an environmental performance index for products reflecting damage costs abstract several studies have demonstrated how to use dea data envelopment analysis based techniques to estimate environmental performance indices none of these studies however are taking information on the environmental damage costs of the pressure types considered into account this study is bridging a gap between environmental indices founded in physical pressures and damage costs founded in welfare economics the aim of the paper is twofold first to demonstrate how to implement the information on environmental damage costs within a dea based environmental performance index and second to estimate these indices at product level by using danish input output data and environmental data from 1997

the nba and the influx of international basketball players the determinants of salaries for professional athletes in the national basketball association nba are examined to investigate how international athletes have fared relative to athletes trained in the united states it is found that international basketball players were paid a large premium above other players of similar skills and characteristics for the 1996 97 and 1997 98 seasons after which the premium disappeared this temporary premium is likely attributable to a winner s curse experienced by nba teams before investing significant resources in scouting and evaluating international players

is there an inflation productivity trade off some evidence from the manufacturing sector in greece this paper examines the effect of inflation on total factor productivity growth tfp using time series data for every two digit greek manufacturing industries in order to do the above a translog flexible cost function is estimated and used to decompose tfp growth into scale economies inflation and technical change the advantage of estimating a very general and flexible cost function is that it allows us for the first time to examine empirically a large number of significant relationships between tfp growth and economies of scale inflation and technical change the main conclusion drawn from this analysis is that inflation reduces tfp growth in a way which is sizeable furthermore using standard causality test the direction of causality between inflation and tfp growth was tested at the manufacturing level

a framework for exploring the macroeconomic determinants of systematic risk we selectively survey unify and extend the literature on realized volatility of financial asset returns rather than focusing exclusively on characterizing the properties of realized volatility we progress by examining economically interesting functions of realized volatility namely realized betas for equity portfolios relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals

does the bund dominate price discovery in euro bond futures examining information shares abstract this paper examines the relative information shares of the bund i e the 10 year euro bond future contract on german sovereign debt versus two futures with shorter maturity we find that the bund is most important but does not dominate price discovery the other contracts also have relevant and at many days even higher information shares in examining determinants of information shares we add order flow measures to market state variables and macroeconomic news more order flow in a contract consistently increases this contract s information share

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

price drift before u s macroeconomic news private information about public announcements we examine the price behavior of stock index and treasury futures around the release of u s macroeconomic announcements seven out of 18 market moving announcements show evidence of informed trading before the ocial release time for these announcements prices begin to drift in the correct direction about 30 minutes before the announcement time the pre announcement drift accounts on average for about half of the total price adjustment we consider two explanations for this preannouncement drift information leakage and superior forecasting release procedures that may aect information leakage vary greatly across organizations we nd some evidence of predictability of announcement surprises based on reprocessing of public information and on private data collection which might explain the drift

price formation and liquidity in the u s treasury market the response to public information the arrival of public information in the u s treasury market sets off a two stage adjustment process for prices trading volume and bid ask spreads in a brief first stage the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume demonstrating that price reactions to public information do not require trading the spread widens dramatically at announcement evidently driven by inventory control concerns in a prolonged second stage trading volume surges price volatility persists and spreads remain moderately wide as investors trade to reconcile residual differences in their private views how do financial markets form prices and provide liquidity when information arrives efforts to address this issue have led to an extensive microstructure literature on equity markets and to a lesser extent on the foreign exchange fx market relatively little work has focused on the u s treasury market however in spite of its importance in its own right and the advantages it offers as an alternative testing ground for microstructure hypotheses

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

economic news exchange rates and interest rates the paper esamines the post october 1979 response of exchange rates and interest rates to the new information contained in the first announcement of fifteen us macroeconomic series illarkets respond primarily to monetary news but also to news about the trade deficit domestic inflation and variables that reflect the state of the business cycle for all fifteen macroeconomic variables an increase decrease in interest rates is accompanied by an appreciation depreciation of the dollar which is consistent with models that stress price rigidity and absence of purchasing power parity the effect of economic news on asset prices has received increasing attention in the economic literature because an outcome of the efficient markets rational expectations hypothesis is that flesible asset prices change the moment new information about future fundamentals arrives in the market in the exchange rate literature the role of news has gained importance because structural models have failed to predict most of the variation in exchange rates during the 1970s see imeese and rogoff 1983 researchers were naturally led to investigate the types of news that make exchange rates so volatile and to utilize news in order to test which model of exchange rate determination is consistent with the floating eschange rate experience notable studies are those of dornbusch 1980 frenkel 1981 edwards 1982a b 1983 copeland 1984 and rose 1984 in this paper i also examine the effects of macroeconomic news on eschange rates but i adopt a different more direct strategy one that complements previous work avoids some of its shortcomings and promises interesting conclusions i examine the instantaneous response of exchange rates the moment a piece of economic news hits the market if one can isolate the exact time during a business day when news arrives it is straightforward to examine the response of exchange rates because financial data are continuously available the advantages of the present methodology are many first it is possible to identify the exact types of economic news and how they affect exchange rates second the simultaneity bias which plagues the previous literature on exchange rates and news is not present here the independent variables that represent news can be interpreted as causal the paper was presented at the 1985 meeting ofthe american economic association the author wishes to thank sebastian edwards r w hafer nicholas karamouzis andrew rose and two anonymous referees for helpful comments kim rupert of the money market services for providing the survey data soo kounne for able research assistance and barnard college for research support

agriculture s environmental externalities dea evidence for french agriculture the existence of persistent technical inefficiency offers the opportunity for a free lunch not typically implied by the neoclassical theory of the firm when external effects are related to the use of particular inputs reduction of persistent technically inefficient levels of input use represents a means of reducing external impacts an important example is found in agriculture where substantial environmental impacts are generated by particular inputs within this context this paper considers the usefulness of data envelopment analysis dea for estimation of potential input reductions and assessment of potential reductions of environmental impacts of agricultural inputs an application for french cereal production provides estimates that indicate that substantial potential exists for reduction of input use and environmental impacts

sports jobs and taxes the economic impact of sports teams and stadiums this book examines the economic impact of new stadiums or a sports franchise on the local economy it explores such general issues as the appropriate method for measuring economic benefits and costs the source of the bargaining power of teams in obtaining subsidies from local government the local politics of attracting and retaining teams the relationship between sports and local employment and the importance of stadium design in influencing the economic effects of a facility the book also contains case studies of major league sports facilities in baltimore chicago cincinnati cleveland indianapolis san francisco and the twin cities and of minor league baseball stadiums and spring training facilities the primary conclusions are the sports teams and stadiums are not a source of local economic growth and employment the size of the net subsidy exceeds the financial benefit of a new stadium and cities are probably willing to subsidize sports teams because of the intense popularity of sports among a substantial proportion of voters and businesses and the leverage that teams enjoy from the monopoly position of professional sports leagues

agricultural productivity of the spanish regions a non parametric malmquist analysis productivity growth for the agricultural sectors of the 17 spanish regions over the period 1977 88 is studied using non parametric programming techniques productivity changes based on conventional inputs are linked to other economic geographic and institutional issues average technical change in the spanish regions grew at an annual rate of 2 9 but with great regional variation this paper presents a clear characterization of areas with greater technical progress and the regions with technical regress

the economic consequences of professional sports strikes and lockouts post evaluation of the effects of the lockout an examination of the impact of past work stoppages in professional football and basketball can shed some light on the potential impact of the nba lockout as well as the viability of professional sports as engines of economic growth in cities the parameter estimates from a reduced form empirical model of the determination of real per capita income in 37 standard metropolitan statistical areas smsas over the period 1969 1996 suggest that prior work stoppages in professional football and baseball had no impact on the economies of cities with franchises further the departure of professional basketball from cities had no impact on their economies in the following years these results refute the idea that attracting professional sports franchises represents a viable economic development strategy

price adjustment to news with uncertain precision abstract we analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself we propose a bayesian learning model where market participants receive fundamental information along with noisy estimates of news precision it is shown that the efficiency of a precision estimate drives the slope and the shape of price response functions to news increasing estimation errors induce stronger nonlinearities in price responses analyzing high frequency reactions of treasury bond futures prices to employment releases we find strong empirical support for the model s predictions and show that the consideration of precision uncertainty is statistically and economically important

female income and the divorce decision evidence from micro data escalating divorce rates during the 1960s and 1970s led to large numbers of academic investigations into the causes of divorce most of these studies concentrated on a significant increase in female income that resulted from rising female labour force participation rates the difficulty with quantifying these arguments is that it is possible to observe the income of married females or it is possible to observe the income of divorced females but it is not possible to observe both outcomes simultaneously this research attempts to resolve these difficulties by using sample selection techniques to correct for possible bias from simple observation of the income of married and divorced females

should we pay attention to investor attention in forex futures market we investigate whether forex futures dynamics is responsive to change in investor attention the currencies used in the study are the aud australian dollar cad canadian dollar eur euro gbp

cost structure and productivity growth in european railway systems the purpose of this paper is threefold first to empirically investigate the coststructure of the railway systems in ten european countries belgium denmark france germany greece italy luxembourg the netherlands portugal and the united kingdom of the european union second to provide measures of economies diseconomies of scale and fully investigate the manner by which economies of scale have affected the cost structure of the system and have been affected by the growth in input prices and technology and third to measure economic efficiency and identify its sources in achieving this purpose the translog technology has been used and the translog model was estimated using time series data covering the period 1969 1993 zellner s iterative method was used in estimating the translog model

parametric efficiency tests economies of scale and input demand in u s electric power generation duality theory has been applied increasingly in recent years to study the structure of production a major advantage of using duality theory is that systems of input demand equations can be derived by simple differentiation facilitating the use of flexible functional forms also use of duality theory makes it possible to choose a representation of the technology which has desirable properties for estimation such as exogeneity of the regressors however the use of a dual representation of production structure is appropriate only if the corresponding maintained hypothesis concerning economic behavior e g cost minimization or profit maximization is valid the perceived advantages of the dual approach to studying production structure have led to some applications in which the maintained hypothesis concerning economic behavior is unlikely to be appropriate for example neoclassical cost functions have been used to study the characteristics of production in regulated industries despite an extensive theoretical literature indicating that a profit maximizing regulated firm would not minimize costs subject to market prices 2 in this paper we propose a generalized cost function that retains the principal advantages of the neoclassical cost function but does not require that cost minimization subject to market prices be imposed as a maintained hypothesis in our model firms are assumed to base their production decisions on unobservable shadow prices which reflect the effects of regulation on the effective prices of inputs parametric tests for cost minimization are obtained by expressing shadow prices as functions of market prices the generalized cost function is estimated with data for regulated electric utilities the parametric restrictions corresponding to cost minimizing behavior subject to market prices are rejected implying that the use of a neoclassical cost function is not appropriate in this application 3

parametric approaches to productivity measurement a comparison among alternative models this paper deals with modeling total factor productivity tfp growth in a flexible manner using panel data several competing parametric models are used to explore whether there are any similarities in the estimates of tfp growth and technical change among these models using a primal approach we decompose tfp growth into different components the models are then used to measure productivity and technical change in the swedish cement industry in general the results are found to be model dependent and often conflicting although much less so for returns to scale and overall productivity growth

environmental regulations and productivity growth the case of fossil fueled electric power generation this paper measures and analyzes the effect of sulfur dioxide emission restrictions on the rate of productivity growth in the electric power industry over the 1973 79 business cycle a firm specific measure of regulatory intensity is developed which depends on the severity of the emission standard the extent of enforcement and the unconstrained emission rate relevant to each utility the results indicate that emission regulations result in significantly higher generating costs primarily from the increased use of low sulfur fuels the average rate of productivity growth was reduced by 0 59 percentage points per year for constrained utilities

simultaneous monetary policy announcements and international stock markets response an intraday analysis abstract this paper investigates the return and volatility response of major european and us equity indices to monetary policy surprises by utilizing extensive intraday data on 5 min price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news announcements the results indicate that the monetary policy decisions generally exert immediate and significant influence on stock index returns and volatilities in both european and the us markets the findings also show that press conferences held by the european central bank ecb that follow monetary policy decisions on the same day have a clear impact on european index return volatilities this implies that they convey additional important information to market participants overall our analysis suggests that the use of high frequency data is critical to separate the effect of monetary policy actions from those of macroeconomic news announcements on stock index returns and volatilities

cost efficiency of the lodging industry in the tourist destination of gran canaria spain abstract this paper analyses whether the expansion of the lodging industry in gran canaria canary islands spain which has occurred during the last 10 years as a result of increases in tourist numbers and the accommodation made available to them has been accompanied by a parallel increase in efficiency over the same period thus the cost efficiency and economic scale of the lodging industry hotels and apartments on the island of gran canaria during the period 1991 2002 are studied assuming that such efficiency is non constant over time the estimation of a stochastic cost frontier model was considered by using a panel data approach a translog cost function was estimated using unbalanced panel data for a sample of 44 companies over the study period the overall results indicate the existence of diseconomies of scale except in the case of small companies with an operating revenue of less than 3 7 million euros these comprised 40 of the companies in the sample the findings on cost inefficiency show that this is time variant that not all lodging companies produce at minimum cost levels and that it decreases over time specifically average cost inefficiency is around 17 and decreases over time

the dynamics of the volatility skew a kalman filter approach abstract much attention has been devoted to understanding and modeling the dynamics of implied volatility curves and surfaces this is crucial for both trading pricing and risk management of option positions we suggest a simple yet flexible model based on a discrete and linear kalman filter updating of the volatility skew from a risk management perspective we assess whether this model is capable of producing good density forecasts of daily returns on a number of option portfolios we also compare our model to the sticky delta and the vega gamma alternatives we find that it clearly outperforms both alternatives given its ability to easily account for movements of different nature in the volatility curve

news announcements and price discovery in foreign exchange spot and futures markets abstract this paper studies competition in price discovery between spot and futures rates for the eur usd and jpy usd markets around scheduled macroeconomic announcements using both the information shares approach and the common factor component weight approach for futures prices from the chicago mercantile exchange cme as well as deal prices from spot trading on the electronic broking services ebs we gauge how foreign exchange spot and futures markets respond to news surprises the results show that the spot rates provide more price discovery than do the cme futures rates overall however the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases

compensating differentials and the social benefits of the nfl abstract we use hedonic rent and wage equations to measure compensating differentials in central cities and metropolitan areas with franchises of the national football league rents are about 8 percent higher in the central cities but this impact may not carry over to broader geographical areas wages are about 2 percent lower in areas with teams but the standard error on this parameter is large the central city results indicate that sports franchises appear to be a public good once these quality of life benefits are included in the calculus the large public expenditure on new stadiums appears to be a good investment for cities and their residents

the impact of macroeconomic news on quote adjustments noise and informational volatility we study the impact of the arrival of macroeconomic news on the informational and noise driven components in high frequency quote processes and their conditional variances bid and ask returns are decomposed into a common efficient return factor and two market side specific components capturing market microstructure effects the corresponding variance components reflect information driven and noise induced volatilities we find that all volatility components reveal distinct dynamics and are positively influenced by news the proportion of noise induced variances is highest before announcements and significantly declines thereafter moreover news affected responses in all volatility components are influenced by order flow imbalances

malmquist productivity index decompositions a unifying framework in two widely cited but unpublished working papers simar and wilson 1998 and zofio and lovell 1998 proposed an alternative decomposition of the malmquist productivity index which retained what seemed to be the strongholds of previous proposals with regard to the contribution of technological and efficiency change to productivity change namely a technical change term with regard to the best practice variable returns to scale vrs technology which is to be found in ray and desli 1997 and a scale efficiency change term that illustrates a firm s situation with regard to optimal scale benchmark technology fare et al 1994 attaining this objective required the introduction of an additional term in the malmquist productivity index decomposition which would reflect the scale bias of technical change it is our objective to provide economic rationale for this term within a theory of production context the existing decompositions and recent articles that further elaborate on this issue the ide

economic versus environmental improvement potentials of danish pig farms this article demonstrates how economic and environmental improvement potentials of danish pig farms can be estimated using data envelopment analysis dea to avoid some of the problems associated with the definition of undesirable outputs environmental variables are included as nutrients applied with manure and nutrients removed with the crops these environmental variables are combined with a series of economic variables including the costs of fertilizer furthermore subvector efficiency and a two step analysis are used in order to consider economic and environmental technical efficiency separately the empirical results show considerable improvement potentials especially on the environmental variables sensitivity studies validate that these results are robust to possible uncertainties in the measurement of the environmental variables

the intercountry agricultural production function another view factor productivity in agriculture is estimated from repeated observations on a sample of fifty eight countries under the assumption that all countries have access to the same technology technology is viewed as a collection of techniques each technique is represented by a production function the choice of the implemented techniques is determined by the state variables which represent the physical and economic environment within which the firms operate the statistical model is that of varying coefficients and it is estimated by a method which utilizes principal components and multiple comparisons

sugar beet for bioethanol production an approach based on environmental agricultural outputs abstract the eu imports both bioethanol and the raw material needed to produce it thirty percent of bioethanol is produced from sugar beets in the eu however sugar beet cultivated area and yields have fallen due to the 2006 sugar regime reform given the potential uncertainty about the future for sugar beet farmers biofuels may represent an alternative market this paper analyses potential contribution to the efficiency in terms of environmental output of the sugar beet crop both when production is oriented toward bioethanol and regarding the use of input an empirical application is performed in spain by data envelopment analysis dea the results show that 4 of farms have full technical efficiency while the rest have an average efficiency of 55 9 the figures show that inputs can be reduced over 40 and also show the low average level of input use efficiency in addition it cannot be said that there is a relationship between efficiency and farm scale the consideration of aspects such as the environmental advantages of using sugar beet production for bioethanol can open new lines of action to support this crop in the eu in addition boosting sugar beet production may reduce potential dependency on importation

neoclassical modeling of nonneutral technological change an experimental appraisal the results of an experimental evaluation of the performance of neoclassical models using alternative indexes of the pace of introduction of innovations to measure the effects of technical change on the patterns of factor input usage are reported the analysis maintains that production processes should be viewed as engineering activities so that neoclassical characterizations of them and of any innovations to them are best treated as approximations two large scale process analysis models provide the description of the true production technology with and without access to six specific process innovations the analysis considered both input aggregation and the index of the extent of technical innovation the results suggest that indexes which are explicitly tied to the technical features of the innovations involved perform better in isolating the direction of the input effects associated with each innovation moreover this conclusion was found to hold with differing levels of input aggregation

the economics of sports facilities and their communities since the 1950s taxpayers have been the primary investors in stadia built for the use of privately owned professional sports teams team owners have argued that sports facilities boost local economic activity however economic reasoning and empirical evidence suggest the opposite public support for stadia is also driven by demand for community image and owners of sports teams supply a scarce input into image enhancement participation in the major league for which they have been able to extract monopoly rents from dispersed taxpayers we suggest reforms to dissipate the monopoly sports leagues exercise when negotiating with host communities for their teams

learning from prices and the dispersion in beliefs i study whether investors use an asset s price to update their beliefs about its payos i show that in a dynamic economy the relationship between the dispersion in investor beliefs and returnvolume characteristics can be used to empirically answer this question when investors have rational expectations re and condition on the price i show that belief dispersion is positively related to expected returns return volatility and correlation between volume and absolute returns but negatively related to return autocorrelation when investors do not use the price as in a dierence of opinions do model these relationships are reversed i test these predictions using the crosssection of returns volume and analyst forecast dispersion over dierent horizons the results are consistent with the re model at quarterly and longer horizons but reject both models at the monthly horizon i show that a hybrid model with some do investors and some re investors can match the short horizon evidence the empirical results are consistent with the idea that while some investors do not use the price in the short run they increase their conditioning on the price over time

how markets process information news releases and volatility we examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets we find these announcements are responsible for most of the observed time of day and day of the week volatility patterns in these markets while the bulk of the price adjustment to a major announcement occurs within the first minute volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours nonetheless these subsequent price adjustments are basically independent of the first minute s return we identify those announcements with the greatest impact on these markets we examine the impact on interest rate and foreign exchange markets of scheduled macroeconomic news releases such as the employment report the consumer price index cpi and the producer price index ppi many market participants believe that such announcements have a major impact on financial markets indeed a small industry devoted to predicting the figures to be released in upcoming releases has evolved in recent years with the exception of the weekly money supply figures however the impact of such announcements on financial markets has received scant attention 1 this is doubly surprising given the considerable research interest in market volatility since these news releases are a potential source of much of this volatility consider for instance figure 1 as shown there prices in interest rate and foreign exchange futures markets are much more volatile between 8 30 and 8 35 a m eastern time et than during any other five minute trading period including

introduction economics of betting markets economists have long been interested in the economics of betting markets as exemplified by the excellent survey articles by sauer 1998 and vaughan williams 1999 this is perhaps not surprising

wages rents and the quality of life this study focuses on the role of wages and rents in allocating workers to locations with various quantities of amenities the theory demonstrates that if the amenity is also productive then the sign of the wage gradient is unclear while the rent gradient is positive the theory is extended to include the housing market and nontraded goods these extensions require little modification of the conclusion the empirical work on wages shows that the regional wage differences can be explained largely by these local attributes with the use of site price data implicit prices are estimated and quality of life rankings for the cities are computed

economic development and the escape from high mortality summary this paper studies the characteristic features of the escape from high mortality as recorded from the historical experience of northwestern europe and from the current experience of less developed countries the paper documents stylized facts of mortality change and measures the contribution of economic development represented by income per capita to the mortality decline during the second half of the 20th century the paper argues that improvements in economic conditions since the 18th century are an important factor behind the decline in death rates in developed countries and in the subsequent reduction of death rates in less developed countries we show that economic development lowers mortality through differential effects in infectious disease mortality and that quantitatively income growth is able to account for between one third and one half of the recent mortality decline

european capitals of culture and life satisfaction this paper analyses whether hosting the most prestigious european cultural event the european capital of culture has an impact on regional economic development and the life satisfaction of the local population we show that european capitals are hosted in regions with above average gdp per capita but do not causally affect the economic development in a significant way surprisingly using difference in difference estimations a negative effect on the wellbeing of the regional population is found during the event since no effect is found before the event reverse causality and positive anticipation can be ruled out the negative effect during the event might result from dissatisfaction with the high levels of public expenditure transport disruptions general overcrowding or an increase in housing prices

the own wage elasticity of labor demand a meta regression analysis firms labor demand responses to wage changes are of key interest in empirical research and policy analysis however despite extensive research estimates of labor demand elasticities remain subject to considerable heterogeneity in this paper we conduct a comprehensive meta regression analysis to re assess the empirical literature on labor demand elasticities building on 942 elasticity estimates from 105 different studies we identify sources of variation in the absolute value of this elasticity heterogeneity due to the theoretical and empirical specification of the labor demand model different datasets used or sectors and countries considered explains more than 80 of the variation in the estimates we further find substantial evidence for the presence of publication selection bias as estimates of the own wage elasticity of labor demand are upwardly inflated

investor sentiment and the stock market s reaction to monetary policy this paper shows that monetary policy decisions have a significant effect on investor sentiment the effect of monetary news on sentiment depends on market conditions bull versus bear market we also find that monetary policy actions in bear market periods have a larger effect on stocks that are more sensitive to changes in investor sentiment and credit market conditions overall the results show that investor sentiment plays a significant role in the effect of monetary policy on the stock market

international regulations and environmental performance this article employs the data envelopment analysis dea approach to compute the environmental performance of all but two organisation for economic co operation and development oecd countries it is found that although the environmental performance of countries differs over time poland and hungary are the two best performers for all periods while italy japan austria and switzerland are ranked among the worst the effect of international regulations and some observed characteristics of countries on environmental performance are also investigated international regulations are reported to have a positive effect on environmental performance

the price of innovation an analysis of the marginal cost of green buildings abstract energy efficiency plays an important role in reducing the carbon externality from buildings but economic analyses of more efficient green building have thus far ignored input costs this paper finds that the average marginal cost of green labeled construction projects is smaller than the value premiums documented in the literature however design fees representing just a fraction of development costs but paid largely up front are significantly higher for green construction projects these projects also take longer to complete the results provide some insight into the market barriers and market failures that may explain the relatively slow adoption of otherwise economically rational green construction practices

differential interpretation of public signals and trade in speculative markets most models of trade in speculative markets assume that agents interpret public information identically we provide empirical evidence on the relation between the volume of trade and stock returns around public announcements and we argue that the evidence is inconsistent with this assumption we then develop a model of trade around public announcements that incorporates differential interpretations and is consistent with the observed volume return relation then we test the standard model of belief revision underlying most models of trade using stock brokerage research analysts earnings forecasts the hypthesis of identical interpretations seems inconsistent with the forecast revisions in these data

prosocial behavior private contributions to agriculture s impact on the environment private provision of public environmental benefits is considered with a theory of prosocial behavior that elaborates the roles of nonhedonistic values held by agents as well as the functional interaction between private good and public good production processes the theory also identifies the conditions under which public environmental goods will be privately supplied and motivates an empirical approach models of environmental effort in agriculture are estimated based on a survey of u s field crop farmers results confirm the role of hedonistic motivation of environmental effort and provide very weak evidence of a role of nonhedonistic values

differential interpretation of information in inflation forecasts we test the hypothesis associated with a standard assumption in the theoretical literature on learning that economic agents interpret information identically we use a data set based on a survey o

pre announcement and event period private information abstract pre announcement information is private information gathered in anticipation of a public disclosure event period information is private information useful in conjunction with the announcement itself typically rational models of trade are based exclusively on one type of information such models are less descriptive of real market settings and misspecified empirically therefore we introduce a model of rational trade with both features and discuss its implications

multiple input multiple output production choices and technology in the u s wheat region duality theory motivates a translog expected profit function consistent with multiple products price uncertainty preseason climate constraints acreage control policies and possibly nonhomothetic technology although multiple outputs are allowed enterprise specific data is not necessary instead time series measures of output revenues and expected prices input expenses and prices and fixed input flows are employed appropriate measures of elasticities of choice returns to size and biases in technological change are derived results indicated decreasing returns to size rather limited though complementary responsiveness of choices to price changes and the nature of biases in technological changes

the effect of professional sports on the earnings of individuals evidence from microeconomic data this article examines the impact of professional sports franchises in labour markets using data from the march supplement to the current population survey cps for workers employed in specific occupational groups in all large us cities from 1983 to 2002 results from a standard wage model suggest that professional football franchises increase average hourly and weekly earnings of males employed in these occupations but professional baseball franchises reduce them these results support growing evidence that professional sports affect labour markets however the mixed nature of the association between sport and earnings provides little economic justification for government subsidies for professional sport

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

information tradeoffs in dynamic financial markets abstract in dynamic financial markets the stochastic supply of risky assets has a significant informational role contrary to static models where it acts as noise in dynamic markets stochastic supply contains information about risk premiums acquiring private dividend information helps investors disentangle dividend information from discount rate information contained in prices for uninformed investors however as more informed investors enter the economy prices become more informative about dividends but less informative about discount rates this tradeoff creates complementarities in information acquisition and multiple equilibria in the information market

cross country comparisons of efficiency evidence from the uk and italian investment firms abstract this paper compares and reconciles two new methods for cross country comparisons of the cost efficiency of uk and italian investment firms over the period 1995 1998 it employs four different specifications of the stochastic frontier methodology using a translog cost function in order to measure x efficiency the traditional common frontier reveals that italian investment firms are nearly as efficient as uk firms to overcome traditional limitations two methods are used in this paper they provide consistent results the first method shows differences between the efficiency of the two countries by incorporating environmental variables into the cross country common frontier the second method shows differences in the efficiency of the domestic versus foreign investment firms in the two countries by testing the ability to monitor and control on a cross border basis finally to identify investment firms that are both cost and profit efficient we undertake a profitability test

technological change and the tragedy of the commons the lofoten fishery over 130 years we analyze the effect of technological change on labor and total factor productivity in the lofoten fishery using detailed data for 130 years our findings support the important role of natural resources in productivity and improvements in welfare in natural resource based industries the total factor productivity has risen faster than labor productivity in the fishery indicating that the considerable technological progress in this industry has to some extent been neutralized by the decline in the fish stock open access to the fish resource most probably led to this situation

accounting information disclosure and the cost of capital in this paper we examine whether and how accounting information about a firm manifests in its cost of capital despite the forces of diversification we build a model that is consistent with the capital asset pricing model and explicitly allows for multiple securities whose cash flows are correlated we demonstrate that the quality of accounting information can influence the cost of capital both directly and indirectly the direct effect occurs because higher quality disclosures affect the firm s assessed covariances with other firms cash flows which is nondiversifiable the indirect effect occurs because higher quality disclosures affect a firm s real decisions which likely changes the firm s ratio of the expected future cash flows to the covariance of these cash flows with the sum of all the cash flows in the market we show that this effect can go in either direction but also derive conditions under which an increase in information quality leads to an unambiguous decline in the cost of capital

a performance assessment of the angolan soccer league abstractthis article analyses the technical efficiency of the angolan soccer league from 2008 to 2014 using a translog distance stochastic frontier model the greene stochastic frontier model presented in 2005 and kumbhakar stochastic frontier model presented in 1990 are adopted and the covariates used include luanda location funding by the oil company sonangol club supported by rich fans and club relegated during the period policy implications are then derived

a general index of technical change this paper outlines a procedure for estimating a general index of technical change within the context of a quite general production technology specifically when panel data are available for firms in an industry time specific dummies can be combined in a nonlinear estimation procedure to yield a general index of technical change that may be both nonneutral and scale augmenting this approach offers numerous advantages over the traditional time trend representation of technical change for example the general index can serve as the basis for analysis of the determinants of technical change results for a sample of 30 electric utilities over the period 1951 78 show that the productivity decline of the 1970s can be attributed primarily to sulphur oxide restrictions and secularly declining capacity utilization due to rapidly increasing peak load demands

factor loading uncertainty and expected returns firm specific information can affect expected returns if it affects investor uncertainty about risk factor loadings we show that a stock s expected return is decreasing in factor loading uncertainty controlling for the average level of its factor loading when loadings are persistent learning by investors can induce time series variation in price dividend ratios expected returns and idiosyncratic volatility even when the aggregate risk premium is constant and fundamental shocks are homoscedastic consistent with our predictions we estimate that average annual returns of a firm with the median level of factor loading uncertainty are 400 to 525 basis points lower than a comparable firm without factor loading uncertainty the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

cluster sample methods in applied econometrics inference methods that recognize the clustering of individual observations have been available for more than 25 years brent moulton 1990 caught the attention of economists when he demonstrated the serious biases that can result in estimating the effects of aggregate explanatory variables on individual specific response variables the source of the downward bias in the usual ordinary least squares ols standard errors is the presence of an unobserved state level effect in the error term more recently john pepper 2002 showed how accounting for multi level clustering can have dramatic effects on t statistics while adjusting for clustering is much more common than it was 10 years ago inference methods robust to cluster correlation are not used routinely across all relevant settings in this paper i provide an overview of applications of cluster sample methods both to cluster samples and to panel data sets

option prices under bayesian learning implied volatility dynamics and predictive densities abstract this paper shows that many of the empirical biases of the black and scholes option pricing model can be explained by bayesian learning effects in the context of an equilibrium model where dividend news evolve on a binomial lattice with unknown but recursively updated probabilities we derive closed form pricing formulas for european options learning is found to generate asymmetric skews in the implied volatility surface and systematic patterns in the term structure of option prices data on s p 500 index option prices is used to back out the parameters of the underlying learning process and to predict the evolution in the cross section of option prices the proposed model leads to lower out of sample forecast errors and smaller hedging errors than a variety of alternative option pricing models including black scholes and a garch model

large sport events and unemployment the case of the 2006 soccer world cup in germany this study analyses on the basis of a multivariate analysis ex post the effects on the jobs market of a soccer world cup in this case the 2006 world cup held in germany in addition to three methods already used for other analyses in studies of sporting events an extended difference in difference estimate is used in order to compare the development of the numbers of unemployed in the 12 world cup venues with the development of the numbers of unemployed in 63 other german cities the results demonstrate that in none of the respective match venues did the effect of the sporting event on unemployment differ significantly from zero

does an endogenous relationship exist between environmental and economic performance a resource based view on the horticultural sector the aim of this paper is to analyse the relationship between environmental and economic performance from the resource based theory within firms of the fresh fruit and vegetables sector this study considers that the adoption of environment friendly practices has a greater influence on firms opportunities and abilities in the agricultural sector than in manufacturing sectors and leads to closer links between performance variables the reference for this empirical analysis is a panel data of horticultural farming marketing firms in spain the voluntary environmental programmes and the heterogeneity of their application lead us to regard acquiring a competitive advantage as a relevant driver to improve environmental performance in this sector a simultaneous equations model is suggested reflecting the differential environmental effect and the assumption of endogeneity among variables the results show a positive impact of environmental differentiation on profitability and market share also suggesting that the perception of this positive experience implies greater environmental performance

regulation capital vintage and technical change in the electric utility industry this paper presents estimates of the rate of technical change in the electric power industry over the period 1951 78 the estimated model directly incorporates the effects of rate of return regulation and uses both a time trend and a vintage index to represent disembodied and embodied technical change respectively the results indicate that disembodied technical change was the primary source of cost reduction during 1951 70 and that tighter regulation as represented by a one point reduction in the rate of return would have reduced the rate of technical change by an average of 1 2 during 1951 78 34 references 18 footnotes 3 tables