portfolio resampling review and critique a well understood fact of asset allocation is that the traditional portfolio optimization algorithm is too powerful for the quality of the inputs recently a new concept called resampled efficiency has been introduced into the asset management world to deal with estimation error the objective of this article is to describe this new technology put it into the context of established procedures and point to some peculiarities of the approach even though portfolio resampling is a thoughtful heuristic some features make it difficult to interpret by the inexperienced portfolio resampling review and critique a comment

robust portfolio optimization with derivative insurance guarantees robust portfolio optimization aims to maximize the worst case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set if the uncertainty set is not too large the resulting portfolio performs well under normal market conditions however its performance may substantially degrade in the presence of market crashes that is if the asset returns materialize far outside of the uncertainty set we propose a novel robust optimization model for designing portfolios that include european style options this model trades off weak and strong guarantees on the worst case portfolio return the weak guarantee applies as long as the asset returns are realized within the prescribed uncertainty set while the strong guarantee applies for all possible asset returns the resulting model constitutes a convex second order cone program which is amenable to efficient numerical solution procedures we evaluate the model using simulated and empirical backtests and analyze the impact of the insurance guarantees on the portfolio performance

portfolio selection using hierarchical bayesian analysis and mcmc methods abstract this paper contributes to portfolio selection methodology using a bayesian forecast of the distribution of returns by stochastic approximation new hierarchical priors on the mean vector and covariance matrix of returns are derived and implemented comparison s between this approach and other bayesian methods are studied with simulations on 25 years of historical data on global stock indices it is demonstrated that a fully hierarchical bayes procedure produces promising results warranting more study we carried out a numerical optimization procedure to maximize expected utility using the mcmc monte carlo markov chain samples from the posterior predictive distribution this model resulted in an extra 1 5 percentage points per year in additional portfolio performance on top of the hierarchical bayes model to estimate and and use the markowitz model which is quite a significant empirical result this approach applies to a large class of utility functions and models for market returns

indirect effects of an aid program how do cash transfers affect ineligibles consumption cash transfers to eligible households indirectly increase the consumption of ineligible households living in the same villages this effect operates through insurance and credit markets ineligible households benefit from the transfers by receiving more gifts and loans and by reducing their savings thus the transfers benefit the local economy at large looking only at the effect on the treated underestimates the impact one should analyze the effects of this class of programs on the entire local economy rather than on the treated only and use a village level randomization rather than selecting treatment and control subjects from the same community

quality of available mates education and household labor supply we investigate the impact of sex ratios by education and metropolitan area on spouses bargaining power and labor supplies to capture the local and qualitative nature of mate availability using current population survey and census data for 2000 1990 and 1980 we estimate these effects in a collective household framework we find that a higher relative shortage of comparably educated women in the couple s metropolitan area reduces wives labor supply and increases their husbands the impact is stronger for couples in higher education groups but not significant for high school graduates results are similar across decades no such effects are found for unmarried individuals jel d1 j22 2008 western economic association international

central bank transparency and cross border banking abstract we analyze the effect of central bank transparency on cross border bank activities based on a panel gravity model for cross border bank claims for 21 home and 47 destination countries from 1998 to 2010 we find strong empirical evidence that a rise in central bank transparency in the destination country on average increases cross border claims using interaction models we find that the positive effect of central bank transparency on cross border claims is only significant if the central bank is politically independent and operates in a stable economic environment central bank transparency and credibility are thus considered complements by banks investing abroad

social networks and technology adoption in northern mozambique despite their potentially strong impact on poverty agricultural innovations are often adopted slowly using a unique household dataset on sunflower adoption in mozambique we analyse whether and how individual adoption decisions depend upon the choices of others in the same social networks since farmers anticipate that they will share information with others we expect farmers to be more likely to adopt when they know many other adopters dynamic considerations however suggest that farmers who know many adopters might strategically delay adoption to free ride on the information gathered by others we present empirical evidence that shows that the relationship between the probability of adoption and the number of known adopters is shaped as an inverse u in line with information sharing the network effect is stronger for farmers who report discussing agriculture with others the data contains information which is needed to ameliorate the identification issues that commonly arise in this context in particular social networks are precisely identified and in addition we can control for village heterogeneity and endogenous group formation

a minimax portfolio selection strategy with equilibrium a new minimax model on optimal portfolio selection with uncertainty of both randomness and estimation in inputs is established and the corresponding optimal portfolio is derived analytically based on this result a sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system under which the total demand and supply of each asset are equal is provided and an explicit formula for such a price system is obtained furthermore some properties of the equilibrium are discussed

urban poverty and juvenile crime evidence from a randomized housing mobility experiment this paper uses data from a randomized housing mobility experiment to study the effects of relocating families from high to low poverty neighborhoods on juvenile crime outcome measures come from juvenile arrest records taken from government administrative data our e ndings seem to suggest that providing families with the opportunity to move to lower poverty neighborhoods reduces violent criminal behavior by teens

family welfare cultures strong intergenerational correlations in various types of welfare use have fuelled a long standing debate over whether welfare receipt in one generation causes welfare participation in the next generation some claim a causal relationship in welfare receipt across generations has created a culture in which welfare use reinforces itself through the family others argue the determinants of poverty or poor health are correlated across generations so that children s welfare participation is associated with but not caused by parental welfare receipt however there is little empirical evidence to sort out these claims in this paper we investigate the existence and importance of family welfare cultures in the context of norway s disability insurance di system to overcome the challenge of correlated unobservables across generations we take advantage of random assignment of judges to di applicants whose cases are initially denied some appeal judges are systematically more lenient which leads to random variation in the probability a parent will be allowed di using this exogenous variation we find strong evidence that welfare receipt in one generation causes welfare participation in the next generation when a parent is allowed di their adult child s participation over the next five years increases by 6 percentage points this effect grows over time rising to 12 percentage points after ten years while these findings are specific to our setting they serve to highlight that welfare reforms can have long lasting effects on program participation since any original effect on the current generation could be reinforced by changing the participation behavior of their children as well the detailed nature of our data allows us to compare the intergenerational transmission with spillover effects in other networks and to explore mechanisms our findings point to a special link between parents and their children with little impact due to close neighbors di participation we find suggestive evidence that what may change as a result of a parent being allowed di is their children s beliefs about the efficacy of trying to get on to the di program or their attitudes about di participation and its stigma

the mean variance optimization puzzle security portfolios and food portfolios the markowitz mean variance optimization framework presents a puzzle although it is the standard model of portfolio construction investors rarely use it and when used it is constrained so much that portfolios reflect the constraints more than the optimization why do investors dislike unadulterated optimized mean variance portfolios the typical answer focuses on biases introduced by estimation errors more important is the fact that investors goals are quite different from mean variance optimization people care about more than cost and nutrition when they construct their diets they also care about palatability similarly investors care about more than expected returns and variance as they construct their securities portfolios they also care about the investment equivalent of palatability we use an analogy between security portfolios and food portfolios to explore the nature of the gap between intuitively appealing portfolios and mean variance optimized portfolios

massaging mean variance inputs returns from alternative global investment strategies in the 1980s this paper explores the impact of adjustments to the inputs on total returns terminal wealth and portfolio turnover in an unconstrained monthly mean variance mv asset allocation over time it is well known that mv allocations are very sensitive to small forecast errors in the means and covariances this sensitivity is especially pronounced for errors in means one way to control this sensitivity to forecast errors is to use stein estimation we examined three naive applications of stein estimation for six individual country stock indexes five country bond indexes and five cash indexes this study has two major conclusions first any of the suggested adjustments to inputs dominate the results of an unadjusted input mv optimization adjusted input portfolios have higher mean return less variance and greater terminal wealth than unadjusted input portfolios second these improvements become even greater with transaction costs

katrina s children evidence on the structure of peer effects from hurricane evacuees in 2005 hurricanes katrina and rita forced many children to relocate across the southeast while schools quickly enrolled evacuees receiving families worried about the impact of evacuees on non evacuee students data from houston and louisiana show that on average the influx of evacuees moderately reduced elementary math test scores in houston we reject linear in means models of peer effects and find evidence of a highly non linear but monotonic model student achievement improves with high ability and worsens with low ability peers moreover exposure to undisciplined evacuees increased native absenteeism and disciplinary problems supporting a bad apple model in behavior

how does working in a finance profession affect mortgage delinquency abstract this paper uses a dataset from a leading american subprime lender which contains detailed information on borrower and loan characteristics we find that financial professionals are less likely to become delinquent this effect cannot be explained by borrower characteristics such as income education loan terms property characteristics geographic effects or strategic default we also find variation in the effect of working in a financial profession across borrowers of different ages and income levels we discuss explanations for these results

social interaction effects in disability pension participation evidence from plant downsizing we estimate the magnitude of social interaction effects in disability pension participation among older workers in norway the problem of omitted variable bias is addressed using the exposure of an individual s neighbors to plant downsizing events as an instrument for the disability entry rate among the individual s previously employed neighbors our instrumental variable iv estimates suggest that an increase of one percentage point in the participation rate of previously employed neighbors increased the subsequent four year entry rate of older workers by about 0 4 percentage points numerous robustness and specification tests appear to support the validity of the identifying assumption in our iv strategy

moving to opportunity in boston early results of a randomized mobility experiment this paper examines the short run impacts of a change in residential neighborhood on the well being of low income families using evidence from a program in which eligibility for a housing voucher was determined by random lottery we examine the experiences of households at the boston site of moving to opportunity mto a demonstration program in five cities families in high poverty public housing projects applied to mto and were assigned by lottery to one of three groups experimental offered mobility counseling and a section 8 subsidy valid only in a census tract with a poverty rate of less than 10 percent section 8 comparison offered a geographically unrestricted section 8 subsidy or control offered no new assistance but continued to be eligible for public housing our quantitative analyses of program impacts uses data on 540 families from a baseline survey at program enrollment a follow up survey administered l to 3 5 years after random assignment and state administrative data on earnings and welfare receipt 48 percent of the experimental group and 62 percent of the section 8 comparison group moved through the mto program one to three years after program entry families in both treatment groups were more likely to be residing in neighborhoods with low poverty rates and high education levels than were families in the control group however while members of the experimental group were much more likely to be residing in suburban communities than were those in the section 8 group the lower program take up rate among the experimental group resulted in more families remaining in the most distressed communities households in both treatment groups experienced improvements in multiple measures of well being relative to the control group including increased safety improved health among household heads and fewer behavior problems among boys experimental group children were also less likely to be a victim of a personal crime to be injured or to experience an asthma attack there are no significant impacts of either mto treatment on the employment earnings or welfare receipt of household heads in the first three years after random assignment

the effect of school choice on participants evidence from randomized lotteries school choice has become an increasingly prominent strategy for enhancing academic achievement to evaluate the impact on participants we exploit randomized lotteries that determine high school admission in the chicago public schools compared to those students who lose lotteries students who win attend high schools that are better in a number of dimensions including peer achievement and attainment levels nonetheless we find little evidence that winning a lottery provides any systematic benefit across a wide variety of traditional academic measures lottery winners do however experience improvements on a subset of nontraditional outcome measures such as self reported disciplinary incidents and arrest rates

peers at work we study peer effects in the workplace specifically we investigate whether how and why the productivity of a worker depends on the productivity of coworkers in the same team using high frequency data on worker productivity from a large supermarket chain we find strong evidence of positive productiv ity spillovers from the introduction of highly productive personnel into a shift worker effort is positively related to the productivity of workers who see him but not workers who do not see him additionally workers respond more to the presence of coworkers with whom they frequently interact we conclude that social pressure can partially internalize free riding externalities that are built into many workplaces jel j24 l81 m54

a half century of returns on levered and unlevered portfolios of stocks bonds and bills with and without small stocks in two earlier papers grauer and hakansson 1982 grauer and hakansson 1984 we applied the multiperiod portfolio theory of mossin 1968 hakansson 1971 1974 leland 1972 ross 1974 and huberman and ross 1983 to the construction and rebalancing of portfolios composed of u s stocks corporate bonds government bonds and a risk free asset borrowing was ruled out in the first article while margin purchases were permitted in the second the probability distributions used were naively estimated from past realized returns in ibbotson this paper applies multiperiod portfolio theory to the construction and rebalancing of portfolios composed of u s stocks corporate bonds government bonds and a risk free asset with small stocks included as a separate investment vehicle probability assessments are based on the past joint empirical distribution our principal findings are 1 small stocks while totally ignored at times entered even the most riskaverse portfolios most of the time and 2 small stocks when chosen tended to replace common stocks except in the 1970s and early 1980s when they were primarily held in lieu of the risk free asset presented at the australian graduate school of management and at macquarie university both in sydney southern methodist university duke university the university of southern california the london graduate school of business and the annual meeting of the western financo association in scottsdale arizona the authors thank the participants of these seminars especially michael brennan and ehud ronn for helpful comments financial support from the social sciences and humanities research council of canada and the financial research foundation of canada is gratefully acknowledged the authors also wish to thank changwoo lee for research assistance and are greatly indebted to frederick shen for computational assistance

portfolio optimization under a minimax rule this paper provides a new portfolio selection rule the objective is to minimize the maximum individual risk and we use an l function as the risk measure we provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier our selection rule is very conservative one of the features of the solution is that it does not explicitly involve the covariance of the asset returns

crime and social interactions the high variance of crime rates across time and space is one of the oldest puzzles in the social sciences this variance appears too high to be explained by changes in the exogenous costs and benefits of crime we present a model where social interactions create enough covariance across individuals to explain the high cross city variance of crime rates this model provides an index of social interactions which suggests that the amount of social interactions is highest in petty crimes moderate in more serious crimes and almost negligible in murder and rape

why does spousal education matter for earnings assortative mating and cross productivity spousal education is correlated with earnings for two reasons cross productivity between couples and assortative mating this article empirically disentangles the two effects by using chinese twins data we have two innovations using twins data to control for the unobserved mating effect in our estimations and estimating both current and wedding time earnings equations we find that both crossproductivity and mating are important in explaining the current earnings although the mating effect exists for both husbands and wives the cross productivity effect mainly runs from chinese husbands to wives our findings shed light on the theories of human capital marriage and the family

measuring market timing strategies prior studies have shown how hard it is to measure a manager s stock selection skills when value added by the manager is in a moderate range of 1 5 to 2 per cent a year simulation techniques can be used to generate various levels of value added by market timers switching between the s p 500 and u s treasury bills their market timing abilities can then be measured by various parametric and nonparametric tests most common existing tests to detect statistically significant ability equal to about 2 per cent excess return per year require time periods well beyond human life expectancy to identify significant market timing ability within a reasonable period say four yearsthese tests would require a manager to return at least 1 per cent a month over the s p 500 benchmark

taxes and the timing of births because the tax savings of having a child are a realized only if the birth takes place before midnight january 1 the incentives for the marginal birth are substantial using a sample of children from the national longitudinal survey of youth we find that the probability that a child is born in the last week of december rather than the first week of january is positively correlated with tax benefits we estimate that increasing the tax benefit of having a child by 500 raises the probability of having the child in the last week of december by 26 9 percent

the effects of lottery prizes on winners and their neighbors evidence from the dutch postcode lottery each week the dutch postcode lottery pcl randomly selects a postal code and distributes cash and a new bmw to lottery participants in that code we study the effects of these shocks on lottery winners and their neighbors consistent with the life cycle hypothesis the effects on winners consumption are largely confined to cars and other durables consistent with the theory of in kind transfers the vast majority of bmw winners liquidate their bmws we do however detect substantial social effects of lottery winnings pcl nonparticipants who live next door to winners have significantly higher levels of car consumption than other nonparticipants

were the returns from stocks and bonds of different countries really different in the 1980 s we analyzed the total equity returns of indexes from australia canada germany japan the uk and the us and total fixed income returns of indexes from all but australia excluded due to lack of data to see if the returns of stocks and bonds were statistically different across markets during the 1980s at the end of 1989 these countries represented over 87 of the market capitalization of the morgan stanley capital international msci world equity index and over 88 of the salomon brothers world bond index this study used monthly observations from january 1980 through december 1989 and examined returns based in local currency and hedged and unhedged us dollars we found that sample mean stock and bond returns during the 1980s were statistically indistinguishable across countries however because the sample variances were so large relative to the sample means it would have been difficult to detect differences in population means by any test we found evidence of variance heterogeneity which may be

the illusion of sustainability this brief summarizes the results of a gender impact evaluation study entitled the illusion of sustainability conducted during the time period 1998 to 2001 in kenya the study observed that deworming is a public good since much of its social benefit comes through reduced disease transmission people were less likely to take deworming if their direct first order or indirect second order social contacts were exposed to deworming the introduction of a small fee for deworming drugs led to an 80 percent reduction in treatment rates take up was not sensitive to the exact price level suggesting that it is particularly counter productive to charge small positive prices for the treatment of infectious diseases an intensive school health education had no impact on worm prevention funding for the study derived from world bank nih fogarty international center berkeley center for health research

causal effects of paternity leave on children and parents reserving a share of the parental leave period for fathers is considered necessary in order to induce fathers to take leave and to increase men s participation in child rearing we investigate how a parental leave reform directed towards fathers affected leave taking and in turn children s and parents long term outcomes a paternal leave quota greatly increases the share of men taking paternity leave we find evidence that children s school performance improves as a result particularly in families where the father has higher education than the mother we find no evidence that paternity leave counters the traditional allocation of parents labor supply

exchange rate uncertainty forward contracts and international portfolio selection in this paper ex ante efficient portfolio selection strategies are developed to realize potential gains from international diversification under flexible exchange rates it is shown that exchange rate uncertainty is a largely nondiversiflable factor adversely affecting the performance of international portfolios therefore it is essential to effectively control exchange rate volatility for that purpose two methods of exchange risk reduction are simultaneously employed multicurrency diversification and hedging via forward exchange contracts the empirical findings show that international portfolio selection strategies designed to control both estimation and exchange risks almost consistently outperform the u s domestic portfolio in out of sample periods since grubel 11 applied modern portfolio theory mpt to international investment various authors such as levy and sarnat 17 solnik 20 and lessard 16 have examined the gains from international diversification of investment portfolios for the purpose of establishing the gains from international diversification these studies constructed international portfolios using historical risk and return data from a period of fixed or relatively stable exchange rates and showed that internationally diversified portfolios dominated purely domestic portfolios in terms of mean variance efficiency from the standpoint of today s investors however the previous studies fail to offer operational guidance for international diversification for two important reasons first it is now questionable whether the past findings are still relevant under the current flexible exchange rate regime second by being ex post in nature the past studies ignored the issue of estimation risk or parameter uncertainty and therefore may have overstated the realizable portion of the potential gains from international diversification fluctuating exchange rates are likely to mitigate the potential gains from international diversification by making investment in foreign securities more risky as will be shown later a fluctuating exchange rate contributes to the risk of foreign investment not only through its own variance but also through its positive covariances with the local stock market returns during our sample period of 1980 through 1985 for example exchange rate volatility is found to account for about fifty percent of the volatility of dollar returns from investment in the stock markets of such major countries as germany japan and the u k furthermore the exchange rate changes vis a vis the u s dollar are found to be

rewarding schooling success and perceived returns to education evidence from india this paper tests two specific mechanisms through which individuals can form expectations about returns to investments in education recognition for schooling performance and exposure to successful students through family or social networks using a regression discontinuity design we study the impact of two fellowship programs recognizing educational performance in secondary schools in india we find that the fellowship award is associated with a significant increase in the perceived value of education by both increasing the perceived mean of earnings 0 74 standard deviations sd and decreasing the perceived variance in earnings 1 03 sd associated with additional years of schooling the effects spill over only selectively to social and family networks peers exposed to successful students do not update their beliefs but parents of fellows report higher perceived returns to education peers of fellows are however more informed about fellowship opportunities and report a higher intention to apply for the fellowship thus contributing to the persistence of the potential impact of the fellowship across different cohorts

peer effects in program participation the influence of peers could play an important role in the take up of social programs however estimating peer effects has proven challenging given the problems of reflection correlated unobservables and endogenous group membership we overcome these identification issues in the context of paid paternity leave in norway using a regression discontinuity design our approach differs from existing literature which attempts to measure peer effects by exploiting random assignment to peer groups in contrast we study peer effects in naturally occurring peer groups but exploit random variation in the price of a social program for a subset of individuals fathers of children born after april 1 1993 in norway were eligible for one month of governmental paid paternity leave while fathers of children born before this cutoff were not there is a sharp increase in fathers taking paternity leave immediately after the reform with take up rising from 3 to 35 while this quasirandom variation changed the cost of paternity leave for some fathers and not others it did not directly affect the cost for the father s coworkers or brothers therefore any effect on the brother or the coworker can be attributed to the influence of the peer father in their network our key findings on peer effects are four fold first we find strong evidence for substantial peer effects of program participation in both workplace and family networks coworkers and brothers are 11 and 15 percentage points respectively more likely to take paternity leave if their peer father was induced to take up leave by the reform second the most likely mechanism is information transmission about costs and benefits including increased knowledge of how an employer will react third there is essential heterogeneity in the size of the peer effect depending on the strength of ties between peers highlighting the importance of duration intensity and frequency of social interactions fourth the estimated peer effect gets amplified over time with each subsequent birth exhibiting a snowball effect as the original peer father s influence cascades through a firm our findings demonstrate that peer effects can lead to long run equilibrium participation rates which are substantially higher than would otherwise be expected

network effects and welfare cultures we empirically examine the role of social networks in welfare participation using data on language spoken at home to better infer networks within an area our empirical strategy asks whether being surrounded by others who speak the same language increases welfare use more for those from high welfare using language groups this methodology allows us to include local area and language group fixed effects and to control for the direct effect of being surrounded by one s language group these controls eliminate many of the problems in previous studies the results strongly confirm the importance of networks in welfare participation

the role of information and social interactions in retirement plan decisions evidence from a randomized experiment this paper analyzes a randomized experiment to shed light on the role of information and social interactions in employees decisions to enroll in a tax deferred account tda retirement plan within a large university the experiment encouraged a random sample of employees in a subset of departments to attend a benee ts information fair organized by the university by promising a monetary reward for attendance the experiment multiplied by more than e ve the attendance rate of these treated individuals relative to controls and tripled that of untreated individuals within departments where some individuals were treated tda enrollment e ve and eleven months after the fair was signie cantly higher in departments where some individuals were treated than in departments where nobody was treated however the effect on tda enrollment is almost as large for individuals in treated departments who did not receive the encouragement as for those who did we provide three interpretations differential treatment effects social network effects and motivational reward effects to account for these results

direct and cross effects of employment protection the case of parental childcare i examine whether employment protection affects the willingness of working parents to provide childcare using a reform that made it easier for employers to dismiss workers in small firms i find that softer employment protection reduces the use of temporary parental leave among directly treated fathers in addition i find that households respond to an increase in the dismissal risk by reducing temporary parental leave for the indirectly treated spouse spousal labor supply can thus serve as informal insurance against adverse income shocks

foreclosure contagion and the neighborhood spillover effects of mortgage defaults in this paper i identify shocks to interest rates resulting from two administrative details in adjustable rate mortgage contract terms the choice of financial index and the choice of lookback period i find that a 1 percentage point increase in interest rate at the time of adjustable rate mortgage arm reset results in a 2 5 percentage increase in the probability of foreclosure in the following year and that each foreclosure filing leads to an additional 0 3 to 0 6 completed foreclosures within a 0 10 mile radius in explaining this result i emphasize price effects bank supply responses and borrower responses arising from peer effects

random interactions in the chamber legislators behavior and political distance abstract i investigate the role of social interaction among members of parliament mps and the impact of such interaction on the political distance between parties using the random allocation of seats in the icelandic parliament i find that mp s voting and speech behaviors are affected by the behavior of legislators seated nearby i also show that greater random exposure to mps from different parties ultimately reduces the political distance between parties similar evidence is found using historical data for the u s house of representatives by exploiting the introduction of a lottery mechanism to determine desk assignments in 1845 i argue that random seating arrangements could constitute a low cost way of reducing differences within the political arena

equal but inequitable who benefits from gender neutral tenure clock stopping policies many skilled professional occupations are characterized by an early period of intensive skill accumulation and career establishment examples include law firm associates surgical residents and untenured faculty at research intensive universities high female exit rates are sometimes blamed on the inability of new mothers to survive the sustained negative productivity shock associated with childbearing and early childrearing in these environments gender neutral family policies have been adopted in some professions in an attempt to level the playing field the gender neutral tenure clock stopping policies adopted by the majority of research intensive universities in the united states in recent decades are an excellent example but to date there is no empirical evidence showing that these policies help women using a unique data set on the universe of assistant professor hires at top 50 economics departments from 1985 2004 we show that the adoption of gender neutral tenure clock stopping policies substantially reduced female tenure rates while substantially increasing male tenure rates

the social multiplier aggregate data is often used to make inferences about individual level behavior if there are social interactions in which one person s actions influence his neighbor s incentives or information then these inferences are inappropriate the presence of positive social interactions or strategic complementarities implies the existence of a social multiplier where aggregate relationships will overstate individual elasticities we present a brief model and then estimate the size of the social multiplier in three areas the impact of education on wages the impact of demographics on crime and group membership among dartmouth roommates in these contexts there is a significant social multiplier jel ho jo co

identification of endogenous social effects the reflection problem this paper examines the reflection problem that arises when a researcher observing the distribution of behaviour in a population tries to infer whether the average behaviour in some group influences the behaviour of the individuals that comprise the group it is found that inference is not possible unless the researcher has prior information specifying the compisition of reference groups if this information is available the prospects for inference depend critically on the population relationship between the variables defining reference groups and those directly affecting outcomes inference is difficult to implossible if these variables are functionally dependent or are statistically independent the prospects are better if the variables defining reference groups and those directly affecting outcomes are moderately related in the population

coase lecture the glass ceiling despite decades of progress women remain underrepresented in the upper part of the earnings distribution we review the recent research trying to explain this phenomenon after briefly revisiting gender differences in education we turn our attention to a body of work that has argued that gender differences in psychological attributes are holding back women s earnings we then review another active area of research focused on the challenges that women may face when trying to juggle competing demands on their time in the workplace and the home particularly when the home includes children we discuss recent work documenting women s greater demand for flexibility in the workplace as well as work measuring the labour market penalties associated with such demand for flexibility particularly in the higher paying occupations in the economy we highlight possible countervailing forces both at work and at home that may explain why these work family considerations may remain highly relevant to today s glass ceiling despite reduced time spent in non market work and a trend towards a more equal division of non market work between men and women finally we discuss the role that public policy and human resource practices may play in adding more cracks to the glass ceiling

family networks and school enrolment evidence from a randomized social experiment we present evidence on whether and how a household s behavior is influenced by the presence and characteristics of its extended family using data from the progresa program in mexico we exploit information on the paternal and maternal surnames of heads and spouses in conjunction with the spanish naming convention to identify the inter and intra generational family links of each household to others in the same village we then exploit the randomized research design of the progresa evaluation data to identify whether the treatment effects of progresa transfers on secondary school enrolment vary according to the characteristics of extended family we find progresa only raises secondary enrolment among households that are embedded in a family network eligible but isolated households do not respond the mechanism through which the extended family influences household schooling choices is the redistribution of resources within the family network from eligibles that receive de facto unconditional cash transfers from progresa towards eligibles on the margin of enrolling children into secondary school

international portfolio diversification with estimation risk international portfolio diversification has long been advocated as a way of enhancing average returns while reducing portfolio risk for the investor who considers diversifying into foreign securities this proposition however relies on the assumption that the required inputs to the classical mean variance analysis are known with certainty typically expected returns variances and covariances are simply replaced by their ex post sample values and the optimal portfolio is derived without mentioning the uncertainty inherent in these parameter values but the rational investor should take this uncertainty into account when forming expectations and probably will consider estimators that are less subject to estimation error than the classical sample mean this paper investigates alternative estimators of expected returns and their implications for the alleged gains from diversification an important observation is the crucial influence that errors in estimating expected returns have on portfolio analysis a closer examiprevious studies of international portfolio diversification have relied on ex post meanvariance analysis without considering the problem of estimation risk typically past averages are substituted for expected returns and no allowance is made for the uncertainty inherent in these parameter values first i demonstrate the shortcomings of such an approach and second i investigate another method of estimating expected returns initially proposed by stein by shrinking the sample averages toward a common mean i find that the out of sample performance of the optimal portfolio is substantially increased one of the implications of this method is that the classical conclusions vastly overestimate the possible gains in average returns instead benefits from diversification are more likely to accrue from a reduction in risk this paper draws on part of my dissertation at the university of chicago i am grateful to arnold zellner michael mussa george constantinides and especially john bilson for useful discussions and comments numerous improvements were also suggested by the referee this research received the generous financial support of the college interuniversitaire d etudes doctorales dans les sciences du management

networks or neighborhoods correlations in the use of publicly funded maternity care in california abstract this study focuses on network effects in the utilization of publicly funded prenatal care using vital statistics data from california for 1989 2000 networks are defined using 5 digit zip codes and a woman s racial or ethnic group like others we find evidence that the use of public programs is highly correlated within groups defined using race ethnicity and neighborhoods these correlations persist even when we control for many unobserved characteristics by including zip code year fixed effects and when we focus on the interaction between own group behavior and measures of the potential for contacts with other members of the group contact availability however the richness of our data allows us to go further and to conduct several tests of one important hypothesis about networks that the estimated effects represent information sharing within groups the results cast doubt on the idea that the observed correlations can be interpreted as evidence of information sharing in particular we find estimated effects to be as large or larger among women who have previously used the program as among first time users

neighborhood effects on crime for female and male youth evidence from a randomized housing voucher experiment the moving to opportunity mto demonstration assigned housing vouchers via random lottery to public housing residents in five cities we use the exogenous variation in residential locations generated by mto to estimate neighborhood effects on youth crime and delinquency the offer to relocate to lower poverty areas reduces arrests among female youth for violent and property crimes relative to a control group for males the offer to relocate reduces arrests for violent crime at least in the short run but increases problem behaviors and property crime arrests the gender difference in treatment effects seems to reflect differences in how male and female youths from disadvantaged backgrounds adapt and respond to similar new neighborhood environments

networks in the modern economy mexican migrants in the u s labor market this paper attempts to identify job networks among mexican migrants in the u s labor market the empirical analysis uses data on migration patterns and labor market outcomes based on a sample of individuals belonging to multiple origin communities in mexico over a long period of time each community s network is measured by the proportion of the sampled individuals who are located at the destination the united states in any year we verify that the same individual is more likely to be employed and to hold a higher paying nonagricultural job when his network is exogenously larger by including individual fixed effects in the employment and occupation regressions and by using rainfall in the origin community as an instrument for the size of the network at the destination

the effects of class size on student achievement new evidence from population variation abstract i identify the effects of class size on student achievement using longitudinal variation in the population associated with each grade in 649 elementary schools i use variation in class size driven by idiosyncratic variation in the population i also use discrete jumps in class size that occur when a small change in enrollment triggers a maximum or minimum class size rule the estimates indicate that class size does not have a statistically significant effect on student achievement i rule out even modest effects 2 to 4 percent of a standard deviation in scores for a 10 percent reduction in class size

testing the dual labor market hypothesis evidence from the israel labor mobility survey little research seems to have addressed the testing of the dual labor market model for nondeveloping economies outside the u s and the u k this paper examines the hypothesis for israel utilizing individual data drawn from the israel labor mobility survey and assigning workers to primary and secondary sectors on the basis of occupational prestige scores earnings functions are estimated and compared for the two sectors the results are very closely in line with predictions of the dual labor market model thus strongly suggesting that the dual labor market hypothesis may be relevant for israel

social interactions and schooling decisions abstract the aim of this paper is to study whether a child s schooling choices are affected by the schooling choices of other children identification is based on a randomized targeted intervention that grants a cash subsidy conditional on school attendance to a subgroup of eligible children within small rural villages in mexico progresa this policy change spills over to ineligible children if social interactions are relevant results indicate that the eligible children tend to attend school more frequently and the ineligible children acquire more schooling when the subsidy is introduced in their local village moreover the overall effect of progresa on eligible children is the sum of a direct effect due to cash transfers and an indirect effect due to changes in peer group schooling interestingly the social interactions effect is almost as important as the direct effect

gains from international diversification 1968 85 returns on portfolios of stocks and bonds this paper applies the multi period investment model to a universe of international securities on the basis of the simple probability assessment approach our principal findings are 1 the gains from including non u s asset categories in the universe were remarkably large in some cases statistically significant especially for the highly risk averse strategies 2 the gains from removing the no leverage constraint were more substantial than they were in the absence of non u s securities and 3 there is strong evidence of market segmentation in that the optimal levels of investment in u s securities were mostly zero in the presence of the non u s asset categories