on the number of factors in the arbitrage pricing model recent theory has demonstrated that the arbitrage pricing model with k factors critically depends on whether k eigenvalues dominate the covariance matrix of returns as the number of securities grows large the purpose of this paper is to test whether sample covariance matrices can be characterized as having k large eigenvalues using all available data on the 1983 crsp tapes we compute sample covariance matrices of returns in sequentially larger portfolios of securities analyzing their eigenvalues we find evidence that one eigenvalue dominates the covariance matrix indicating that a one factor model may describe security pricing we also find that for values of k larger than one there is no obvious way to choose the number of factors nevertheless we find that while only the first eigenvalue dominates the matrix the first five eigenvalues are growing more distinct arbitrage pricing theory apt as originally developed by ross 22 23 is built on the twin assumptions of no arbitrage opportunities in the capital market and a linear relationship between actual returns and k common factors the principal hypothesis of the model is that expected returns should be linearly related to the weights of the common factors in the assumed linear process in every test of the model the focus has been to use factor analysis to extract k factors from sample covariance matrices and then to test the hypothesis by regressing returns or average returns against the factor loadings of the common factors most previous tests have either assumed that the number of factors is equal to some predetermined number or have estimated k simultaneously with estimation of the factor loadings thus existing tests of the apt are joint tests of the apt pricing result and an assumed or estimated number of factors the question of how many factors are important has not been addressed separately from the pricing tests because the apt pricing result is the significant prediction of a theory which has little to say about the value of k nevertheless crosssection linear models have been a central part of financial economics and it is clearly important to know at least the approximate number of factors which will be significant in such regressions particularly given the computational difficulties of large scale factor analysis furthermore dhrymes friend and gultekin 6 report that the number of factors needed for standard chi squared tests increases university at buffalo suny i am in debt to donald bosshardt gary chamberlain thomas ho richard roll lemma senbet mark zmijewski and the participants in finance workshops at the universities of michigan wisconsin and buffalo for their extensive comments nevertheless i am solely responsible for what remains this paper would not have been started without the unselfish cooperation of jay leavitt director of academic computing university at buffalo suny who designed the eigenvalue algorithm which i used i am also grateful for partial financial support and lavish computer funds from the school of management and for the expert programming assistance provided by ravi shukla

efficiency analysis for exogenously fixed inputs and outputs we evaluate by means of mathematical programming formulations the relative technical and scale efficiencies of decision making units dmus when some of the inputs or outputs are exogenously fixed and beyond the discretionary control of dmu managers this approach further develops the work on efficiency evaluation and on estimation of efficient production frontiers known as data envelopment analysis dea we also employ the model to provide efficient input and output targets for dmu managers in a way that specifically accounts for the fixed nature of some of the inputs or outputs we illustrate the approach using real data for a network of fast food restaurants

the effects of inflation news on high frequency stock returns previous research using daily returns finds conflicting evidence about the relationship between unanticipated inflation news and stock returns we explore the relationship by looking at the response in minutes and trades of size based stock portfolios to unexpected changes in the regularly scheduled producer price index and consumer price index announcements in particular we answer the following three questions 1 do stocks respond to inflation news 2 what is the speed and path of that response 3 is the response stable or does it vary with the economy the direction of the news or time

risk taking global diversification and growth this paper develops a continuous time stochastic model in which international risk sharing can yield substantial welfare gains through its effect on expected consumption growth the mechanism linking global diversification to growth is an attendant world portfolio shift from safe low yield capital to riskier high yield capital the presence of these two types of capital captures the idea that growth depends on the availability of an ever increasing array of specialized hence inherently risky production inputs calibration exercises using consumption and stock market data imply that most countries reap large steady state welfare gains from global financial integration copyright 1994 by american economic association

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

trend definition or holding strategy what determines the profitability of candlestick charting abstract we ask what determines the profitability of candlestick trading strategies is it the definition of trend and or the holding strategy that one uses in candlestick charting analysis to answer this we systematically consider three definitions of trend and four holding strategies applying candlestick trading strategies to the djia component data we find that regardless of which definition of trend is used eight three day reversal patterns with a caginalp laurent holding strategy are profitable when we set the transaction cost at 0 5 and after we account for data snooping bias while the patterns with a marshall young rose holding strategy are not profitable for sensitivity analysis we also find that our results are not qualitatively changed on a lower transaction cost of 0 1 or when we conduct the subsample analyses based on three equal periods and three distinct market conditions when considering a more volatile market evidence in favor of candlestick trading strategies is strengthened

efficiency analysis of major cruise lines three major cruise lines account for 82 of the total market share their financial statements show different results between the operating incomes and net incomes over time to examine the major causes of the differences this study measured the efficiency of the top three cruise lines to develop a network dea model to analyze the cruise operations at two stages namely operating and non operating stages in addition the determinants of the efficiencies were examined using a bootstrapped truncated regression model overall cruise lines were efficient at the operating stage but varied widely in the efficiency of the non operating stage cruise lines attempting high capacity expansion were relatively inefficient because of the heavy interest payments arising from the high debt to capital ratio moreover the neglected hedging policy regarding the financial risks also contributed to the inefficiency

estimation of profit functions when profit is not maximum this paper deals with derivation and implications of profit functions when profit is not maximum due to the presence of either technical inefficiency or allocative inefficiency or both we show that input demand and output supply elasticities and returns to scale are in general affected by these inefficiencies we also show that the overall profit efficiency is not necessarily the product of technical and allocative efficiencies meaning that technical and allocative inefficiencies are not necessarily independent estimation techniques are developed for both cross sectional and panel data models working of the model is illustrated using a panel of 60 salmon farms copyright 2001 oxford university press

mesdames et messieurs momentum performance is not so abnormal after all this article provides evidence regarding the performance of momentum investment strategies that is consistent with the neoclassical theory more specifically while momentum investment returns appear orthogonal to systematic risk in the extant literature this article illustrates that they are due to correlated changes of hedge portfolio systematic risk exposures with market conditions momentum portfolios are excellent market timers in both expanding and contracting markets their returns however are generally not abnormal when timing is considered in an augmented unconditional capital asset pricing model capm while the standard version erroneously considers them to be so possibly explaining why momentum studies have so far rejected the neoclassical theory

hyperbolic efficiency and return to the dollar abstract this paper after establishing the relations between hyperbolic graph measure of technical efficiency and the radial measures of technical efficiency shows that the dual cost and revenue interpretation of the hyperbolic efficiency measure is related to georgescu roegen s notion of return to the dollar n georgescu roegen in koopmans t ed activity analysis of production and allocation wiley new york 1951 pp 98 115 once this relation is established it leads to a derivation of an allocative efficiency index which measures the price distortions using data on observed costs and revenues without requiring information on prices

growth and financial liberalization under capital collateral constraints the striking case of the stochastic ak model with cara preferences we consider a small open collateral constrained ak economy we show that the combination of cara preferences and uncertainty on capital inflows generates long term growth while the deterministic counterpart does not long term growth is entirely driven by precautionary savings and the asymptotic growth rate of the expected capital stock is increasing in both the risk magnitude and the arrow pratt absolute risk aversion parameters

profitability of momentum strategies in international markets the role of business cycle variables and behavioural biases the paper investigates whether business cycle variables and behavioural biases can explain the profitability of momentum trading in three major european markets unlike previous studies the paper nests both risk based and behavioural based variables in a two stage model specification in an attempt to explain momentum profits the findings show that although momentum profitability in european markets is unexplained by conditional asset pricing models it is attributable to asset mispricing that systematically varies with global business conditions in addition behavioural variables do not appear to matter much thus risk factors which are undetected thus far and are largely attributable to the business cycle could explain the momentum payoffs in european stock markets

flexibility and the theory of the firm abstract the object of this paper is 1 to bring together and integrate the various concepts of flexibility found in the economic literature 2 to flesh out the meaning of various aspects of flexibility and their implications thereby bridging the gap between the existing highly abstract theories and the empirical facts and 3 in the process to give a rich and comprehensive enough description of an industry to stimulate further theoretical as well as empirical work the study tries to combine inductive and deductive reasoning using empirical observations based on indepth interviews with manufacturers in the metalworking industry in the united states and sweden

efficiency and productivity of french ski resorts abstract this paper analyses french ski resorts productivity with the luenberger productivity indicator lpi based on the directional distance function it permits the calculation of a productivity indicator that is decomposed into technical efficiency change and technological change the conclusions are that productivity decreased for the majority of french ski resorts which is almost always explained by technological change finally the mixed results do not establish a clear relationship between the ski resorts size and productivity therefore the kruskal wallis test is used to statistically verify this relationship managerial implications are derived from this study

snow tourism and economic sustainability the financial situation of ski resorts in spain the aim of this article is to analyse the profitability of ski resorts in spain and identify its associated determining factors in order to verify whether these are economically sustainable taking

estimating most productive scale size using data envelopment analysis abstract the relation between the most productive scale size mpss for paparticular input and output mixes and returns to scale for multiple inputs multiple outputs situations is explicitly developed this relation is then employed to extend the applications of data envelopment analysis dea introduced by charnes cooper and rhodes ccr to the estimation of most productive scale sizes for convex production possibility sets it is then shown that in addition to productive inefficiencies at the actual scale size the ccr efficiency measure also reflects any inefficiencies due to divergence from the most productive scale size two illustrations of the practical applications of these results to the estimation of most productive scale sizes and returns to scale for hospitals and stem electric generation plants are also provided emphasize the advantage of this method in examining specific segments of the efficient production surface

the small business capital market behavior in athens stock exchange financing small and medium enterprises smes especially business investments and growth is a composite and particular complicated affair in the greek entrepreneurial reality this paper examines the significance of secondary capital markets as an alternative source of financing small medium enterprises new entrepreneurial plans cointegration technique is applied to test the relationship between the secondary capital market and the dominant sectors in athens stock exchange ase causality tests are also used to provide evidence on the existence of interdependence between the cointegrated series the results indicate that there is significant uni directional causality between primary and secondary capital market in greece enhancing us to suggest valuable policy implications

pairs trading performance of a relative value arbitrage rule we test a wall street investment strategy pairs trading with daily data over 1962 2002 stocks are matched into pairs with minimum distance between normalized historical prices a simple trading rule yields average annualized excess returns of up to 11 for self financing portfolios of pairs the profits typically exceed conservative transaction cost estimates bootstrap results suggest that the pairs effect differs from previously documented reversal profits robustness of the excess returns indicates that pairs trading profits from temporary mispricing of close substitutes we link the profitability to the presence of a common factor in the returns different from conventional risk measures wall street has long been interested in quantitative methods of speculation one popular short term speculation strategy is known as pairs trading the strategy has at least a 20 year history on wall street and is among the proprietary statistical arbitrage tools currently used by hedge funds as well as investment banks the concept of pairs trading is disarmingly simple find two stocks whose prices have moved together historically when the spread between them widens short the winner and buy the loser if history repeats itself prices will converge and the arbi

measuring the efficiency of trade shows a spanish case study abstract trade shows are an important industry in the spanish economy which contribute positively to regional development however the cost of attending a trade show is very high for exhibiting firms and so knowledge of trade shows efficiency is necessary in order to define the decision making process for the exhibiting firm with the aim of evaluating the efficiency indexes of operating trade shows this study applies a multi stage methodology for oriented dea models and a nonparametric test to analyze the differences in efficiency levels driven by specific variables and organizational forms the sample is made up of 45 trade shows at ifema madrid s fair institution the results show significant differences in efficiency across ifema the nonparametric tests reveal differences in efficiency levels driven by the sector and the type of trade show moreover the evidence allows provide managerial implications and future developments

overreaction delayed reaction and contrarian profits this paper presents a decomposition of short horizon contrarian profits into various sources based on an analysis os stock price reactions to common factors an firm specific information in sharp contrast with the conclusions in the extant literature we find that the lead lag structure in stock prices contributes less than 5 of the observed contrarian profits with most of the profits being attributable to stock price overreaction

nonparametric analysis of technical and allocative efficiencies in production in this paper we extend varian s 1984 nonparametric production analysis to situations when the set of observed output input and price data is not consistent with profit maximization for at least one firm in such cases varian s results imply that no production possibility set containing all observations can rationalize the observed data we identify each firm whose performance given the prices faced by it may be found consistent with profit maximization relative to some production possibility set containing all observed output input vectors we show that the set 4 of all such firms can itself be weaklv rationalized in the sense that there exists a closed convex and monotone production possibility set that contains all the observations and relative to which the performance of all the firms in the set 8o is consistent with profit maximization given their respective prices by definition firms not included in this largest set d of efficient observations unambiguously deviate from profit maximizing behavior for any production possibility set containing all observations we follow farrell 1957 and analyze these deviations into technical and allocative efficiency measures considering as admissible all closed convex and monotone production possibility sets relative to which the performance of each firm in the set g remains consistent with profit maximization we then describe nonparametric methods for determining the tightest upper and lower bounds on the technical allocative and aggregate efficiency measures evaluated relative to all such admissible production possibility sets it is seen that the tightest upper bound on the technical efficiency measure is the same as the value computed by the nonparametric efficiency evaluation technique known as data envelopment analysis thus establishing a link between this literature in management science operations research and the nonparametric production analysis in economics

growth volatility and financial liberalization we examine the effects of both equity market liberalization and capital account openness on real consumption growth variability we show that financial liberalization is mostly associated with lower consumption growth volatility our results are robust surviving controls for business cycle effects economic and financial development the quality of institutions and other variables countries that have more open capital accounts experience a greater reduction in consumption growth volatility after equity market openings we also find that financial liberalizations are associated with declines in the ratio of consumption growth volatility to gdp growth volatility suggesting improved risk sharing our results are weaker for liberalizing emerging markets but we never observe a significant increase in real volatility moreover we demonstrate significant differences in the volatility response depending on the size of the banking and government sectors and certain institutional factors

overreaction to intra industry information transfers prior research has documented that earnings announcements provide information not only about the announcing firm but also about other firms in the same industry we document a stock market anomaly associated with this phenomenon of intra industry information transfers by showing that the stock price movements of late announcers in response to earnings reported by early announcers are negatively related to subsequent price responses of late announcers to their own earnings reports apparently the stock market overestimates the intra industry implications of early announcers earnings for late announcers earnings and that overestimation is corrected when late announcers disclose their earnings

thresholds in the process of international financial integration abstract the financial crisis has re ignited the fierce debate about the merits of financial globalization and its implications for growth especially for developing countries the empirical literature has not been able to conclusively establish the presumed growth benefits of financial integration indeed a new literature proposes that the indirect benefits of financial integration may be more important than the traditional financing channel emphasized in previous analyses a major complication however is that there seem to be certain threshold levels of financial and institutional development that an economy needs to attain before it can derive the indirect benefits and reduce the risks of financial openness in this paper we develop a unified empirical framework for characterizing such threshold conditions we find that there are clearly identifiable thresholds in variables such as financial depth and institutional quality the cost benefit trade off from financial openness improves significantly once these threshold conditions are satisfied we also find that the thresholds are lower for foreign direct investment and portfolio equity liabilities compared to those for debt liabilities

price trends and patterns in technical analysis a theoretical and empirical examination while many technical trading rules are based upon patterns in asset prices we lack convincing explanations of how and why these patterns arise and why trading rules based on technical analysis are profitable this paper provides a model that explains the success of certain trading rules that are based on patterns in past prices we point to the importance of confirmation bias which has been shown to play a key role in other types of decision making traders who acquire information and trade on the basis of that information tend to bias their interpretation of subsequent information in the direction of their original view this produces autocorrelations and patterns of price movement that can predict future prices such as the head and shoulders and double top patterns the model also predicts that sequential price jumps for a particular stock will be positively autocorrelated we test this prediction and find that jumps exhibit statistically and economically significant positive autocorrelations

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

firm size and productivity evidence from the electricity distribution industry in brazil in this paper we apply stochastic frontier analysis through a distance function to investigate the impact of firm size on productivity development in electricity distribution we use a sample of seventeen brazilian firms from 1998 to 2005 and decompose productivity into technical efficiency scale efficiency and technical change moreover a further step is to decompose the technical change measurement into several components the results indicate that firm size is important for industry s productivity and therefore a key aspect to consider when making decisions that affect the market structure in the electricity distribution industry

efficiency and the bear short sales and markets around the world we analyze cross sectional and time series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices we find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced a common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic we find strong evidence that in markets where short selling is either prohibited or not practiced market returns display significantly less negative skewness

can one day candlestick patterns be profitable on the 30 component stocks of the djia abstractwe set out in this study to conduct a comprehensive analysis of the profitability of every possible 1 day candlestick pattern using data on the 30 component stocks of the dow jones industrial average index our study involves a very lengthy sample period running from january 1974 to december 2009 with the results revealing a noticeable increase in the predictive power of 1 day candlestick patterns from 1992 onwards our evidence shows that several of the patterns may well prove to be profitable for the dow jones industrial average stocks the robustness of our results is subsequently confirmed based upon a bootstrap analysis

piecewise loglinear estimation of efficient production surfaces linear programming formulations for piecewise loglinear estimation of efficient production surfaces are derived from a set of basic properties postulated for the underlying production possibility sets unlike the piecewise linear model of banker charnes and cooper banker r d a charnes w w cooper 1984 models for the estimation of technical and scale inefficiencies in data envelopment analysis management sci 30 september 1078 1092 this approach permits the identification of increasing marginal products and estimation of the classical s shaped production functions methods are also provided for estimating technical inefficiencies and other production characteristics such as rates of substitution and transformation marginal products returns to scale and most productive scale sizes on the basis of observed production data the results of a simulation study are reported to illustrate the usefulness of this estimation method in empirical applications when there are a priori reasons to expect increasing marginal products in some regions of the production function a modified model is provided to extend this analysis to the situation of non competing outputs addressed by the bi extremal model of banker charnes cooper and schinnar banker r d a charnes w w cooper a schinnar 1981 a bi extremal principle for frontier estimation and efficiency evaluation management sci 27 december 1370 1382

deep learning with long short term memory networks for financial market predictions abstract long short term memory lstm networks are a state of the art technique for sequence learning they are less commonly applied to financial time series predictions yet inherently suitable for this domain we deploy lstm networks for predicting out of sample directional movements for the constituent stocks of the s p 500 from 1992 until 2015 with daily returns of 0 46 percent and a sharpe ratio of 5 8 prior to transaction costs we find lstm networks to outperform memory free classification methods i e a random forest raf a deep neural net dnn and a logistic regression classifier log the outperformance relative to the general market is very clear from 1992 to 2009 but as of 2010 excess returns seem to have been arbitraged away with lstm profitability fluctuating around zero after transaction costs we further unveil sources of profitability thereby shedding light into the black box of artificial neural networks specifically we find one common pattern among the stocks selected for trading they exhibit high volatility and a short term reversal return profile leveraging these findings we are able to formalize a rules based short term reversal strategy that yields 0 23 percent prior to transaction costs further regression analysis unveils low exposure of the lstm returns to common sources of systematic risk also compared to the three benchmark models

infrequent rebalancing return autocorrelation and seasonality a model of infrequent rebalancing can explain specific predictability patterns in the time series and cross section of stock returns first infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns autocorrelations can switch sign and become positive at the rebalancing horizon second the cross sectional variance in expected returns is larger when more traders rebalance this effect generates seasonality in the cross section of stock returns which can help explain available empirical evidence

alternative methods for environmentally adjusted productivity analysis abstract advances in the productivity with which food is produced around the world have been made possible through the intensive use of industrial inputs that have important environmental impacts like standard measures of macroeconomic performance however commonly used measures of agricultural efficiency and productivity account only for marketed commodities and inputs but ignore the environmental effects of these production processes a more complete analysis of trends in the sector s productivity requires the use of models that incorporate these environmental effects to provide better measures of the contributions of the sector from the social point of view this paper compares the conceptual merits and empirical performance of alternative approaches that can be employed for this purpose input distance functions output distance functions nonparametric methods and index number approaches each of the methods has relative strengths and weaknesses the methods are empirically illustrated using data from the canadian pulp and paper industry

price dynamics in a market with heterogeneous investment horizons and boundedly rational traders this paper studies the effects of multiple investment horizons and investors bounded rationality on the price dynamics we consider a pure exchange economy with one risky asset populated with agents maximizing crra type expected utility of wealth over discrete investment periods an investor s demand for the risky asset may depend on the historical returns so that our model encompasses a wide range of behaviorist patterns the necessary conditions under which the risky return can be a stationary iid process are established the compatibility of these conditions with different types of demand functions in the heterogeneous agents framework are explored we find that conditional volatility of returns cannot be constant in many generic situations especially if agents with different investment horizons operate on the market in the latter case the return process can display conditional heteroscedasticity even if all investors are so called fundamentalists and their demand for the risky asset is subject to exogenous iid shocks we show that the heterogeneity of investment horizons can be a possible explanation of different stylized patterns in stock returns in particular mean reversion and volatility clustering

discussion of momentum and autocorrelation in stock returns jegadeesh and titman 1993 document individual stock momentum strategies that buy stocks that have performed relatively well in the past and sell stocks that have performed relatively poorly in the past generate significant positive returns over the 3to 12 month horizon this finding obtained using data from the u s market also holds for a number of international markets e g haugen and baker 1996 rouwenhorst 1998 what are the economic mechanisms behind individual stock momentum one approach to answering this question is to relate momentum to other factors driving the cross section of expected stock returns a number of findings have emerged adjustments for factors such as the fama and french three factor model tend to strengthen rather than explain momentum e g fama and french 1996 grundy and martin 2001 contrary to the finding of conrad and kaul 1998 cross sectional differences in expected returns is not an important cause of momentum e g jegadeesh and titman 1993 grundy and martin 2001 and contrary to the finding of moskowitz and grinblatt 1999 a number of subsequent articles find that industries or industry effects do not explain momentum e g asness porter and stevens 2000 lee and swaminathan 2000 grundy and martin 2001 stock price momentum is partially related to earnings momentum but both past returns and public earnings surprises in a multiple regression help to predict subsequent returns at horizons of six months to a year e g chan jegadeesh and lakonishok 1996

the estimation and decomposition of tourism productivity this paper estimates a total factor productivity index that allows for a rich decomposition of productivity in the tourism industry we account for two important characteristics first the heterogeneity between multiple tourism destinations and second the potential endogeneity in inputs importantly we develop our index at the macro level focusing on cross country comparisons using the bayesian approach we test the performance of the model across various priors we rank tourism destinations based on their tourism productivity and discuss the main sources of productivity growth we also provide long run productivity measures and discuss the importance of distinguishing between short run and long run productivity measures for future performance improvement strategies

a comparative application of data envelopment analysis and translog methods an illustrative study of hospital production this paper compares inferences about hospital cost and production correspondences from two different estimation models 1 the econometric modeling of the translog cost function and 2 the application of data envelopment analysis dea while there are numerous examples of the application of each approach to empirical data this paper provides insights into the relative strengths of the estimation methods by applying both models to the same data the translog results suggest that constant reruns are operant whereas the dea results suggest that both increasing and decreasing returns to scale may be observed in different segments of the production correspondence in turn suggesting that the translog model may be averaging diametrically opposite behavior on the other hand by examining the rate of output transformation both models agree that patient days devoted to care of children are more resource intensive than those devoted to adults or to the elderly in addition we compare estimates of technical efficiencies of individual hospitals obtained from the two methods the dea estimates are found to be highly related to the capacity utilization but no such relationship was found for the translog estimates this comparative application of different estimation models to the same data to obtain inferences about the nature of underlying cost and production correspondences sheds interesting light on the strengths of each approach and suggests the need for additional research comparing estimation models using real as well as simulated data

the efficiency of museums a stochastic frontier production function approach this article examines the technical efficiency of museums based upon data derived from a questionnaire survey of south west england a stochastic frontier production function is estimated with output measured in terms of visitor numbers the cobb douglas function is shown to be the best representation of the production function average levels of efficiency are estimated to be fairly low at 45 5 with wide variations across museums the results indicate that high levels of public funding and voluntary activity have a significantly negative impact on technical efficiency it is argued that further research is needed to develop more sophisticated measures of the output of cultural industries and understand the economic importance of volunteers

a tale of three schools insights on autocorrelations of short horizon stock returns this article reexamines the autocorrelation patterns of short horizon stock returns we document empirical results which imply that these autocorrelations have been overstated in the existing literature based on several new insights we provide support for a market efficiency based explanation of the evidence our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns

stochastic growth under wiener and poisson uncertainty the expected growth rate of a stochastic ak economy under poisson uncertainty is derived the differences and similarities of economic growth under wiener and poisson uncertainty are discussed to understand the uncertainty growth nexus the implicit risk premium under poisson uncertainty is additionally derived

performance of french destinations tourism attraction perspectives in this paper we assess and compare the performance of french tourism destinations using the data envelopment analysis dea two stage procedure where in the first stage the efficiency score are calculated and then followed in the second stage by a bootstrapped truncated regression model in the context of france such analysis takes an additional importance especially as the country is expected to face a decrease in its tourism competitiveness a discussion in terms of d attraction and e attraction is also proposed and policy recommendations are derived