do men with higher wages marry earlier or later using data from taiwan this paper shows that marriage age is negatively positively related to the wage rate in the sample with nonworking working wives the results reconcile the two contrasting hypotheses on the relation between wages and marriage age for men

evaluating natural resource investments notwithstanding impressive advances in the theory of finance over the past 2 decades practical procedures for capital budgeting have evolved only slowly the standard technique which has remained unchanged in essentials since it was originally proposed see dean 1951 bierman and smidt 1960 derives from a simple adaptation of the fisher 1907 model of valuation under certainty under this technique expected cash flows from an investment project are discounted at a rate deemed appropriate to their risk and the resulting present value is compared with the cost of the project this standard textbook technique reflects modern theoretical developments only insofar as estimates of the discount rate may be obtained from crude application of single period asset pricing theory but see brennan 1973 bogue and roll 1974 turnbull 1977 constantinides 1978 the inadequacy of this approach to capital budgeting is widely acknowledged although not widely discussed its obvious deficiency is its the evaluation of mining and other natural resource projects is made particularly difficult by the high degree of uncertainty attaching to output prices it is shown that the techniques of continuous time arbitrage and stochastic control theory may be used not only to value such projects but also to determine the optimal policies for developing managing and abandoning them the approach may be adapted to a wide variety of contexts outside the natural resource sector where uncertainty about future project revenues is a paramount concern

antitakeover charter amendments and stockholder wealth abstract many large corporations have recently adopted antitakeover charter amendments which make the transfer of corporate control more difficult this paper develops and tests competing theoretical explanations for the passage of these amendments in one view antitakeover provisions are adopted because incumbent management seeks job protection at stockholders expense the alternative hypothesis is that antitakeover provisions benefit stockholders perhaps by extracting greater payment in exchange for corporate control although inconclusive the evidence provides weak preliminary support for the hypothesis that antitakeover amendments are best explained as a device for managerial entrenchment

default premiums in commodity markets theory and evidence we model the effect of nonperformance risk on forward and futures pricing and look for evidence of nonperformance risk in precious metals futures prices from the hunt brothers episode changes in default premiums are measured and related to the sequence of events in the metals markets during this period results suggest first that ex ante costs of nonperformance can be a significant priced factor in commodity markets and second that the arrival of new information is often associated with changes in these costs the evidence has implications for both theoretical and empirical research on commodity markets organized commodity markets offer traders an efficient medium in which to execute their hedging and speculative strategies in particular the markets have developed mechanisms that reduce the costs of nonperformance which would be substantial in the absence of an organized exchange devices such as margin requirements position limits daily marking to market price limit moves and the clearinghouse reduce the expected costs of distress and default in commodity markets while organized exchanges greatly reduce expected costs of nonperformance they do not eliminate such costs throughout the history of organized futures trading there have been many instances of markets collapsing or coming to the brink of collapse after a period of unusual trading activity the most prominent example in recent times is the near collapse of the new

the valuation of sequential exchange opportunities sequential exchange opportunities are valued using the techniques of modern option pricing theory the vehicle for analysis is the concept of a compound exchange option this security is shown to exist implicitly in several contractual settings a valuation formula for this option is derived the formula is shown to generalize much previous work in option pricing several applications of the formula are presented

the accumulation of human capital during marriage by males married males have significantly higher wage rates than never married widowed or divorced males even when differences in educational attainment experience race and so on are controlled for evidence presented in this paper suggests that most of the unexplained wage differential associated with marital status in earnings regressions results from males accumulating human capital more rapidly when they are married than when those same males are not married the hypothesis that married males earn more than unmarried males because marriage facilitates the financing of human capital accumulation is supported by this and other evidence

arbitrage continuous trading and margin requirements this paper studies the impact that margin requirements have on both the existence of arbitrage opportunities and the valuation of call options in the context of the blackscholes economy margin restrictions are shown to exclude continuous trading arbitrage opportunities and with two additional hypotheses still to allow the black scholes call model to apply the black scholes economy consists of a continuously traded stock with a price process that follows a geometric brownian motion and a continuously traded bond with a price process that is deterministic continuous trading security market models constitute a significant area of continuing reesearch in financial economics these models form the basis of the option pricing methodology see merton 16 for a review and current intertemporal asset pricing models see merton 15 breeden 3 and cox ingersoll and ross 5 given the importance of these models it is of no surprise that there has been significant academic concern see dybvig 9 cox ingersoll and ross 4 p 341 and ingersoll 13 pp 13 25 over the discovery of a continuous trading strategy by harrison and kreps 10 called the doubling strategy that generates a sure dollar from a zero investment the existence of this doubling strategy violates a basic premise of the option pricing methodology the premise of no arbitrage opportunities given this violation the question naturally arises as to whether the option pricing methodology is internally consistent fortunately harrison and pliska 11 showed that the exclusion of arbitrage opportunities and the doubling strategy does not invalidate the familiar derivation of the black scholes call option formula the exogenous exclusion of these doubling strategies is somewhat arbitrary however types of constraints that exclude continuous trading arbitrage opportunities were studied by kreps 14 harrison and kreps 10 and dybvig 9 these papers provide constraints that are unsatisfactory from an institutional point of view since they have no market analogue margin requirements on the other hand have a market analogue one purpose of this paper is to show that margin requirements also exclude continuous trading arbitrage opportunities to make this argument self contained we first provide a unified framework that synthesizes the previously stated results our assertion concerning margin re

corporate financial policy and corporate control abstract this paper presents evidence that stockholder wealth declines on average when managers respond to attempted hostile takeovers with defensive changes in asset and ownership structure the data also indicate that these corporate restructurings are typically quite large and that many are attempts by managers to create barriers specific to the hostile bidder and or to consolidate a block of voting securities in the hands of management allies the evidence suggests that defensive motives whether beneficial or harmful influence corporate asset and ownership structure

raiders or saviors the evidence on six controversial investors abstract carl icahn irwin jacobs carl lindner david murdock victor posner and the late charles bluhdorn are usually portrayed as corporate raiders the evidence here however shows that between 1977 and 1982 when it was first announced that they had purchased stock in a given firm stock prices on average increased significantly the investors activities in target firms for the two years following the initial stock purchase are likewise inconsistent with raiding we discuss two hypotheses that are consistent with the evidence first these investors improve the management of target firms second they are systematically able to identify under priced stocks

standstill agreements privately negotiated stock repurchases and the market for corporate control abstract standstill agreements are voluntary contracts which limit a substantial stockholder s ownership interest in a corporation for a specified number of years they are often accompanied by repurchase of the substantial stockholder s shares at a premium above the market price standstills and premium buybacks reduce competition for corporate control and provide differential treatment of large block stockholders the analysis indicates a statistically significant negative average effect on non participating stockholder wealth associated with standstill agreements negotiated premium repurchases are also associated with negative but less significant stockholder returns the evidence is inconsistent with the hypothesis that these management actions are in the best interests of non participating stockholders

lessons from the past capital markets during the 19th century and the interwar period on friday 13 august 1982 finance minster jesus silva herzog of mexico made a series of visits to the international monetary fund the federal reserve and the u s treasury his message to each was the same mexico could no longer continue to service its debt thus began a dramatic weekend of negotiations that marked the end of the preceding decade s buoyant expansion of developing country debt and the start of a still continuing response to the sudden collapse

central banks and financial stability rediscovering the lender of last resort practice in a finance economy the purpose of our paper is to assess whether central banks have adopted new practices of lending in last resort during the 2007 09 financial crisis we compare the current period with the classical period both featured by a finance economy with developed financial markets and unregulated institutions beyond the differences determined by the monetary regime and concerning the central bank rate policy we find similarities such as the enlargements of the set of counterparties and eligible collateral assets since the credit system is based on financial markets and innovations central banks have a wider involvement that goes beyond a narrow conception of the lender of last resort that prevailed under a regulated banking system we conclude that the historical roots of financial stabilisation by central banks in a finance economy have just been rediscovered and that the functions of lender of last resort and market maker of last resort may be analytically integrated copyright oxford university press

risk futures pricing and the organization of production in commodity markets this paper examines equilibrium in a spot and futures market with both primary producers growers and intermediate producers processors for a commodity that is subject to output shocks processors tend to hedge long in contrast with hick s theory of futures hedging nevertheless if transaction costs are low the two stage production process brings about a downward futures price bias consistent with hick s pricing prediction but if costs of trading futures are high growers tend to be differentially driven from the futures market reversing the direction of the bias futures trading may also affect the organization of industry when demand is inelastic futures trading can serve as a substitute for vertical integration as a means of diversifying risk because the risk positions of growers are complementary with those of processors

clearing and settlement during the crash this article is a reexamination of the clearing and settlement process in financial markets particularly the futures market and its performance during the 1987 stock market crash it provides both some institutional background and some conceptual perspective on the problems faced by the system during the week of october 19 much of the discussion is based on the useful analogies that can be drawn between the clearing house and other financial intermediaries such as banks and insurance companies a major conclusion is that the federal reserve played a vital rob in protecting the integrity of the clearing and settlements system during the crash

testing becker s prediction on assortative mating on spouses wages it is often believed that spouses wages are positively related even when other traits such as age and education are controlled this is mainly based on the observation of two earner couples this paper uses the standard sample selection technique to correct for the sample censoring and to compute potential wages for nonworking women using data from taiwan it is found that after accounting for sample censoring and cross productivity effects there is weak evidence that the partial correlation between spouses wages can be negative this lends first weak but direct support for

rational expectations and risk premia in forward markets primary metals at the london metals exchange this paper tests whether forward prices equal the traders expectations of the future spot prices at maturity under two different models of expectations formation full information rational expectations and incomplete information mechanical forecasting rule the tests are performed over the period january 1970 through september 1980 on the forward markets for the primary metals copper tin lead and zinc traded in the london metals exchange we find evidence consistent with the existence of time varying risk premia the way in which traders form expectations about future price is of great interest to economists as well as to market participants and forward prices have often been used as indicators of these otherwise unobservable expectations forward prices however include not only the expectation of future spot prices but also a component reflecting the riskiness of the contract therefore the risk premium can be defined as the difference between the forward price and the expected future spot at the maturity date of the forward contract there is a longstanding debate on the nature of this risk premium the hickskeynes view2 is that in futures markets speculators provide insurance against the risk of fluctuations in the price of the spot commodity and hedgers pay a premium for this risk transfer in the way of a forward price that is higher than the expected spot price in other words the risk premium should be positive 3 hardy 11 has suggested however that a future market is merely a casino in which speculators can participate in a legalized form of gambling for this privilege they have to pay a price in the form of a negative expected return thus resulting in a negative risk premium 4

a continuous time equilibrium model of forward prices and futures prices in a multigood economy abstract this paper is a theoretical investigation of equilibrium forward and futures prices we construct a rational expectations model in continuous time of a multigood identical consumer economy with constant stochastic returns to scale production using this model we find three main results first we find formulas for equilibrium forward futures discount bond commodity bond and commodity option prices second we show that a futures price is actually a forward price for the delivery of a random number of units of a good the random number is the return earned from continuous reinvestment in instantaneously riskless bonds until maturity of the futures contract third we find and interpret conditions under which normal backwardation or contango is found in forward or futures prices these conditions reflect the usefulness of forward and futures contracts as consumption hedges

corporate capital expenditure decisions and the market value of the firm abstract this paper is an event time study of the common stock prices of a sample of 658 corporations around the dates on which they publicly announced their future capital expenditure plans for industrial firms announcements of increases decreases in planned capital expenditures are associated with significant positive negative excess stock returns for public utility firm neither increases nor decreases in planned capital expenditures are associated with significant excess stock returns we interpret the evidence as being consistent with the hypothesis that managers seek to maximize the market value of the firm in making their corporate capital expenditure decisions

is the 2007 u s sub prime financial crisis so different an international historical comparison the first major financial crisis of the twentyfirst century involves esoteric instruments unaware regulators and skittish investors it also follows a well trodden path laid down by centuries of financial folly is the special prob lem of sub prime mortgages really different our examination of the longer historical record which is part of a larger effort on cur rency and debt crises finds stunning qualitative and quantitative parallels across a number of standard financial crisis indicators to name a few the run up in us equity and housing prices that graciela l kaminsky and reinhart 1999 find to be the best leading indicators of crisis in countries experiencing large capital inflows closely tracks the average of the previous 18 post world war ii banking crises in industrial countries so too does the inverted v shape of real growth in the years prior to the crisis despite widespread concern about the effects on national debt of the tax cuts of the early 2000s the run up in us public debt is actually some what below the average of other crisis episodes in contrast the pattern of us current account deficits is markedly worse at this juncture the book is still open on how the current dislocations in the united states will play out the precedent found in the aftermath of other episodes suggests that the strains can be quite severe depending especially on the initial degree of trauma to the financial system and to some extent the policy response the average drop in real per capita output growth is over 2 percent and it typically takes two years to return to trend for the five most catastrophic cases which include episodes in finland japan

commodity own rates real interest rates and money supply announcements abstract this paper develops a measure of the real interest rate that is based on commodity own rates the rate at which one can contract to exchange units of a commodity today for units of the commodity in the future we use this measure to study the impact of money supply announcements on the real interest rate we find that money shocks have little effect on one and three month real interest rates however there is a strong positive relation between money shocks and six and twelve month real interest rates

the effect of poison pill securities on shareholder wealth abstract this paper examines empirical evidence about the effect of poison pill takeover defenses on shareholder wealth i find evidence that announcements of the most restrictive forms of the pill defense are associated with stock price declines also the most restrictive forms of the pill defense are associated with abnormally high rates of defeat of unsolicited tender offers although this evidence is consistent with managerial entrenchment the evidence implies that on average poison pill defenses have seemingly had only a modest effect on firm valuation

stable partnerships matching and local public goods abstract in the presence of local public goods differences in tastes are an important determinant of the way in which partnerships are formed heterogeneity in tastes for private vs public goods produces a tendency to positive assortment and partnerships of couples with similar tastes heterogeneity in tastes for different public goods brings about partnerships of couples with similar tastes only if there is a significant overlap in the distribution of tastes of the two groups to be matched we show that with two public goods we may get negative assortment pure positive assortment being only one of many possibilities

crisis and responses the federal reserve in the early stages of the financial crisis in summer 2007 u s and global financial markets found themselves facing a potential financial crisis and the u s federal reserve found itself in a difficult situation it was becoming clear that banks and other financial institutions would ultimately lose tens or even hundreds of billions of dollars from their exposure to subprime mortgage market loans bank lending is closely tied to bank capital or net worth specifically bank regulators require that loans not exceed a certain multiple of capital thus the federal reserve faced the danger of a sharp contraction in credit and bank lending in a way that threatened a deep recession or worse when this kind of event happens the job of the central bank is to assure that financial institutions have the necessary funds to conduct their daily business that they have the liquidity they need to make timely payments and transfers modern financial institutions need to replenish their funding every day in the united states alone literally trillions of dollars are transferred between banks each day to support the 50 trillion credit outstanding in the economy as a whole commercial banks require funds to initiate the mortgages auto loans and credit card debt they then sell into financial markets while investment banks finance much of their activity with daily borrowing in the early stages of the crisis the situation often arose in which a wellcapitalized bank was forced to make sudden large loans based on previously committed lines of credit in this circumstance central bank actions can ease

central banking in the credit turmoil an assessment of federal reserve practice abstract central banking is understood in terms of the fiscal features of monetary credit and interest on reserves policies monetary policy expanding reserves by buying treasuries transfers all revenue from money creation directly to the fiscal authorities credit policy selling treasuries to fund loans or acquire non treasury securities is debt financed fiscal policy interest on reserves frees monetary policy to fund credit policy independently of interest rate policy an ambiguous boundary of responsibilities between the fed and the fiscal authorities contributed to economic collapse in fall 2008 accord principles are proposed to clarify fed credit policy powers and secure its independence on monetary and interest rate policy the fed needs more surplus capital from the fiscal authorities to be fully flexible against both inflation and deflation at the zero interest bound

the sensitivity of an empirical model of married women s hours of work to economic and statistical assumptions this study undertakes a systematic analysis of several theoretic and statistical assumption s used in many empirical models of female labor supply using a singl e data set psid 1975 labor supply data the author is able to replic ate most of the range of estimated income and substitution effects fo und in previous studies in this field he undertakes extensive specif ication tests and finds that most of this range should be rejected du e to statistical and model misspecifications the two most important assumptions appear to be the tobit assumption used to control for sel f selection into the labor force and exogeneity assumptions on the wi fe s wage rate and her labor market experience copyright 1987 by the econometric society

market and public liquidity as the record of federal reserve interventions over the past year from december 2007 to december 2008 makes abundantly clear a foremost concern of monetary authorities in responding to the financial crisis has been to avoid a repeat of the great depression and especially a repeat of the monetary contraction that milton friedman and anna schwartz 1963 have claimed as the major cause of the 1930s depression the fed has shown tremendous resourcefulness and inventiveness in its liquidity injections considerably widening the collateral eligible under the discount window and the term auction facility and setting up new programs targeted at primary dealers the commercial paper market and money market funds at the same time it has stepped in to offer guarantees on assets held by some financial institutions e g citigroup to avoid their bankruptcy see david enrich et al 2008 this unprecedented intervention has had the intended effect of averting a major systemic financial meltdown and it has kept some critical financial institutions afloat yet until now banks have mostly responded by cutting new lending and hoarding liquidity so that the ultimate goal of forestalling a credit crunch has not been achieved for the most part banks also are still holding most of the toxic assets that monetary policy liquidity and financial crises

the credit crisis conjectures about causes and remedies what caused the financial crisis that is sweeping across the world what keeps asset prices and lending depressed what can be done to remedy matters while it is too early to arrive at definite answers to these questions it is certainly time to offer informed conjectures and these are the focus of this paper this abstract was borrowed from another version of this item

monetary policy in a systemic crisis summary this paper examines the monetary policy followed during the current financial crisis from the perspective of the theory of the lender of last resort it is argued that standard monetary policy measures would have failed because the channels through which monetary policy is implemented depend upon the well functioning of the interbank market as the crisis developed liquidity vanished and the interbank market collapsed central banks had to inject much more liquidity at low interest rates than predicted by standard monetary policy models at the same time as the interbank market did not allow for the redistribution of liquidity among ban ks central banks had to design new channels for liquidity injection

the effect of three mile island on electric utility stock prices a note the impact of events on the time series properties of common stock returns has been the subject of numerous articles in the finance literature most studies have shown that capital markets are highly efficient in the sense that prices quickly adjust to publicly available information as investors act to receive a return commensurate with the level of perceived risk this note examines the effect on the stock returns of public utility firms of the three mile island tmi nuclear accident in stock valuation models based on investor rationality permanent price declines are brought about either by a decline in expected cash flows or by an increase in the rate used to discount future cash flows such a nuclear accident may directly affect investors perceptions of both the expected cash flows of utilities and their risk these future cash flows are affected because a nuclear accident may cause additional costs due to extended shutdowns or abandonment of nuclear plants expenses of responding to a nuclear accident and costs of purchasing replacement power the response of utility returns to tmi is analyzed at three levels first the risk adjusted returns for the utility experiencing the nuclear accident general public utilities gpu are measured over monthly time periods surrounding tmi the same analysis is performed on an aggregate sample of electric utility firms to assess the direction and magnitude of tmi s impact on other firms in the industry lastly the sample is divided into utilities with significant nuclear generating capacity at the time of tmi and utilities with no nuclear generating capacity so that the differential impact of the nuclear accident on nuclear and non nuclear public utilities may be assessed both a single and two index market model are used to estimate risk adjusted returns the latter index model includes an interest rate index as well as an equity market index

hard to get the scarcity of women and the competition for high income men in urban china reports of the difficulties of elite women in finding suitable mates have been increasing despite the growing availability and value of men in china we rationalize this leftover women phenomenon within the directed competitive search framework which uniquely allows for equilibrium crowding out within this framework we show that the leftover women phenomenon can be the result of women s aversion to men who have a lower income than themselves hereafter alm and the long predicted complementarity between women s non market traits in particular beauty and male earnings for high income h women even when high income h men are more plentiful and richer the direct effect of the greater number of desirable men can be overwhelmed by the indirect effect of competitive entry by low income l women particularly the beautiful we test for these competitive search effects using online dating field experimental census and household survey data consistent with the competitive entry of l women when sex ratio and h men s income increase the search intensity of beautiful l women for h men increases in response to this competitive entry plain h women who are constrained by their alm to search predominantly for h men also increase the search intensity however only their marriage probability decreases our evidence is consistent with intra female competitive search for spouses who can cover the labor market opportunity cost of marriage and childbirth which increases with a woman s income

futures markets and production decisions this paper investigates the use of futures prices in making production decisions we derive a preference independent production rule for firms that face both demand and production uncertainty this rule is compared to a simple marginal cost equals future price rule which previously has been suggested for firms with deterministic output data for agricultural producers are used to examine the importance of output uncertainty in the determination of the proper production rule our analysis suggests that for many crops the simple rule is sufficiently accurate to be a useful guide to production

the pricing of options with default risk this paper considers the pricing of options with default risk the comparative statics of such options can differ from those of ordinary options and early exercise of such american call options can be optimal several examples of options with default risk are considered traditionally it has been assumed that options have no default risk such an assumption is reasonable when one studies options traded on an organized exchange in the u s default on such options would require as cox and rubinstein 5 put it a very sudden and strong movement in stock prices one considerably more extreme than any on record p 71 however many options and financial assets containing option like payoffs are sold by firms that have limited assets for such options default is often a possibility that must be taken seriously in this paper we study how options subject to default risk which we hereinafter call vulnerable options are priced it turns out that many of the well established results of the option pricing literature see e g smith 12 and references therein do not hold for vulnerable options in particular the value of a vulnerable european option can fall with time to maturity with the interest rate and with the variance of the underlying asset furthermore it may pay to exercise early a vulnerable american option on a non dividend paying asset

order imbalances and stock price movements on october 19 and 20 1987 on october 19 1987 nyse stocks in the s p index declined seven percentage points more than nyse stocks not in this index in the first hour of trading on october 20 the s p stocks virtually recovered to the level of the non s p stocks there is a strong relation between order imbalances and stock price movements both in analyses of time series and cross sections thus in addition to the breakdown in the linkage between future prices and the spot index on these two days there were also breakdowns in the linkage among nyse stocks

dowry and wife s welfare a theotrical and empirical analysis becker attributes the existence of marital transfers to inflexibility in the division of joint product within the marriage if that were the only reason we would not have observed the coexistence of dowries and bride prices this paper offers an alternative analysis while becker s interpretation is retained for bride prices a dowry is now represented as a premortem bequest by altruistic parents for a daughter it not only increases the wealth of the new conjugal household but also enhances the bargaining power of the bride in the allocation of the output within the household thereby safeguarding here welfare using micro data from taiwan we found that a dowry improves the bride s welfare whereas a bride price has no effect these empirical results support the theoretical predictions of the model

commodity derivatives pricing with cointegration and stochastic covariances abstract empirically cointegration and stochastic covariances including stochastic volatilities are statistically significant for commodity prices and energy products to capture such market phenomena we develop a continuous time dynamics of cointegrated assets with a stochastic covariance matrix and derive the joint characteristic function of asset returns in closed form the proposed model offers an endogenous explanation for the stochastic mean reverting convenience yield the time series of spot and futures prices of wti crude oil and gasoline shows cointegration relationship under both physical and risk neutral measures the proposed model also allows us to fit the observed term structure of futures prices and calibrate the market implied cointegration relationship we apply it to value options on a single commodity and on multiple commodities

the october 1987 s p 500 stock futures basis five minute changes in the s p 500 index and futures contract are examined over a ten day period surrounding the october 1987 stock market crash since nonsynchronous trading problems are severe in these data new index estimators are derived and used the estimators use the complete transaction history of all 500 stocks nonsynchronous trading explains part of the large absolute futures cash basis observed during the crash the remainder may be due to disintegration of the two markets even after adjustment for nonsynchronous trading the index displays more autocorrelation than does the futures and the futures leads the index

an analysis of divestiture effects resulting from deregulation capital market data were used to examine the divestiture effects pertaining to deregulation the dropping of antitrust charges and the reversing of the co insurance effect associated with the recent breakup of at t the empirical results of the study indicate that significant economic events took place during the breakup process which led to transfers of wealth from various parties to the securityholders of at t the results also indicate that the buffering effect of regulation was reduced as at t went through the total deregulation process this is in accordance with peltzman s prediction the focus of this research is an involuntary breakup split up or total divestiture of a major corporation in the economy at t the breakup of at t occurring on january 1 1984 provides an excellent opportunity to study both merger and acquisition theory in reverse as well as to analyze the impact of significant deregulation on a large corporation in the economy while several firms have involuntarily divested themselves of a division or subsidiary over the recent past the size of the divestiture is usually not significant enough to be observed in the returns to bondholders stockholders and third parties the recent large scale breakup of at t by court order occurred over a fairly long time period approximately two years which makes it possible to examine the effects of certain specific subevents with respect to the wealth transfer among the claimants of the firm it is also possible to draw some conclusions about the effects of deregulation on corporate investors in general by examining the returns behavior over the extended split up period capital market data were used to examine the divestiture effects pertaining to the breakup of at t many theoretical and empirical studies have analyzed the impact of mergers and acquisitions on the wealth of corporate investors on the theoretical side single period cash flow models preserving limited liability have been developed by baron 2 chen 7 higgins and schall 11 and brennan 5 on the empirical side work by mandelker 15 langetieg 14 and asquith 1 has investigated the effect of mergers on target and bidder stockholder returns the results of these studies warrant the following general conclusions a some of the wealth of premerger stockholders may be transferred to the bondholders of southern methodist university and the university of texas at dallas respectively we would

the relation between forward prices and futures prices abstract this paper consolidates the results of some recent work on the relation between forward prices and futures prices it develops a number of propositions characterizing the two prices these propositions contain several testable implications about the difference between forward and futures prices many of the propositions show that equilibrium forward and futures prices are equal to the values of particular assets even though they are not in themselves asset prices the paper then illustrates these results in the context of two valuation models and discusses the effects of taxes and other institutional factors

default risk in futures markets the customer broker relationship the traditional view of the futures clearinghouse as an insurer that eliminates the need for customers to evaluate default risk is inaccurate a clearinghouse member default in 1985 confirms that the clearinghouse only guarantees payment from member to member not from customer to customer or member to customer thus non defaulting customers are subject to losses as a result of the action of individuals with whom thay have no contractual obligations this study models the behavior of customers choosing a futures commission merchant fcm given the current legal position of the clearinghouse in a single period model with symmetric information customers can eliminate their exposure to defaults of other customers or of their fcm only by choosing to trade through boutique undiversified fcms in practice monitoring and rebalancing costs may impede the attainment of zero default risk however fcm diversification remains an important factor in customer choice of an fcm when setting capital requirements clearinghouses and government regulators need to consider the implications of diversification for both customer and market protection futures markets provide a well recognized service to the economy by allowing for broader access to the means for reducing risk futures markets are distinguished from forward markets largely by the role played by the clearinghouse and its members the clearinghouse has been viewed by telser and higinbotham 1977 black 1976 edwards 1983 and others as providing an important insurance function each trader need not worry about the risk of default by the other side of the contract because the clearinghouse presumably plays the short for every long and long for every short traders need only be concerned about the ability of the clearinghouse to live up to the terms on the futures contract one feature believed to enhance confidence in the clearinghouse is the requirement that margin be posted at the clearinghouse by each side of the contract see telser 1981 garbade and silber 1983 and brennan 1986 given daily resettlement on futures contracts if one side of the contract defaults the clearinghouse can close the position and use the margin to satisfy the other side of the contract in practice the clearinghouse requires only that the broker or futures commission merchant fcm post the margin and within some constraints leaves the fcm to set requirements with its own customers

tenure issues in higher education the system of tenure that dominates american higher education has long been a source of controversy the institution of tenure has been attacked for entrenching a lazy professoriate more interested in attending faraway conferences and producing unreadable research than in teaching or developing practical insights while on the other hand it has long been defended as an absolute necessity for the defense of open intellectual inquiry the tenure controversy has been sharpened in recent years by several events the end of mandatory retirement which was abolished by federal law effective january 1 1994 has heightened concerns about the productivity and commitment of professors who received tenure long ago and who no longer have the same incentives to invest in long term reputation there is also ongoing concern over the steadily rising cost of higher education which raises the question of what students as well as the taxpayers who support public institutions of higher education are getting for their money 1 the idea that tenure is a wasteful institution for universities runs up against the puzzling fact that the commitment to tenure is one that academic institutions impose on themselves although the american association of university professors aaup provides a powerful lobby in favor of tenure generally colleges and universities most notably private ones are under no legal requirement to observe tenure constraints although as administrators we certainly feel the weight of those constraints our view is that a tenure system in fact provides important benefits to society and to colleges and universities we argue here that the role of tenure is

financial instability reserves and central bank swap lines in the panic of 2008 in this paper we connect the events of the last twelve months the panic of 2008 as it has been called to the demand for international reserves in previous work we have shown that international reserve demand can be rationalized by a central bank s desire to backstop the broad money supply to avert the possibility of an internal external double drain a bank run combined with capital flight thus simply looking at trade or short term debt as motivations for reserve holdings is insufficient one must also consider the size of the banking system m2 here we show that a country s reserve holdings just before the current crisis relative to their predicted holdings based on these financial motives can significantly predict exchange rate movements of both emerging and advanced countries in 2008 countries with large war chests did not depreciate and some appreciated meanwhile those who held insufficient reserves based on our metric were likely to depreciate current account balances and short term debt levels are not statistically significant predictors of depreciation once reserve levels are taken into account our model s typically high predicted reserve levels provide important context for the unprecedented u s dollar swap lines recently provided to many countries by the federal reserve this abstract was borrowed from another version of this item

an empirical investigation of the impact of antitakeover amendments on common stock prices abstract antitakeover amendments are amendments to a corporation s charter that impede the ability of an outsider to gain control of the firm a number of individuals and institutions have onjected to such amendments on the grounds that they are not in the best interests of the shareholders of the firms that adopt them this paper employs event time methodology to investigate the impact of antitakeover amendments on the common stock prices of firms that adopt them the results indicate that the announcement of such amendments is associated with a positive revaluation of stock price contrary to the concerns of their critics we conclude that antitakeover amendments are proposed by managers who seek to increase the value of the firm and are approved by stockholders who share that objective

a theory of price limits in futures markets abstract the existence of price limits in certain futures markets is explained by demonstrating that price limits may act as a partial substitute for margin requirements in ensuring contract performance their effectiveness is a decreasing function of the amount of information available to traders about the equilibrium futures price which is unobservable in the event of a limit move and the theory predicts that no limits will exist in the markets for financial futures actual limits are broadly consistent with the theory his interpretation plausible as it was was totally misleading with the dangerous verisimilitude of a theory which will fit all or nearly all the facts and yet more entirely miss the truth by a mere accident then would a frank perplexity heritage v sackville west