on the low frequency relationship between public deficits and inflation summary we estimate the low frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time varying vector autoregression model for us data from 1900 to 2011 we find the strongest relationship neither in times of crisis nor in times of high public deficits but from the mid 1960s up to 1980 employing a structural decomposition of the low frequency relationship and further narrative evidence we interpret our results such that the low frequency relationship between fiscal deficits and inflation is strongly related to the conduct of monetary policy and its interaction with fiscal policy after world war ii copyright 2015 john wiley sons ltd

sources procedures and microeconomic effects of innovation fabio arcangeli paul david frank engelman christopher freeman massimo moggi richard nelson luigi orsenigo nathan rosenberg michele salvati g n von tunzelman two anonymous referees and the participants at the meeting of the committee on distribution growth and technical progress of the italian national research council cnr rome november 16 1985 have helped with various redraftings a particularly grateful acknowledgment is for the insightful and patient help of moses abramovitz this work has been undertaken at the science policy research unit spru university of sussex as part of the research program of the designated research centre sponsored by the economic and social research council esrc earlier support to the research that led to this paper by the italian national research council cnr is also gratefully acknowledged the statistical research has been undertaken with the assistance of stephano brioschi ilaria fornari and giovannu prennushi

interpreting the macroeconomic time series facts the effects of monetary policy existing theory and evidence on the effects of monetary policy are reviewed substantial room for disagreement among economists remains new evidence based on multivariate time series studies of several countries is presented while certain patterns in the data consistent with effective monetary policy are strikingly similar across countries others particularly the tendency of interest rate increases to predict high inflation are harder to reconcile with effective monetary policy

risky debt investment incentives and reputation in a sequential equilibrium the agency relationship of corporate insiders and bondholders is modeled as a dynamic game with asymmetric information the incentive effect of risky debt on the investment policy of a levered firm is studied in this context in a sequential equilibrium of the model a concept of reputation arises endogenously resulting in a partial resolution of the classic agency problem of underinvestment the incentive of the firm to underinvest is curtailed by anticipation of favorable rating of its bonds by the market this anticipated pricing of debt is consistent with rational expectations pricing by a competitive bond market and is realized in equilibrium some empirical implications of the model for bond rating debt covenants and bond price response to investment announcements are explored

the separation of ownership and control in the theory of the firm a reappraisal abstract managerialists argue that today s large corporations are either owner or manager controlled this classification is based upon an ex post analysis of shareholdings if no cohesive group of shareholders possesses more than a fixed percentage of shares the conclusion is that owners do not have control which is assumed to pass to managers this paper counters this approach arguing 1 causality runs from control to observed shareholdings and 2 the observed holdings generally suffice to give a subset of owners control in so doing the paper also confronts and rejects the neoclassical approach

identifying fiscal inflation abstract fiscal theorists warn about the risk of future inflation as a consequence of fiscal imbalances in the us because actual inflation remains historically low and data on inflation expectations do not corroborate such risks warnings for fiscal inflation are often ignored in policy and academic circles this paper shows that a canonical nk dsge model enables identifying an anticipated component of inflation expectations that is closely related to fiscal policy estimation results suggest that fiscal inflation concerns have induced a 1 6 points increase in long run inflation since 2001 the model also rationalizes why data on inflation expectations do not reveal such concerns outright

are convertible bonds underpriced an analysis of the french market we investigate the pricing of convertible bonds on the french convertible bond market using daily market prices for a period of 18 months instead of a firm value model as used in previous studies we use a stock based binomial tree model with exogenous credit risk that accounts for all important convertible bond specifications and is therefore well suited for pricing convertible bonds the empirical analysis shows that the theoretical values for the analyzed convertible bonds are on average more than 3 higher than the observed market prices this result applies to both the standard convertibles and the exchangeable bonds in our sample the difference between market and model prices is greater for out of the money convertibles than for at or in the money convertibles a partition of the sample according to maturity indicates that there is a positive relationship between underpricing and maturity with decreasing mispricing for bonds with shorter time to maturity

market microstructure and securities values evidence from the tel aviv stock exchange abstract this paper examines the value effects of improvements in the trading mechanism selected stocks on the tel aviv stock exchange were transferred gradually from a daily call auction to a mechanism where the call auction was followed by iterated continuous trading sessions this event was associated with a positive and permanent price appreciation the cumulative average market adjusted return over a period that started five days prior to the announcement and ended 30 days after the stocks started trading by the new method was approximately 5 5 in addition we find positive liquidity externalities spillovers across related stocks and improvements in the value discovery process due to the improved trading method finally there was a positive association between liquidity gains and price appreciation

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

institutional ownership and changes in the s p 500 several recent articles have provided new evidence for the existence of price pressures by examining the price and volume effects associated with changes in the s p 500 the present study extends this work by examining actual changes in institutional holdings following both additions to and deletions from the s p 500 the results show that changes in institutional holdings in response to additions or deletions from the s p 500 are positively correlated in addition to providing further evidence for the existence of price pressure effects the results also provide evidence of the very large institutional elasticities of demand for stock in two recent articles in this journal shleifer 1986 and harris and gurel 1986 present important new evidence of the existence of price pressures by examining the price and volume effects associated with changes in the composition of the standard and poor s s p 500 market index specifically these authors interpret the strong increases in trading volume and economically and statistically significant increases decreases in share prices on the first trading day following additions to or deletions from the s p 500 as the result of increased decreased demand by institutional index funds rather than from information effects concerning the future return distributions of the newly listed delisted firms the results of similar price and volume studies conducted by woolridge and ghosh 1986 and lamoureux and wansley 1987 are also generally consistent with the predictions of the price pressure hypothesis while both schleifer 1986 and harris and gurel 1986 suggest that changes in institutional index fund holdings are responsible for the observed abnormal returns in response to s p 500 changes over the years between 1966 and 1983 their joint failure to examine actual institutional ownership changes following listing or delisting from the index does not allow for direct tests of this possibility this study presents results of such tests

on the resolution of agency problems by complex financial instruments a reply not always possible to design callable debt to resolve the problem of risk shifting and to mitigate the problem of asymmetric information moreover he incorrectly argues that the rationalization of complex financial contracting as a means of resolving or reducing agency conflicts falls merely because it fails to succeed in every case we feel that narayanan s confusion stems from his misreading of the two underlying articles 2 5 and the original work including chapter 6 of our book 1 consequently we shall reproduce the relevant quotations from the original work by way of responding to the issues raised regarding the three types of complex securities namely executive stock options convertible debt and callable debt

s p 500 index additions and earnings expectations stock price increases associated with addition to the s p 500 index have been interpreted as evidence that demand curves for stocks slope downward a key premise underlying this interpretation is that index inclusion provides no new information about companies future prospects we examine this premise by analyzing analysts earnings per share eps forecasts around index inclusion and by comparing postinclusion realized earnings to preinclusion forecasts relative to benchmark companies companies newly added to the index experience signi cant increases in eps forecasts and signi cant improvements in realized earnings these results indicate that s p index inclusion is not an information free event studies that examine the prices of common stocks when they become included in the standard poor s s p 500 index have appeared regularly in leading nance journals since 1986 fascination with the eiect of s p index inclusion on stock prices appears to stem from the possibility that inclusion in the index is an information free eventfinformation free in the sense that s p makes no claim that inclusion represents an endorsement of the newly included stock s future prospects 1 indeed s p makes an a rmative claim to the contrary company

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

business organization segmentation and location taylor m and thrift n 1983 business organization segmentation and location reg studies 17 445 465 this paper is intended to provide a coherent theoretical framework for industrial geography industrial economics and organization theory based on the notion of the segmentation of business organizations the literature on dualism and segmentation of business organizations is reviewed and found wanting an alternative process oriented account of segmentation of the business organization is presented which can account for the structural variations in present day developed economies the geographical implications of the framework are brought out

the price response to s p 500 index additions and deletions evidence of asymmetry and a new explanation we study the price effects of changes to the s p 500 index and document an asymmetric price response there is a permanent increase in the price of added firms but no permanent decline for deleted firms these results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions a possible explanation for asymmetric price effects arises from the changes in investor awareness results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of s p 500 index additions and deletions the long held assumption that stocks have perfect substitutes and the perfect elasticity of demand that follows from it is central to modern finance theory if securities have almost perfectly elastic demand then any supply or demand shocks that are devoid of information should have no effect on the prevailing price early empirical research on whether price changes occur in the absence of new information focused on block trades equity issues and stock splits but was unable to exclude information effects around these events since there is no obvious reason to believe ex ante that index changes contain new information they constitute a natural framework for testing whether stocks have almost perfectly elastic or horizontal demand curves a stock s excess return around such changes could be consistent with a downward sloping demand curve with the advent of indexed mutual funds in 1976 and the public announcement of s p index changes in the same year there is much evidence that such announcements are accompanied by an increase in price for firms added to the index if stocks have a short term downward sloping demand curve the price should be momentarily affected by a demand shock due to indexing but that effect

does the source of capital affect capital structure prior work on leverage implicitly assumes capital availability depends solely on firm characteristics however market frictions that make capital structure relevant may also be associated with a firm s source of capital examining this intuition we find firms that have access to the public bond markets as measured by having a debt rating have significantly more leverage although firms with a rating are fundamentally different these differences do not explain our findings even after controlling for firm characteristics that determine observed capital structure and instrumenting for the possible endogeneity of having a rating firms with access have 35 more debt copyright 2006 oxford university press

being virtuous and prosperous sri s conflicting goals can sri be a means to make investors both virtuous and prosperous this paper argues that there can be significant tensions between these goals and that sri and indeed all investment should not allow the pursuit of maximizing investment returns to prevail over an ethical agenda of promoting social and economic justice and environmental protection the discourse on sri has changed dramatically in recent years to the point where its capacity to promote social emancipation sustainable development and other ethical goals is in jeopardy historically sri was a boutique sector of the market dominated by religious based investors who sought to invest in accordance with the tenets of their faith from the early 1970s the aspirations of the sri movement morphed significantly in the context of the divestment campaign against south africa s apartheid regime no longer were social investors satisfied with just avoiding profit from immoral activities instead they also sought to change the behavior of others business case sri is a problematic sri benchmark for several reasons often there is a countervailing business case for financing irresponsible activities given the failure of markets to capture all social and environmental externalities secondly even if investors care about such concerns there may be no means of financially quantifying their significance for investment purposes and thirdly even if such factors can be financially quantified they may be deemed to be such long term financial costs or benefits that they become discounted and ignored the ethics case for sri and ethical business practices more generally takes the view that both investors and the companies they fund have ethical responsibilities that trump the pursuit of profit maximization ethical investment should be grounded on this foundation however it may not be enough to keep ethical investment ethical will likely require institutionalizing new norms and governance standards in such domains as reforming fiduciary duties and the internal governance of financial organizations sri s own codes of conduct including the unpri have yet to demonstrate the robustness to move the financial community beyond business as usual

ex ante costs of violating absolute priority in bankruptcy a basic question for the design of bankruptcy law concerns whether value should be divided in accordance with absolute priority research done in the past decade has suggested that deviations from absolute priority have beneficial ex ante effects in contrast this paper shows that ex post deviations from absolute priority also have negative effects on ex ante decisions taken by shareholders such deviations aggravate the moral hazard problem with respect to project choice increasing the equityholders incentive to favor risky projects as well as with respect to borrowing and dividend decisions

the market value of u s government debt monthly 1942 1980 abstract the market value of outstanding united states treasury debt is calculated on a monthly basis using price and par value data from the treasury bulletin separate series for treasury bills bonds certificates of indebtedness notes and total treasury debt are presented along with estimates of privately held treasury debt and gross federal debt the calculated market value series is compared to par value and an existing annual market value series

warrant exercise and bond conversion in competitive markets abstract we develop a theory of warrants held by competitive warrantholders not constrained to exercise their warrants as one block the theory also applies to convertible bonds held by competitive bondholders not constrained to convert their bonds as one block we prove that the warrant bond price in each of the competitive equilibria is less than or equal to the price in an economy with the block constraint and for at least one competitive equilibrium the warrant bond price equals the warrant bond price in the block constrained economy we illustrate the paths of competitive warrant exercise and bond conversion and conclude that under realistic assumptions they can be long

convertible bond underpricing renegotiable covenants seasoning and convergence we investigate the long standing puzzle on the underpricings of convertible bonds we hypothesize that the observed underpricing is induced by the possibility that a convertible bond might renegotiate on some of its covenants e g an imbedded put option in financial difficulties consistent with our hypothesis we find that the initial underpricing is larger for lower rated bonds the underpricing worsens if the issuer experiences subsequent financial difficulties however conditional on no rating downgrades our main empirical result shows that convertible bond prices do converge to their theoretical prices within two years this seasoning period is shorter for higher rated convertible bonds

fiscal deficits and inflation abstract macroeconomic theory postulates that persistent fiscal deficits are inflationary yet empirical research has had limited success in uncovering this relationship this paper reexamines the issue in light of broader data and a new modeling approach that incorporates two key features of the theory unlike previous studies we model inflation as non linearly related to fiscal deficits through the inflation tax base and estimate this relationship as intrinsically dynamic using panel techniques that explicitly distinguish between short and long run effects of fiscal deficits results spanning 107 countries over 1960 2001 show a strong positive association between deficits and inflation among high inflation and developing country groups but not among low inflation advanced economies

trading volume definitions data analysis and implications of portfolio theory we examine the implications of portfolio theory for the cross sectional behavior of equity trading volume two fund separation theorems suggest a natural definition for trading activity share turnover if two fund separation holds share turnover must be identical for all securities if k 1 fund separation holds we show that turnover satisfies an approximately linear k factor structure these implications are examined empirically using individual weekly turnover data for nyse and amex securities from 1962 to 1996 we find strong evidence against two fund separation and a principal components decomposition suggests that turnover is well approximated by a two factor linear model if price and quantity are the fundamental building blocks of any theory of market interactions the importance of trading volume in modeling asset markets is clear although most models of asset markets have focused on the behavior of returns predictability variability and information content their implications for trading volume have received far less attention in this article we derive the implications of various asset market models for volume and quantify their importance using recently available volume data for individual securities from the center for research in security prices crsp although the volume literature is voluminous 1 we hope to add to this literature in two ways first we develop the volume implications of popular asset market models rather than construct more specialized and often stylized models to

long term price effect of s p 500 addition and earnings quality when a company is added to the s p 500 index it receives a positive price response several explanations for this effect have been suggested but empirical findings do not provide a conclusive cause the inclusion of a company in the index may strengthen managerial incentives to provide high quality disclosures of financial data this study is an examination of the earnings quality of s p 500 companies before and after their addition to the index it finds that discretionary accruals significantly decrease after companies are added to the index which greatly improves earnings quality this change in earnings quality provides a possible explanation for the price response to the s p 500 addition

the rise and demise of the convertible arbitrage strategy this article analyzes convertible arbitrage one of the most successful hedge fund strategies the aim of the strategy is to exploit underpricing of convertible bonds by taking a long position in a convertible and a short position in the underlying asset the authors find that convertible bonds are underpriced at the issuance dates at the same time short sales of underlying equity increase significantly both effects are stronger and more persistent for equity like convertibles than for debtlike convertibles furthermore short sale pressures negatively affect stock returns around the announcement and issuance dates of convertibles all these factors have likely contributed to the shift toward issuing more debtlike convertibles in recent years which in turn has substantially lowered the returns from convertible arbitrage

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

financial asset demand is elastic evidence from new issues of federal home loan bank debt abstract we estimate the slope of the demand curve for newly auctioned fhlb discount notes and investigate the impacts of arbitrage risk and heterogeneity of investor beliefs on demand elasticity our unique dataset of roughly 2900 observations of two price quantity pairs the first from a pre auction dealer survey the second from actual auction results provides the quantity shift necessary to identify demand in contrast to previous findings of downward sloping demand curves for equities we show that demand for newly issued fhlb notes is nearly perfectly elastic during normal market conditions we find however that frictions like arbitrage risk and to a lesser extent heterogeneity of investor beliefs negatively affect elasticity and explain the nearly 50 drop in elasticity observed during the recent financial crisis

long term debt and optimal policy in the fiscal theory of the price level the fiscal theory says that the price level is determined by the ratio of nominal debt to the present value of real primary surpluses i analyze long term debt and optimal policy in the fiscal theory i find that the maturity structure of the debt matters for example it determines whether news of future deficits implies current inflation or future inflation when long term debt is present the government can trade current inflation for future inflation by debt operations this tradeoff is not present if the government rolls over short term debt the maturity structure of outstanding debt acts as a budget constraint determining which periods price levels the government can affect by debt variation alone in addition debt policythe expected pattern of future state contingent debt sales repurchases and redemptionsmatters crucially for the effects of a debt operation i solve for optimal debt policies to minimize the variance of inflation i find cases in which long term debt helps to stabilize inflation i also find that the optimal policy produces time series that are similar to u s surplus and debt time series to understand the data i must assume that debt policy offsets the inflationary impact of cyclical surplus shocks rather than causing price level disturbances by policy induced shocks shifting the objective from price level variance to inflation variance the optimal policy produces much less volatile inflation at the cost of a unit root in the price level this is consistent with the stabilization of u s inflation after the gold standard was abandoned

convertible bonds issued in the bear market period evidence from taiwan we argue that the behaviour of enterprises might be modified or even changed completely after black swan events occur we explore why high tech firms preferred to issue convertible bonds in 2001 2003 the bear market period after the tech bubble in taiwan we show that firms issuing convertible bonds are those with low directors holding ratio and high debt ratio results also reveal that corporate governance was worse in the firms that issued convertible bonds as revealed by the finding that the directors holding ratio of these issuing firms declined considerably this finding also implies that corporate governance issues become more serious after black swan events

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

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

information costs and liquidity effects from changes in the dow jones industrial average list we examine the stock market effect of changes in the composition of the dow jones industrial average djia unlike s p 500 listing studies we find that the price and the trading volume of newly listed djia firms are unaffected we attribute this result to a lack of index fund rebalancing since index trading is limited for most of our sample period and index funds mimic the s p 500 not the djia firms removed from the index however experience significant price declines we consider information signaling price pressure imperfect substitutes and information cost liquidity explanations for these asymmetric findings the evidence is consistent with the information cost liquidity explanation which holds that investors demand a premium for higher trading costs and for holding securities that have relatively less available information

lessons from the united states s antitrust history abstract the united states s antitrust policy spans more than 100 years for most of its history the united states has had the toughest antitrust laws and enforcement policies of any country in the world a shift to a more permissive attitude with regard to antitrust matters has occurred in recent years however this paper traces the changes in antitrust policy that have occurred and the concurrent shifts in thinking among economists on antitrust questions following this review the paper offers a critical appraisal of both the economic underpinning of the new learnings on antitrust matters and the changes in antitrust policy that have accompanied them it closes with a discussion of the implications of the analysis for european antitrust competition policy

dependability and organizational bankruptcy an application of agency and prospect theory this paper proposes and tests a new model of organizational bankruptcy based on agency and prospect theory the paper argues that debtors with unprestigious top managers low liquidity and high leverage signal that they will be undependable exchange partners the model proposes that survival is contingent on maintaining an acceptable minimum level of these financial and managerial assets if a firm falls below that threshold level it has a higher probability of bankruptcy because creditors withdraw their financial support from the debtor consistent with agency theory this implies that bankruptcy can be viewed as the legal resolution of severe shareholder creditor conflicts about the levels of financial and managerial assets that the debtor should maintain this new model proposes that maintaining a minimum level of these assets is a necessary but not sufficient condition for bankruptcy some undependable firms delay bankruptcy by using strategies that create the hope that they will become dependable in the future according to prospect theory these strategies work because creditors wish to avoid recognizing significant losses and thus take on more risk than they might otherwise assume

the new institutional economics and the theory of the firm abstract concepts of importance in the literature of the new institutional economics such as transaction costs and bounded rationality have been used to extend the standard neoclassical model of the firm but the hybrid models created have failed to provide adequate explanations of enterprise behavior an alternative neoinstitutional model of the firm is developed in the paper that differs from the pure neoclassical model and hybrid models in respect to both the nature of the solution it yields and the process by which it reaches a solution the neoinstitutional firm cannot be expected to achieve either the hypothetical allocative efficiency promised by the frictionless neoclassical model or the relatively efficient constrained pareto optimal solutions predicted by the largely frictionless hybrid models the orthodox marginal rules of neoclassicism can only be used to solve lower level problems that appear within the firm

testing for indeterminacy an application to u s monetary policy reply this paper considers a prototypical new keynesian model in which the equilibrium is undetermined if monetary policy is passive the likelihood based estimation of dynamic equilibrium models is extended to allow for indeterminacies and sunspot fluctuations we construct posterior weights for the determinacy and indeterminacy region of the parameter space and estimates for the propagation of fundamental and sunspot shocks according to the estimated model u s monetary policy post 1982 is consistent with determinacy whereas the pre volcker policy is not we find that before 1979 indeterminacy substantially altered the propagation of shocks

monetary fiscal policy interaction and fiscal inflation a tale of three countries abstract we study the impact of the interaction between fiscal and monetary policy on the low frequency relationship between the fiscal stance and inflation using cross country data from 1965 to 1999 in a first step we contrast the monetary fiscal narrative for germany the u s and italy with evidence obtained from simple regression models and a time varying var we find that the low frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of non responsible fiscal policy and accommodative monetary authorities in a second step we use an estimated dsge model to interpret the low frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run the findings from the dsge model suggest that switches in the monetary fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low frequency relationship between the fiscal stance and inflation

a synthesis of foreign direct investment theories and theories of the multinational firm this paper first presents a taxonomy of the foreign direct investment theories following the market imperfections paradigm it then focuses on recent developments pertaining to the theory of the multinational firm specifically the appropriability internalization and diversification theories subsequently the multinational phenomenon is seen as the result of an international differentiation of activities and an intrafirm integration across national borders all this within a markets and hierarchies approach last the paper points to areas for future research

the corporation competition and the invisible hand few would disagree that adam smith s invisible hand theorem is the heart of the economist s weltanschauung ask whether trade barriers should be lowered the spread of multinational corporations restrained oil prices deregulated cartels dissolved or more fundamentally whether a market based capitalist system is economically superior to a state run socialist system and economists almost certainly will begin to answer the question by trying to apply the theorem every student knows that the theorem depends on the assumption of atomistic competition which in turn assumes that the system is decentralized and that no competitor is large relatively to others there is another crucial assumption however that is often ignored and usually underemphasized namely that all competition is price competition in reality one of the most distinctive features of capitalism one that is most often raised in lay discussions of its merits and demerits is the prevalence of other forms of competition such as competition in research development and advertising competition to obtain and hold monopoly and competition for corporate growth these various forms of non price competition we shall aim to show are not clearly analogous with the theory of price competition more non price competition rather than less is not necessarily pareto optimal self evidently the production side of a market economy is decentralized only to a limited degree i e to the level of a decision making unit composed of more than one human such a unit playing neuron to the invisible hand is typically called a firm it is in fact a team rather than remaining small firms are in practice composed of any number of individuals from a handful on to half a million some

asymmetric changes in stock prices and investor recognition around revisions to the s p 500 index this study finds that first time additions to the sp however companies upgraded from lesser known s p indices reentering the s p 500 or dropped from the index experience temporary price changes these price patterns can be explained by changes in investor recognition

stepping on a rake the role of fiscal policy in the inflation of the 1970s abstract the inflation of the 1970s in the us is often discussed as if the only type of policy action that could have prevented the inflation were monetary policy actions and the only type of policy errors that might have induced the inflation were monetary policy errors yet fiscal policy underwent dramatic shifts in the 1970s and economic theory makes clear that in an environment of uncertainty about future fiscal policy monetary policy instruments may lose potency or have perverse effects this paper documents the vagaries of fiscal policy in this period and argues that people at the time must have been uncertain about fiscal policy s future course it also lays out a theoretical framework for understanding the effects of fiscal uncertainties on monetary policy and shows that fiscal variables have predictive value in dynamic models even if traditional monetary policy indicators are included in the system

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

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

review of allan h meltzer s a history of the federal reserve volume 2 university of chicago press 2009 abstract this is a review of allan meltzer s a history of the federal reserve volume 2 by carefully reviewing thousands of transcripts and records meltzer s history lets policy makers explain their decisions in their own words and creatively weaves historical events into a single exceptionally clear story as he did in volume 1 in this review i first examine the book s main theme that discretionary monetary policy failed in the great depression 1929 1933 in the great inflation 1965 1980 and in the recent great recession 2007 2009 and then consider its main conclusion that monetary policy should be based on less discretion and more rule like behavior

are fiscal deficits inflationary abstract this paper applies the dynamic panel quantile regression dpqr model under the autoregressive distributional lag ardl specification and examines the deficit inflation relationship in 91 countries from 1960 to 2006 the dpqr model estimates the impact of deficits on inflation at various inflation levels and allows for a dynamic adjustment with the ardl specification the empirical results show that the fiscal deficit has a strong impact on inflation in high inflation episodes and has a weak impact in low inflation episodes the results imply that fiscal consolidation would be more effective in price stabilization the higher the inflation rate is and are consistent with the theoretical model of catao and terrones 2005

the structural dynamics of u s output and inflation what explains the changes we examine the dynamics of u s output and inflation using a structural time varying coefficients vector autoregression there are changes in the volatility of both variables and in the persistence of inflation but variations are statistically insignificant technology shocks explain changes in output volatility real demand disturbances variations in the persistence and volatility of inflation we detect important time variations in the transmission of technology shocks to output and demand shocks to inflation and significant changes in the variance of technology and of monetary policy shocks

price and volume effects of changes in msci indices nature and causes abstract using changes in the msci standard country indices for 29 countries between 1998 and 2001 we document that stock returns and volumes exhibit index effects in international markets similar to those detected by the studies of us stocks the stocks added to the indices experience a sharp rise in prices after the announcement and a further rise during the period preceding the actual change though part of the gain is lost after the actual change date the stocks that are deleted from the indices on the other hand witness a steady and marked decline in their prices trading volumes increase significantly and remain at high levels after the change date for the added stocks there are also considerable cross country variations in these effects tests using data on various measures reflecting the different hypotheses fail to turn up any evidence in support of information effects our evidence appears to be more supportive of the downward sloping demand curve hypothesis there is some evidence of price pressure and mild evidence of liquidity effect particularly in japan and uk

why are convertible bond announcements associated with increasingly negative issuer stock returns an arbitrage based explanation while convertible offerings announced between 1984 and 1999 induce average abnormal stock returns of 1 69 convertible announcement effects over the period 2000 2008 are more than twice as negative 4 59 we hypothesize that this evolution is attributable to a shift in the convertible bond investor base from long only investors towards convertible arbitrage funds these funds buy convertibles and short the underlying stocks causing downward price pressure consistent with this hypothesis we find that the differences in announcement returns between the traditional investor period 1984 1999 and the arbitrage period 2000 september 2008 disappear when controlling for arbitrage induced short selling associated with a range of hedging strategies post issuance stock returns are also in line with the arbitrage explanation average announcement effects of convertibles issued during the global financial crisis are even more negative 9 12 due to a combination of short selling price pressure and issuer issue and macroeconomic characteristics associated with these offerings

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

resolving the agency problems of external capital through options this paper investigates the role of stock options in resolving the agency problems of external capital as originally identified by jensen and meckling 1976 these problems are precipitated by managerial incentives a to consume excessive non pecuniary benefits or perquisites beyond the optimal level for sole ownership and b to engage in risk shifting in productive decisions so as to transfer wealth from external capital contributors these incentive problems can be resolved through a strategy that judiciously combines call and put options retained by the owner manager and external financiers respectively the resolution of the agency problems through this mechanism provides an economic rationale for the existence of managerial stock options and convertible debt the work by jensen and meckling 7 has brought more realism to the theory of the firm in their paper jm address agency problems in the context of a firm which is viewed as a nexus of contracts among various factors of production the contractual relationships involve incentive conflicts arising from the pursuit of self interest by limiting themselves to an entrepreneur or owner manager who retains complete control of the firm jm have demonstrated that financing through the issuance of common stock or debt to outsiders engenders costs these costs are precipitated in part by the manager s propensity to consume nonpecuniary benefits or perquisites perks by employing certain resources in excess of their optimal usage 1 and by his propensity to engage in high risk investment projects so as to transfer wealth from bondholders to stockholders 2

modern hyper and high inflations since 1947 hyperinflations by cagan s definition in market economies have been rare much more common have been longer inflationary processes with inflation rates above 100 percent per annum based on a sample of 133 countries and using the 100 percent threshold as the basis for a definition of very high inflation episodes this paper examines the main characteristics of such inflations among other things we find that i close to 20 percent of countries have experienced inflation above 100 percent per annum ii higher inflation tends to be more unstable iii in high inflation countries the relationship between the fiscal balance and seigniorage is strong both in the short and long run iv inflation inertia decreases as average inflation rises v high inflation is associated with poor macroeconomic performance and vi stabilizations from high inflation that rely on the exchange rate as the nominal anchor are expansionary

deficits and money growth in the united states 1872 1983 abstract this paper reports empirical evidence on the relation between government budget deficits and the growth of high powered money in the united states high powered money growth appears to be positively related to war spending during periods when such spending is a substantial fraction of gnp there is little evidence that the growth of high powered money is related to the non war government deficit measured either in cash or in real terms after controlling for the level of overall economic activity

the s p500 index effect reconsidered evidence from overnight and intraday stock price performance and volume abstract this study focuses on s p500 inclusions and deletions examining the impact of potential overnight price adjustment after the announcement of an s p500 index change we find evidence of a significant overnight price change that diminishes the returns available to speculators although there are still profits available from the first day after announcement until a few days after the actual event more importantly observing the tick by tick stock price performance and volume effects on the key days during the event window for the first time we find evidence of consistent trading patterns during trading hours a separate analysis of nasdaq and nyse listed stocks allows for a detailed examination of the price and volume effect at an intra day level we find that index funds appear to cluster their rebalancing activities near to and after the close on the event date suggesting that they are more concerned with tracking error than profit

evolution economic competence and the market for corporate control abstract to assess the merits of the market for corporate control this paper examines two processes which standard analysis does not study the allocation of economic competence and the evolution of organizational structures economic competence is seen to be an unusual scarce resource embodied in the very ways in which individuals and organizations take economic decisions which guides the allocation of all scarce resources including itself its efficient allocation is shown to require an evolutionary trial and error process where the market for corporate control plays a crucial role

two illustrations of the quantity theory of money of two central implications of the quantity theory of money that a given change in the rate of change in the quantity of money induces i an equal change in the rate of price inflation and ii an equal change in nominal rates of interest the illustrations were obtained by comparing moving averages of the three variables in question using quarterly u s time series for the period 1953 77 readers may find the results of interest as additional confirmation of the quantity theory as an example of one way in which the quantity theoretic relationships can be uncovered via atheoretical methods from time series which are subject to a variety of other forces or as a measure of the extent to which the inflation and interest rate experience of the postwar period can be understood in terms of purely classical monetary forces the theoretical background of the study is reviewed very briefly as it is familiar material in the next section the data processing methods are described and rationalized in section ii the illustrations

investment and financing activity following calls of convertible bonds abstract the staged financing hypothesis of mayers mayers d 1998 why firms issue convertible bonds the matching of financial and real investment options journal of financial economics 47 83 102 predicts that investment and financing activity will increase following in the money convertible bond calls the prediction for out of the money convertible calls is different no increase is expected we study the rate of both corporate investment and external financing around forced conversions using benchmarks that are analogous to those recommended by barber and lyon barber b lyon j 1996 detecting abnormal operating performance the empirical power and specification of test statistics journal of financial economics 41 359 400 we also examine the cross section of changes in investment and financing activity conversion forcing firms exhibit an increase in both capital expenditures and debt financing around the year of the convertible bond call however the same result holds for the sample firms that conducted out of the money convertible calls further there is no relation between changes in investment activity and changes in debt issuance at the firm level the evidence is inconsistent with the notion that forced conversions serve as a catalyst for staged financing and investment

do stock investors value corporate sustainability evidence from an event study this paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of us stocks that are added to or deleted from the dow jones sustainability world index over the period 2002 2008 the impacts are measured in terms of stock return risk and liquidity we cannot find any strong evidence that announcement per se has any significant impact on stock return and risk however on the day of change index inclusion exclusion stocks experience a significant but temporary increase decrease in stock return liquidity deteriorates after the announcement day and bounces back significantly near the day of change systematic risk shows little change after announce ments but idiosyncratic risk is higher after announcements the overall results support harris and eitan s the journal of finance41 4 815 829 1986 price pressure hypothesis which posits that event announcement does not carry information and any shift in demand and hence the corresponding price change and liquidity change is temporary

on the resolution of agency problems by complex financial instruments a comment a convertible debt or b a package of external equity and managerial stock options ii the agency problems resulting from the shareholders incentive to bear unwanted risk also referred to as risk shifting can be resolved by issuing callable debt and iii welfare loss due to informational asymmetry between insiders and the market can be reduced by issuing callable debt in this paper we derive results that contradict these conclusions of bhs and hs we prove that convertible debt cannot costlessly resolve the agency problem due to excessive perquisite consumption farmer and winter 4 have recently shown that managerial stock options cannot resolve the problem we also show that convertible debt in general does not even mitigate this problem next we show that the argument that callable debt resolves agency problems due to risk shifting and informational asymmetry is incomplete the paper is organized as follows section i deals with the perquisite consumption problem section ii deals with both risk shifting and informational asymmetry problems since the basis of their resolution in the bhs argument is the same

deficits money and inflation abstract this paper examines the interrelationships between monetary and fiscal policy specifically it seeks to determine whether government budget deficits influence monetary growth using a money supply model originally developed by barro we find that deficits have had a significant impact on the growth of the u s money supply throughout most of the period since 1961 such a relationship need not always hold it depends on whether government deficits place upward pressure on interest rates and whether the central bank monetizes the debt in an effort to stabilize interest rates

liquidity costs and stock price response to convertible security calls firms announcements to call in the money convertible securities for redemption essentially force their conversion into common stock and such announcements are generally met with significant reductions in the calling firms equity values an explanation based on liquidity costs is advanced and tested the explanation implies that investors who choose to sell their shares early in the conversion period bear liquidity costs by selling at reduced prices consistent with the explanation the average share price decline is short lived lasting most of the conversion period thus a component of the call announcement effect appears to be due to liquidity costs copyright 1992 by university of chicago press

budget balance through revenue or spending adjustments abstract the paper provides a historical perspective on the issue of whether budget deficits are typically eliminated by increased taxes or by reduced spending by examining u s budget data from 1792 1988 i conclude that about 50 65 of all deficits due to tax cuts and about 65 70 of all deficits due to higher government spending have been eliminated by subsequent spending cuts while the remainder was eliminated by subsequent tax increases in contrast to previous studies the empirical analysis uses error correction models in a way that the intertemporal budget constraint is imposed in the estimation stage

structural shocks and the comovements between output and interest rates stylized facts on u s output and interest rates have so far proved hard to match with simple dsge models i estimate covariances between output nominal and real interest rate conditional on structural shocks since such evidence has largely been lacking in previous discussions of the output interest rate puzzle conditional on shocks to technology and monetary policy the results square with simple models moreover permanent inflation shocks accounted for the counter cyclical and inversely leading behavior of the real rate during the great inflation 1959 1979 over the great moderation 1982 2006 technology shocks were more dominant and the real rate has been pro cyclical

what explains the great moderation in the u s a structural analysis this paper investigates what has caused output and inflation volatility to fall in the u s using a small scale structural model using bayesian techniques and rolling samples there are instabilities in the posterior of the parameters describing the private sector the policy rule and the variance of the shocks results are robust to the specification of the policy rule changes in the parameters describing the private sector are the largest but those of the policy rule and the covariance matrix of the shocks explain the changes most jel e52 e47 c53

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

conglomerate mergers managerial motives and stockholder wealth managerial theories of conglomerate mergers suggest that such mergers are motivated by the manager s desire to reduce his firm s and thus his income risk yet the application of optimal contracting models e g diamond and verrecchia 1982 to this issue suggests that the stockholders who bear the cost of uncertainty may also benefit from reducing the firm s risk examining the market reaction to congomerate mergers announcements we cannot support the hypothesis that managers initiate conglomerate mergers solely for their own benefit to the detriment of stockholders

the impact of government deficits on money growth in developing countries abstract this paper investigates the relationship between government budget deficits and money growth in the developing countries for which reliabile data exist it is sometimes suggested that it is more likely that money growth follows debt growth in developing countries due to the embryonic state of capital markets and because the central bank generally comes under direct control of the minister of finance our results provide only mixed support for this contention however in the majority of countries in our sample there is no evidence that government deficits affect money growth for high inflation years there seems to be more support for a relationship between deficits and money growth

the pricing of convertible debt offerings abstract we present the first empirical evidence on the pricing of convertible debt offerings using a sample of 91 convertible debt offerings from the period 1988 1992 we show a significant mean initial excess return of 1 11 our underpricing result is invariant to zero nonzero coupons maturity issue size or bond ratings further analysis reveals that various types of risk inherent in the new convertible issues are useful in explaining the cross sectional variation in the initial excess returns we offer an explanation for our results based on the arguments of the differential information model

the dartboard column second hand information and price pressure this study analyzes the effect of second hand information on the behavior of security prices and volume using analysts recommendations published in the monthly dartboard column of the wall street journal for the two days following the publication of the recommendations average positive abnormal returns of 4 percent nearly twice the level of abnormal returns documented in previous research on analyst recommendations and average volume double normal volume levels on the two days following publication of the recommendations are documented the positive abnormal return on announcement is partially reversed within 25 trading days the authors conclude that the positive abnormal return on announcement of the recommendations is a result of naive buying pressure as well as the information content of the analysts recommendations

dominant firms and their alleged decline abstract by way of a survey of recent literature on the theory of strategic competition this paper focuses on the question of whether dominant firms decline the traditional argument suggesting decline is found to be based on a rather unsatisfactory modelling of dominance and more acceptable conceptualizations suggest that such privileged positions will persist

convertible bond arbitrage liquidity externalities and stock prices abstract in the context of convertible bond issuance we examine the impact of arbitrage activity on underlying equity markets in particular we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period 1993 to 2006 there is considerable evidence of arbitrage induced short selling resulting from issuance moreover we find strong evidence that this activity is systematically related to liquidity improvements in the stock these results are robust to controlling for the potential endogeneity of arbitrage activity

investment incentives debt and warrants abstract this paper models and characterizes investment incentive problems associated with debt financing the decision problem of residual claimants is explicity formulated and their investment policies are characterized the paper also analyzes the use of conversion features and warrants to control distortionary incentives these claims reverse the convex shape of levered equity over the upper range of the firm s earnings and this mitigates the incentive to take risk it is shown that under certain conditions such claims can be constructed to restore net present value maximizing incentives and simultaneously meet the financing requirements of the firm

a technological and organisational explanation for the size distribution of firms this paper combines insights from the literature on the economics of organisation with traditional models of market structure to construct a theory of equilibrium firm size heterogeneity under the assumption of a homogenous product industry it is possible that configurations consisting entirely of small firms run by entrepreneurs with limited attention and with larger firms using managerial techniques to substitute away these limits to allow increasing returns technologies to become profitable can arise in equilibrium however there also exist equilibrium configurations with the co existence of large and small firms the efficiency properties of these respective equilibria are discussed finally the implications of an expanding market size are considered

deficits money and inflation comment abstract this paper re examines the fiscal policy money growth linkage analysed by hamburger zwick 1981 in this journal newly revised national income accounts data are employed unlike hamburger zwick we do not find any strong evidence of a positive federal budget deficit money growth relationship over the period 1961 1974 when the estimation period is extended to 1976 and then to 1978 the results suggest no relationship between deficits and money growth

two illustrations of the quantity theory of money breakdowns and revivals by extending his data we document the instability of low frequency regression coefficients that lucas 1980 used to express the quantity theory of money we impute the differences in these regression coefficients to differences in monetary policies across periods a dsge model estimated over a subsample like lucas s implies values of the regression coefficients that confirm lucas s results for his sample period but perturbing monetary policy rule parameters away from the values estimated over lucas s subsample alters the regression coefficients in ways that reproduce their instability over our longer sample jel c51 e23 e31 e43 e51 e52 robert e lucas jr 1980 used near unit slopes of univariate regressions of moving averages of inflation and interest rates on money growth for the united states for the period 1953 1977 to illustrate two central implications of the quantity theory of money that a given change in the rate of change in the quantity of money induces i an equal change in the rate of price inflation and ii an equal change in nominal rates of interest lucas said that those two quantity theoretic propositions

the effect of additions to or deletions from the tse 300 index on canadian share prices in this paper we examine shares that have been added to or deleted from the tse 300 index to determine whether abnormal price movements have occurred we apply the dummy variable approach to event study methodology and adjust the estimated standard errors for arbitrary heteroscedasticity and clustering of events we also use a non parametric method of inference like authors of u s studies we find that the market reacts positively to inclusion and negatively to deletion albeit not significantly in the latter case the information content of inclusion does not account for the entire share price response lending support to the hypothesis of increased purchases by index funds jel classification g14 ce texte examine les titres qui ont ete ajoutes ou soustraits de l indice tse 300 pour determiner si des mouvements anormaux de prix s en sont suivis on utilise l approche des variables fictives dans le cadre d une methodologie qui etudie l impact d evenements et on ajuste les erreurs standards pour tenir compte de l heteroskedasticite arbitraire et de l agglomeration d evenements on utilise aussi une methode non parametrique d inference comme dans des etudes americaines du meme type on decouvre que les marche reagit positivement a l inclusion et negativement a la soustraction d un titre mais que l effet n est pas significatif dans ce dernier cas le contenu informationnel de l inclusion n explique pas entierement le mouvement dans le prix du titre ce qui apporte un support a l hypothese de l impact des achats accrus par des fonds indexes