variations in trading volume return volatility and trading costs evidence on recent price formation models patterns in stock market trading volume trading costs and return volatility are examined using new york stock exchange data from 1988 intraday test results indicate that for actively traded firms trading volume adverse selection costs and return volatility are higher in the first half hour of the day this evidence is inconsistent with the admati and pfleiderer 1988 model which predicts that trading costs are low when volume and return volatility are high interday test results show that for actively traded firms trading volume is low and adverse selection costs are high on monday which is consistent with the predictions of the foster and viswanathan 1990 model academics investors and regulators alike are now intensively focused upon understanding the volatility of asset returns and its relation to trading volume this interest was undoubtedly piqued by the market break of october 1987 a time during which volatility and trading volume reached unprecedented levels but even beforehand researchers observed regular differences in the return process for various hours of the day and days of the week research concerning temporal patterns in stock market volatility and volume falls in two groups studies that document observed patterns and studies that develop models to predict patterns among the studies in the first group are oldfield and rogalski 1980 french and roll 1986 stoll and whaley 1990 harris 1986 and wood mcinish and ord 1985 who report evidence on seasonalities in daily and weekly return variances among the regularities that have been documented using interday data is that volatility is higher when the market is open than when it is closed oldfield and rogalski 1980 french and roll 1986 and stoll and whaley 1990 for example point out significant differences in return volatility between trading

employment and unemployment effects of unions despite an extensive literature examining the effects of unions on wages little attention has been paid to the resultant aggregate employment consequences of this change in the relative cost of unionized labor this article uses 1983 current population survey data to estimate the effects of union strength on the probability of employment and labor force participation union strength which reflects both union coverage and the union wage differential is found to decrease employment and increase unemployment by a small but significant amount these effects are concentrated primarily among females and young males while little impact is found on prime age males

demand curves for stocks do slope down new evidence from an index weights adjustment weights in the toronto stock exchange 300 index are determined by the market values of the included stocks public floats in november 1996 the exchange implemented a previously announced revision of its definition of the public float this revision which increased the floats and the index weights of 31 stocks conveyed no information and had no effect on the legal duties of shareholders affected stocks experienced statistically significant excess returns of 2 3 percent during the event week and no price reversal occurred as trading volume returned to normal levels these findings support downward sloping demand curves for stocks an obvious event with which to examine the slope of demand curves for stocks is one that changes supply in the absence of new information a shift in supply should not affect stock prices if demand curves for stocks are flat scholes 1972 using a sample of secondary equity distributions asks whether stocks are unique works of art or merely abstract claims to residual cash flows with many close substitutes as is assumed in much of finance theory scholes finds that the negative price impact of secondary offerings depends on the seller s identity implying the revelation of unfavorable informationand rules out a pure supply effect mikkelson and partch 1985 also using a sample of registered and unregistered secondary offerings find weak evidence of downward sloping demand curves but are unable to cleanly distinguish this explanation from the alternative explanation based on unfavorable information a different class of events additions to widely followed stock market indexes ostensibly provides a setting where information effects should not be present shleifer 1986 documents a permanent price increase for stocks

the sensitivity of vpin to the choice of trade classification algorithm abstract the vpin metric easley et al 2012b aims to detect and predict the toxicity of order flow this paper examines the sensitivity and robustness of vpin to the choice of trade classification scheme which is the major input used to compute vpin we compare deterministic trade by trade classification approaches with results computed using a newly proposed heuristic approach bulk volume classification we find substantial differences for all levels of aggregation trade classification order imbalance vpin and identifying toxic periods we also find that the detection of toxic periods does not yield consistent results in more than 60 of cases but regression analysis can identify volume and return volatility as parameters that contribute to higher levels of sensitivity

the impact of unionism on municipal expenditures and revenues this study tests the hypothesis that municipal unions through the use of political power and multilateral bargaining power are able to increase the demand for municipal services an analysis of data on approximately 700 cities from the 1980 survey of governments and census of population shows in both cross section and fixed effects estimates that collective bargaining increased expenditures in departments covered by a contract in contrast collective bargaining apparently did not affect cities total expenditures total revenues or property taxes

trading and pricing in upstairs and downstairs stock markets we provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market using helsinki stock exchange data we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades this is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if they know the unexpressed demands of other customers we find that these economic benefits depend on price discovery occurring in the downstairs market copyright 2002 oxford university press

the effects of collective bargaining rights on public employee compensation evidence from teachers firefighters and police widespread public sector unionism emerged only in the 1960s as individual states opened the door to collective bargaining for state and municipal workers in this study the author exploits differences in timing of legislative reforms across states to construct estimates of the causal effects of public sector collective bargaining rights on pay benefits and employment for teachers firefighters and police perhaps surprisingly estimates that allow for state fixed effects and state specific trends show little effect on teachers pay benefits or employment despite significantly increasing union presence among teachers for firefighters the results show a substantial positive effect on wages for police the wage effect was more modest but the workweek was significantly shortened

the accuracy of the tick test evidence from the australian stock exchange abstract in the absence of information regarding whether a trade is buyer or seller initiated many researchers have employed the tick rule as a proxy these researchers have been supported in their endeavours by the work of lee and ready 1991 which suggests that the tick rule is 90 accurate unfortunately the difficulty of securing data on this issue has made lee and ready s paper somewhat unique in that there have been few attempts to confirm their result in us markets and no attempts in other markets the purpose of this work is to test the robustness of their result in the australian securities market using cleaner intra day data we mimic the lee and ready study to cast some doubt upon the robustness of their findings in different markets our results suggest an overall accuracy of approximately 74 as opposed to lee and ready s 90 however accuracy in excess of 90 is documented when zero ticks are excluded further analysis provides evidence that a volatile or trending market will decrease the accuracy of the tick rule it is also demonstrated that the tick rule is less likely to accurately classify seller initiated trades and small buyer initiated trades

the information content of institutional trades on the london stock exchange we construct a unique data set that includes all reported institutional block trades on the london stock exchange and analyze the market reaction to buy and sell trades we find that the type of investors behind the trade and the combination of the trade s size and the trader s resulting level of ownership are the major determinants of the information effects and the asymmetry between price impacts of buy and sell trades in particular large trades undertaken by fund managers the most active investors in our sample have strong information content while for the remaining trades we report limited support for the information and the price impact asymmetry hypotheses these results hold even after accounting for trade complexity and volatility effects in the regressions

order characteristics and stock price evolution an application to program trading abstract this paper is an econometric analysis of the information content of automated orders arriving at the nyse the model captures the joint behavior of automated orders and also the return on the stock index future and the futures spot basis the results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades furthermore program and index arbitrage orders contain information beyond that available from the futures return and basis suggesting that these orders are not merely passive conveyors of common factor information nonprogram program and index arbitrage orders have roughly similar price impacts

option volume and stock prices evidence on where informed traders trade this paper investigates the informational role of transactions volume in options markets we develop an asymmetric information model in which informed traders may trade in option or equity markets we show conditions under which informed traders trade options and we investigate the implications of this for the linkage between markets our model predicts an important informational role for the volume of particular types of option trades we empirically test our model s hypotheses with intraday option data our main empirical result is that negative and positive option volumes contain information about future stock prices the information content of trading activity is a subject of widespread interest if trades are correlated with private information then the outcome of the transaction process may portend future movements in price the extension of trading to different venues or to derivative instruments however means that this link between transactions and information need not be easily discernible if there are alternative markets in which informed traders can profit from their information then where informed traders choose to trade may have important implications not only for security p rice movements but for the behavior of related prices as well this suggests that transactions in derivative markets may be an important predictor of future security price movements in this paper we investigate the informational role of transactions volume in options markets for some readers this focus may seem puzzling an option is a derivative security so its price should be dictated unilaterally by the behavior of the stock price this unidirectional linkage is only true however in complete markets if information is impounded into prices by trading then the ability of informed traders to transact in options markets mearns

discussion of anomalous stock returns around internet firms earnings announcements abstract trueman wong and zhang twz investigate an apparent anomaly in the pricing of internet firms around their earnings announcements which they attribute to price pressure the discussion addresses three concerns the paper is unusual in choosing an event earnings announcements that does not appear to have an obvious non information related reason for triggering unjustified changes in demand for the firm s shares relatedly there are limitations to the tests made of the price pressure hypothesis finally the discussion elaborates on twz s brief mention of the difficulties with implementing a profitable trading strategy based on the stock return pattern they document

public sector unions and public spending this study examines the influence of public sector unions on the expansion of the public sector based on public goods theory our paper models how unions influence the supply of and demand for public sector activities on the demand side public sector unions are special interests which advocate public sector expansion to policy makers on the supply side they exert pressure to maintain and expand monopoly powers empirical evidence supports the hypothesis that a positive relationship exists between public sector unionism and public spending

the behavior of stock prices around institutional trades all trades executed by 37 large investment management firms from july 1986 to december 1988 are used to study the price impact and execution cost of the entire sequence package of trades that we interpret as an order we find that market impact and trading cost are related to firm capitalization relative package size and most importantly to the identity of the management firm behind the trade money managers with high demands for immediacy tend to be associated with larger market impact financial economists have long studied the equity trading process and its impact on stock prices much prior empirical research isolates individual trades and analyzes the behavior of the stock price around each trade see for example kraus and stoll 1972a holthausen leftwich and mayers 1987 1990 keim and madhavan 1991 petersen and umlauf 1991 hausman lo and mackinlay 1992 and chan and lakonishok 1993 evaluating the behavior of stock prices around trades provides a means of discriminating among various hypotheses as to the elasticity of the demand for stocks yields an estimate of the cost of executing trades and a measure of the liquidity of a market and permits tests of different models of the determination of quotes and transaction prices for many institutional investors however even a moderately sized position in a stock may represent a large fraction of the stock s trading volume accordingly an investment manager s order is often broken up into several trades it is often misleading therefore to consider an individual trade as the basic unit of analysis in the study of trading activity and its effects on prices this paper uses the record of trades executed by 37 large investment manage

modeling government behavior in collective bargaining a test for self interested bureaucrats this paper tests for self interested behavior by local government bureaucrats engaged in collective bargaining with public employee unions a theoretical model is developed that shows the effect of niskanen style bureaucratic self interest in the two standard bargaining models the demand constrained model and the efficient bargain model these predictions are then tested using national cross section data on unionized police fire and sanitation workers

public sector unions and municipal employment using 1980 data for a large sample of u s cities the author reexamines recent empirical findings of a positive association between public sector unionization and municipal employment several researchers have interpreted this correlation as evidence that public employee unions successfully exert political pressure to raise the demand for municipal services structural estimates of labor demand and the determinants of police and fire unionization reveal however that economies of scale in union formation are at least partly responsible for any positive association between public sector unionization and municipal employment the author concludes that previous studies overstate the amount of political clout wielded by municipal labor unions

the interindustry structure of unionism earnings and earnings dispersion this study examines the relationship between unionism and earnings dispersion within u s manufacturing and nonmanufacturing industries the author hypothesizes not only that unionism narrows earnings dispersion as others have shown but also that the dispersion in earnings reflecting the degree of worker homogeneity influences the level of unionism estimation of a three equation model using 1970 three digit industry data provides evidence regarding the simultaneous determination of unionism earnings and earnings dispersion within u s industries the estimated equalizing effects of unionism on within industry earnings distributions are found to be significant both in the manufacturing and nonmanufacturing sectors the size of these estimates increasing after accounting for simultaneity in addition the dispersion in earnings does appear to affect the level of unionism although the evidence on this point is ambiguous

the advantage to hiding one s hand speculation and central bank intervention in the foreign exchange market abstract we analyze an asymmetric information model of sterilized intervention in the foreign exchange market we characterize an equilibrium in which a central bank with inside information about its exchange rate target trades with risk averse speculators who have private information about future spot rates the model identifies circumstances in which perverse responses to intervention will be observed i e the domestic currency depreciates when the central bank purchases it and it provides conditions under which the exchange rate will be highly sensitive to intervention the model also provides an explanation for two forms of policy secrecy i secrecy about the scale of an intervention operation is always desirable ii secrecy about the target is sometimes desirable

an anatomy of the s p game the effects of changing the rules this study analyzes the effects of changes in s p 500 index composition from january 1986 through june 1994 a period during which standard and poor s began its practice of preannouncing changes five days beforehand the new announcement practice has given rise to the s p game and has altered the way stock prices react we find that prices increase abnormally from the close on the announcement day to the close on the effective day the overall increase is greater than under the old announcement policy although part of the increase reverses after the stock is included in the index the s p game is based upon the perceived price reaction of a stock to news that it will be added to the s p 500 the game involves buying the shares of the stock ahead of s p 500 funds and then selling after index fund demand is satisfied the opportunity to play the s p game arose in october 1989 when standard and poor s p began its practice of preannouncing changes to the s p 500 before that time s p announced the change in composition after the close of trading with the change becoming effective by the following morning s open with no lead time index funds bought the shares of the newly included stock on the day following the announcement the buying pressure caused prices to rise for additions during the period 1976 through 1983 for example shleifer 1986 found an abnormal price increase of 2 79 percent on the day following the announcement using roughly the same sample period harris and gurel 1986 reported a 3 13 percent average increase

union wage differentials in the public and private sectors a simultaneous equations specification the paper attempts to integrate new approaches to estimating union wage effects with the analysis of public private sector wage differentials estimates of the union differential in both public and private sectors allowing for the endogeneity of union status are presented the hypothesis that the recently measured rents to public sector employment primarily reflect the recent increase in unionization in that sector is examined and receives considerable empirical support there was evidence of positive selection into the union sector especially for private sector workers union status appears to be strongly influenced by the expected wage gain from joining the union sector

general revenue sharing and public sector unions abstract in this paper i find that in the context of a large intergovernmental general revenue sharing program implemented from 1972 to 1986 cities increased expenditures one for one with federal grants which is suggestive of a large flypaper effect furthermore i find that cities in states with pro union collective bargaining laws spent more than half of the transfers on increased wages while cities in states without such laws spent a greater fraction on increased government services these latter findings suggest that public sector unions play an important role in determining the usage and impact of intergovernmental grants

a direct test of methods for inferring trade direction from intra day data this study directly tests the ability of several competing methods to identify market buy and sell orders using intra day quote and trade prices and identifies factors that affect the accuracy of the methods lee and ready s 1991 algorithm performs about the same as the tick test but the performance of both methods is worse than expected the results show that the use of either algorithm to classify trades can lead to significantly biased estimates of effective spreads and signed volume but the tick test provides better estimates of effective spreads and signed volume than lee and ready s method i introduction the use of intra day prices in empirical studies of securities markets is increasingly common and studies frequently require trades be identified as buyer or seller initiated unfortunately most data sets do not identify trade direction methods have however been proposed that allow trade direction to be inferred from adjacent prices and quotes the accuracy of these methods and the implica tions for microstructure research are still unresolved issues in large part because trade direction is unobservable in most financial data sets this study directly tests the ability of several competing methods to iden tify market buy and sell orders using intra day quote and trade prices the tests are conducted using the torq database a unique data set the new york stock exchange makes available to researchers that contains information on trades quotes and orders using the tick tests and lee and ready s lr hereafter 1991 method to classify trades as buys or sells and comparing the results to the direction of the actual orders i directly test the accuracy of the classification algorithms the tests also identify the factors that affect the accuracy of the clas sification methods additional tests demonstrate that using these algorithms can lead to biased inferences in two of their most common applications estimating effective spreads and signed volume trading test results also show that the tick

new evidence on stock price effects associated with changes in the s p 500 index since october 1989 standard and poor s has when possible announced changes in the composition of the s p 500 index one week in advance because index funds hold s p 500 stocks to minimize tracking error index composition changes since this date provide an opportunity to examine the market reaction to an anticipated change in the demand for a stock using post october 1989 data the authors document significantly positive negative postannouncement abnormal returns that are only partially reversed following additions deletions these results indicate the existence of temporary price pressing and downward sloping long run demand curves for stocks and represent a violation of market efficiency copyright 1997 by university of chicago press

bargaining laws and unionization in the local public sector this paper analyzes the effects of bargaining law characteristics on rates of unionization in over 10 000 local government departments representing five different government services that were without bargaining units in 1977 duty to bargain laws significantly increased the probability of bargaining union formation between 1977 and 1982 the results of the analysis reject the hypotheses that this effect reflects only underlying union strength the release of pent up demand for unionization or the transformation of nonbargaining unions into bargaining unions the changes in unionization attributable to duty to bargain laws are so large that they account for nearly all of the differences in average unionization rates between states with and without these laws

on the efficiency of intra industry information transfers the dilution of the overreaction anomaly abstract we revisit the stock market anomaly documented by thomas and zhang 2008 and show that the apparent mispricing of information transfers has decayed over time as the us markets experienced rapid improvements in the efficiency of the underlying price formation processes utilizing recent advancements in market microstructure research to estimate firm specific proxies for market efficiency we demonstrate that the existence of the overreaction anomaly where stock prices of late announcers in response to the earnings reported by early announcers in the same industry are negatively related to subsequent price responses of late announcers to their own earnings reports is specific to an earlier sample period and results from the inefficient incorporation of information into prices largely attributable to an environment with high barriers to arbitrage our results indicate that the pricing efficiency of intra industry information transfers has increased in the recent years of increased liquidity and markedly higher trading activity

public education supply and student performance this paper develops a model of public exchange whereby voters and education policy makers exchange with one another within school districts because school district consolidation lowers alternatives to voters parents consolidation is hypothesized to raise public education spending because weakened intergovernmental competition allows policy makers to promote their own utility rather than that of constituents models of public education spending and academic performance are estimated over 1988 1990 while evidence indicates little support for the traditional treatment of the leviathan hypothesis that greater competition lowers public spending this paper argues that education spending by itself does not fully provide a valid test of the leviathan hypothesis since spending by itself does not necessarily indicate the quality of public education programmes empirical evidence indicates that greater numbers of schools and school districts promote higher student achievement as evidenced by higher math and v

the effect on stock price of inclusion in or exclusion from the s p 500 1987 the effect on stock price of inclusion in or exclusion from the s p 500 financial analysts journal vol 43 no 1 pp 58 65

in search of liquidity block trades in the upstairs and downstairs markets we analyze the ability of various market mechanisms to provide liquidity for large equity trades using data on 21 077 block transactions in dow jones stocks we find that the down stairs nyse floor market is a significant source of liquidity although negotiation in the informal upstairs market provides better execution than the downstairs market for large trades these differences are economically small we find however that upstairs markets are used by traders who can credibly signal that their trades are liquidity motivated thus upstairs markets allow trades that may not otherwise occur article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

public sector earnings and the extent of unionization many studies have examined the influence of union density union members as a percentage of all workers on earnings in the private sector but few such studies have looked at the public sector using data from the 1991 current population survey this study estimates the determinants of earnings for state and local government employees in both the union and nonunion sectors the extent of public sector unionization appears to be positively correlated with earnings for both state and local government workers and for those covered and not covered by collective agreements although the effect for non covered employees is smaller than that for covered employees both effects are larger than those typically found in similar estimates for the private sector the authors also find that bargaining structure has some influence on earnings with the most consistent effect being a positive influence of arbitration on the earnings of local government workers

changes in the standard and poor s 500 list l harris and e gurel 1986 and a shleifer 1986 examined changes in the standard and poor s list both studies presented evidence inconsistent with efficient markets looking at newer data and at bond and option prices the authors find that case against market efficiency is not compelling copyright 1991 by university of chicago press

capital gains taxes and equity trading empirical evidence individual investors have an incentive to defer selling appreciated stock until it qualifies for tax favored long term capital gains treatment shackelford and verrecchia 2002 show that these incentives can affect equity trading around public disclosures this article provides some empirical support for their theory with evidence of price increases and equity constrictions around announcements of quarterly earnings and additions to the s p 500 index we find share returns rise and trading volume falls with the incremental taxes saved by deferring the sale of appreciated property the price increases however are temporary reversing in subsequent trading days the results are consistent with buyers believing the compensation to sell before long term qualification through higher prices is less costly than holding an inappropriately weighted portfolio this finding that personal capital gains taxes affect equity trading adds to a growing literature that challenges longstanding assumptions that firm value is independent of shareholders and their taxes

who benefits from secondary market price stabilization of iops abstract initial public offerings that receive secondary market price support from their underwriters are characterized by severely attenuated selling by small quantity presumably retail traders and more aggressive selling by large quantity presumably institutional traders the increase in institutional trading is concentrated in the first day of trading while the attenuation of retail trading persists this pattern exists in spite of the likelihood that retail investors receive relatively large initial allocations of fully priced stabilized offers thus the evidence is consistent with institutional investors being the primary beneficiaries of price stabilization efforts and with the use of penalty bids to constrain retail selling activity

demand and supply and their relationship to liquidity evidence from the s p 500 change to free float in the context of the switch to free float weighting in the s p 500 index this study of the effect of the availability of shares on liquidity in the medium term found cross sectional differences in liquidity and price impact measures that gradually narrowed following each phase of the free float adjustment

earnings expectations investor trade size and anomalous returns around earnings announcements abstract we provide evidence that identifiable subsets of investors use significantly different information sets investors initiating large trades respond to analysts earnings forecast errors while investors initiating small trades respond to a less sophisticated signal that underestimates the implications of current earnings innovations for future earnings levels this suggests small investors exhibit the behavior that bernard and thomas journal of accounting and economics 13 305 340 theorize causes post earnings announcement drift we also use analysts forecasts to significantly improve the predictability of returns around earnings announcements previously documented by bernard and thomas finally results attempting to link return predictability to the prevalence of small investor trading are mixed

anatomy of a government intervention in index stocks price pressure or information effects in a massive intervention designed to deter speculators the hong kong monetary authority hkma bought hang seng index stocks in august 1998 these stocks experienced a 24 abnormal return during the intervention period the abnormal returns are not reversed over the next eight weeks refuting the hypothesis that returns are due to temporary liquidity effects cross sectional analysis of daily abnormal returns during the intervention period reveals that these returns are related to overall intervention activity rather than stock specific intervention this evidence is consistent with information effects rather than price pressure effects

tick size bid ask spreads and market structure we propose a link between market structure and the resulting market characteristics tick size bid ask spreads quote clustering and market depth we analyze transactions data of stocks traded on the london stock exchange a dealer market we conclude that market charateristics are endogenous to the market structure the london dealer market does not have a mandated tick size and it exhibits higher spreads higher quote clusterings and higher market depth than the nyse auction market clustering of trade prices is similar in london and new york

the voting behavior of bureaucrats some empirical evidence this paper has examined the voting behavior of bureaucrats and the consequences for elections the economic theory of the rational voter predicts that bureaucrats would have more to gain by voting than the general public the cost of voting is lower for public employees than for those who work in the private sector as a consequence theory predicts that bureaucrats would participate in elections at a greater rate than other individuals as a test of the validity of the economic theory of voting an empirical analysis of national elections from 1964 to 1978 was presented the evidence is drawn from household survey data published by the u s bureau of the census the data permit a direct observation of voting participation rates of public and private employees the empirical results indicate that bureaucrats consistently participate in elections at significantly greater rates than non bureaucrats as the public sector expands and voter participation rates remain low bureaucrats will exert disproportionate influence on election outcomes

comment on the impact of unions on municipal elections and urban fiscal policies by holger sieg and yu wang comment on the impact of unions on municipal elections and urban fiscal policies by holger sieg and yu wang

stock return comovement around the dow jones islamic market world index revisions we examine patterns of comovement in stock returns around the dow jones islamic market world index djimwi quarterly revision events our analysis is based on a sample of 8250 companies from eighteen countries during the period may 1999 june 2012 we find that a stock s comovement with the djimwi increases when it joins and decreases when it leaves the index we also find that the comovement of newly added deleted stocks with the existing djimwi constituents increases declines during periods of high trading activity and during the month of ramadan further tests reveal that changes in the fundamentals have no impact on the comovements of added and deleted stocks overall our results indicate that stock returns respond to the emotional state of investors around information free events

index composition changes and the cost of incumbency abstract this paper provides evidence of information effects and portfolio rebalancing effects that occur when stocks are added to or excluded from the sp however the portfolio rebalancing effects dominate the industry information effects

stock price effects and costs of secondary distributions abstract this study does not support the view that a large number of shares can be sold at the prevailing market price and at a small cost a significant stock price decrease is observed at the initial announcement of secondary distributions the price declines are greater for offerings by officers and directors and for larger offerings but are significant for all types of sellers and for large and small offerings there is no significant price decline at the offering when secondaries are announced in advance underwriting and other selling costs are substantial and are positively related to relative offering size

price reaction of ethically screened stocks a study of the dow jones islamic market world index this paper investigates the short term effects on the price of the ethically screened stocks of the dow jones islamic market world index djimwi quarterly revisions using a sample of 8 250 stocks from may 1999 through june 2012 we find a significant price reaction of the ethically screened stocks following additions and deletions the results show that additions deletions from emerging stock markets tend to experience a greater and significantly positive negative price response than additions deletions from the developed markets further tests reveal that the price reactions following djimwi revisions are likely to be driven by shifts in investor sentiment rather than changes in firm fundamentals

price and volume effects associated with changes in the s p 500 list new evidence for the existence of price pressures attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market this problem is addressed in an examination of prices and volume surrounding changes in the composition of the s p 500 since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities they provide an excellent opportunity to study price pressures the results are consistent with the price pressure hypothesis immediately after an addition is announced prices increase by more than 3 percent this increase is nearly fully reversed after 2 weeks the efficient market hypothesis emh predicts that security prices reflect all publicly available information therefore one corollary of the emh is that you can sell or buy large blocks of stock at close to the market price as long as you can convince other investors that you have no private information 1 this statement assumes that securities are near perfect substitutes for each other if so the excess demand for a single security will be very elastic and the sale or purchase of a large number of shares will have no impact on price in contrast to the emh scholes 8 kraus and stoll 5 hess and frost 4 and others propose two hypotheses which predict that a large stock sale purchase will cause the price to decrease increase even if no new information is associated with the transaction the imperfect substitutes hypothesis ish also known as the distribution effect hypothesis assumes that securities are not close substitutes for each other and hence that long term demand is less than perfectly elastic under this hypothesis equilibrium prices change when demand curves shift to eliminate excess demand price reversals are not expected because the new price reflects a new equilibrium distribution of security holders the price pressure hypothesis pph assumes that investors who accommodate demand shifts must be compensated for the transaction costs and portfolio risks that they bear when they agree to immediately buy or sell securities which they otherwise would not trade these passive suppliers of liquidity are attracted by immediate price drops rises associated with large sales purchases they are compensated for their liquidity service when prices rise drop to their fullinformation levels the pph like the emh assumes that long run demand is

drips and the dividend pay date effect on the day that dividends are paid we find a significant positive mean abnormal return that is completely reversed over the following days this dividend pay date effect has strengthened since the 1970s and is consistent with the temporary price pressure hypothesis the pay date effect is concentrated among stocks with dividend reinvestment plans drips and is larger for stocks with a higher dividend yield greater drip participation and greater limits to arbitrage over time profits from a trading strategy that exploits this behavior are positively related to the dividend yield and spread and negatively associated with aggregate liquidity

on the contract curve a test of alternative models of collective bargaining the traditional model of collective bargaining confines unions to settlements constrained by the employer s labor demand curve but an alternative model places wage employment outcomes on a contract curve that extends beyond the labor demand curve this paper derives a multidimensional hedonic contract curve model in which employment security provisions are used to maintain efficient bargains outside the employer s demand curve and distinguishes empirically between the contract curve and demand constraint models using data for public school teachers in new york state estimates clearly support the contract curve model over the demand constraint model by linking the gap between compensation and the value of the marginal product to the strength of employment security provisions

do demand curves for stocks slope down since september 1976 stocks newly included into the standard and poor s 500 index have earned a significant positive abnormal return at the announcement of the inclusion this return does not disappear for at least ten days after the inclusion the returns are positively related to measures of buying by index funds consistent with the hypothesis that demand curves for stocks slope down the returns are not related to s p s bond ratings which is inconsistent with a plausible version of the hypothesis that inclusion is a certification of the quality of the stock

do demand curves for currencies slope down evidence from the msci global index change traditional portfolio balance theory derives a downward sloping currency demand function from limited international asset substitutability historically this theory enjoyed little empirical support we provide direct evidence by examining the exchange rate effect of a major redefinition of the msci international equity index in 2001 and 2002 the index changes implied large changes in the representation of different countries in the msci world index and therefore produced strong exogenous equity flows by index funds our event study shows a strong announcement effect in which countries with a decreasing equity representation vis a vis the u s depreciated against the dollar

presidential address asset price dynamics with slow moving capital i describe asset price dynamics caused by the slow movement of investment capital to trading opportunities the pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal the amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade such as search costs for trading counterparties or time to raise capital by intermediaries i discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions which subsided afterward after presenting examples of price reactions to supply shocks in normal market settings i offer a simple illustrative model of price dynamics associated with slow moving capital due to the presence of inattentive investors i address the implications for asset price dynamics of the apparent slow movement of investment capital to trading opportunities the arrival of new capital to an investment opportunity can be delayed by fractions of a second in some markets for example an electronic limit order book market for equities or by months in other markets such as that for catastrophe risk insurance accordingly prices respond to supply or demand shocks with a sharp reaction because of the relatively small subset of capital and thus risk bearing capacity that is immediately available to absorb a shock on short notice such a price impact is substantially reversed over time as additional capital becomes available the amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect many sorts of attention costs to trade as well as institutional impediments to capital movement such as search costs for trading

institutions and individuals at the turn of the year this article evaluates the tax loss selling hypothesis against the window dressing hypothesis as explanations for turn of the year anomalies we examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former controlling for capitalization we find that in early january late december stocks with greater individual investor interest outperform underperform stocks with greater institutional investor interest these results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value the results are most consistent with the tax loss selling hypothesis as an explanation for the turn of the year effect

union wage nonwage and political effects on protective service budgets previous studies have shown that public employee unions can affect the budgets for their municipal services i determine the specific sources of these increased budgets for municipal services increased wages nonwage bargaining issues or political activity using data from national cross sectional samples for police and fire departments i show that increased union wages do not affect the size of police and fire budgets size whereas nonwage bargaining outcomes and union political activity do affect police and fire budgets thus nonwage contract issues should be recognized as another important vehicle for public employee unions to affect the budgets for their services

institutional trades and intraday stock price behavior abstract this paper examines the price effect of institutional stock trading using a unique data set that reports the transactions large and small of 37 large institutional money management firms the direction of each trade and the identity of the management firm behind each trade are known although institutional trades are associated with some price pressure we find that the average effect is small there is also a marked asymmetry between the price impact of buys versus sells we relate our findings to various hypotheses on the elasticity of demand for stocks the cost of executing transactions and the determinants of market impact although market capitalization and relative trade size influence the market impact of a trade the dominant influence is the identity of the money manager behind the trade

union membership determination and industry characteristics recent literature on the economics of unionism has expanded beyond its customary focus on the wage and nonwage effects of collective bargaining and given increased attention to the determinants of union membership previous union membership studies have been couched primarily within an individual choice framework whereby utility maximizing individuals choose either to join or not to join a union empirical work typically treats membership as a function of some vector of personal characteristics 1 2 10 11 21 it is our contention that such studies can best be interpreted as explaining the determination of the union status of jobs and that several industry and firm characteristics in addition to personal characteristics can be expected to affect significantly union membership in this paper theory and evidence relating to the effects of firm and industry characteristics on union membership are presented industry level data are bridged with a large microdata set containing individual characteristics in order to examine the determinants of unionism among workers in manufacturing utilizing a simultaneous model and controlling for sample selection bias we find that product market concentration capital intensity establishment size and job risk significantly affect the likelihood of union membership