the impact of minimum trading units on stock value and price volatility we study how minimum trading unit changes on the tel aviv stock exchange impact a stock s trading activity price volatility and value the value effects are consistent with merton s 1987 model i e an increase in the investor base trading volume and a decrease in price noisiness affect stock value positively our results extend amihud mendelson and uno s 1999 tests of merton by demonstrating a clear relation between price noisiness changes and stock value changes and by showing that the response to a minimum trading unit decrease becomes less favorable and arguably even negative in the thinnest trading stocks

corporate social responsibility and socially responsible investing a global perspective this research examines the relationship between corporate social responsibility csr and company stock valuation across three regions of the world after a brief introduction the article gives an overview of the evolving definition of csr as well as a discussion of the ways in which this construct has been operationalized presentation of the potential impact of corporate social performance on firm financial performance follows including investor characteristics the rationale behind their choices and their influence on the marketplace for securities worldwide the unique method used to select socially responsible investments is then provided that also includes a description of the quantitative techniques employed in the analyses results are offered subsequently and the close describes implications for global enterprises as socially responsible investments

do stock investors value corporate sustainability evidence from an event study this paper analyzes the impacts of index inclusions and exclusions on corporate sustainable firms by studying a sample of us stocks that are added to or deleted from the dow jones sustainability world index over the period 2002 2008 the impacts are measured in terms of stock return risk and liquidity we cannot find any strong evidence that announcement per se has any significant impact on stock return and risk however on the day of change index inclusion exclusion stocks experience a significant but temporary increase decrease in stock return liquidity deteriorates after the announcement day and bounces back significantly near the day of change systematic risk shows little change after announce ments but idiosyncratic risk is higher after announcements the overall results support harris and eitan s the journal of finance41 4 815 829 1986 price pressure hypothesis which posits that event announcement does not carry information and any shift in demand and hence the corresponding price change and liquidity change is temporary

inequality of opportunity in egypt the article evaluates the contribution of inequality of opportunity to earnings inequality in egypt and analyzes its evolution across three time periods and different population groups it provides parametric and nonparametric estimates of a lower bound for the degree of inequality of opportunity for wage and salary workers on average the contribution of opportunity shaping circumstances to earnings inequality declined from 22 percent in 1988 to 15 percent in 2006 levels of inequality of opportunity were fairly stable while earnings differentials widened markedly leading to a decline in the share of inequality attributable to opportunities father s background and geographic origins had the largest effect on earnings although the impact of mother s education has risen in recent years the degree of inequality of opportunity did not differ significantly by gender or rural urban area although the incidence was lower for men and for rural areas the results indicate an increase in inequality of opportu

intergenerational earnings mobility and equality of opportunity in south africa summary the paper estimates the degree of intergenerational earnings persistence in south africa using microdata from the national income dynamics study nids the paper finds that intergenerational earnings mobility in south africa is low moreover a limited set of inherited circumstances explains a significant fraction of earnings inequality among male adults in particular race is shown to play a significant role the evidence provided for south africa is consistent with the hypothesis that low levels of intergenerational mobility and equality of opportunity are characteristic of high inequality emerging economies

on the sensitivity of mean variance efficient portfolios to changes in asset means some analytical and computational results tbis paper investigates the sensitivity of meanvariance mv efficientportfolios to changes in the means of individual assets when only a budget constraint is imposed on the investment problem the analytical results indicate that an mv efficient portfolio s weights mean and variance can be extremely sensitive to cbanges in asset means when nonnegativity constraints are also imposed on the problem the computational results confirm that a positively weigbted mv efficient portfolio s weigbts are extremely sensitive to cbanges in asset means but the portfolio s returns are not a surprisingly small increase in the mean of just one asset drives balf the securities from the portfolio yet the portfolio s expected return and standard deviation are virtually uncbanged this paper supersedes should investors hold well diversified portfolios financial support from the natural science and engineering research council of canada is gratefully acknowledged we also acknowledge the most capable assistance of ruth cornale simon ng jean marc potier and frederick shen the paper was presented at simon fraser university and the western finance association meetings in san diego we thank the participants especially stephen brown john herzog john heaney ray koopman and bruce lehmann and the editors jon ingersoll and chester spatt for

approaches to inequality of opportunity principles measures and evidence we put together the dierent conceptual issues involved in measuring inequality of opportunity discuss how these concepts have been translated into computable measures and point out the problems and choices researchers face when implementing these measures our analysis identies and suggests several new possibilities to measure inequality of opportunity the relevance of the conceptual issues and modelling choices are illustrated with ndings from the empirical literature on income inequality of opportunity

unfair inequalities in health and health care inequalities in health and health care are caused by different factors measuring unfair inequalities implies that a distinction is introduced between causal variables leading to ethically legitimate inequalities and causal variables leading to ethically illegitimate inequalities an example of the former could be life style choices an example of the latter is social background we show how to derive measures of unfair inequalities in health and in health care delivery from a structural model of health care and health production direct unfairness linked to the variations in medical expenditures and health in the hypothetical distribution in which all legitimate sources of variation are kept constant fairness gap linked to the differences between the actual distribution and the hypothetical distribution in which all illegitimate sources of variation have been removed these two approaches are related to the theory of fair allocation in general they lead to different results we propose to analyse the resulting distributions with the traditional apparatus of lorenz curves and inequality measures we compare our proposal to the more common approach using concentration curves and analyse the relationship with the methods of direct and indirect standardization we discuss how inequalities in health care can be integrated in an overall evaluation of social inequality

inequality of opportunity in sub saharan africa in the last decades inequality of opportunity has been extensively studied by economists on the assumption that in addition to being normatively undesirable it can be related to low potential for growth this paper evaluates inequality of opportunity and the different sources of unequal opportunities in 11 sub saharan africa countries the results indicate that the portion of total inequality that can be attributed to exogenous circumstances that is circumstances outside the control of individuals control is between 30 percent and 40 percent in the countries considered the results also indicate a positive association between total consumption inequality and inequality of opportunity finally this paper addresses a number of methodological issues that typically arise when measuring inequality of opportunity with imperfect data which is the typical case in developing countries

signaling sustainability leadership empirical evidence of the value of djsi membership we explore the relationship between corporate sustainability reputation and firm value by asking whether signaling sustainability leadership through membership on a recognized sustainability index is value generating increasingly stakeholders are demanding that firms demonstrate their commitment to sustainability one signal that companies can send to stakeholders to indicate that they are sustainability leaders is membership on a recognized best in class sustainability index this article explores both the short term and the intermediary impact on north american firms of being included or removed from the dow jones sustainability world index djsi our results provide evidence that being added to the djsi results in a sustained increase in a firm s share price suggesting that the benefits of being included on the djsi outweigh the costs associated with applying this article also notes a temporary decrease in the value of firms for the first 10 days after their removal from the djsi however this effect is eliminated within the next ten trading days

performance analysis of sustainable investments in the brazilian stock market a study about the corporate sustainability index ise in this article we studied the corporate sustainability index ise of the brazilian mercantile futures and stock exchange bm fbovespa with the main objective of analyzing the performance of sustainable investments in the brazilian stock market during the period from december 2005 to december 2010 to achieve this aim we characterized ise portfolios and we compared its performance with the ibovespa representing the market portfolio and other bm fbovespa sectoral indices in the performance comparison we used level of liquidity return and risk indicators as well as the following measures sharpe treynor sortino and omega our results show that although sustainable investments have presented some interesting characteristics such as increasing liquidity and low diversifiable risk they did not achieve satisfactory financial performance in the analysis period this indicates that the constraints imposed by this type of investment in capital allocation in brazil may be harming their return and risk attractiveness

equality of opportunity theory and measurement during the last third of the twentieth century political philosophers actively debated about the content of distributive justice the ruling ethical view of utilitarianism was challenged by various versions of equality of opportunities economists formulated several ways of modeling these ideas focusing upon how individuals are placed with respect to opportunities for achieving various outcomes and what compensation is due to individuals with truncated opportunities after presenting a review of the main philosophical ideas section 2 we turn to economic models sections 3 and 4 we propose a reformulation of the definition of economic development replacing the utilitarian measure of gdp per capita with a measure of the degree to which opportunities for income acquisition in a nation have been equalized finally we discuss issues that the econometrician faces in measuring inequality of opportunity briefly review the empirical literature section 6 and conclude section 7

market microstructure and securities values evidence from the tel aviv stock exchange abstract this paper examines the value effects of improvements in the trading mechanism selected stocks on the tel aviv stock exchange were transferred gradually from a daily call auction to a mechanism where the call auction was followed by iterated continuous trading sessions this event was associated with a positive and permanent price appreciation the cumulative average market adjusted return over a period that started five days prior to the announcement and ended 30 days after the stocks started trading by the new method was approximately 5 5 in addition we find positive liquidity externalities spillovers across related stocks and improvements in the value discovery process due to the improved trading method finally there was a positive association between liquidity gains and price appreciation

global standards and ethical stock indexes the case of the dow jones sustainability stoxx index the increased scrutiny of investors regarding the non financial aspects of corporate performance has placed portfolio managers in the position of having to weigh the benefits of holding the market against the cost of having positions in companies that are subsequently found to have questionable business practices the availability of stock indexes based on sustainability screening makes increasingly viable for institutional investors the transition to a portfolio based on a socially responsible investment sri benchmark at relatively low cost the increasing share of socially responsible investments may play a role in providing incentives towards a continuous upgrading of sustainability standards to the extent that their performance is not systematically inferior to that of the other funds this article examines whether these incentives have been so far detectable with particular reference to the dow jones sustainability stoxx index djssi that focuses on the european corporations with the highest csr scores among those included in the dow jones stoxx 600 index the aim of the article is twofold first we analyse the performance of the djssi over the period 2001 2006 compared to that of the surrogate complementary index sci a new benchmark that includes only the components of the dj stoxx 600 that do not belong to the ethical index to evaluate more correctly the size of possible divergent performances second we perform an event study on the same data set to analyse whether the stock market evaluation reacts to the inclusion deletion in the djssi in both cases the results suggest that the evaluation of the csr performance of a firm is a significant criterion for asset allocation activities

a note on trading mechanism and securities value the analysis of rejects from continuous trade we examine 97 stocks that moved from continuous trade back to single daily auctions the response to exit from continuous trade is almost a mirror image of the entry response documented in amihud et al 1997 amihud y mendelson h lauterbach b 1997 journal of financial economics 45 365 390 upon exiting continuous trade stock liquidity price accuracy and value drop an exception is however identified ten stocks that were omitted from continuous trade within three months of their addition have negative excess returns upon entry into continuous trade and positive excess returns upon exit these immediate rejects had relatively low volumes before entering continuous trade which suggests that for thinly traded stocks simple unassisted continuous trade may not be optimal 2001 elsevier science b v all rights reserved jel classification g14

equality of opportunity and luck definitions and testable conditions with an application to income in france abstract we offer a model of equality of opportunity that encompasses different conceptions expressed in the public and philosophical debates in addition to circumstances whose effect on outcome should be compensated and effort which represents a legitimate source of inequality we introduce a third factor luck that captures the random factors whose impact on outcome should be even handed for equality of opportunity to be satisfied then we analyze how the various definitions of equality of opportunity can be empirically identified given data limitations and provide testable conditions definitions and conditions resort to standard stochastic dominance tools lastly we develop an empirical analysis of equality of opportunity for income acquisition in france over the period 1979 2000 which reveals that the degree of inequality of opportunity tends to decrease and that the degree of risk of income distributions conditional on social origin appears very similar across all groups of social origins

how does the call market method affect price efficiency evidence from the singapore stock market abstract on august 21 2000 the singapore exchange sgx adopted the call market method to open and close the market while the remainder of the day s trading continued to rely on the continuous auction method the call method significantly improved the price discovery process and market quality a positive spillover effect is observed from the opening and closing calls day end price manipulation also declined after the introduction of the call market method however the beneficial impact from the call market method is asymmetric benefiting liquid stocks more than illiquid stocks

economic growth and equality of opportunity the paper proposes an approach to understand the relationship between inequality and economic growth obtained by shifting the analysis from the space of final achievements to the space of opportunities to this end it introduces a formal framework based on the concept of the opportunity growth incidence curve this framework can be used to evaluate the income dynamics of specific groups of the population and to infer the role of growth in the evolution of inequality of opportunity over time the paper shows the relevance of the introduced framework by providing two empirical analyses one for italy and the other for brazil these analyses show the distributional impact of the recent growth experienced by brazil and the recent crisis suffered by italy from both the income inequality and opportunity inequality perspectives

measuring long term inequality of opportunity abstract in this paper we introduce a new family of rank dependent measures of inequality and social welfare consistent with the equality of opportunity eop principle the proposed framework can be used to measure long term as well as short term eop depending on whether we let permanent income or snapshots of income form the basis of the analysis furthermore it allows for both an ex ante and an ex post approach to eop there is long term ex post inequality of opportunity if individuals who exert the same effort have different permanent incomes in comparison the ex ante approach focuses on differences in the expected permanent income between groups of individuals with identical circumstances to demonstrate the empirical relevance of a long run perspective on eop we exploit a unique panel data from norway on individuals incomes over their working life span this allows us to examine how well analysis of opportunity inequality based on snapshots of income approximate the results based on permanent income

continuous trading or call auctions revealed preferences of investors at the tel aviv stock exchange we use the move of israeli stocks from call auction trading to continuous trading to show that investors have a preference for stocks that trade continuously when large stocks move from call auction to continuous trading the small stocks that still trade by call auction experience a significant loss in volume relative to the overall market volume as small stocks move to continuous trading they experience an increase in volume and positive abnormal returns because of the associated increase in liquidity overall though a move to continuous trading increases the volume of large stocks relative to small stocks

preferences for redistribution in the land of opportunities this paper explores how individual preferences for redistribution depend on future income prospects in addition to estimating the impact of individuals socioeconomic background and of their subjective perceptions of future mobility we employ panel data to construct dobjectivet measures of expected gains and losses from redistribution for different categories of individuals we find that such measures have considerable explanatory power and perform better than dgeneral mobilityt indexes we also find that preferences for redistribution respond to individual beliefs on what determines one s position in the social ladder ceteris paribus people who believe that the american society offers equal opportunities are more averse to redistribution d 2004 published by elsevier b v

price and volume effects associated with changes in the s p 500 list new evidence for the existence of price pressures attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market this problem is addressed in an examination of prices and volume surrounding changes in the composition of the s p 500 since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities they provide an excellent opportunity to study price pressures the results are consistent with the price pressure hypothesis immediately after an addition is announced prices increase by more than 3 percent this increase is nearly fully reversed after 2 weeks the efficient market hypothesis emh predicts that security prices reflect all publicly available information therefore one corollary of the emh is that you can sell or buy large blocks of stock at close to the market price as long as you can convince other investors that you have no private information 1 this statement assumes that securities are near perfect substitutes for each other if so the excess demand for a single security will be very elastic and the sale or purchase of a large number of shares will have no impact on price in contrast to the emh scholes 8 kraus and stoll 5 hess and frost 4 and others propose two hypotheses which predict that a large stock sale purchase will cause the price to decrease increase even if no new information is associated with the transaction the imperfect substitutes hypothesis ish also known as the distribution effect hypothesis assumes that securities are not close substitutes for each other and hence that long term demand is less than perfectly elastic under this hypothesis equilibrium prices change when demand curves shift to eliminate excess demand price reversals are not expected because the new price reflects a new equilibrium distribution of security holders the price pressure hypothesis pph assumes that investors who accommodate demand shifts must be compensated for the transaction costs and portfolio risks that they bear when they agree to immediately buy or sell securities which they otherwise would not trade these passive suppliers of liquidity are attracted by immediate price drops rises associated with large sales purchases they are compensated for their liquidity service when prices rise drop to their fullinformation levels the pph like the emh assumes that long run demand is

random competitive exchange price distributions and gains from trade abstract this paper studies the behavior of a competitive exchange under uncertain preferences and random indivisible endowments we obtain explicit closed form results for the price distribution and expected gains from trade both for case where the market is thin and the number of traders is low and for the asymptotic case where the number of traders tends to infinity we demonstrate that increasing the number of traders reduces price variability and increases the expected gains from trade and that increasing the variability of traders reservation prices increases price variability as well as the expected asymptotic gains from trade

economic development as opportunity equalization economic development should be conceived of as the degree to which an economy has implemented an efficient and just distribution of economic resources the ubiquitous measure of gdp per capita reflects a utilitarian conception of justice where individual utility is defined as personal income and social welfare is the average of utilities in a population a more attractive conception of justice is opportunity equalization here a two dimensional measure of economic development is proposed based upon viewing individuals incomes as a consequence of circumstances effort and policy the first dimension is the average income level of those in the society with the most disadvantaged circumstances and the second dimension is the degree to which total income inequality is due to differential effort as opposed to differential circumstances this pair of numbers is computed for a set of 22 european countries no country dominates all others on both dimensions the two dimensional measure induces a partial ordering of countries with respect to development

ex ante inequality of opportunity in health decomposition and distributional analysis of biomarkers abstract we use a set of biomarkers to measure inequality of opportunity iop in the risk of major chronic conditions in the uk applying a direct ex ante iop approach we find that inequalities in biomarkers attributed to circumstances account for a non trivial part of the total variation for example observed circumstances account for 20 of the total inequalities in our composite measure of multi system health risk allostatic load we propose an extension to the decomposition of ex ante iop to complement the mean based approach analysing the contribution of circumstances across the quantiles of the biomarker distributions shapley decompositions show that for most of the biomarkers the percentage contribution of socioeconomic circumstances education and childhood socioeconomic status relative to differences attributable to age and gender increase towards the right tail of the biomarker distribution where health risks are more pronounced

market reactions to corporate environmental performance related events a meta analytic consolidation of the empirical evidence research on the relationship between corporate environmental performance cep and corporate financial performance cfp has consistently grown and is gaining widespread attention given the vast body of cep cfp studies recently scholars have begun to take stock of the cumulative results however no study so far has meta analyzed the findings yielded by event studies assessing the stock market reactions to corporate environmental performance related events cep related events this paper sets out to close this gap by synthesizing previous empirical results regarding the stock market impact of positive and negative cep related events results indicate a positive relationship across studies in terms of positive market reactions to positive events and negative reactions to negative events furthermore the findings show that the market reactions are stronger for negative events than for positive events i e asymmetry in the stock market reaction finally this study examines whether methodological artifacts i e differences in the study designs may explain the differences in the findings of the analyzed event studies

does sustainability investment provide adaptive resilience to ethical investors evidence from spain although sustainable and responsible investment sri has quite recently become a hot research topic scarcely any systematic research has been paid to the performance of this non conventional approach to investment during the financial crisis that emerged in mid 2008 when the resilience of the financial markets was sorely tested such real world resilience in practice is the subject of the current research which tests whether environmental social and governance screens provides ethical investors with adaptive resilience in bull and bear market conditions by focussing on the sri equity index of one of the most active markets in europe in terms of ethical investment the ftse4good ibex in spain multivariate generalized autoregressive conditional heteroskedasticity m garch analysis indicates that ethical investors in the equity market examined with evidence that greater resilience in severe business cycle shocks could be attributable to sri by companies although limited to a single country study the results have implications for investors seeking resilience in crisis when individual values and beliefs towards sustainability tie with personal investment strategy the end result is adaptive financial resilience social well being and environmental defence

robust inequality of opportunity comparisons theory and application to early childhood policy evaluation this paper develops a criterion to assess equalization of opportunity that is consistent with theoretical views of equality of opportunity we characterize inequality of opportunity as a situation

improving diversification opportunities for socially responsible investors socially responsible investment sri has grown enormously and has expanded globally in recent years it allows sri investors to reduce their portfolio risk assumptions through international diversification in this context the aim of this paper is twofold i to examine price and volatility linkages among the most representative sri indexes for north america europe and asia pacific employing a multivariate approach and ii to provide the out of sample performance of an optimal portfolio constructed on the basis of time varying return and volatility forecasts from this specification approach our overall results show that using this technique it is possible to reduce risk and out perform the naive rule which is usually employed in this type of investment these findings are relevant not only for academics but also for practitioners especially for professional managers of sri portfolios

to what extent do fiscal regimes equalize opportunities for income acquisition among citizens to what extent do fiscal regimes equalize opportunities for income aquisition among citizens journal of public economics

equality of opportunity policy and measurement paradigms abstract equality of opportunity is a widely accepted principle of distributive justice and it is the leading idea of most political platforms in several countries according to this principle a society might institute policies that secure an equal distribution of the means to reach a valuable outcome among its members once the set of opportunities have been equalized which particular opportunity the individual chooses from those open to her is outside the scope of justice ex ante inequalities and only those inequalities should be eliminated or compensated for by public intervention the recent literature on the opportunity egalitarianism often merges these questions introducing two different economic issues on one side the design of a public policy intended to implement the equality of opportunity view and on the other side the problem of measuring the degree of opportunity inequality in a society we describe the basic setting and assumptions of some different approaches derived by roemer s algorithm for public policy and then we discuss some theoretical and empirical studies to separate and test alternative paradigms on the measurement of inequality of opportunity accordingly an extended critique on the causality issue on policies and measurements is taken into account

lower bounds on inequality of opportunity and measurement error when measuring inequality of opportunity researchers usually opt to eliminate within type variation provided that in practice it is impossible to observe all circumstances this implies that the researcher estimates a lower bound of the true level of inequality of opportunity by using data drawn from 27 demographic household surveys circa 2008 it is found that lower bound estimates can have substantial measurement error and that measurement error can vary considerably across countries as a consequence lower bound estimates of inequality of opportunity can demand too little redistribution to equalize inequalities due to circumstances and can make the traditional cross country comparisons misleading

corporate sustainability ratings an investigation into how corporations use the dow jones sustainability index abstract the purpose of this paper is to explore the use of the dow jones sustainability index djsi with an emphasis on canadian corporations the paper provides insight into the use of the djsi in several areas including the use of its logo the steps taken by corporations to achieve initial acceptance to the index and the steps corporations take to maintain their inclusion in the djsi a content analysis of publicly available information from 24 canadian corporations listed in the djsi north america djsina showed that less than half of those sampled used the djsi logo in their sustainability reports or on their websites the majority of the published references to the djsi were in highlighting corporate achievements or in providing background information on the index a survey of 10 experts from the canadian corporations listed in the djsina revealed a wide range of strategies for gaining and maintaining inclusion in the index particularly involving a large number of internal stakeholders in responding to data requests and working with third parties several suggestions for improving the djsi were also provided including streamlining the questionnaire improving coordination among sustainability ratings agencies and enhancing transparency

the financial impact of iso 14001 certification top line bottom line or both it is not easy being green but it does beg the question does being green pay off on the bottom line unfortunately that question of becoming iso 14001 to reap financial benefit remains widely unanswered in particular corporate practice is interested in how environmental management impacts firms finance through top line impact bottom line impact or both as this paves the way for an investment of environmental management as current findings are mixed our study tracks financial performance of publicly traded us firms between 1996 and 2005 to test whether iso 14001 leads to improved financial performance employing a rigorous event study approach we compare certified firms to different control groups based on several matching criteria that include industry size and or roa in the short run iso 14001 certification makes only a minor impact on the bottom line according to our results however these same results show a significant financial improvement over the long haul with iso 14001 certification additionally this long term improvement also makes a significant improvement in top line performance thus we conclude that environmental management pays off along both dimensions

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

ex ante versus ex post equality of opportunity we study the difference between the ex post and ex ante perspectives in equality of opportunity we show that the well documented conflicts between compensation and reward are but an aspect of a broader conflict between ex ante and ex post perspectives the literature that takes the goal of providing equal opportunities as the guiding principle generally considers that this is implemented only when ex post all individuals with the same effort obtain equal success it is easy to believe that ex ante compensation is another natural embodiment of the same idea we show that this is not true