market contagion evidence from the panics of 1854 and 1857 to test a model of contagion where individuals hear some bad news and communicate it to their acquaintances who then pass it on leading to a market panic requires a knowledge of the information networks of participants something hitherto unavailable for two panics in the 1850s this paper examines the behavior of irish depositors in a new york bank as recent immigrants their social network was determined largely by their place of origin in ireland and where they lived in new york during both panics this social network turns out to be the prime determinant of behavior

the impact of perceived background risk on behavioral health evidence from hurricane katrina i explore the hypothesis that hurricane katrina in 2005 raised perceived background risks which had spillover effects on behavioral health outcomes of mental health substance use and health insurance i explore this hypothesis using behavioral risk factor surveillance system data for 2002 2007 i use a difference in difference model to estimate the effect that hurricane katrina had in the non damaged storm surge region in 90 day intervals leading up to and after the hurricane compared to areas impervious to hurricanes within non damaged counties at risk of any storm surge i find causal evidence that katrina increased poor mental health days by 8 8 for three months after katrina and increased smoking by 10 over nine months which translates to 39 0 million extra days of poor mental health and 1 1 million extra smokers results suggest that perceived background risk increases may have important spillover effects on health for people far from the actual disaster and highlight a hidden cost of the government s failures in managing hurricane katrina

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

can the cross sectional variation in expected stock returns explain momentum it has been hypothesized that momentum might be rationally explained as a consequence of the cross sectional variation of unconditional expected returns stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period we evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series we measure the unconditional expected return on each stock as its mean return in the whole sample period we find momentum effects vanish in demeaned returns

security analysis and trading patterns when some investors receive information before others in existing models of information acquisition all informed investors receive their information at the same time this article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others the model implies that under some conditions investors will focus only on a subset of securities herding while neglecting other securities with identical exogenous characteristics in addition the model is consistent with empirical correlations that are suggestive of oft cited trading strategies such as profit taking short term position reversal and following the leader mimicking earlier trades in existing models of information acquisition all informed investors receive their information at the same time while these models provide many important insights in reality some investors either fortuitously or owing to superior skill acquire pertinent information before others by being first an investor can exploit this information to great advantage information that is uncovered only slightly later is less valuable even if it has not yet been publicly revealed we show in this article that the sequential nature of information arrival has a significant effect on both the trading decisions and the types of information collected by investors the model we develop describes the investment choices of a set of competitive risk averse investors who investigate the long term prospects of firms lucky or high ability investors uncover the

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

return autocorrelation and institutional investors abstract we propose and test the hypothesis that trading by institutional investors contributes to serial correlation in daily returns our results demonstrate that nyse particles and individual security daily return autocorrelationsare an increasing function of the level of institutional ownership moreover the results are consistent with the hypothesis that institutional trading reflects information and increases the speed of price adjustment the relation between autocorrelation and institutional holdings does not however apparent to be driven by market frictions or rational time varying required rates of return we conclude that institutional investors correlated trading patterns contribute to axial correlation in daily returns

storms and jobs the effect of hurricanes on individuals employment and earnings over the long term hurricanes katrina and rita devastated the us gulf coast in 2005 we use job level data to compare the evolution of earnings for affected workers in four states with workers from matched control co

market overreaction and investment strategies we investigated the overreaction of the korean market in response to shocks in the us stock market and analysed the dynamic relationship between these two markets since 1996 we found that the kospi 200 index futures overreacted to the s p 500 index returns during the period from 2000 to 2009 when the korean market was in its growth stage as the korean market matured and the kospi 200 overnight futures were introduced in 2009 the overreaction disappeared when investors employed the kelly model or value at risk to exploit the overreaction their trading strategies produced significant profits during the growth stage even after considering transaction costs and risk but the profits attenuated once the overnight futures market was launched in 2009

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

a flow based explanation for return predictability this paper proposes and tests an investment ow based explanation for three empirical ndings on return predictability the persistence of mutual fund performance the smart

the impact of the 1962 repatriates from algeria on the french labor market this paper uses census data to examine the impact on the french labor market of the 900 000 people repatriated from algeria in 1962 repatriates settled in regions culturally and climatically simil

momentum investment strategies portfolio performance and herding a study of mutual fund behavior this study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit herding behavior i e buying and selling the same stocks at the same time the authors find that 77 percent of the mutual funds were momentum investors buying stocks that were past winners however most did not systematically sell past losers on average funds that invested on momentum realized significantly better performance than other funds the authors also find relatively weak evidence that funds tended to buy and sell the same stocks at the same time copyright 1995 by american economic association

katrina s children evidence on the structure of peer effects from hurricane evacuees in 2005 hurricanes katrina and rita forced many children to relocate across the southeast while schools quickly enrolled evacuees receiving families worried about the impact of evacuees on non evacuee students data from houston and louisiana show that on average the influx of evacuees moderately reduced elementary math test scores in houston we reject linear in means models of peer effects and find evidence of a highly non linear but monotonic model student achievement improves with high ability and worsens with low ability peers moreover exposure to undisciplined evacuees increased native absenteeism and disciplinary problems supporting a bad apple model in behavior

short term reaction of stock markets in stressful circumstances abstract in this paper we document the short term stock price behaviour following a period of stock market stress we focus on price behaviour using daily market indexes from 39 stock exchanges over the period 1989 1998 our results are not consistent with the overreaction hypothesis we find positive negative abnormal price performance in the short term window up to 10 days following positive negative price shocks our analysis also highlights differences between developed and emerging markets we show that the post shock abnormal performances are significantly larger for emerging markets but that this momentum behaviour is markedly less in the late 1990s we find the size of the after shock tremors to be related to market liquidity with larger post shock price changes in less liquid markets

the value of active investing can active institutional investors remove excess comovement of stock returns this study uses cremers and petajisto s 2009 method to separate active institutional investors from passive ones and shows that active investors can alleviate the anomalous comovement of stock returns focusing on 2 events linked to the excess comovement anomaly standard poor s 500 index additions and stock splits i find that if an event stock has more active institutional investors trading in the post event period the anomalous comovement effect disappears in contrast if an event stock experiences a massive exit of active investors this anomaly persists the exit of active institutional investors also results in a strong price synchronicity effect

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

financial transaction taxes market composition and liquidity we use the introduction of a financial transaction tax ftt in france in 2012 to test competing theories on its impact we find no support for the idea that an ftt improves market quality by affecting the composition of trading volume instead our results are in line with the hypothesis that a lower trading volume reduces liquidity and in turn market quality consistent with theories of asset pricing under transaction costs we document a shift in security holdings from short term to long term investors finally we find that moderate aggregate effects on market quality can mask large adjustments made by individual agents

a prospect theoretical interpretation of momentum returns abstract the puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance however by applying a prospect theoretical assessment of us stock momentum returns we provide a possible direction for explaining the puzzle

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

the distribution of cross sectional momentum returns abstract although there is a vast empirical literature on cross sectional momentum csm returns there are no known analytical results on their distributional properties due in part to the mathematical complexity associated with their determination in this paper we derive the density of csm returns in analytic form along with moments of all orders under the assumption that underlying asset returns are multivariate normal the resulting expressions are highly non trivial in general and involve truncated normal distributions the distribution of csm returns can be formally described as a mixture of the unified skew normal family of distributions however if the asset returns are independent then the density of the csm returns is shown to be a mixture of univariate normals in order to shed light on the general case we present a detailed analysis of the case of two underlying assets which is shown to explain many of the key features of csm returns reported in the empirical literature

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

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

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

native internal migration and the labor market impact of immigration this paper presents a theoretical and empirical study of how immigration influences the joint determination of the wage structure and internal migration behavior for native born workers in local labor markets using data from the 1960 2000 decennial censuses the study shows that immigration is associated with lower in migration rates higher out migration rates and a decline in the growth rate of the native workforce the native migration response attenuates the measured impact of immigration on wages in a local labor market by 40 to 60 per cent depending on whether the labor market is defined at the state or metropolitan area level

survival of entrepreneurship in spain the aim of this paper is to analyse the determinants of survival in entrepreneurship in spain for this purpose a cox proportional hazard model is estimated using information from the continuous working life sample the results show that opportunity entrepreneurs have a higher probability of continuing their entrepreneurial activity than entrepreneurs motivated by other reasons moreover women show a higher survival rate than men in addition a high educational level positively influences survival whilst previous work experience increases the risk of not surviving finally age with a nonlinear influence increases probability of survival but at a decreasing rate the implications of these results are that it should not be encouraged entrepreneurship indiscriminately and authorities should promote entrepreneurial training and help entrepreneurship of people under 30 and over 45 50 years

the effect of migration on wages evidence from a natural experiment the objective of this paper is to employ the hurricane katrina evacuation into houston tx as a natural experiment to estimate the effect of large scale in migration on regional earnings given the characteristics of the evacuees their influx would have caused the supply of applicants for lower skilled jobs to increase proportionately more than for higher skilled jobs we utilize a differences in differences in differences methodology in which we compare differences in average earnings in the low skill non traded goods industries to the corresponding differences in the set of high skill industries in the houston and dallas fort worth msas before and after the katrina induced migration unlike previous studies we include a measure of the post storm increase in demand for local goods and services on the demand for labor we find evidence that the relative average payroll in the low skill non tradable goods industries in houston decreased by 7 when compared to the relative change for the same group of industries in dallas our findings also suggest that failure to account for demand side influences following the migration results in significant under estimation of wage effects due to the shift in labor supply

the impact of mass migration on the israeli labor market mass migration from the former soviet union increased the israeli population by 12 in the first half of the 1990s this exodus was precipitated by the lifting of emigration restrictions in an unstable ussr and by the open immigration policy of israel toward soviet jews who faced more restrictive entry policies elsewhere i use this natural experiment to study the impact of immigration on the labor market outcomes of native israelis ols yields significant reductions in wages and small reductions in employment however ols is biased if the distribution of immigrants across occupations in israel was not exogenous to relative wage and employment conditions i instrument for the entry of russians into an occupation in israel using information on their former occupations in the ussr there is a significant positive correlation between the former presence of the immigrants in an occupation in the ussr and their presence in that occupation in israel but the previous occupational choices of russians abroad were independent of israeli wage and employment growth subsequent to their migration iv estimates indicate that immigration did not have an adverse impact on native israeli labor market outcomes

the 52 week high momentum strategy in international stock markets abstract we study the 52 week high momentum strategy in international stock markets proposed by george and hwang george t hwang c y 2004 the 52 week high and momentum investing journal of finance 59 2145 2176 this strategy produces profits in 18 of the 20 markets studied and the profits are significant in 10 markets the 52 week high momentum profits exist independently from the jegadeesh and titman jegadeesh n titman s 1993 returns to buying winners and selling losers implications for market efficiency journal of finance 48 65 91 individual stock and moskowitz and grinblatt moskowitz t j grinblatt m 1999 do industries explain momentum journal of finance 54 1249 1290 industry momentum strategies these profits do not show reversals in the long run we find that the 52 week high is a better predictor of future returns than macroeconomic risk factors or the acquisition price the individualism index a proxy to the level of overconfidence has no explanatory power to the variations of the 52 week high momentum profits across different markets however the profits are no longer significant in most markets once transaction costs are taken into account

immigration and wage dynamics evidence from the mexican peso crisis how does the us labor market absorb low skilled immigration i address this question using the 1995 mexican peso crisis an exogenous push factor that raised mexican migration to the us in the short run high immigration states see their low skilled labor force increase and native low skilled wages decrease with an implied local labor demand elasticity of 7 internal relocation dissipates this shock spatially in the long run the only lasting consequences are for low skilled natives who entered the labor force in high immigration years a simple quantitative many region model allows me to obtain the counterfactual local wage evolution absent the immigration shock

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

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

self employment differentials among foreign born stem and non stem workers abstract this paper uses the american community survey to examine the previously overlooked fact that foreign stem science technology engineering and mathematics graduates have much lower self employment rates than their non stem counterparts with an unconditional difference of 3 3 percentage points we find empirical support for differing earnings opportunities as a partial explanation for this self employment gap high wages in stem paid employment combined with reduced earnings in self employment make self employment less desirable for stem graduates high self employment rates among other foreign born workers partially reflect weak paid employment opportunities public policy should encourage efficient use of worker skills rather than low value business venture creation

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

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

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

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

the market impact of trends and sequences in performance new evidence bloomfield and hales 2002 find strong evidence that experimental market subjects are influenced by trends and patterns in a manner supportive of the shifting regimes model of barberis shleifer and vishny 1998 we subject the model to further empirical scrutiny using the football wagering market as our price laboratory sports betting markets have several advantages over traditional capital markets as an empirical setting and commonalities with traditional markets allow for useful insights we find scant evidence that investors behave in accordance with the model barberis s hleifer and vishny 1998 develop a model of investor sentiment that is consistent with two pervasive empirical anomalies that have been the focus of much research in finance momentum in returns and reversals in returns 1 the model is motivated by evidence documented by cognitive psychologists on two systematic biases that arise when people form beliefs namely conservatism and representativeness 2 these biases are captured in a regimeshifting framework in which the earnings process follows a random walk but investors hold the flawed belief that the process switches between a reversal regime in which earnings changes tend to reverse themselves in sign and a continuation regime in which earnings changes are followed by changes of the same sign a key feature of the model is that investors look at the frequency of past performance reversals to determine which regime currently governs performance a recent paper by bloomfield and hales 2002 reports results of laboratory experiments with mba student participants which support the existence of

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

cash holdings and labor heterogeneity the role of skilled labor firms differ in their dependence on skilled labor and face labor adjustment costs that increase with their workers skill level we show that firms with a higher share of skilled workers and thus less flexibility to adjust their labor demand in response to cash flow shocks hold more precautionary cash the effect of labor skills on cash holdings is more pronounced for financially constrained firms and varies with exogenous differences in firing and hiring costs we address endogeneity concerns by using subsamples of firms with reasonably similar characteristics propensity score matching and a quasi experimental shock to labor markets

the effect of weather induced internal migration on local labor markets evidence from uganda relying on census data collected in 2002 and historical weather data for uganda this paper estimates the impact of weather induced internal migration on the probability for non migrants living in the destination regions to be employed consistent with the prediction of a simple theoretical model the results reveal a larger negative impact than the one documented for developed countries they further show that this negative impact is significantly stronger in ugandan regions with lower road density and therefore less conducive to capital mobility a 10 percentage points increase in the net in migration rate in these areas decreases the probability of being employed of non migrants by more than 10 percentage points

the value of asset allocation advice evidence from the economist s quarterly portfolio poll this study analyzes the economic importance of portfolio advice for an investor with an international and multiple asset investment strategy we construct portfolios based upon the asset allocation and security market advice of major international investment bankers and analyze the performance using weight based techniques our results indicate that portfolio advisers are not able to outperform passive benchmarks they do not realize superior performance either through appropriate timing or selection skills apparent market timing skills as measured by the portfolio change measure are to a large extent an artifact caused by serial correlation in the return indices used likewise the apparent short run performance persistence is more due to the serial correlation in returns than to active portfolio selection strategies

starting on the wrong foot seasonality in mutual fund performance abstract we document a systematic seasonal component in the aggregate underperformance of active mutual funds at the aggregate level active funds underperform the market and other passive benchmarks only in the first month of a quarter this intra quarter performance seasonality holds across fund sizes and investment styles the pattern is consistent with short term stock return reversal effects along with aggregate window dressing and to a lesser extent nav inflation practices around quarter ends we find marginal or no evidence of microstructure biases fund investor flows or cash distributions as sources of this seasonality our findings highlight new features of the active management underperformance puzzle

measuring the labor market impacts of hurricane katrina migration evidence from houston texas hurricane katrina made landfall on the us gulf coast as a category three storm on the morning of august 29 2005 with winds reach ing speeds of 130 miles per hour and storm surges as high as 27 feet katrina caused unprec edented damage along the coasts of alabama mississippi and louisiana unofficial estimates suggest that 100 000 to 150 000 evacuees moved to the houston texas metropolitan area repre senting a 3 to 4 percent increase in the population adrian campo flores 2005 some anecdotal evidence suggests that many evacuees expect to stay in the houston metro area indefinitely 2 katrina disproportionately affected minorities and the disadvantaged thomas gabe et al 2005 find that the evacuees who were most acutely affected by the storm were significantly more likely to be black poor and unemployed and were significantly less educated compared to other evacuees and compared to the nation on average in this paper i examine the effect of the migration of katrina evacuees on the houston metropolitan area labor market using current population survey cps data from september 2000 to august 2006 to quantify the effect of hurricane katrina migration i compare wages and employment before and after the storm among nonevacuees residing in houston or native houstonians and in other metro areas that were not directly or indirectly affected by the storm in addition i allow the effects to vary by gender education and race and ethnicity the existing studies of the effect of immigra tion on the labor market outcomes among native born workers provide a good point of comparison for this analysis see rachel m friedberg and jennifer hunt 1995 and david card 2005 for reviews of this literature in a study similar to this one adriana kugler and mutlu yuksel 2006 find negative employment effects among low educated native workers and positive wage effects among highly educated workers in the us border states after hurricane mitch struck central america in october 1998 more gener ally there are numerous studies that examine the impact of an unexpected increase in the local labor supply due to immigration including papers by card 1990 hunt 1995 william carrington and pedro de lima 1996 and friedberg 2001 collectively these studies find small and insig nificant effects of immigration on local labor market outcomes for native workers other studies estimate the effect of immi gration on local labor markets using varia tion across receiving areas and across time in the immigrant share of the labor force and these studies produce conflicting results card 2001 2005 finds that local labor market out comes for unskilled natives are only marginally affected by immigration while george j borjas 2006 shows that the wage effect of immigra tion increases when the labor market is defined at the national level instead of at the local level since workers are more likely to migrate between localities than between countries in response to increased labor market competition due to immigration however gianmarco i p ottaviano and giovanni perri 2006 argue that by ignoring capital mobility and by assuming that immigrant and native workers are perfect substitutes in the labor market borjas overstates the size of the effect industrial relations section firestone library prince ton university princeton nj 08544 e mail mfifer princeton edu i am grateful to henry f rber elizabeth fussell alan krueger michael rothschild jesse rothstein and cecilia rouse for their guidance and leandro carvalho jason deparle matthew ericson jane fortson and participants at the princeton university graduate labor lunch and public finance working group and at the tulane university disaster and migration conference for helpful comments and suggestions i am responsible for the contents and for all remaining errors 1 jason de parle katrina s tide carries many to hope ful shores new york times april 23 2006 2 susan saulny putting down new roots on more solid ground new york times september 7 2005 simon romero shelters grow empty as apartments open up new york times september 8 2005

the impact of 1970s repatriates from africa on the portuguese labor market this paper examines the labor market effect of the retornados who immigrated to portugal from angola and mozambique in the mid 1970s following portugal s loss of its african colonies the retornados increased the portuguese labor force by roughly 10 in just three years two analyses suggest contrasting conclusions first comparisons of portugal with spain and france indicate that any adverse effect of the retornados was quantitatively swamped by the europe wide downturn in labor market conditions in the 1970s second comparisons between districts within portugal indicate that the retornados may have had a strong adverse effect on portuguese wages suggesting that immigration may be considerably more harmful than previous case studies have concluded the authors however regard the results of the within portugal analysis as less reliable than those of the comparison across countries

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

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

the employment of married women in the united kingdom 1970 83 the proportion of married women in employment in the united kingdom grew rapidly during the 1970s rising from around 50 to 60 per cent the paper investigates this change using a time series of cross sections from the family expenditure survey an attempt is made to assess how much of the change was due to trends in the observable characteristics of the population and what part was played by changes in behavioural and other factors reflected in the coefficients of the model a technique of growth accounting is proposed and used to this purpose excerpt

patterns of ethnic self employment in time and space evidence from british census microdata the over representation of certain ethnic minority and immigrant groups in self employment is in common with other developed countries a notable feature of the uk labour market compared to the substantial growth in self employment in the 1980s the 1990s saw overall self employment rates plateau despite this some minority groups experienced continued growth whilst others particularly chinese and indian males and pakistani bangladeshi and chinese females saw their self employment rates decline in this paper we use microdata samples from the 1991 and 2001 censuses to investigate the dynamic and spatial patterns of ethnic entrepreneurship using decomposition methods we find that for males from the asian groups changes in observable characteristics associated with an increasing proportion of second generation individuals explain much of the decline in self employment this which is also true of chinese females reflects in part the age structure and educational experiences of the second generation the dynamics of black male and pakistani bangladeshi male and female entrepreneurship are less easy to explain we also find that while there is no evidence of self employment being an enclave phenomenon local economic conditions do affect rates of entrepreneurship for some groups notably pakistanis and bangladeshis

is the new immigration really so bad this article reviews the recent evidence on us immigration focusing on two key questions 1 does immigration reduce the labour market opportunities of less skilled natives 2 have immigrants who arrived after the 1965 immigration reform act been successfully assimilated overall evidence that immigrants have harmed the opportunities of less educated natives is scant on the question of assimilation the success of the us born children of immigrants is a key yardstick by this metric post 1965 immigrants are doing reasonably well even children of the least educated immigrant origin groups have closed most of the education gap with the children of natives

natural disasters and labor markets abstract while it is clear that natural disasters have serious welfare consequences for affected populations less is known about how local labor markets in low income countries adjust to such large shocks combining data from the indonesia family life survey the desinventar database the u s geological survey and district level employment indicators this paper explores how a large earthquake in indonesia affected labor market outcomes in particular the evolution of wages across sectors i find that the earthquake had a positive effect on wage growth for workers who were employed in the agricultural sector at baseline i propose two mechanisms for this result a higher growth rate of the price of rice and a downward shift in the supply of workers in the agricultural sector i show that evidence mainly supports the latter labor shifted out of the agricultural sector into the construction sector raising the marginal product of labor in agriculture

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

combining momentum with reversal in commodity futures this paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures while the single sort momentum strategies returns 11 14 per annum on average a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation combining the observed reversal pattern with the momentum signal our double sort strategy returns 20 24 per annum which significantly outperforms single sort strategies the proposed strategy is robust to seasonality effects and sample adjustments in commodity futures the profitability of the double sort strategy cannot be explained by standard risk factors term structure market volatility investor sentiment data mining or transaction costs but appears to be related to global funding liquidity as a consequence the double sort strategy in commodity futures may be employed as a portfolio diversification tool

the decline of private sector unionism and the gender wage gap between 1973 and 1988 private sector unionism fell by 9 5 percentage points more for men than women and the gender wage gap one minus the ratio of female to male wages decreased by 09 these trends support two findings first unionism fell more slowly for women primarily because the probability of unionism fell most rapidly in jobs dominated by males second the greater decline in unionism among males is responsible for approximately one seventh of the 09 decline in the gender wage gap

volume autocorrelation information and investor trading this study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading institutional trading or both we find that at least 95 of nyse and amex stocks exhibit statistically significant positive serial correlation volume autocorrelation decreases with the level of institutional ownership of a stock we also show that the rate of arrivals of new information to the market contributes to the clustering of trades when there is high information flow to the market institutional trading generates a more pronounced effect on volume autocorrelation than individual investor trading our results are broadly consistent with the predictions of trading volume patterns suggested by most theoretical models of stock trading and by empirical research on investor trading