dividend taxes corporate investment and q abstract taxes on corporate distributions have traditionally been regarded as a double tax on corporate income this view implies that while the total effective tax rate on corporate source income affects real economic decisions the distribution of this tax burden between the shareholders and the corporation is irrelevant recent research has suggested an alternative to this traditional view one explanation of why firms in the united states pay dividends in spite of the heavy tax liabilities associated with this form of distribution is that the stock market capitalizes the tax payments associated with corporate distributions this capitalization leaves investors indifferent at the margin between a corporation s decision to pay out dividends or to retain earnings this alternative view holds that while changes in the dividend tax rate will affect shareholder wealth they will have no impact on corporate investment decisions this paper develops econometric tests which distinguish between these two views of dividend taxation by extending tobin s q theory of investment to incorporate taxes at both the corporate and personal levels the implications of each view for corporate investment decisions can be derived the competing views may be tested by comparing the performance of investment equations estimated under each theory s predictions british time series data are particularly appropriate for testing hypotheses about dividend taxes because of the substantial postwar variation in effective tax rates on corporate distributions the econometric results suggest that dividend taxes have important effects on investment decisions

new issues in corporate finance flow of funds data are used to compare methods of finance in 5 countries over the period 1970 to 1985 many of the problems associated with previous studies are avoided by estimating net instead of gross financing proportions the degree of consolidation of accounts reciprocal arrangements between borrowers and lenders and compensating deposit requirements on borrowers no longer distort financing patterns corrections for inflation are provided by employing flow rather than stock figures and using own aggregation procedures to derive stock measures significant variations in financing emerge these are not readily explained by traditional descriptions of corporate finance in particular taxation as an alternative the paper suggests that relationships between borrowers and lenders establish forms of commitment that are conducive to the provision of long term finance the separation between investment and finance which has been the starting point of corporate finance theory is untenable in a multiperiod context in which terms of finance define future allocation of control

international perspectives on financing evidence from japan a current issue of considerable concern is whether the financial environment of british firms inhibits their competitive position and growth performance the argument is often put in terms of the short sightedness of the investment strategies of british firms or their managers a contrast is drawn between this situation and that in countries where the financial structure encourages managers to take a longer term view similar concerns have been expressed in other countries particularly the usa an international comparison of corporate finance provides a timely opportunity to evaluate these concerns

asset pricing with loss aversion using standard preferences for asset pricing has not been very successful to match asset price characteristics such as the risk free interest rate equity premium and the sharpe ratio to time series data behavioral nance has recently proposed more realistic preferences such as preferences with loss aversion to model asset pricing research has now started to explore the implications of behaviorally founded preferences for asset price characteristics encouraged by some studies of benartzki and thaler 1995 and barberis et al 2001 we study asset pricing with loss aversion in a production economy we here employ a stochastic growth model and use a stochastic version of a dynamic programming method with adaptive grid scheme to compute the above mentioned asset price characteristics of a model with loss aversion in preferences as our results show a model with loss aversion performs considerably better than pure consumption based asset pricing models

dynamic asset allocation with event risk major events often trigger abrupt changes in stock prices and volatility we study the implications of jumps in prices and volatility on investment strategies using the event risk framework of duffie pan and singleton 2000 we provide analytical solutions to the optimal portfolio problem event risk dramatically affects the optimal strategy an investor facing event risk is less willing to take leveraged or short positions the investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy and hold strategies jumps in prices and volatility both have important effects

the economics of small business finance the roles of private equity and debt markets in the financial growth cycle abstract this article examines the economics of financing small business in private equity and debt markets firms are viewed through a financial growth cycle paradigm in which different capital structures are optimal at different points in the cycle we show the sources of small business finance and how capital structure varies with firm size and age the interconnectedness of small firm finance is discussed along with the impact of the macroeconomic environment we also analyze a number of research and policy issues review the literature and suggest topics for future research

bargaining search and outside options abstract this paper studies a two sided incomplete information bargaining model between a seller and a buyer the buyer has an outside option which is modeled as a sequential search process during which he can choose to return to bargaining at any time two cases are considered in regime i both agents have symmetric information about the search parameters we find that in contrast to bargaining with complete information the option to return to bargaining is not redundant in equilibrium however the no delay result still holds in regime ii where agents have asymmetric information about the outside option delay is possible the solution characterizes the parameters for renegotiation and those for search with no return to the bargaining table

oil and gas markets in the uk evidence from a cointegrating approach the paper examines the relationship between uk wholesale gas prices and the brent oil price over the period 1996 2003 in order to investigate whether oil and gas prices decoupled during this period as orthodox gas market liberalisation theory suggests tests for unit roots and cointegration are carried out and it is discovered that a long run equilibrium relationship between uk gas and oil prices exists moreover this relationship pre dates the opening of the uk mainland europe interconnector following a recursive methodology hansen h and johansen s 1999 some tests for parameter constancy in cointegrated var models econometrics journal 2 306 333 it was found that the cointegrating relationship is present throughout the sample period however the long run solutions seem to be more volatile evidence is provided that the short run relationship is linear and impulse response functions are used to examine the effects that a shock in oil would have on gas these findings do not support the assumption that gas prices and oil prices decouple

optimal vs traditional securities under moral hazard this paper provides an explanation for the widespread use of traditional securities by wellestablished firms standard moral hazard models predict that equity debt and warrants are almost never optimal financing instruments i show that issuing these securities is nevertheless nearly optimal the issuer would gain very little by using non traditional securities instead combined with equity one debt issue without multiple layers of seniority and one warrant issue without multiple exercise prices suffice to achieve near optimality the near optimality of traditional financing depends crucially on the issuer s ability to use war rants in addition to debt and equity

the long run relationship between stock return dispersion and output based on the rational that some industry groups are more closely linked to the business cycle than others we re examined a previous analysis on the long term relationship between stock return dispersion by industry and gross domestic product gdp which evaluated data until 1987 by extending it to 2008 using mean square forecast errors msfe statistics we find that incorporating the return dispersion in vector autoregressive var models enhances their forecasting power for output gdp in the long run this article also determines that the relationship between stock return dispersion by industry and gdp is tenuous in the recent decade from 1999

fairness price stickiness and history dependence in decentralized trade this chapter investigates the implications that social preferences have for the stationary strategic equilibrium of such a decentralized market agents are supposed to be averse to unfairly unfavorable as well as unfairly favorable deals in the spirit of fehr and schmidt 1999 but we stay rather close to standard individualistic preferences the negative weights on advantageous and disadvantageous deviations from what is considered as the fair benchmark are such that utility remains strictly increasing in own surplus share and in contrast to the original fehr schmidt model the fair split need not automatically be a 50 50 division any price between sellers cost and buyers willingness to pay may be the one which for whatever reasons is agents reference point in a given market this makes it possible to consider a more flexible notion of fairness than is usually done it is in line with cognitive dissonance theory from psychology and the noteworthy experiments of binmore et al 1991 1993 where subjects who were triggered to play different bargaining equilibria ended up considering very different surplus distributions as fair

the debt equity choice when firms adjust their capital structures they tend to move toward a target debt ratio that is consistent with theories based on tradeoffs between the costs and benefits of debt in contrast to previous empirical work out tests explicitly account for the fact that firms may face impediments to movements toward their target ratio and that the target ratio may change over time as the firm s profitability and stock price change a separate analysis of the size of the issue and repurchase transactions suggests that the deviation between the actual and the target ratios plays a more important role in the repurchase decision than in the issuance decision

complexity and the character of stock returns empirical evidence and a model of asset prices based on complex investor learning empirical evidence on the distributional characteristics of common stock returns indicates 1 a power law tail index close to three describes the behavior of the positive tail of the survivor function of returns pr r x x a reflection of fat tails 2 general linear and nonlinear dependencies exist in the time series of returns 3 the time series return process is characterized by short run dependence short memory in both returns as well as their volatility the latter usually characterized in the form of autoregressive conditional heteroskedasticity and 4 the time series return process probably does not exhibit long memory but the squared returns process does exhibit long memory we propose a model of complex self referential learning and reasoning amongst economic agents that jointly produces security returns consistent with these general observed facts and which are supported here by empirical results presented for a benchmark sample of 50 stocks traded on the new york stock exchange the market we postulate is populated by traders who reason inductively while compressing information into a few fuzzy notions that they can in turn process and analyze with fuzzy logic we analyze the implications of such behavior for the returns on risky securities within the context of an artificial stock market model dynamic simulation experiments of the market are conducted from which market clearing prices emerge allowing us to then compute realized returns we test the effects of varying values of the parameters of the model on the character of the simulated returns the results indicate that the model proposed in this paper can jointly account for the presence of a power law characterization of the positive tail of the survivor function of returns with exponent on the order of three for autoregressive conditional heteroskedasticity for long memory in volatility and for general nonlinear dependencies in returns

liquid capital and market liquidity this article considers how the supply of liquid capital affects the liquidity of asset markets the article views the former notion as a technological property of real investments and the latter as an endogenous property of financial market equilibrium and describes a channel by which the two are linked when agents hold more wealth in technologically liquid investments a marginal adjustment to portfolio holdings alters discount rates less causing a smaller price impact thus even without intermediaries or frictions the stock of transformable capital may be a crucial determinant of the resilience of financial markets

market resolution and valuation in incomplete markets the arrow debreu approach to general equilibrium in an economy has been recognized as one of the most general and conceptually elegant frameworks for the study of financial problems under uncertainty 2 9 equally well known is its elusiveness when it comes to ready application to practical problems like capital budgeting or empirical testing see 6 15 18 however some recent research see 1 3 6 12 16 18 and 19 has made a serious attempt to put the state preference theoretic model in an operational setting breeden and litzenberger 6 have developed an interesting approach to derive constructively the prices of elementary arrow debreu securities from the prices of call options on aggregate consumption banz and miller 3 use a similar technique to value capital budgeting projects based on values for state contingent claims computed from prices of call options written on the market portfolio the supershare securities proposed by hakansson 14 16 and related work by garman 13 ross 24 etc have also served to give the so called state contingent approach a practical flavor

the effect of the stock market on investment a comparative study this paper is concerned with examining whether exogenous events whose only direct effect is to change stock prices can indirectly affect corporate investment through the stock price mechanism it is argued that the actual effect of share price changes depends on institutional considerations which affect the degree of managerial autonomy e g the extent of the use of the takeover mechanism gearing ratios and the role of employees in corporate decision making therefore it would be reasonable to expect the stock market to be less influential in japan or germany when compared with the u s or u k this paper provides some econometric evidence which supports this view in that once one has allowed for other influences on investment share prices provide no additional explanatory power for investment behaviour in japan or germany but they do affect investment in the u k and u s if one believes that the stock market is sometimes swayed by irrational considerations the absence of an influence of share prices on investment in japan or germany may then be regarded as an advantage

managerial incentives risk aversion and debt we investigate the risk choices of risk averse ceos following recent theoretical work we expect ceo risk aversion to be more pronounced in firms with high leverage or high default probability we find that the ceos of these firms reduce firm risk even in the presence of strong risk taking incentives our results are robust to controls for the sensitivity of ceo wealth to stock price changes firm risk determinants the endogenous feedback effects of firm risk on ceo incentives unobserved firm and market effects and debt governance the impact of ceo risk aversion is economically significant

the importance of incomplete information in explaining the existence of costly bankruptcy the standard theory of capital structure argues that firms trade off the tax advantage of debt against ba nkruptcy costs r a haugen and l w senbet 1978 pointed out that there is a problem with this theory if bankruptcy involves deadweig ht costs shareholders and bondholders have an incentive to renegotia te before it occurs since in this way bankruptcy and its costs can be avoided this implies costly bankruptcy will not occur and casts d oubt on the validity of the standard theory this paper uses noncoope rative bargaining theory to formally model this idea it then shows t hat if there is incomplete information costly bankruptcy can occur copyright 1987 by the review of economic studies limited

equilibrium portfolios in the neoclassical growth model abstract this paper studies equilibrium portfolios in the standard neoclassical growth model under uncertainty with heterogeneous agents and dynamically complete markets preferences are purposely restricted to be quasi homothetic the main source of heterogeneity across agents is due to different endowments of shares of the representative firm at date 0 fixing portfolios is the optimal equilibrium strategy in stationary endowment economies with dynamically complete markets however when the environment displays changing degrees of heterogeneity across agents the trading strategy of fixed portfolios cannot be optimal in equilibrium very importantly our framework can generate changing heterogeneity if and only if either minimum consumption requirements are not zero or labor income is not zero and the value of human and non human wealth are linearly independent

the effects of inflation and real wages on employment this paper considers the effects of inflation on employment the absence of index linked loans and the possibility that errors are committed in times of inflation lead to a higher probability of bankruptcy during inflation if firms care about bankruptcy this implies a lower level of employment empirical results confirming this are presented and suggest that higher inflation has substantially contributed to the fall in employment in the united kingdom the authors also demonstrate that a negative real wage elasticity is not robust to changes in specification copyright 1987 by the review of economic studies limited

oil price dynamics 2002 2006 abstract oil price dynamics during 2002 2006 have been characterized by high volatility high intensity jumps and strong upward drift and were concomitant with underlying fundamentals of oil markets and world economy namely pressure on oil prices resulting from rigid crude oil supply and expanding world demand for crude oil a change in the oil price process parameters would require a change in underlying fundamentals market expectations extracted from call and put option prices anticipated no change in underlying fundamentals in the short term markets expected oil prices to remain volatile and jumpy and with higher probabilities to rise rather than fall above the expected mean

on the fluctuations in consumption and market returns in the presence of labor and human capital an equilibrium analysis abstract we examine the effects of human capital on consumption stock market and other fluctuations in a general equilibrium continuous time model a representative consumer worker investor derives utility from consumption and leisure a representative firm demands labor as the sole input to a stochastic production technology driven by general possibly nonmultiplicative shocks for cobb douglas utility and multiplicative shocks labor is nonstochastic and consumption and stock market volatility are equated as under no human capital deviations from this are analyzed for logarithmic utility and constant elasticity of substitution production technology cases are identified where the presence of labor causes consumption to be smoother than the stock market

contract costs and financing decisions like bondholders most agents contract for fixed payoffs thus corporate capital structures which are less than 50 percent debt are less levered than overall contract structures in which about 90 percent of total flows are fixed payoffs the hypothesis analyzed here is that loans and bonds lower contract costs by delegating the monitoring and bonding of the default risks of fixed payoffs to credible specialists financial intermediaries bond holder trustees rating agencies and auditors other agents can then focus on their specialties that is efficient supply of labor materials and other services and the contract problems of these specialties copyright 1990 by the university of chicago

search for a monetary propagation mechanism abstract this paper examines a monetary propagation mechanism in an economy where exchanges in goods and labor markets involve costly search it is shown that an increase in the money growth rate increases steady state employment and output when the money growth rate is low but reduces steady state employment and output when the money growth rate is already high the model produces persistent hump shaped responses in employment and output to money growth shocks even when the shocks have no persistence the model also generates desirable features in job vacancy sales inventory and the velocity of money all these features emerge here in an economy with perfectly flexible prices and wages journal of economic literatureclassification numbers e40 e30

risk management in the oil industry can information on long run equilibrium prices be utilized abstract we analyze co movements between the prices of crude oil and major refined products during the period 1992 1998 specifically we explore the existence of long run equilibrium price relationships and whether deviations from estimated equilibrium can be utilized for predictions of short term price changes and for risk management the econometric evidence strongly supports the hypothesis that crude and product prices are co integrated past deviations from long term equilibrium are significant in an error correction specification of short term product price changes the results represent valuable information for hedging particularly in integrated oil companies for which price risk is related to margin variations

animal spirits financial crises and persistent unemployment this article uses a rational expectations model with multiple equilibrium unemployment rates to explain financial crises the model has equilibria where asset prices are unbounded above i argue that this is an important feature of any rational agent explanation of a financial crisis since for the expansion phase of the crisis to be rational investors must credibly believe that asset prices could keep increasing forever with positive probability i explain the sudden crash in asset prices that precipitates a financial crisis as a large shock to expectations that leads to a permanent increase in the unemployment rate

stock returns and output growth in emerging and advanced economies abstract this paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies it finds that the proportion of countries in which this correlation is significant is the same for emerging market economies as it is for advanced economies using yearly data and somewhat lower using quarterly data asset prices therefore seem to contain valuable information to forecast output also in emerging market economies moreover the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly related to a number of stock market characteristics such as a high market capitalization to gdp ratio and less robustly english legal origin and the number of listed domestic companies and initial public offerings

the equity premium in brock s asset pricing model abstract in this paper we combine dynamic programming methods with projection methods for solving stochastic growth models as an application of these methods we solve brock s asset pricing model with a variety of parameterizations we focused on finding parameterizations that result in an equity premium that is high relative to the variation in consumption we show both analytically and numerically that the equity premium can be higher in a production based asset pricing model than it is in the consumption based asset pricing model even when the real output level is the same in both models

capital market equilibrium with externalities production and heterogeneous agents abstract the paper studies general equilibrium in an economy with externalities production and heterogeneous agents the model developed builds on brock brock w a 1982 asset prices in a production economy in mccall j j ed the economics of information and uncertainty university of chicago press chicago pp 1 43 and merton merton r c 1987 a simple model of capital market equilibrium with incomplete information journal of finance 42 483 510 it involves both a stock market and a market for loans together with negative externalities produced by a subset of firms importantly the technological production structure of the firms is reflected in the properties of the shares traded in the stock market agents are heterogeneous in their financial choices potentially discriminating against the firms producing a negative externality the model sheds light on the utility costs of the discriminating behavior and on the impact on the price of the stock issued by the firm which is responsible for the externality the model is used to study the factors which may magnify or reduce the impact of discrimination a set of discriminated firms may be seriously affected only if the discriminating investors command a large portion of overall wealth and or they do not represent important diversification instruments the model can be applied to understanding the effects of socially responsible investment whereby investors discriminate against companies belonging to some sectors which are perceived as socially dangerous or unethical

imperfect information credit markets and unemployment this paper describes how imperfect information in both capital and labor markets can in a context of maximizing firms and perfectly flexible prices and wages give rise to cyclical variations in unemployment whose character closely resembles that of observed business cycles this abstract was borrowed from another version of this item

returns to scale in a matching model of the labor market abstract this paper presents evidence on the degree of returns to scale in the labor market using a transcendental logarithmic model of the labor market matching technology the empirical results imply locally increasing returns to scale and are consistent with multiple equilibria thereby suggesting a potentially welfare enhancing role for macroeconomic policy intervention

price relationships in the petroleum market an analysis of crude oil and refined product prices in this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework this allows us to test several partly competing assumptions of earlier studies in particular we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships moreover the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products this is an example of supply driven market integration and producers will change the output mix in response to price changes

the effect of taxes and depreciation on corporate investment and financial leverage this paper provides an analysis of the effect of corporate and personal taxes on the firm s optimal investment and financing decisions under uncertainty it extends the deangelo aad masulis capital structure model by endogenizing the firm s investment decision the authors results indicate that when investment is allowed to adjust optimally the existing predictions about the relationship between investment related and debt related tax shields must be modified in particular the authors show that increases in investment related tax shields due to changes in the corporate tax code are not necessarily associated with reductions in leverage at the individual firm level in cross sectional analysis firms with higher investment related tax shields normalized by expected earnings need not have lower debt related tax shields normalized by expected earnings unless all firms utilize the same production technology differences in production technologies across firms may thus explain why the empirical results of recent cross sectional studies have not conformed to the predictions of deangelo and masulis

the evolution of new industries and the determinants of market structure several empirical regularities concerning firm growth rates and industry firm size distributions have been developed by studying primarily mature industries the primary purpose of this article is to bring together and extend empirical regularities on the evolution of new industries and to use these regularities to gain further insight into the forces governing industry evolution to explain these regularities a model is constructed which emphasizes how factors governing the early evolution of industries may shape their market structure at maturity it stresses how chance events and exogenous factors that influence the number of potential entrants to the industry the growth rate of incumbents and the ease of imitation of industry leaders will influence the ultimate number and size distribution of firms in the industry

jump spillovers in energy futures markets implications for diversification benefits abstract in this paper we investigate jump spillover effects of five energy petroleum futures and their implications for diversification benefits in order to identify the latent historical jumps for each of these energy futures we use a bayesian mcmc approach to estimate a jump diffusion model for each we examine the simultaneous jump intensities of pairs of energy futures and the probabilities that jumps in crude oil and natural gas cause jumps or usually large returns in other energy futures in all cases we find significant evidence that the diffusion jump process is a better characterization for energy futures prices we further find that jump spillovers significantly reduce the diversification benefits of an energy futures portfolio in a tranquil rather than crisis period

corporate behavior in adjusting to capital structure and dividend targets an econometric study this study of financing decisions by u s corporations examines the issuance of long term debt issuance of short term debt maintenance of corporate liquidity issuance of new equity and payment of dividends given costs and imperfections inherent in markets a firm s financial behavior is characterized as partial adjustment to long run financial targets individual firm data are used so that speeds of adjustment are allowed to vary by company and over time the results suggest that financial decisions are interdependent and that firm size interest rate conditions and stock price levels affect speeds of adjustment this study of financing decisions by u s corporations examines the issuance of long term debt short term debt and equity the maintenance of corporate liquidity and the payment of dividends the firm s financial behavior is characterized as partial adjustment to long run financial targets and individual firm data 1966 1978 are used to estimate firm specific time varying speeds of adjustment the results suggest that financial decisions are interdependent and that firm size interest rate conditions and stock price levels affect speeds of adjustment also the estimated coefficients are more plausible than the very small taggart 28 or very large spies 26 values found in earlier studies section i of the paper introduces the general model in section ii a tractable empirical model is developed section iii presents the data to be used in the study and discusses econometric issues in section iv results and conclusions are offered

taxation corporate financial policy and the cost of capital the cost of capital plays an important role in the allocation of resources among competing uses in a decentralized market system the purpose of this paper is to organize and present what is known and what is hypothesized about the effects of taxation on the incentive to invest via the cost of capital taking full account of important issues that arise independently from the question of taxation included in the analysis is a discussion of empirical findings about the interaction of inflation and taxation in influencing the incentive to invest and a treatment of taxation and uncertainty this abstract was borrowed from another version of this item

on the adjustment speed of smes to their optimal capital structure the aim of this paper is to analyse the speed of adjustment of small and medium sized enterprises smes to the target leverage by applying a system gmm technique to spanish panel data collected during the period 1995 2005 we estimate a partial adjustment model in which both target leverage and speed of adjustment are simultaneously endogenized we provide empirical evidence on the determinants of target leverage and the speed of adjustment more specifically the rate of financial flexibility growth opportunities and size are positively related to the speed of adjustment whereas the distance to the optimal ratio of debt shows a negative impact our findings demonstrate that in terms of sample mean a high percentage of spanish smes adjust rationally to their target additionally the smes analysed appeared to be over levered and fairly motivated to adjust annual adjustment speed 26

technological competition uncertainty and oligopoly abstract in an oligopoly context the present technological choice of a firm which expects to receive private revelant information just prior to the uncertain market stage has both a flexibility value and a strategic commitment value in contrast to some common wisdom ideas we provide a natural two stage competition framework in which an increase in uncertainty always raises the commitment value of the technological choice of the firm and may decrease its flexibility value when the increased uncertainty takes the form of more variable beliefs the first result tends to reinforce therefore the findings of the strategic commitment literature under certainty

strategic bargaining with firm inventories this paper characterizes how a firm s opportunity to sell from its stock of inventories affects the outcome of strategic wage negotiations with a union of workers in equilibrium the union and firm share the benefits from an immediate return to work less the costs of a strike of infinite duration this outcome is equivalent to a nash bargaining solution in which the threat points are the agents expected payoffs should a strike last forever we also demonstrate that for a given level of inventories the wage increases when demand is high conversely given demand the wage falls as inventories rise

the determinants of equilibrium unemployment the paper takes the search and matching model of the aggregate labor market to the data it tests the model s empirical validity and employs structural estimation to generate a characterization of the optimal behavior of firms and workers the model is applied to israeli data that are uniquely suited for this kind of empirical investigation the structural estimates are used to quantify the frictions embodied in the model including the costs of search the congestion and trading externality effects and the matching process a calibration simulation analysis then studies the effect of several key variables on equilibrium unemployment

world crude oil and natural gas a demand and supply model abstract this paper examines world markets for crude oil and natural gas over the period 1918 1999 it analyzes the time series properties of output and prices and estimates demand and supply elasticities during 1918 1973 and 1973 1999 oil and gas prices were stable during the first period they became volatile afterwards reflecting deep changes in the market structure following the oil shock in 1973 demand price elasticities were too low however demand income elasticities were high supply price elasticities were also too low the elasticity estimates help to explain the market power of the oil producers and price volatility in response to shocks and corroborate elasticity estimates in energy studies

do capm results hold in a dynamic economy a numerical analysis in this research we use the projection method reported by judd to find numerical solutions to the euler equations of a stochastic dynamic growth model the mode1 that we solve is brock s asset pricing model for a variety of parameterizations of the production functions using simulated data from the model conjectures which are not analytically tractable can be verified we show that the market portfolio is mean variance efficient in this dynamic context we also show a result that is not available from the static capm theory the efficient frontier shifts up and down over the business cycle

does post ante investment experience matter lessons from fdi in china ample efforts of fdi literature have researched on the motives and determinants of fdi flows based on ex ante conditions little has been studied with regard to the effects of post ante behaviour in determining future investment decisions post ante experience of fdi decisions with regard to foreign investors satisfaction or dissatisfaction and future profit expectations on recurrent decisions are critical this paper thus attempts to investigate fdi in the context of an emerging market environment with emphasis on how environmental and institutional factors and the micro firm effects of how investors post ante views on profits expectations and investment experience would affect mncs decisions on recurrent investment and firm relocation empirical results show that decisions in the short and long run were affected differently by the factors under study specifically the short run decisions were more affected by profit expectations while the long run by post ante experience on investment satisfaction dissatisfaction and environmental and institutional determinants