mean reversion in short horizon expected returns this article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter horizon weekly expected returns the most striking aspect of our findings is that the rapid mean reversion in short horizon expected returns implies much greater variation through time in monthly expected returns than has been documented in earlier studies for instance during the 1962 to 1985 period over 25 percent of the return variance of small firms can be explained by time variation in expected returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

conditional and unconditional food demand elasticities in a dynamic multistage demand system this paper estimates conditional and unconditional demand elasticities in a three stage analysis of consumer demand for food and non food items in greece a dynamic version of the aids model is specified and estimated and full system misspecification tests applied correction formulas for price and expenditure elasticities are used to calculate unconditional elasticities from conditional demand sub systems all food items rank as price inelastic deviations between the calculated conditional and unconditional price and expenditure elasticities are found to be significant demonstrating the importance of correcting conditional elasticities before they can be used for policy purposes or welfare analyses

an econometric analysis of the european commission s merger decisions abstract using a sample of 96 mergers notified to the european commission and logit regression techniques we analyse the commission s decision process we find that the probability of a phase 2 investigation and of a prohibition of the merger increases with the parties market shares the probabilities increase also when the commission finds high entry barriers or that the post merger market structure is conducive to collusion we do not find significant effects of political variables such as the nationality of the merging firms

the impact of bse on the demand for beef and other meats in great britain indices of media coverage of bse are incorporated in a dynamic aids model of meat demand the publicity which bse has received is found to have had significant effects on the allocation of consumer expenditure among the meats a short run impact has been identified which accounts in large part for the discernible drop in the market share of beef in the early 1990s and more important there also appears to be a significant long run impact of bse which by the end of 1993 has reduced the beef market share by 4 5

a structural time series approach to modelling multiple and resurgent meat scares in italy this paper exploits a structural time series approach to model the time pattern of multiple and resurgent food scares and their direct and cross product impacts on consumer response a structural time series almost ideal demand system sts aids is embedded in a vector error correction framework to allow for dynamic effects vec sts aids italian aggregate household data on meat demand is used to assess the time varying impact of a resurgent bse crisis 1996 and 2000 and the 1999 dioxin crisis the vec sts aids model monitors the short run impacts and performs satisfactorily in terms of residuals diagnostics overcoming the major problems encountered by the customary vector error correction approach

the bse crisis and the price of red meat in the uk this paper presents estimates of price functions for beef lamb and pork for the uk economy which allow for the effects of the 1996 bse crisis the estimates illustrate the importance of allowing for the joint endogeneity of prices in these markets this shown that the effects of this crisis had a significant negative effect on the price of beef and a positive and significant effect on the price of lamb however there appears to have been little effect on the price of pork

disaggregated household meat demand with censored data previous research on meat demand has generally used highly aggregated data across time products and consumers however meat products across species are likely stronger substitutes than some products from the same species further demand for specific meat products would be expected to respond differently to market information about food safety or other events this study uses monthly consumer panel data collected between 1992 and 2000 to estimate a disaggregated meat product demand system the use of the expectations maximization algorithm is introduced to estimate a demand system that adjusts for the econometric problem of censored data resulting from purchased shares of some products by individuals often being equal to zero results indicate that certain individual meat products have noticeably different own price elasticities than existing aggregate meat product estimates of their respective species some individual meat products have stronger substitutes across species than within species e g be

bond and stock returns in a simple exchange model this paper studies asset pricing in a general equilibrium representative agent exchange model the assumptions of isoelastic period utility and lognormal endowment allow the derivation of closed form solutions for asset returns without restricting the serial correlation of the log endowment risk premiums on stocks and real bonds are found to be simple functions of relative risk aversion the variance of the log endowment innovation and the weights in the moving average representation of the log endowment the paper analyzes the sign of term premiums the size of the equity premium and the effect of taste shocks on asset prices

the profitability concentration relation market power or efficiency industrial economists have been studying the relationship between profitability and concentration using cross industry samples for many years now however as sometimes happens once it appeared that some consensus had been achieved with few exceptions market concentration and industry profitability are positively correlated peltzman i977 p 229 people began to question the interpretation of those results in particular demsetz e g i973 i974 and others suggested that rather than concentration market power leading to higher prices and profits the causal direction in fact ran from greater efficiency to both higher profits and incidentally to higher concentration our purpose here is to subject these conflicting hypotheses to cross industry empirical test using u k data in order to do this we first develop a model which is sufficiently general to allow for both alternative explanations of a positive concentration profitability correlation in the light of this model we then examine the implications for the within industry relation between market share and firm level profitability more specifically we explore demsetz s claim that the empirical form of this relationship should signal which of the alternative hypotheses is consistent with the between industry profitability concentration correlation our model suggests that in certain special circumstances this claim is partly justified in that it should be possible to assess the relative strengths of the market power and efficiency effects from the within industry relation more generally however factors such as product differentiation and scale economies may seriously impair the information content of the relation with at least a strong suspicion that the estimates will tend to exaggerate the evidence in favour of the efficiency hypothesis in the event our results tend to confirm that for most industries the within industry data offer little conclusive support for either hypothesis but for a not insignificant minority of industries the evidence suggests some support for the view that both efficiency and market power are at work simultaneously our model is detailed in section ii and estimated on u k data in section iii after which we offer a few comments in section iv first however we drovide a backcloth to the later analysis

asset prices and exchange rates in this paper we study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model trade in goods gives rise to an additional channel of international propagation through the terms of trade absent in traditional single good asset pricing models the inclusion of demand shocks helps overturn many unrealistic implications of existing international flnance models in which productivity shocks are the sole source of uncertainty our model generates a rich set of implications on how stock bond and foreign exchange markets co move we solve the model in closed form which yields a system of equations that can be readily estimated empirically our estimation validates the main predictions of the theory

demand for beef and chicken products separability and structural change several studies have indicated that the recent shift from beef to poultry in consumption is not entirely caused by changes in rela tive prices or income braschler chavas dahlgran hudson and vertin moschini and meilke frank thurman most studies of structural change have focused on red meat consumption only thurman has looked closely at the poultry market and no one has considered poultry products yet the mix of chicken products marketed changed dramat ically during the last twenty years and should have influenced aggregate meat demand the share of broiler slaughter marketed as whole birds declined from 74 in 1965 to 28 in 1985 while cut up parts and processed chick en products increased from 26 to 72 whole birds are inferior goods and cut up parts and processed chicken are normal goods haidacher et al the shift in chicken prod uct mix away from whole birds should have increased the preference for total chicken in this article two related questions are ad dressed first do consumers allocate expendi tures among meats by animal origin or by product type second does disaggregation of meat into products in a meat demand model give insight into the causes of structural

persistence seasonality and trend in the uk egg production this paper discusses the time series properties of uk egg production in order to provide an empirical analysis of the possible long run impact of the shock on the industry following the recent incidence of salmonella poisoning our analysis shows that although the short run properties of the uk egg production are consistent with the presence of persistent shocks a shock duration is unlikely to have large long run efefcts this result is remarkably robust to the choice of the persistence measure obtained

the beginning of the end or the end of the beginning for the bse crisis abstract the bse crisis raises doubts about the sustainability of current levels and patterns of beef production in northern ireland a region with a heavy dependence on exports this paper employs a regional input output model to determine the full effects of a permanent fall in export demand for beef on regional output income and employment in farming and the wider economy the scenario examined which assumed the withdrawal of intervention buying illustrates the dependence of the beef industry on bse triggered market stabilisation measures without which more than 5000 jobs and 68 million in income would be threatened the countervailing effects of possible increases in demand for beef substitutes are shown to offer relatively limited opportunities for employment 600 jobs and 9 million in income in view of the extent of the dislocation caused by bse in the regional economy it is concluded that rather than try to sustain the existing pattern of production with the present mix of support measures additional agricultural and rural development policy responses are required the logical aim of the new measures should be to promote structural adjustment in the beef sector thus enhancing competitiveness by improving underlying regional comparative advantage in beef production and processing

how many stocks make a diversified portfolio we show that a well diversified portfolio of randomly chosen stocks must include at least 30 stocks for a borrowing investor and 40 stocks for a lending investor this contradicts the widely accepted notion that the benefits of diversification are virtually exhausted when a portfolio contains approximately 10 stocks we also contrast our result with the levels of diversification found in studies of individuals portfolios

merger policy and competition an analysis of the monopolies and mergers commission s decisions the way in which the monopolies and mergers commission views effective competition when reaching decisions involving referred merger bids is examined the objective is to identify issues which the commission has highlighted as important and hence is concerned with subjective rather than objective characteristics it is argued that an expected decrease in competition was a critical reason for having a bid disallowed whereas bids which were expected to either increase competition or leave it unaffected were likely to be allowed the analysis then examines the cause of these differing competition conclusions in particular those relating to avoiding the commission concluding that competition was likely to decrease probit analysis was used to estimate the relationships and it was found that for the increase decrease competition sample the important variables were market share and price in the decrease no change in competition sample the significant variables were efficiency the balance of payments pr

cigarette demand health scares and education in turkey the purpose of this paper is to examine the demand characteristics of cigarettes in turkey aggregate time series date for the 1960 88 period are used in estimation income and price elasticities of cigarette demand are obtained the effect of health warning is estimated to reduce cigarette consumption by about 8 since the inception of warnings in 1982 imports of cigarettes have been allowed since 1984 in addition to advertising of cigarettes in the non electronic media the effect of health warnings are found to be stronger than the opposing effect of advertising the results also suggest that public education about adverse health effects of smoking may be more effective in reducing consumption and less regressive on consumer incomes than raising the price of cigarettes

modeling the pattern of structural change in u s meat demand the hypothesis of structural change in u s meat demand is tested in a four meat almost ideal demand system with parameters following a gradual switching regression model the results support the notion that structural change partly explains the observed u s meat consumption patterns structural change is biased against beef neutral for pork in favor of chicken and fish and it does not affect estimated elasticities the estimated path of structural change implies a rapid transition to a new regime in the mid 1970s although a smooth path cannot be ruled out

market structure and price cost margins in a paper that has become a standard reference in the structure conductperformance approach to industrial economics cowling and waterson 1976 developed a theoretical rationale for expecting industry profitability to be positively correlated with the level of concentration their model based on a simple algebraic description of oligopoly behaviour has been interpreted as providing a justification for the common empirical practice of cross industry regression analysis of price cost margins in terms of concentration levels in the present paper we show that on further examination this model implies a joint determination of margins and concentration this provides some interesting comparative static results of relevance to inter industry differences in concentration levels equally however it leads to various cautionary insights concerning the meaning of price cost margin versus concentration regressions

news and volatility of food prices financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than news of high prices the present study examines us food markets for such asymmetric news effects analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing

advertising in demand systems testing a galbraithian hypothesis in this paper we argue that the influence of advertising upon the inter product distribution of demand is a system wide phenomenon which is investigated better through a demand equation system rather than through single equation methods attention is focused upon a dynamic version of deaton muellbauer s aids model modified to include advertising terms within this framework using data on consumer s non durable expenditure in the uk we carry out a preliminary test of galbraith hypothesis that advertising may affect the composition of aggregate consumer demand

an application of maximum entropy estimation the demand for meat in the united kingdom in many econometric studies of demand relationships the design matrix is frequently subject to severe collinearity in this paper the generalized maximum entropy methodology is introduced and used to estimate a set of demand relationships the ability of generalized maximum entropy to estimate economic relationships that are typically subject to a high degree of collinearity among the explanatory variables thus potentially causing traditional methods of estimation to be unreliable is explained the results derived by this alternative method of estimation for a uk meat demand data set are analysed and examined the potential for this emerging estimation methodology is discussed

monopolies and mergers commission merger reports and the public interest a probit analysis the extent to which specific elements of the public interest appear to influence the monopolies and mergers commission in its dealings with referred merger bids is examined using 77 merger reports covering the period 1974 1990 it was found that relatively few public interest issues had a significant impact on the commission s decisions these included competition price and balance of payments effects the results also show that apart from sucessfully arguing that competition will increase raider firms do not further their ambitions by concentrating on the positive aspects of proposed mergers

understanding the nature of the risks and the source of the rewards to momentum investing buying recent winners and shorting recent losers guarantees time varying factor exposures in accordance with the performance of common risk factors during the ranking period adjusted for this dynamic risk exposure momentum profits are remarkably stable across subperiods of the entire post 1926 era factor models can explain 95 of winner or loser return variability but cannot explain their mean return components are more profitable than those based on total returns neither industry effects nor cross sectional differences in expected returns are the primary cause of the momentum phenomenon article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the lucas orchard this paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets the assets are lucas trees a collection of lucas trees is a lucas orchard the model generates return correlations that vary endogenously spiking at times of disaster since disasters spread across assets the model generates large risk premia even for assets with stable cashflows very small assets may comove endogenously and hence earn positive risk premia even if their cashflows are independent of the rest of the economy i provide conditions under which the variation in a small asset s price dividend ratio can be attributed almost entirely to variation in its risk premium

food scares in an uncertain world we develop a model that explains the stylized facts of food scares an immediate and sharp decline in consumption of the product followed by a slow and frequently partial recovery of demand after the scare passes the model is used in conjunction with the natural experiment afforded by the mad cow crisis to elicit empirical information on decision makers perception of uncertainty our theoretical and quantitative results suggest that observed behavior is consistent with sharp changes in beliefs and the presence of knightian uncertainty as measured by the degree of imprecision in our model

food scare crises and developing countries the impact of avian influenza on vertical price transmission in the egyptian poultry sector abstract a bivariate smooth transition vector error correction model is applied to monthly poultry price data to analyze the effects that avian influenza has had on price transmission along the egyptian poultry marketing chain in order to reflect consumer awareness of the crisis an avian influenza food scare information index is developed and used within the model as a transition variable our results suggest that price adjustments to deviations from the market equilibrium parity depend on the magnitude of the avian influenza crisis further these adjustments are found to have very different implications for market equilibrium during the crisis retailers use their market power to increase marketing margins in contrast wholesaler margins are found to decline results also suggest that food safety information indices contribute to understanding the economic effects of food scare crises in developing countries

a general equilibrium model of changing risk premia theory and tests keywords asset pricing theory reference sfi pb article 1989 001doi 10 1093 rfs 2 4 467 record created on 2008 03 12 modified on 2017 05 12

internal capital market controls and financial performance in multidivisional firms it is proposed that within the population of m form firms the control systems necessary to realize economic benefits from interrelationships between subunits o f a firm are incompatible with the systems necessary to realize benef its from an m form type internal capital market this hypothesis is t ested on 156 large u k firms questionnaire data are used to classif y the firms according to their internal control characteristics the findings provide tentative support for the hypothesis copyright 1988 by blackwell publishing ltd

the impact of a product harm crisis on marketing effectiveness product harm crises are among a firm s worst nightmares a firm may experience i a loss in baseline sales ii a reduced own effectiveness for its marketing instruments iii an increased cross sensitivity to rival firms marketing mix activities and iv a decreased cross impact of its marketing mix instruments on the sales of competing unaffected brands we find that this quadruple jeopardy materialized in a case study of an australian product harm crisis faced by kraft peanut butter we arrive at this conclusion by using a time varying error correction model that quantifies the consequences of this crisis on base sales and on own and cross brand short and long term effectiveness the proposed modeling approach allows managers to make more informed decisions on how to regain the brands pre crisis performance levels

macromomentum returns predictability in international equity indices this study examines momentum and reversals in international stock market indices we find that country stock indices exhibit momentum during the first year after the portfolio formation date and reversals during the subsequent 2 years positive currency momentum predicts low stock index returns in the future thereby weakening momentum and strengthening reversals in u s dollar denominated stock index returns cross sectional regression tests involving individual stock indices confirm the portfolio findings our results are consistent with a key prediction of recent behavioral theories that initial momentum should be accompanied by subsequent reversals

internal organization and firm performance an analysis of large uk firms under conditions of economic uncertainty the relationship between firm performance and internal characteristics is examined in a sample of large uk firms the way in which organizational form internal control mechanisms and transitional costs affect profitability is examined performance is measured relative to the industry average with firms earning in excess of this being identified as being profit driven a sensitivity analysis is undertaken using two and three times industry average profits as alternative dependent variables logit analysis was used to estimate the relationships it was found that organisational form had no significant effect on profitability the separation of decision management from decision control increased the probability of earning more than twice industry average profits however for firms which had undertaken a structural reorganization within the three previous years the probability of earning more than twice industry average profits is reduced it was also found that firms which had a majority of executive direc

comparing heterogeneous consumption in u s and japanese meat and fish demand this article uses national quarterly data to conduct an empirical analysis of pre committed meat and fish demand by u s and japanese households using the generalized almost ideal demand system gaids pre committed demand represents the component of demand that is insensitive to both income and price adjustments u s consumers are found to hold significant positive pre committed demand for beef and pork while japanese consumers appear to possess significant positive pre committed demand for beef and fish this provides evidence to partially explain observed differences in japanese and u s consumer reactions to nonprice and nonincome effects in beef pork poultry and fish in addition based on inand out of sample performance the more general gaids is preferred to the almost ideal demand system aids for both the u s and japanese demand systems results lend to improved demand modeling efforts and more complete understanding of true market forces at hand in meat and fish markets for these culturally diverse consumer groups

the impact of food scares on price adjustment in the uk beef market abstract this paper considers the impact of food scares predominately concerns relating to bse on uk beef prices at retail wholesale and producer levels over the 1990s acknowledging the co movement that exists between prices in the meat marketing chain we use a co integrating framework the results of which show the importance of publicity regarding the safety of food in the transmission of beef prices in the uk the food publicity index that we use has a marked negative impact on the prices at all levels a result that is consistent with the effect of an inward shift in the demand function moreover the extent of price decline varies between the marketing stages entailing that the price spreads rise in response to an increase in the negative publicity about food safety while not a formal test of market power these observations are consistent with recent theoretical results demonstrating that market power exacerbates price changes in the upstream sectors for a given change in the retail demand function the implication of these varying price changes is that the food safety concerns also cause the marketing margins between the stages to widen the uk s competition commission has recently investigated the abuse of market power in the food sector inspired largely by this specific issue