the impact of public information on insider trading abstract we study the impact of public information on insider trading in the context of kyle s speculative market the linear nash equilibrium is characterized analytically we find that public information is detrimental for the insider and beneficial for the liquidity traders the insider puts a negative weight on the public information in formulating his optimal strategy the equilibrium price becomes more informative when there exists public information

an economic efficiency study on different regions of ghana via slack based data envelopment analysis and regression analysis in this article we evaluate the efficiency of the 10 different regions of ghana using slack based data envelopment analysis a nonparametric linear programming technique furthermore we analyse the variable effects on the efficiency of the regions by various regression models using bootstrap sampling technique the data come from the 1991 1992 and 1998 1999 ghana living standards survey our results show that wealth is not strongly related to efficiency for example the study indicates that the brong ahafo region is the most efficient region but not the most wealthy in ghana generally urban regions are not found to be among the most efficient regions due to the high expenditures the regression analysis shows that female heads of household have an overall positive effect on efficiency in addition any form of education obtained is also found to have a significant positive effect on efficiency

insider trading with correlated signals abstract we examine the effects of insider trading on the stock price determination and its informational efficiency when the market maker observes two correlated signals of the value of the firm we show that the stock price is more informative and the insider s profits are lower than when the market maker only observes the order flow as in kyle kyle a 1985 continuous auctions and insider trading econometrica 53

can tax loss selling explain the january seasonal in stock returns this paper analyzes the tax loss selling hypothesis as an explanation of the january seasonal in stock returns and argues that rational tax loss selling implies little relation between the january seasonal and the long term loss empirical results show that the january seasonal is as strongly related to the long term loss as it is to the short term loss the evidence is inconsistent with a model that explains the january seasonal by optimal tax trading

estimating labor supply of farm households under nonseparability empirical evidence from nepal abstract this paper examines the labor supply of farm households in nepal using a recently developed methodology that accounts for the simultaneity between production and consumption decisions of the households estimates of marginal products of male and female labor or shadow wages are obtained from an agricultural production function an instrumental variable approach is then used to recover the household s structural labor supply from variations in the shadow wages and income as well as other household characteristics the findings reveal that both male and female total labor supply are sensitive to changes in shadow wages and income human capital embodied in education is found to exert a significant positive effect on output but has no statistically significant impact on total labor supply of individuals the results also rejects the existence of efficient labor markets in rural nepal

macroeconomic seasonality and the january effect many financial markets researchers have sought an explanation for the role of january in stock returns any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns the pervasive seasonality in the macroeconomy is an appealing possibility a multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns this model accounts for the seasonality in average returns while the capital asset pricing model cannot copyright 1994 by american finance association

seasonality in dynamic regression models this paper examines the implications of treating seasonality as an unobserved component which changes slowly over time this approach simplifies the specification of dynamic relationships by separating non seasonal from seasonal factors we illustrate this approach using the consumption model of davidson et al 1978 and estimate a stable error correction model between consumption income and prices over the period 1958 92 more generally we argue that autoregressive models are unlikely to successfully model slowly changing seasonality and may confound seasonal effects with the dynamic responses of prime interest our approach can be used in a wide range of cases and we show that there is little loss in efficiency even if seasonality is deterministic

insider trading without normality in this paper we analyse the existence and uniqueness of equilibrium in a particular class of monopolistic rational expectations models we show the equivalence between the kyle 1985 model of insider trading where the insider observes the amount of noise trading and the kyle 1989 model of informed speculation when there is one risk neutral insider and many risk neutral market makers we show that in these two equivalent models i there exists a unique equilibrium independently of the distribution of uncertainty ii this equilibrium minimizes the expected gains of the informed agent under incentive compatibility constraints we extend our results to a class of signalling games

allocative and scale efficiency among maize farmers in zambia a zero efficiency stochastic frontier approach the commonly used stochastic frontier model assumes that all firms are inefficient in this specification inefficiency is non negative and the probability of inefficiency being exactly zero is al

an analysis of seasonality in the u k equity market this paper examines the nature and importance of seasonal fluctuations in the u k equity market the authors analysis reveals that returns on the ft a all share index exhibit significant seasonality that is best described by a deterministic seasonal model the authors also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk copyright 1995 by royal economic society

land use intensification potential in slash and burn farming through improvements in technical efficiency abstract much attention is being paid to find alternative land use options in slash and burn sab farming or forest fallow based shifting cultivation systems the conservation objective is often twofold that is to discourage farmers from expanding into the forest frontier and to reduce the ecological damage from burning plots options include the total abandonment of forest plots the adoption of productivity increasing green revolution type technologies and the application of modern evergreen agroforestry knowledge this paper evaluates another alternative the intensification of land use by improving technical efficiency in farming this involves the reduction of land clearing while at the same time maintaining crop output levels and the local and traditional low input technology the potential for such land use intensification is empirically assessed with ecological and socioeconomic household data from yucatan mexico the methodology is based on both parametric and nonparametric output and input distance functions in addition the sources of inefficiency are addressed the results of the analysis suggest that on and off farm labour diversification can play a key role to help shifting cultivating households to improve their technical efficiency in farming and thus to help to intensify land use furthermore while the empirical results point towards the positive effect of soil fertility mainly determined by the length of forest fallows on crop output levels farmers appear to overcome the ecological constraint of farming in less fertile soils by being more technically efficient

stock market seasonals and prespecified multifactor pricing relations despite nonstationarities in the factor betas and factor prices of the chen roll ross 1986 multifactor model investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non january months however variations in these factors have opposite influences on stock prices these findings may partially explain why several recent studies fail to detect a significant non january risk premium in the stock market but this evidence is only suggestive since theoretical and statistical difficulties prevent precise interpretations of specific pricing relations in the chen roll ross model

seasonality stock returns and the macroeconomy this paper examines the relationship between seasonality stock returns and the macroeconomy using a multifactor model of stocks returns observed seasonal patterns in excess returns are found to be a result of seasonality in excess expected returns by utilising a multifactor model of stock returns these higher returns are found to be a compensation for risk associated with a number of macroeconomic factors at certain times of the year

risk and return abstract this paper examines the seasonality in the basic relationship between expected return and risk during 1935 82 the results reveal that the positive relationship between return and risk is unique to january the risk premiums during the remaining eleven months are not significantly different from zero

spatial price transmission and asymmetry in the ghanaian maize market abstract this paper utilizes recently developed threshold cointegration tests that allow for asymmetric adjustment toward a long run equilibrium relationship to examine price linkages between principal maize markets in ghana unlike previous studies the approach employed here assumes that economic agents only act to move the system back to equilibrium when the deviation from equilibrium exceeds a critical threshold whereby the benefits of this adjustment exceed the costs the findings indicate that major maize markets in ghana are well integrated both the threshold cointegration and asymmetric error correction models reveal that wholesale maize prices in local markets accra and bolgatanga respond more swiftly to increases than to decreases in central market techiman prices accra prices are found to react faster than bolgatanga prices to changes in techiman market prices

the seasonal cycle and the business cycle almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data this paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but are small or entirely absent in both real and nominal price variables the timing of the seasonal fluctuations consists of increases in the second and fourth quarters a large decrease in the first quarter and a mild decrease in the third quarter the paper demonstrates that with respect to each of several major stylized facts about business cycles the seasonal cycle displays the same characteristics as the business cycle in some cases even more dramatically than the business cycle that is we find that at seasonal frequencies as well as at business cycle frequencies output movements across broadly defined sectors move together the timing of production and the

stock return anomalies and the tests of the apt this paper shows that the empirical tests of the arbitrage pricing theory apt model are very sensitive to the anomalies observed in january in the stock returns data there is a strong seasonal pattern in the estimates of the risk premia from the apt model the most important implication of the findings in this paper is that the apt model can explain the risk return relation mostly for january once the january returns are excluded from the data there is no significant relation between the expected stock returns and the risk measures predicted by the apt model it is now a very well known phenomenon that stock returns exhibit a peculiar seasonal pattern while such a seasonal pattern in stock returns is an interesting phenomenon in itself and has yet to be fully explained there is a serious implication of the observed seasonality in stock returns on the tests of the assetpricing models 1 tinic and west 17 for example report that the risk return relation described by the capital asset pricing model capm also exhibits a similar seasonality in january a result rozeff and kinney 16 report as well more importantly however they show that only one month january shows a consistently positive and reliable relation between expected return and risk once the data for january are excluded from the analysis of the risk return tradeoff the estimates of risk premia are no longer reliably different from zero although tinic and west do not offer an explanation for their findings their results raise serious questions about the empirical tests of the capm and ultimately its validity as a viable model to explain the pricing of risky assets the purpose of this paper is to investigate the impact of stock return seasonality on the empirical tests of the arbitrage pricing theory apt a number of researchers argue on both theoretical and empirical grounds that the apt is a good alternative to the capm although there is a growing body of empirical literature on the apt the empirical tests of the apt thus far have produced inconclusive results and a good deal of controversy it now seems appropriate to

the seasonal stability of the factor structure of stock returns this paper investigates the month by month stability of a daily returns and correlation coefficients of stock returns b correlation and covariance matrices c number of return generating factors and d the apt pricing relationship the results show that there is a january effect and a small firm effect in stock returns correlation matrices are more stable than covariance matrices but both types of matrices are not stable across months and across the sample groups the number of return generating factors is rather stable most of the time and for most of the sample groups but there is some significant instability that is related to the average correlation coefficients among stocks the apt pricing relationship does not seem to be supported by the two stage process using the maximum likelihood factor analysis the seasonality of common stock returns has received considerable attention in financial economics research studies by officer 23 rozeff and kinney 29 gultekin and gultekin 11 and others have investigated the stock returns of the u s and other countries on a monthly basis they generally have found that on average january returns are significantly higher than the returns for other months banz 1 and reinganum 25 26 have found abnormally high returns in small market value firms and keim 17 has related this to the first few trading days of january schwert 30 points out the current difficulty of explaining these empirical regularities and the need for further investigations several studies have examined seasonality in risk premiums rozeff and kinney 29 found that seasonality appeared in the risk premiums obtained from a twoparameter capm and that january displayed a relatively large risk premium compared with the other months keim 16 also found seasonality in the risk premiums more recently tinic and west 32 examined the risk premiums of the two parameter capm and observed the previously reported seasonality and high january premium they also found that january is the only month in which there is a consistently positive statistically significant relationship between expected return and risk very recently using the two stage procedure with the

productive efficiency of specialty and conventional coffee farmers in costa rica accounting for technological heterogeneity and self selection a steep decline in coffee prices at the producer level led to considerable pressure for farmers in costa rica and producer countries all over the world one possible reaction was moving to specialty markets where price pressure was perceived to be lower we use original survey data from 2002 2003 and 2003 2004 to analyze the factors influencing participation in specialty markets and to estimate separate production functions for specialty and conventional coffee farmers allowing for farm specific inefficiencies applying a sample selection framework we find significant selection bias in the sub sample of specialty farmers and evidence for the overestimation of efficiency if this bias is not adequately controlled for among the most important factors that influence farm specific efficiency levels in the two sub samples are the availability of additional income activities experience in coffee cultivation and membership in cooperatives based on the results we derive policy recommendations to improve farmers production performance and ability to cope with the effects of the coffee crisis these policy measures include the provision of extension services with respect to farm management skills the creation of income opportunities in rural areas and the support of farmer owned cooperatives