a fall in construction costs can raise housing rents abstract in all familiar housing market models a drop in construction costs expands the housing stock and lowers rent this letter presents an alternative model in which a fall in construction costs can raise housing rents the mechanism is as follows a fall in construction costs relative to maintenance costs shortens building life with fixed land and fixed lag between demolition and reconstruction built up land drops and with fixed density housing stock drops too this paradoxical result points to the potential importance of incorporating land into housing models

the distribution of daily stock returns and settlement procedures the paris bourse in many countries settlements take place a fixed number of business days after the transaction u s japan in other countries settlements take place periodically on a fixed date when all transactions performed before this date are settled u k france italy in both cases settlement procedures should cause returns not to be identically distributed over all days the effect is likely to be the largest on markets where all trades are settled only once a month an empirical investigation of the largest of those markets the paris bourse demonstrates the importance of the settlement procedure on the distribution of daily returns settlement procedures vary considerably across national stock markets in many countries settlements take place a fixed number of business days after the transaction these countries are referred to in this paper as countries with a fixed settlement lag in other countries settlements take place periodically on a fixed date and all transactions performed before this date are settled then these countries are referred to as countries with a fixed settlement date in both cases settlement procedures should cause returns not to be identically distributed over all days

day of the week effects and asset returns the number of empirical studies using daily stock returns is rapidly increasing researchers generally assume that the distribution of stock returns is identical for all days of the week a convenient statistical assumption but not a necessary condition of market equilibrium nevertheless there are reasons to suspect that the distribution of returns may vary according to the day of the week the most obvious is the impact of weekends on monday s return since monday s return is calculated over three instead of one calender day the mean and variance may well be higher on monday compared with any other daily return perhaps three times as large previous research has examined the daily distribution of stock returns for a monday effect while fama 1965 does not compare daily mean returns he does report that monday s variance is about 20o greater than other daily returns with a traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week contrary to this plausible assumption this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week the most notable evidence is for monday s returns where the mean is unusually low or even negative several explanations of the results are investigated but none proves satisfactory aside from documenting significant day of the week effects the implications of the results for tests of market efficiency are examined while market adjusted returns continue to exhibit day of the week effects these effects are no longer concentrated on monday during the last year we have had many conversations with our colleagues throughout the professions we are particularly thankful to the participants at sessions of the western and american finance associations where preliminary versions of this paper were presented special thanks are due to gene fama gailen hite jon ingersoll robert jarrow merton miller clifford smith and rex thompson the expert research assistance of frank rabinovitch and youngsup yun is gratefully acknowledged 1 the list of papers using daily stock returns is too long to name recent examples include charest 1978 dodd 1980 banz 1981 and reinganum 1981

predictable and profitable price patterns evidence from us interest rates abstract this paper detects a predictable response of short term eurodollar interest rate futures to us employment data during 1988 1993 a simulation with a trading rule derived from this predictable response generates systematic profits thus violating the efficient markets hypothesis

world stock markets some random walk tests 1982 world stock markets some random walk tests applied economics vol 14 no 5 pp 515 531

weak form efficiency in the kuala lumpur and singapore stock markets previous weak form efficiency tests of the kuala lumpur and singapore stock markets have mixed findings but mostly have suggested close conformity with a random walk using a disparate type of sample data over a longer and diverse time period this paper seeks to replicate the earlier investigations of these two thin markets in order to verify whether the previous results may be sample specific the distribution of daily stock returns is also examined to determine the validity of using statistical tests based on the normality assumption results tend predominately to confirm independence of serial stock returns and indicate distinctly nonnormal distributions

the intertemporal relation between the u s and japanese stock markets this paper finds a high correlation between the open to close returns for u s stocks in the previous trading day and the japanese equity market performance in the current period in contrast the japanese market has only a small impact on the u s return in the current period high correlations among open to close returns are a violation of the efflcient market hypothesis however in trading simulations the excess profits in japan vanish when transactions costs and transfer taxes are included the two largest stock markets in the world in terms of capitalization volume and shares listed are the tokyo stock exchange tse and the new york stock exchange nyse because tokyo is 14 hours ahead of new york there is an eight and one half hour difference between the close of the tse and open of the nyse since there is no overlap between the two markets traders or technical analysts may look to the tse as a predictor of market movement on the nyse and or examine changes on the nyse as indicators of tse performance as shown in figure 1 the tse opens at 7 00 p m eastern standard time est and closes at 1 00 a m est 1 the nyse opens at 11 30 p m japanese time 9 30 a m est and closes at 5 00 a m japanese time 4 00 p m est thus there is no common time interval in which both markets are open high correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market if the markets are efficient information about the open to close performance in one market for example the u s return in period t 1 will be fully reflected in the open price of the other market japan in period t for example since new information flows randomly into the market subsequent price changes should be random and the open to close returns in japan will be uncorrelated with the u s returns thus the u s performance should affect the open price in japan and the correlation between the open to close returns of the two markets will be zero early research on the synchronization among stock prices across countries grubel 1968 levy and sarnat 1970 agmon 1972 ripley 1973 lessard

returns and option activity over the option expiration week for s p 100 stocks abstract for s p 100 stocks we find that the weekly returns over option expiration oe weeks a month s third friday week tend to be high relative to 1 the third friday weekly returns of other stocks with less option activity 2 the own stock s other weekly returns 3 the risk based on asset pricing alphas for these same stocks a month s fourth friday weekly returns underperform modestly we suggest the following two avenues are likely partial contributors towards understanding these return patterns 1 delta hedge rebalancing by option market makers with a reduction in short stock hedge positions over the oe week and 2 declining risk perceptions over the oe week as measured by option derived implied volatilities our findings suggest option activity can induce reliable patterns in the weekly returns of option active large cap stocks

examining policies to reduce homelessness using a general equilibrium model of the housing market in this paper we use a general equilibrium simulation model to assess the potential impacts on homelessness of various housing market policy interventions we calibrate the model to the four largest metropolitan areas in california we explore the welfare consequences and the effects on homelessness of three housing market policy interventions extending housing vouchers to all low income households subsidizing all landlords and subsidizing those landlords who supply low income housing our results suggest that a very large fraction of homelessness can be eliminated through increased reliance upon well known housing subsidy policies 2002 elsevier science usa all rights reserved jel classification h2 h3 r2

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

trading volume and autocorrelation empirical evidence from the stockholm stock exchange abstract in accordance with studies for other markets swedish index returns exhibit high autocorrelation a after days of above average performance of the stock market b after low absolute returns c when trading volume is low and d following fridays contrary to the non synchronous trading and the transaction cost hypotheses all results extend to individual stock returns it is concluded that autocorrelation patterns are related to the trading patterns of individual investors and not the cross security information processing of the market in particular the observed autocorrelation structure corresponds to feedback trading

the turn of the year in canada a number of investigators have reported that january stock returns in the u s exceed returns for other months of the year this paper documents a similar finding for canadian stocks over the period 1951 1980 however canada did not introduce a capital gains tax until 1973 and the paper reports that january returns in canada exceed returns for other months of the year before and after this date thus these data do not support the tax loss selling pressure hypothesis as the entire explanation for the turnof the year effect in stock returns nor by implication do they support the tax lossselling pressure hypothesis as the complete explanation for the small firm effect in u s stocks returns recently keim 9 has reported that returns on nyse and ase firms with small market values exceed by significant margins returns on firms with large market values this result was previously reported by banz 1 and reinganum 11 but keim s analysis shows that most of the excess return for small firms is concentrated in january indeed it is concentrated in the first two weeks in january roll 13 also documents this phenomenon and investigates a number of possible explanations for it 2 after rejecting several possible nonexploitable explanations roll is left with year end tax loss selling pressure of the sort discussed by branch 2 dyl 5 and givoly and ovadia 6 as the most likely explanation of this result according to the tax loss selling pressure hypothesis toward the end of the year stockholders sell stocks that have declined in price during the year investors do this to take advantage of the opportunity to write off capital losses against ordinary income in computing their federal income taxes the year end sell off exerts downward pressure on stock prices as soon as the tax and calendar year ends the selling pressure is relieved and stock prices quickly rebound to their equilibrium levels roll 13 presents some evidence consistent with this hypothesis specifically he finds a negative correlation between stock returns in january and returns over the previous 12 months that is stocks that decrease in value during the year tend to be big gainers in january roll also finds that

patterns in japanese common stock returns day of the week and turn of the year effects stock markets in the united states and foreign countries exhibit a strong weekly seasonal 1 an empirical regularity for which no theoretical explanation has been found one s belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the united states by distance institutional arrangements and culture this paper extends the results found in 5 and more closely examines the day to day stock market returns for japan while we find a weekly seasonal in japan its nature is significantly different in a statistical sense from the american one for example the lowest mean return in japan occurs on tuesday not monday as in the united states thus while the day of the week effect for american stocks has been casually called the weekend effect it should not be referred to in this way for japanese stocks the next part of the paper examines causes for the unique japanese seasonal we investigate whether the results in japan are associated with those in the united states and in particular consider whether the low tuesday return in japan and the low monday return in the united states are due to time zone differ ences the settlement process and the measurement error problem also are treated we next consider the relationship between foreign exchange returns and stock market returns the seasonal in daily foreign exchange returns does not offset the seasonal in daily stock market returns thus both japanese and american investors confront a day of the week effect in the japanese stock mar ket our data also allow us to investigate the turn ofthe year effect japanese stock returns in january are significantly above the returns during the rest of the year however unlike some reports using u s data see 12 and 13 we find no interaction in japan between the monday effect and the january effect

stochastic asymmetric blotto games some new results stochastic asymmetric blotto games some new results john duffy abstract blotto games alexander matros we develop some new theoretical results for stochastic asymmetric keywords colonel blotto game contests resource allocation lotteries jel classification nos c72 c73 d72 d74 1 introduction the colonel blotto game borel 1921 is a two player non cooperative game in which players decide how to allocate their given resources across battlefields in borel s original version of this game the player who allocates the most resources to any given battlefield wins that battlefield with certainty the players objective function is either to maximize the sum of the value of the battlefields won or to win a majority value of the battlefields in this paper we study stochastic asymmetric versions of the blotto game under both of these objective functions in an asymmetric blotto game the values of the battlefields may di er from one another though these di erent values are common to all players in the stochastic asymmetric version of the blotto game the deterministic rule for determining which player wins each battlefield is replaced by a lottery contest success function where the chances of winning a given battlefield are increasing with the amount of resources devoted to that battlefield this stochastic lottery specification makes the payo function continuous as a result if a nash equilibrium exists it is unique and in pure strategies as opposed to the multiplicity of typically mixed strategy equilibria that arise in deterministic versions of the blotto game there are two main theoretical papers about stochastic asymmetric blotto games 1 the first one friedman 1958 considers two players who seek to maximize their expected total payo we show that friedman s result can be extended to any number of players the second paper lake 1979 was the first to study the stochastic asymmetric majority rule blotto game 2 this version of the game is particularly relevant to understanding electoral competitions in two party systems e g the electoral college system for electing the u s president lake studied only the case of equal budget constraints we show that if players budgets are the same as in lake or if they are su ciently similar and the number of items battlefields is not too large then resource allocation under the majority rule version of the stochastic asymmetric blotto game is proportional to the banzhaf power index for each item while more generally resource allocation for a particular item will not be proportional to each item s banzhaf power index our findings thus generalize those of lake 1979 department of economics university of california irvine email du y uci edu moore school of business university of south carolina and lancaster university management school email alexander matros gmail com see kovenock and roberson 2012 for a broader survey of the blotto game literature we discovered lake s 1979 paper only after we had completed our analysis his proofs are di erent from ours but his main result coincides with our prediction for the case of equal budgets we thank steve brams for providing this reference

anomalies or illusions evidence from stock markets in eighteen countries abstract this paper examines five seasonal patterns in stock markets of eighteen countries the weekend turn of the month end of december monthly and friday the thirteenth effects we find a daily seasonal in nearly all the countries but a weekend effect in only nine countries interestingly the daily seasonal largely disappears in the 1980s the last trading day of the month has large returns and low variance in most countries many countries have large december pre holiday and inter holiday returns the january returns are large in most countries and a significant monthly seasonal exists in ten countries

private information trading volume and stock return variances new evidence is provided on the determinants of stock return variances first when the tokyo stock exchange is open on saturday the weekend variance increases weekly variance is unaffected however despite an increase in weekly volume second the listing of u s stocks in tokyo substantially increases the number of trading hours but tokyo volume is negligible for these u s stocks and their 24 hour variance is unaffected the overall results are consistent with the predictions of private information based rational trading models but inconsistent with both the irrational trading noise and public information hypotheses

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

a statistical model of speculative bubbles with applications to the stock markets of the united states japan and china it is common knowledge that the more prices deviate from fundamentals the more likely it is for prices to reverse taking this into account we propose a simple statistical model to identify speculative bubbles in financial markets through the estimates of the time varying parameters including transition probabilities we can identify when and how newly born bubbles grow and burst over time the model can be estimated by recursive computations which require a huge storage capacity for standard computers for this reason we introduce an approximation in the computation maintaining the recursive nature of our estimation technique we then apply this model to the stock markets of the united states japan and china estimate its parameters and the probabilities of a bubble crash and obtain several interesting results the time series data of the stock price bubble show an inherently non stationary development and the probability of a bubble crash indeed increases as the stock price becomes too high or too low

pre holiday effects international evidence on the decline and reversal of a stock market anomaly abstract the pre holiday effect is one of the best known of the calendar effect anomalies this paper extends prior work by examining whether the effect has declined for the u s u k and hong kong markets for all three markets the effect is shown to have declined but only significantly in the u s the result is not surprising given the relative sophistication of the market what is surprising however is the reversal of the pre holiday effect during the period 1991 1997 with the mean return on pre holiday days becoming negative and the subsequent elimination of this effect during 1997 2003

rational choice and turnout turning out to vote is the most common and important act of political participation in any democracy voting is also less well understood and explained empirically than other political acts engaged in regularly by citizens turnout however presents a special problem for rational choice theories of politics for it is taken to be the paradigmatic example of the problem of collective action in which although all may benefit from voting it is rarely in the individual s self interest to vote this paper begins by examining the problem of explaining turnout a basic form of rational choice models of turnout is developed basic in the sense that it is common to all such models this basic model is shown to be incomplete and the two most important models the calculus of voting and the minimax regret model are illustrated as alternative ways to complete this basic model along with mention of game theoretic models their strengths and weaknesses are then assessed the remainder of the paper argues that rational choice accounts of turnout are possible the first step is to argue that turnout is not an especially problematic version of the collective action problem because it is for many a low cost low expected benefit decision a strategic politicians account of turnout and campaigns is examined next a reinterpretation of the intrinsic benefits of voting is then considered and is used to examine the most important substantive problem in the turnout literature its decline these steps i argue make theories of ordinary political decisions at once both more political and more integrated into the politics of the larger system

homeless in america homeless in california it is generally believed that the increased incidence of homelessness in the united states has arisen from broad societal factors such as changes in the institutionalization of the mentally ill increases in drug addiction and alcohol usage and so forth this paper presents a comprehensive test of the alternate hypothesis that variations in homelessness arise from changed circumstances in the housing market and in the income distribution we assemble essentially all the systematic information available on homelessness in u s urban areas census counts shelter bed counts records of transfer payments and administrative agency estimates we estimate similar statistical models using four different samples of data on the incidence of homelessness defined according to very different criteria our results suggest that simple economic principles governing the availability and pricing of housing and the growth in demand for the lowest quality housing explain a large portion of the variation in homelessness

is there a monthly effect in stock market returns evidence from foreign countries abstract in a recent paper ariel documents a monthly pattern for u s stock market returns our paper examines this pattern of returns in four other countries we find only weak evidence supporting this phenomenom in these foreign markets just one country exhibits a significant seasonal consistent with ariel s work however we do find stronger evidence of a last day of the month effect in addition there is evidence of a country unique monthly pattern i e one that is not consistent with the u s pattern

anomalies weekend holiday turn of the month and intraday effects abstract this feature will report successful searches for disconfirming evidence economic anomalies as suggested by thomas kuhn an economic anomaly is a result inconsistent with the economics pa

investigating the behavior and characteristics of the madrid stock exchange abstract this study examines the efficiency and characteristics of the nine major indexes of the madrid stock exchange from 1941 through 1992 the findings do not support weak form efficiency among the general bank construction investment metal working and chemical indexes results of the utility food and communications index tests are not consistent

from t bills to common stocks investigating the generality of intra week return seasonality the authors investigate the extent to which intra week seasonality still exists and whether its pattern is uniform across three stock indices and treasury bonds with seven different maturities they find that intra week seasonality continues to be significant and that its pattern is not uniform either between the stock indices and the treasury bonds or even among the bonds alone a pattern shared by stocks and bonds is that monday returns become increasingly negative with maturity these findings suggest that neither institutional nor general equilibrium explanations by themselves can explain the pattern of intra week seasonality in securities markets

us day of the week effects and asymmetric responses to macroeconomic news abstract this study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining us day of the week effects macroeconomic news is measured by movements in large firms stock prices the average response of smaller stocks to these movements is abnormally high on mondays especially in down markets after corrections for these asymmetries the us day of the week effect weakens substantially for most size ranked portfolios in most of the six approximately equal subperiods between 1962 and 1992 these findings suggest that seasonals in processing macroeconomic news account for much of the day of the week effect in equity returns

holiday effects and stock returns further evidence this paper provides further evidence of the holiday effect in stock returns and additional insight into the effect this paper reports abnormally high returns on the trading day before holidays in all three of the major stock markets in the u s the nyse amex and nasdaq the holiday effect is also present in the u k and japanese stock markets even though each country has different holidays and institutional arrangements this study finds that the holiday effects in the u k and japanese stock markets are independent of the holiday effect in the u s stock market unlike the other seasonal patterns in stock returns such as january and weekend effects this investigation of size decile portfolios shows that the size effect is not present in mean returns on preholidays

a further investigation of the weekend effect in stock returns this study uses a longer time period and additional stocks to further investigate the weekend effect we find consistently negative monday returns 1 for the s p composite as early as 1928 2 for exchange traded stocks of firms of all sizes and 3 for actively traded over the counter otc stocks the otc results are based on bid prices and therefore appear to reject specialist related explanations for the 30 individual stocks of the dow jones industrial index the average correlation between friday and monday returns is positive and the highest of all pairs of successive days the latter finding is inconsistent with fairly general measurement error explanations some of the most puzzling empirical findings reported in recent years indicate that the distribution of common stock returns varies by day of the week most notably the average return for monday close friday to close monday is significantly negative cross 3 and french 6 find negative monday returns using the standard and poor s composite index and gibbons and hess 7 find negative monday returns for the 30 individual stocks of the dow jones industrial index 1 this negative monday return or weekend effect has yet to be explained this study undertakes a further investigation of the weekend effect in stock returns we examine additional time periods extending the total period covered to 55 years we examine additional stocks such as those of small low capitalization firms and those traded over the counter in all cases the data exhibit a weekend effect that is at least as strong as that reported in previous studies the study also readdresses potential explanations for the effect such as measurement error but concludes that none of these explanations is satisfactory the first section presents a history of the weekend effect from 1928 through 1982 based on the standard and poor s composite index we essentially double the length of the period beginning in 1953 examined by french 6 the results indicate consistently negative monday returns throughout the 55 year period during much of the 25 year period from 1928 through 1952 the new york stock exchange was open on saturdays so monday s return is then computed from saturday s close to monday s close 2 these returns for one day weekends are consistently negative and not significantly different from the two day weekend

misspecification of capital asset pricing this study documents empirical anomalies which suggest that either the simple one period capital asset pricing model capm is misspecified or that capital markets are inefficient in particular portfolios based on firm size or earnings price e p ratios experience average returns systematically different from those predicted by the capm furthermore the abnormal returns persist for at least two years this persistence reduces the likelihood that these results are being generated by a market inefficiency rather the evidence seems to indicate that the equilibrium pricing model is misspecified however the data also reveals that an e p effect does not emerge after returns are controlled for the firm size effect the firm size effect largely subsumes the e p effect thus while the e p anomaly and value anomaly exist when each variable is considered separately the two anomalies seem to be related to the same set of missing factors and these factors appear to be more closely associated with firm size than e p ratios

day of the week effect on the paris bourse abstract we present evidence on the day of the week effect on a stock market with a particular settlement procedure the paris bourse a strong and persistent negative return is found on tuesdays a similar result was previously found for japan and australia the settlement procedure is shown to have an effect on the distribution of daily returns consistent with forward pricing theory it cannot explain the negative tuesday return after adjusting for this settlement effect the mean return on mondays is the largest in the week a result at odds with the evidence in the u s a

religious holidays investor distraction and earnings announcement effects abstract we examine price reactions to u s firms earnings announcements during easter week in order to analyze whether and how the religious holiday calendar impacts investors information processing we find that there is an asymmetric pattern of immediate and delayed responses to earnings surprises experienced during easter entailing similar immediate reactions to both good and bad news and a stronger delayed response to bad news moreover local religious characteristics affect investor s response to firm news the results are consistent with a religion induced distraction effect on investors information processing ability we also show that this effect can form the basis for a profitable trading strategy the findings highlight the importance of religion for firms information environment and for the local component of stock prices

day of the week and intraday effects in stock returns abstract this study examines day of the week effects using hourly values of the dow jones industrial average we find that over the 1963 1983 period the weekend effect has sifted from characterizing active trading on monday to characterizing the non trading weekend over the early part of our sample period negative returns characterize each hour of trading on monday while the return from friday close to monday open is positive in the most recent subperiod monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from friday close to monday open

how the electoral college influences campaigns and policy the probability of being florida this paper analyzes how us presidential candidates should allocate resources across states to maximize the probability of winning the election by developing and estimating a probabilistic voting model of political competition under the electoral college system actual campaigns act in close agreement with the model there is a 0 9 correlation between equilibrium and actual presidential campaign visits across states both in 2000 and 2004 the paper shows how presidential candidate attention is affected by the states number of electoral votes forecasted state election outcomes and forecast uncertainty it also analyzes the effects of a direct national popular vote for president

window dressing by pension fund managers this paper takes a first look at investment strategies of managers of 769 pension funds with total assets of 129 billion at the end of 1989 the data show that managers of these funds tend to oversell stocks that have performed poorly relative sales of losers accelerate in the fourth quarter when funds portfolios are closely examined by the sponsors this result supports the view that fund managers window dress their portfolios to impress sponsors and suggests that managers are evaluated on their individual stock selections and not just aggregate portfolio performance this abstract was borrowed from another version of this item

paths to victory in presidential elections the setup power of noncompetitive states in us presidential elections voters in noncompetitive states seem not to count and have zero power according to standard measures of voting power because they cannot influence the outcome in their states but the electoral votes of these states are essential to a candidate s victory so they do count but in a different way we propose a simple model that enables us to measure the setup power of voters in noncompetitive states by modeling how these states structure the contest in the competitive states as illustrated by the 2012 2008 2004 and 2000 presidential elections we define three measures of setup power winningness vulnerability and fragility and show how they pinpoint the advantages of the candidate who leads in electoral votes of noncompetitive states in fact this candidate won in all four elections

can tax loss selling explain the january effect a note the january effect remains an unexplained phenomenon in financial economics that the month of january has consistently shown higher mean stock returns than other months has been documented by several researchers beginning with rozeff and kinney 19 additional research by keim 14 showed that approximately half the annual size effect is attributable to abnormal returns in january 1 roll 18 confirmed keim s results as has subsequent research such as lakonishok and smidt 15 2 the most often advanced explanation for the january effect is tax motivated transactions 3 first proposed in 1942 by wachtel 21 the tax loss selling hypothesis is frequently advocated in the popular press as a major influence on stock price behavior essentially this hypothesis states that investors seek to reduce their taxes by realizing losses at year end thereby depressing stock prices stocks return to equilibrium levels after year end providing abnormally high returns in january despite the popularity of the tax loss selling hypothesis it is difficult to justify upon serious reflection justification requires acceptance of the proposition that speculators are prevented from purchasing tax loss candidates before year end with the intention to sell them after year end no theoretical justification has been presented for the hypothesis instead using both theoretical and empirical approaches constantinides 5 argues that such action cannot explain the january effect if the market is efficient 4 his results imply that empirical studies supporting the tax loss selling hypothesis provide evidence of market inefficiency as for the empirical evidence branch 3 dyl 8 roll 18 reinganum 17 and givoly and ovadia 10 have provided support for the tax loss selling hypothesis 5 recently schultz 20 tested the tax explanation by examining the

day of the week effects in financial futures an analysis of gnma t bond t note and t bill contracts this paper provides a comprehensive study of weekly seasonal effects in gnma t bond t note and t bill futures returns two distinct patterns are found in returns on gnma t bond and t note contracts while no seasonals are noted for t bill futures a negative monday seasonal similar to the well known monday effect in stock returns is found for gnma and t bond contracts a positive tuesday seasonal is found on gnma t bond and t note contracts our evidence indicates that the significance of weekly sea sonals depends in an important way on the time period studied the negative monday phenomenon occurs only in the data before 1982 while the positive tuesday effect is present only after 1984 in addition we find that both seasonal phenomena occur only during months prior to a delivery month this effect appears to be related to the calendar month more specifically the monday effect is apparently concentrated during february while the tuesday effect is concentrated during may

new findings regarding day of the week returns over trading and non trading periods a note this paper decomposes daily close to close returns into trading day and non trading day returns we discover that all of the average negative returns from friday close to monday close documented in the literature for stock market indexes occurs during the non trading period from friday close to monday open in addition average trading day returns open to close are identical for all days of the week january firm size turn of the year anomalies are shown to be interrelated with day of the week returns

the saturday effect an interesting anomaly in the saudi stock market the vast majority of empirical research on calendar anomalies has studied financial markets in countries where the western calendar is used this article investigates day of the week effects in saudi arabia s stock market where an islamic calendar is used and where saturday is the first working day of the week over the sample period considered the saudi stock market is the largest in the gulf region and we consider both total market data the tasi index and data for 15 sector indices our investigation reveals the existence of a positive saturday effect which contrasts with the results on first day of the week effects that are typically obtained for western calendar markets

seasonality estimation in thin markets the greater availability of daily data in the u s has led to a number of studies of the seasonality of daily stock index returns while the studies recognized the potential impacts of nontrading and price adjustment delays in general no formal analyses of such impacts were presented in this paper analytic results are presented for the articulation between these phenomena the implications of the analysis are discussed and shown to be consistent with a sample of u k index data a modified form of the negative weekend effect is found to be present in the u k data analyzed tests for the presence of seasonality in equity returns have been carried out by a number of authors at both the monthly and daily return levels at the monthly level rozeff and kinney 18 discovered evidence of seasonality in the u s while officer 15 detected the presence of seasonality in australian data fama 7 carried out some early work on u s daily data and more recent contributions have been made by cross 5 french 9 and gibbons and hess 10 while these studies recognized the presence of thin trading and its potential impacts upon the experimental results no formal analyses were presented in this paper we derive analytic results for the articulation between seasonality and nontrading effects section i the implications of this analysis are tested using a sample described in section ii of u k daily index data2 in section iii section iv discusses the implications of the results for capital market efficiency finally

technological progress in a model of the housing land cycle abstract a stationary state perfect foresight model is developed in which housing and land are treated as investment assets convertible to each other at some cost investors hold either land or housing and are heterogeneous in the i i d idiosyncratic shocks to their conversion costs in every time period hence there are endogenously determined probabilities that a unit of land will be converted to housing construction probability and that a unit of housing will be converted to land demolition probability in any given time period this model is used to analyze the effects of a decrease in construction cost on the asset prices of land and housing on housing rent and on the stationary stocks of land and housing a decrease in construction cost always raises land values may either raise or lower housing values and increases both the construction and demolition probabilities the housing stock increases decreases if the construction probability increases proportionally more less than the demolition probability since housing rent is inversely related to the stock of housing the fall in construction costs may cause rents to rise thus paradoxically technological progress may hurt renters the moral of the model is important in contrast to models of the housing market without land or to models in which land price is exogenous the long run supply price of housing is not fully determined by construction cost but depends as well on demolition cost and on the endogenous value of land

the behaviour of hong kong stock prices the primary function of a stock market is to allocate resources to the most profitable investment opportunities if stock prices provide accurate signals for resource allocation firms are able to make correct production investment decisions and investors are able to choose the most suitable stocks for investment these choices are only possible if the market is efficient that is if stock prices fully reflect all available information hong kong is now an international financial centre although hong kong s stock market is ranked as one of the five largest in the world in terms of turnover little research has been devoted to the behaviour of its stock prices this is a study of the efficiency of hong kong s stock market it is based upon two widely accepted statistical tests namely serial correlation analysis and runs tests data used cover the daily prices of 28 major hong kong stocks over a period of four years from 1977 to 1980 the evidence is mixed it does not provide clear support for the e

the wandering weekday effect in major stock markets this paper reports a wandering weekday effect the pattern of day seasonality in stock market returns is not fixed as assumed in the monday or weekend effects but changes over time analysing daily closing prices in eleven major stock markets during 1993 2007 our results show that the wandering weekday is not conditional on average returns in the previous week the twist in the monday effect nor does it diminish through the period of analysis the results have important implications for market efficiency and help to reconcile mixed findings in previous studies including the reported disappearance of the weekday effect in recent years

high stock returns before holidays existence and evidence on possible causes on the trading day prior to holidays stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year over one third of the total return accruing to the market portfolio over the 1963 1982 period was earned on the eight trading days which each year fall before holiday market closings examination of hourly pre holiday stock returns reveals high returns throughout the day pre holiday stock returns in the post test 1983 1986 period are also examined this paper explores a seeming empirical regularity in the pattern of daily stock index returns surrounding holidays the trading day prior to holidays on average exhibits high positive returns over one third of the return earned by the market over the twenty year test period accrued on the eight trading days which annually fall before holidays intimations of the pre holiday strength have appeared in the academic literature in an examination of the frequency of dow jones industrial average advances on days surrounding weekends during the 1901 to 1932 period fields 1934 finds a disproportionate frequency of advances on trading days preceding long holiday weekends roll 1983a finds high returns accruing to small firms on the trading day prior to new year s day lakonishok and smidt 1984 note that prices also rise in all deciles of market capitalization on the last trading day before christmas and conclude that the high christmas returns of large companies might be considered another mystery a number of stock market advisors have also noted the pre holiday strength merrill 1966 finds a disproportionate frequency of dow jones industrial average advances on days preceding holidays during the 1897 to 1965 period and fosback 1976 has noted high preholiday returns in sp further hourly returns and closing bid ask data are examined to determine when high returns accrue on preholidays tests are also conducted showing that pre holiday strength is not

causes of intercity variation in homelessness homelessness in america has become a major policy concern in recent years following estimates by a number of researchers in the 1980 s that suggested as many as a half million homeless 1 the 1990 census places the current number at around a quarter of a million efforts to design policies to deal with this problem have been handicapped by a lack of systematic analysis of the causes of homelessness 2 policymakers have had little guidance from researchers in determining the relative importance of such potential causes of homelessness as tight housing markets slack labor markets reductions in real publicassistance benefits tightening of eligibility requirements for public assistance and noninstitutionalization of the mentally ill to assess the relative importance of these and other factors we used estimates by the department of housing and urban development hud of the homeless population in a cross section of metropolitan areas in 1984 we do not attempt in this paper to develop a full structural model of homelessness rather we present reduced form findings as a first attempt to measure comprehensively and systematically the underlying causes of homelessness 3 we assume in this paper that homelessness results from an imbalance between the cost of available housing and a household s income such an imbalance may occur for example when housing markets are tight relative to labor markets and housing costs are therefore high relative to earnings or to alternative resources such as public assistance investigation of the causes of homelessness must go beyond housing markets alone however because of the special characteristics of the population at risk and the public policies that address their needs transfer payments and policies regarding institutionalization of the mentally ill for example should be important determinants of the incidence of homelessness but are not part of a standard housing model since homelessness represents the end of a spectrum of poor housing outcomes we also estimate equations for two related conditions crowded and doubled up housing these are often cited as causes of homelessness but are in fact different manifestations of the same underlying relationship between housing costs and household resources 4 department of economics hunter college cuny 695 park avenue new york ny 10021 this research was supported by the institute for research on poverty under the small grants program and the university committee on research of the city university of new york the authors thank steve bartolomeihill howard chernick steven craig martha hill charles manski kathryn nelson and cordelia reimers for helpful comments and franco pignataro for his unusually meticulous programming assistance see filer and honig 1990 for a detailed discussion of estimates of the size and growth of the homeless population 2most studies have focused on the size of the homeless population and its demographic characteristics a few analyses have examined a limited range of potential causes of homelessness f stevens redburn and terry f buss 1986 examined the roles of population growth climate and housing conditions william tucker 1987 and john m quigley 1990 focused on the role of rent control karin ringheim 1990 analyzed in depth a small sample of metropolitan areas 3we view this effort as preliminary to a more detailed analysis we intend to undertake when complete data from the 1990 census which enumerates the homeless population become available 4most previous economic analyses of housing markets have not focused on the decision of whether to share housing demographers on the other hand have long studied this issue when examining family formation and living arrangements among economists a notable exception is the study by axel borsch supan and john pitkin 1988 who focused on the choice between renting purchasing and sharing housing we are concerned in this paper with the other margin where individuals and families chose between sharing housing and entering the homeless shelter system such

pivotal states in the electoral college 1880 to 2004 this paper presents an empirical measure of pivoting in the electoral college from 1880 to 2004 the measure derives from established theoretical concepts of power and pivoting first introduced by shapley and shubik am political sci rev 84 787 792 1954 pivotal states identified by this approach generally conform to popular interpretations ohio in 2004 florida in 2000 and so forth but historically pivotal states are also frequently small or medium sized states also pivotal states by this approach are not necessarily competitive states in general whether or not a state is pivotal is mainly a function of its size and bellwether tendency i e its tendency to mirror the national voting trend a state s pivot position is also an excellent predictor of how presidential candidates allocated time and money across states in the general elections of 2000 and 2004 controlling for a state s pivot position size and electoral competitiveness have little effect on the allocation of campaign resources

turn of month evaluations of liquid profits and stock returns a common explanation for the monthly and january effects this paper presents and tests a hypothesis that the standardization of payments in the united states at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month the hypothesis also asserts that returns generally will be greater following the month of december and will vary inversely with the stringency of monetary policy empirical results using stock index returns for 19691986 support the hypothesis this analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the january effect in a recent paper ariel 1987 documents an important empirical regularity in stock returns and terms it the monthly effect using value weighted and equally weighted daily stock index returns for the period 1963 1981 ariel shows that virtually all of the cumulative return on these indexes is realized on ten consecutive trading days of the calendar month beginning with the last trading day of the month and extending through the first nine trading days of the following month ariel considers various explanations for this phenomenon but none sufficed to explain the observed empirical regularity p 174 more recently lakonishok and smidt 1988 examine returns on the dow jones industrial average index for the period 1897 1986 and find that significant mean daily returns are realized consistently on only four consecutive trading days of the calendar month beginning with the last trading day of the month these trading days will henceforth be referred to as the turn of month trading days ariel s and lakonishok and smidt s tests indicate that the monthly effect is not merely another manifestation of the previously documented january effect rozeff and kinney 1976 first documented that average stock index returns in january are higher than in any other month keim 1983 and others find that the surge in january returns is largely confined to stocks of small firms and to the first few trading days in january branch 1977 and others have suggested that the surge in january returns is due to year end tax loss selling and subsequent repurchases in january studies by roll 1983 reinganum 1983 ritter 1988 and others provide evidence consistent with the tax loss selling

the day of the week effects on the volatility the role of the asymmetry in this paper we propose to evaluate whether asymmetry influences the day of the week effects on volatility we also investigate empirically the impact of the day of the week effect in major international stock markets using garch family models from a forecast framework indeed the existence of calendar effects might be interesting only if their incorporation in a model results in better volatility forecasts

the impact of stock index futures trading on daily returns seasonality a multicountry study in this article we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets it has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean returns and generally our results support this conclusion the impact of index futures introduction on return autocorrelations and volatility is also tested and the evidence presented suggests that futures trading has no impact on the former although a change in the seasonal for the latter was detected

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

turn of month and pre holiday effects on stock returns some international evidence abstract this study examines turn of month and pre holiday effects on international markets turn of month effects are significant in canada the uk australia switzerland and west germany pre holiday effects are significant in canada japan hong kong and australia the absence of these effects in certain markets suggests that they originate from country specific institutional practices all countries exhibiting pre holiday effects do so before local holidays only hong kong does so before us holidays this reinforces the conclusion that such anomalies are not generated solely by american institutions

efficiency of the turkish stock exchange with respect to monetary variables a cointegration analysis in this study we test the semistrong form of the efficient market hypothesis in turkey by using the recently developed techniques in time series econometrics namely unit roots and cointegration the long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect conclusions are made as to the efficiency of the turkish stock exchange and its possible implications for investors to our knowledge this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics

are seasonal anomalies real a ninety year perspective in recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return in addition to the widely studied relation between firm size and rate of return 1 these include seasonal regularities related to the time of the day harris 1986 the day of the week see ball and bowers 1986 cross 1973 french 1980 gibbons and hess 1981 jaffe and westerfield 1985 keim and stambaugh 1984 and lakonishok and levi 1982 the time of the month ariel 1987 and the turn of the year see haugen and lakonishok 1988 jones pearce and wilson 1987 lakonishok

why noncompetitive states are so important for understanding the outcomes of competitive elections the electoral college 1868 2016 brams and kilgour public choice 170 99 113 2017 begin their recent essay on the electoral college ec by pointing out the obvious but nonetheless regularly neglected fact that noncompetitive states may have a decisive impact on ec outcomes and shape the electoral strategies of the candidates in the competitive states especially if there is asymmetry in the partisan balances in the non competitive states their contribution is to offer combinatorics insights into the implications of such asymmetries in the form of three new indicators winningness vulnerability and fragility they then explore the magnitude and effects of these three measures for the presidential elections of 2000 2004 2008 and 2012 the major contribution of this note is to extend their analyses of these measures to an additional 34 elections every election in the modern two party post civil war era from 1868 to 2016 we find the winningness measure to predict very well over the entire set of 38 presidential elections inspired by their work we also offer a new and simpler metric for partisan asymmetries in noncompetitive states and show how it can predict the expected closeness of ec outcomes as well or better than the more complex combinatorics measures they propose

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

skewness persistence in common stock returns recent empirical studies have found ex post common stock returns to be consistently positively skewed the frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980 however the skewness of individual stocks and portfolios of stocks does not persist across different time periods positively skewed equity portfolios in one period are not likely to be positively skewed in the next time period past positively skewed returns do not predict future positively skewed returns

a twist on the monday effect in stock prices evidence from the u s and foreign stock markets abstract one of the most unusual empirical results in finance is the significantly negative average return on the stock market on mondays the present paper documents a twist on this effect we find that abnormally low returns on monday seem to follow stock market declines in fact the monday effect virtually disappears when the market has previously risen cross keim stambaugh and jaffe westerfield point out that monday s return is positively correlated with the previous friday s return surprisingly our findings hold even after one accounts for this friday monday correlation

a transaction data study of weekly and intradaily patterns in stock returns abstract weekly and intradaily patterns in common stock prices are examined using transaction data for large firms negative monday close to close returns accrue between the friday close and the monday open for smaller firms they accrue primarily during the monday trading day for all firms significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens on monday mornings prices drop while on the other weekday mornings they rise otherwise the pattern of intraday returns is similar on all weekdays most notable is an increase in prices on the last trade of the day

volume and turn of the year behavior abstract this paper studies the trading characteristics of listed companies by size and year end behavior there were no transactions on nearly 25 of the days for the smallest decile even at the turn of year which is an active trading period for small companies as a result of low levels of trading and the regulations governing exchange specialists transaction prices and quotations of small listed companies may require several days to fully reflect equilibrium price changes the data confirm the existence of a year end seasonal pattern in rates of return for small companies and suggest that there may be a seasonal pattern for large companies as well

superstitious seasonality in precious metals markets evidence from garch models with time varying skewness and kurtosis in this article we analyse whether the friday the 13th effect documented by kolb and rodriguez 1987 can be observed in precious metals markets specifically we use dummy augmented garch models to investigate the impact of this specific calendar day on the conditional means of gold silver palladium and platinum returns the specification of the garch model follows a flexible class recently proposed by leon et al 2005 that incorporates time varying skewness and kurtosis by applying a gram charlier series expansion of the normal density function our results for the period from july 1996 to august 2013 provide three important insights first there is no evidence that human superstition regarding bad luck fridays affects precious metals markets in a negative way i e returns on fridays the 13th are not significantly lower than on regular fridays second besides showing robustness in a variety of settings we can confirm this main result in a sensitivity check where we replace the dummy variables

weekend effects on stock returns a comment in a recent note in this journal lakonishok and levi 3 hereafter ll offer a partial explanation for the intraweek pattern of daily stock market returns observed by french 1 gibbons and hess 2 and others their hypothesis that the weekend effect abnormally high returns to common stocks on fridays and negative returns to common stocks on mondays can be explairned by settlement procedures and check clearing delays is an intriguing conjecture however the empirical evidence presented below supports the hypothesis that settlement clearing procedures are not a major determinant of this weekly pattern of stock market returns

random walk tests for the lisbon stock market this article reports the results of tests on the weak form market efficiency applied to the psi 20 index prices of the lisbon stock market from january 1993 to december 2006 as an emerging stock market it is unlikely that it is fully information efficient but we show that the level of weak form efficiency has increased in recent years we use a serial correlation test a runs test an augmented dickey fuller adf test and the multiple variance ratio test proposed by lo and mackinlay 1988 for the hypothesis that the stock market index follows a random walk nontrading or infrequent trading is not an issue because the psi 20 includes only the 20 most traded shares the tests are performed using daily weekly and monthly returns for the whole period and for five sub periods which reflect different trends in the market we find mixed evidence but on the whole our results show that the portuguese stock market index has been approaching a random walk behaviour since 2000 with a decrease in the serial d

losing sleep at the market the daylight saving anomaly reply motivated by the recent flurry of activity in sleep research this paper explores the connection between sleep disruptions following spring and fall clock shifts associated with daylight savings time and equity returns it is shown that the weekend effect in the form of the lower than expected friday to monday returns is particularly pronounced for the two weekends involving daylight savings clock changes this abstract was borrowed from another version of this item