daylight saving time dst on residential electricity consumption our main finding is that contrary to the policy s intent dst increases electricity demand the findings are consistent with simulation results that identify a trade off between reducing demand for lighting and increasing demand for heating and cooling we estimate a cost to indiana households of 9 million per year in increased electricity bills we also estimate social costs of increased pollution emissions between 1 7 to 5 5 million per year

exploitable predictable irrationality the fifa world cup effect on the u s stock market in a recently published paper edmans garcia and norli 2007 reveal a strong association between results of soccer games and local stock returns inspired by their work we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features i the aggregate effect does not depend on the games results hence the effect is an exploitable predictable effect ii the aggregate effect is based on many games hence it is very large and highly significant we find that the average return on the u s market over the world cup s effect period is 2 58 compared to 1 21 for all days average returns over the same period length iii exploiting the aggregate effect is involved with trading in a single index for a relatively long period

role of speculative short sales in price formation the case of the weekend effect we argue that short sellers aiect prices in a signi cant and systematic manner in particular we contend that speculative short sales contribute to the weekend eiect the inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on fridays and reestablish new short positions on mondays causing stock prices to rise on fridays and fall on mondays we nd evidence in support of this hypothesis based on a comparison of high short interest stocks and low short interest stocks stocks with and without actively traded options ipos zero short interest stocks and highly volatile stocks in this paper we empirically examine whether speculative short sales aiect prices in a systematic manner the focus is on the weekend eiect that has remained an unexplained anomaly beginning with french 1980 and gibbons and hess 1981 there is much evidence in support of higher returns on fridays and lower returns on mondays keim and stambaugh 1984 nd that friday returns are lower when there is saturday trading ariel 1990 nds that a signi cantly larger number of stocks rises preholiday than postholiday empirical evidence related to more recent periods points to an insigni cant weekend eiect for large rms but continuance of the weekend eiect for an equally weighted index as documented herein 1 many potential explanations of the weekend eiect have been proposed and investigated measurement errors gibbons and hess 1981 and keim and stambaugh 1984 delay between trading and settlement in stocks dyl and martin 1985 and lakonishok and levi 1982 specialist related biases in prices keim and stambaugh timing of corporate releases after friday s close damodaran 1989 reduced institutional trading and greater individual trading on mondays

trading breaks and asymmetric information the option markets abstract we find that weekend holiday and overnight trading breaks generate excessive perceived risk in the option markets presumably due to asymmetric information which in turn encourages uninformed option traders to postpone trading this perceived risk subsides after two days accompanied by an increase in the option trading volume and the underlying index s actual price volatility these results shed light on the informational role of index options and suggest that the theoretical models results regarding information processing and price discovery in the presence of private information are not limited to single stocks but also apply to the market as a whole

the impact of stock index futures trading on daily returns seasonality a multicountry study in this article we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets it has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean returns and generally our results support this conclusion the impact of index futures introduction on return autocorrelations and volatility is also tested and the evidence presented suggests that futures trading has no impact on the former although a change in the seasonal for the latter was detected

the effects of china s sloping land conversion program on agricultural households in the late 1990s china aimed to mitigate environmental degradation from agricultural production activities by introducing the world s largest payments for environmental services pes program the sloping land conversion program slcp in order to analyze its effects on agricultural households we develop a microeconomic agricultural household model ahm which can model the production consumption and non farm labor supply decisions of agricultural households in rural china in a theoretically consistent fashion based on this theoretical model we derive an empirical specification that we use to econometrically estimate the effects of the slcp and other exogenous factors using a large longitudinal farm household survey data set we estimate the empirical model with the hausman taylor estimation method the empirical results are generally consistent with the results of our theoretical comparative static analysis e g that the slcp significantly decreases agricultural production while the slcp increases non farm labor supply and total consumption in the yellow river basin these effects could not be observed in the yangtze river basin the recent reduction of the slcp compensation payment rates has had some notable but generally small effects

livelihood strategies and dynamics in rural cambodia summary this paper addresses one of the major challenges in rural livelihood analysis to quantitatively examine the dynamics of household livelihood strategies it investigates the interactions between livelihood assets activities and outcomes and captures the dynamics of long term changes and their underlying factors the study aims to identify the classification of rural livelihood strategies their transitions and factors influencing these processes and changes we employ the dynamic livelihood strategy framework and use panel data for 2008 and 2012 covering 464 households in 15 villages in cambodia for latent class cluster analysis and regression estimation in this paper livelihood strategies are quantified based on allocation of available resources which overcomes the limitations of income based analysis our study identifies five household livelihood strategies pursued in the study areas and the results show that over 70 of households change livelihood strategies over time in response to evolving pressures incentives and opportunities the study identifies covariates that shape the choices of livelihood strategies and affects the households access to more remunerative strategies such as education ownership of physical assets and access to infrastructure these findings suggest policy implications for improving the range of livelihood choices available to lower income groups to move out of poverty trap

the determinants of nonfarm income diversification in rural peru abstract this paper shows that in peruvian rural areas there has been substantial growth over the past decade in household employment outside of own farming at present 51 of the net income of rural households comes from these off farm activities and thus they certainly cannot be considered as marginal the reasons households diversify their incomes are several access to public assets such as roads and private assets such as education and credit is an important factor in diversification increasing access to these assets will help rural households to increase their self employment as well as wage employment in the nonfarm sector

what s so spatial about diversification in nigeria summary many households in developing countries allocate their productive assets among various income generating activities in order to develop a portfolio of income from occupations with different degrees of risk expected returns and seasonal and liquidity constraints the push and pull factors influencing diversification decisions of households are widely discussed in the literature however no study to date has taken into account spatial interdependence of household decisions in spite of various channels of neighborhood effects such as information flow learning from others social networks and agglomeration economies this paper fills in the gap by incorporating spatial dependence in the choice model of diversification using a spatial auto regressive probit model and an advanced bayesian strategy to its estimation empirical analysis is run taking advantage of the nigerian general household survey panel 2010 11 providing gis coordinates for the surveyed households the results imply endogeneity of the neighbors decisions to allocate their productive assets among various occupations and signal the importance of social learning and agglomeration effects favoring the spillover of diversification activities through neighbors networks and local markets the households decisions respond to local environment factors such as weather shocks or infrastructural constraints as shown by the regional differences taking into account spatial interdependence is particularly important in the event of a wide divide of the data available into different zones as for example in case of the nigerian northern region where the states are larger

how sustainable are sustainable development programs the case of the sloping land conversion program in china summary this paper undertakes a comprehensive assessment of the long run sustainability of one of the world s largest sustainable development programs the slopping land conversion program slcp in china under different plausible post slcp scenarios the analysis is based on farmer contingent behavior post program land and labor decisions as well as choice experiment data our econometric results highlight the main obstacles to the program s sustainability which include specific shortfalls in program implementation and certain institutional constraints namely tenure insecurity and poor land renting rights the use of a choice experiment also reveals unique evidence on rural households preferences over tenure reform in china

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

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

an alternative approach to the analysis of wage differentials a key question in many studies of male female or black white wage differentials is how much of the differential can be explained by economic factors and how much remains unexplained the unexplained portion is then ascribed to discrimination since oaxaca 17 first formalized this decomposition the residual difference methodology has been the dominant methodology utilized in empirical studies of wage differentials 4 7 8 10 15 18 but recently the validity of the assumptions underlying the residual difference methodology have been called into question by butler 5 6 in this paper the theoretical underpinnings of the residual difference methodology are reexamined and an alternative theoretical framework for this methodology is suggested the new framework overcomes the shortcomings inherent in oaxaca s specification of the model and therefore provides a sound theoretical foundation for the residual difference decomposition

international arbitrage pricing theory an empirical investigation in this paper we test the arbitrage pricing theory apt in an international setting inter battery factor analysis is used to estimate the international common factors and the chow test is used in testing the validity of the apt our inter battery factor analysis results show that the number of common factors between a pair of countries ranges from one to five and our cross sectional test results lead us to reject the joint hypothesis that the international capital market is integrated and that the apt is internationally valid our results however do not rule out the possibility that the apt holds locally or regionally in segmented capital markets finally the basic results of both the inter battery factor analysis and the cross sectional tests are largely invariant to the nume raire currency chosen numerous authors notably solnik 21 grauer litzenberger and stehle 11 and stulz 24 have derived various versions of the international asset pricing model iapm under alternative views of the structure of international capital markets however only a few serious attempts have been made to test various versions of the iapm these tests are largely inconclusive see solnik 20 and stehle 23 apart from the problem stressed by roll 16 of identifying the world market portfolio previous tests of the iapms suffer from the technical problem of aggregating assets of national investors using different numeraire currencies differences in the numeraire arise from differences in consumption baskets in an environment characterized by exchange rate uncertainty in a fruitful attempt to extend the arbitrage pricing theory apt of ross 18 to an international setting solnik 22 derives an international arbitrage pricing theory which is largely devoid of the aforementioned difficulties and thus more amenable to empirical testing 1 as shown by solnik testability of the apt in an

characterizing social networks and their effects on income diversification in rural kerala india summary income diversification continues to be a key strategy for poor rural households including those that are progressively developing and those operating under increasing distress the ability of a household to diversify has been shown to depend upon its demographic and economic characteristics and its physical and social context this paper considers the effects of intra village social networks on household income diversification in one of the poorest and most ethnically diverse areas of the indian state of kerala using techniques adapted from spatial econometrics we find that social connections within a village magnify the impacts of household characteristics such as education and number of adults by a factor of 3 6 times models with alternative measures of network centrality degree and eigenvector indicate that the number of network connections that a household has is more important than the centrality of those connections finally we use social contact information to calculate assortative mixing based on caste the results suggest social stratification in these villages with higher levels of stratification associated with lower levels of income diversification

rural household income distribution and inequality in china effects of payments for ecosystem services policies and other factors in the late 1990s china initiated the conversion of croplands to forest program ccfp and the ecological welfare forest program ewfp based on the payments for ecosystem services pes principle positive socioeconomic outcomes of the programs are essential for the long term success of eco environment conservation however there is lack of understanding of their longer term over 10 years impacts on rural livelihoods in this paper we examine income distribution and inequality of rural households under ccfp and ewfp in rural anhui china after 12 years of program implementation results show that ccfp participating households have higher income inequality than non participants while the ewfp does not have an significant effect local off farm work and out migration with remittances are the two principal income sources and both add to inequality a regression based decomposition of inequality shows that the ccfp indirectly alters livelihoods by increasing out migration with remittances but it also adds to inequality from shifting livelihoods to non agricultural activities meanwhile ewfp payments positively affect agricultural incomes and contribute 16 to agricultural income inequality finally human capital natural capital and physical capital all play important roles in generating income and inequality but the factors affecting inequality from agricultural and non agricultural activities are different

a twist on the monday effect in stock prices evidence from the u s and foreign stock markets abstract one of the most unusual empirical results in finance is the significantly negative average return on the stock market on mondays the present paper documents a twist on this effect we find that abnormally low returns on monday seem to follow stock market declines in fact the monday effect virtually disappears when the market has previously risen cross keim stambaugh and jaffe westerfield point out that monday s return is positively correlated with the previous friday s return surprisingly our findings hold even after one accounts for this friday monday correlation

income diversification and entry barriers evidence from the tigray region of northern ethiopia abstract farm households diversify their income sources into off farm wage employment motivated by low farm income and availability of surplus family labor whereas they enter into off farm self employment to earn an attractive return farm households have upward sloping although inelastic off farm labor supply curves therefore increasing the availability of off farm activities and improving the wage rate received by farm households can expand the economic activity of the tigray regional state due to entry barriers relatively wealthy farm households may dominate the most lucrative rural non farm activities such as masonry carpentry and petty trade hence the underlying factors that hinder participation in non farm activities such as credit constraints and lack of skill may have to be addressed through the provision of credit and technical training for the poor

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

the daylight saving time anomaly in relation to firms targeted for mergers abstract this paper finds evidence that daylight saving time changes influence the decision making of investors when trading in firms targeted for mergers we find that investors who face imbalances in their circadian cycle generate more positive abnormal stock returns upon the announcement of target firms this result holds within a large number of robustness tests target firms also experience more pronounced stock return volatility in response to their merger announcements the first trading day after clock changes overall these results seem to indicate that investors may overreact to available information when experiencing imbalances in their circadian cycle

land retirement and nonfarm labor market participation an analysis of china s sloping land conversion program summary china s sloping land conversion program pays more than 32 million households to plant trees on highly erodible cropland and has effected major land use changes farmers retire land indefinitely but receive time limited subsidies after which they in principle enter nonfarm employment we analyze annual data we collected on over 3 000 individuals and plots from 1998 2006 which contain variation in enrollment timing and alternative measures of enrollment and conclude enrollment has a small but significant and robust positive effect on nonfarm employment it arises not from alleviating constraints as recent papers have suggested but rather from simple farm to nonfarm labor substitution

losing sleep at the market comment in a recent provocative paper in this journal mark j kamstra et al 2000 test and reject the hypothesis that the mean weekend return following changes in daylight saving time equals the mean weekend return throughout the rest of the year the authors report that the average friday to monday return on daylight saving weekends is 200 500 percent larger than the average negative return for the other weekends of the year the nding appears to hold not only in the united states and canada where daylightsaving date patterns are similar but also in the united kingdom whose patterns ostensibly differ from those in north america the results also appear robust to alternative statistical methods based on time varying conditional heteroscedasticity and or bootstrapping this paper provides further robustness tests of the results reported by kamstra et al i show that the difference between mean weekend returns for daylight saving and non daylightsaving weekends is signi cant only for fall changes in daylight saving time and that the fall difference is driven by two outliers associated with international stock market crises two separate adjustments for the heteroscedasticity these outliers induce cause the signi cance of the fall difference to vanish the total sample spring plus fall difference remains marginally signi cant for some indexes after heteroscedasticity adjustments with classical xed level hypothesis tests however bayesian sample size adjustments produce posterior odds ratios that consistently favor the null hypothesis of no daylight saving anomaly over the alternative that the anomaly exists i also fail to reject the hypothesis that daylight saving and nondaylight saving weekend returns have equal distributions for these reasons i question the robustness of the ndings reported by kamstra et al 2000 section i presents more details of my tests and section ii summarizes my ndings and discusses their interpretation

option mispricing around nontrading periods we find that option returns are significantly lower over nontrading periods the vast majority of which are weekends our evidence suggests that nontrading returns cannot be explained by risk but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure the size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way

income diversification poverty traps and policy shocks in cote d ivoire and kenya abstract this paper presents evidence on the effects of two different sorts of policy shocks on observed income diversification patterns in rural africa in cote d ivoire households with poor endowments were less able to respond to attractive emerging on farm and non farm opportunities due to entry barriers to superior livelihood strategies the benefits of exchange rate reform accrued disproportionately to households that were richer prior to devaluation by contrast food for work transfers to households in kenya significantly reduced liquidity constraints enabling project participants to pursue more lucrative livelihood strategies in non farm activities and higher return agricultural production patterns jointly these two shocks underscore the importance of liquidity market access and skill constraints to skilled non farm income sources to dynamic poverty traps in rural africa

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

losing sleep at the market the daylight saving anomaly reply motivated by the recent flurry of activity in sleep research this paper explores the connection between sleep disruptions following spring and fall clock shifts associated with daylight savings time and equity returns it is shown that the weekend effect in the form of the lower than expected friday to monday returns is particularly pronounced for the two weekends involving daylight savings clock changes this abstract was borrowed from another version of this item