ipo underpricing and flotation methods in taiwan a stochastic frontier approach adopting stochastic frontier analysis this article studies the pricing model and underpricing phenomenon of the initial public offerings ipos in taiwan and further elucidates the potential impact of offering mechanisms on underpricing the sampling period is from 1996 to 2003 in which 647 ipos are selected empirical results suggest that issuing firms with greater earning potentials less risk or less asymmetric information have lower underpricing furthermore the variables included to explain underpricing are mostly significant especially the proxy variable for flotation method observed mean ipo underpricing is 20 59 in the sample period compared to 17 12 for the subgroup using the auction method this statistically significant difference implies that the introduction of the auction method can help reduce ipo underpricing

intraday technical trading in the foreign exchange market this paper examines the out of sample performance of intraday technical trading strategies selected using two methodologies a genetic program and an optimized linear forecasting model when realistic transaction costs and trading hours are taken into account we find no evidence of excess returns to the trading rules derived with either methodology thus our results are consistent with market efficiency we do however find that the trading rules discover some remarkably stable patterns in the data

x efficiency and economies of scale in pension fund administration and investment pension funds operating costs impair pension benefits so it is crucial for pension funds to operate at the lowest cost possible in practice we observe substantial differences in costs per member for dutch pension funds both across and within pension fund size classes this article presents new estimates of scale economies of pension funds and is the first that also measures pension fund x inefficiency we use a unique supervisory data set which distinguishes between administrative and investment costs and apply various approaches and models our estimates show large economies of scale for pension fund administrations but modest diseconomies of scale for investment activities we also found that many pension funds have substantial x inefficiencies for both administrative and investment activities the two kinds of inefficiency differ across types of pension funds therefore most pension funds should be able to improve their cost performance and hence increase pension benefits

accumulation of assets in farms covered by the fadn farm accountancy system in poland the economic and eco efficiency context the primary objective of the article is to identify the accumulation processes in farms in poland based on the economic size as well as the context of eco efficiency from the perspective of environmental sustainable value in addition the importance of subsidies in generating accumulation was specified and the context of eco efficiency was taken into account analysis of the environmental context was carried out with the use of the assessment of subsidies for public goods and return to cost ratio rtc based on the concept of sustainable value sv cross analysis has shown that with the transition to groups of farms with an increasing economic size the situation was more favourable from the perspective of the accumulation rate and its level per 1 ha subsidies play a significant role in shaping accumulation it was observed that the higher rate of accumulation associated with the transition to groups of farms with greater economic strength is accompanied by an increase in eco efficiency through the prism of the rtc indicator larger but not the largest farms are more efficient in using the transformation of environmental inputs into production output which does not mean that they exert an absolutely lower environmental pressure

international evidence on the robustness of the day of the week effect consistent with connolly s 1989 1991 evidence this study finds that sample size and or error term adjustments render u s day of the week effects statistically insignificant in contrast day of the week effects in seven european countries and in canada and hong kong are robust to individual sample size or error term adjustments and day of the week effects in five european countries survive the simultaneous imposition of both types of adjustments in most countries where day of the week effects are robust however the effects are statistically significant in not more than two weeks out of the month these findings are inconsistent with explanations of the day of the week effect based on institutional differences or on the arrival of new information thus in the absence of other potential explanations already dismissed by jaffe and westerfield 1985 evidence in this study further complicates the international day of the week effect puzzle

efficiency analysis of german electricity distribution utilities non parametric and parametric tests this study applies non parametric and parametric tests to assess the efficiency of electricity distribution companies in germany traditional issues in electricity sector benchmarking are addressed such as the role of scale effects and optimal utility size as well as new evidence specific to the situation in germany labour capital and peak load capacity are used as inputs and units sold and the number of customers as output the data cover 307 out of 553 german electricity distribution utilities a data envelopment analysis dea is applied with constant returns to scale crs as the main productivity analysis technique whereas stochastic frontier analysis sfa with distance function is the verification method the results suggest that returns to scale play but a minor role only very small utilities have a significant cost advantage low customer density is found to affect the efficiency score significantly in particular in the lower third of all observations surprisingly east german utiliti

stock return seasonalities and earnings information previous literature documents significant seasonalities in stock market returns one explanation is seasonality in earnings information if true a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings employing all new york and american stock exchange firms over six years this study examines the seasonality of stock returns generally seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns thus it is doubtful that earnings news seasonality induces stock return seasonality

farm household efficiency in bangladesh a comparison of stochastic frontier and dea methods this study compares estimates of technical efficiency obtained from the stochastic frontier approach and the data envelopment analysis dea approach using farm level survey data for rice farmers in bangladesh technical inefficiency effects are modelled as a function of farm specific socioeconomic factors environmental factors and irrigation infrastructure the results from both the approaches indicate that efficiency is significantly influenced by the factors measuring environmental degradation and irrigation infrastructure

the efficiency of financial futures markets tests of prediction accuracy abstract the prices of financial futures contracts can be interpreted as forecasts of the spot rates which will apply at the final delivery date of that contract financial futures contracts have been traded daily since the early 1980s and provide a substantial bank of data to test the forecasting efficiency of such contracts tests are carried out to examine whether the interest rates implied by the futures price for eurodollar and short sterling contracts are cointegrated with the final settlement price over forecasting horizons of 1 2 and 3 months similar analysis is carried out for the yen dollar exchange rate futures contract the paper then examines the forecasting performance of the three contracts over the forecasting horizons of 1 2 and 3 months and in particular whether the forecasts implied by the futures contract provide better predictions than the naive no change i e random walk a vector error correction model vecm or an arima model an examination of the relative efficiency of the markets for the three markets over the three time horizons is carried out and finally trading strategies are simulated to see whether excess profits can be achieved in fact the results suggest that both profits and losses would be attracted

how supply competency affects fdi decisions some insights abstract foreign investment decisions by multinational enterprises are usually arrived by considering not just the firm specific factors but location specific factors are also of paramount importance using three supply factors specific to a country supply environment supply infrastructure absorptive capacity we construct a rating system representing the potential of a nation to attract foreign direct investment fdi we use the combinatorics and boolean based logical analysis of data lad method to capture the individual and combined impact of the supply factors on the fdi inflow the lad classification system is shown to be robust cross validating very well thereby allowing its use for prediction purposes and permitting the derivation of a rating system that can have various granularity levels by linking fdi potential with supply capability related factors the findings of this research contribute to future fdi decisions by firms as well as provide assistance and direction to strategic planners of countries that seek to enhance their attractiveness as fdi destinations as technology matures production processes start to lack differentiation and firms look to establish facilities globally to become more competitive this study enhances decision making process pinpointing areas for focused consideration

determinants of foreign investment of u s advertising agencies this paper investigates the impact of several factors on the foreign investment of u s advertising agencies by using the theories on the determinants of foreign direct investment by manufacturing firms for the two years examined the hypotheses about the impact of host country market size host country geographic proximity firm size firm s international operations experience oligopolistic reaction and presence of home country customers abroad are all confirmed this paper also investigates the impact of oligopolistic reaction among the top ten and the second ten largest agencies and finds a stronger impact for the former

nonlinearity data snooping and stock index etf return predictability abstract this paper examines daily return predictability for eighteen international stock index etfs the out of sample tests are conducted based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison the main results show evidence of predictability for six of eighteen etfs a simple linear autoregression model and a nonlinear in variance garch model but not several popular nonlinear in mean models help outperform the martingale model the allowance of data snooping bias using white s reality check also substantially weakens otherwise apparently strong predictability

trading rule profits in european currency spot cross rates abstract the moving average ma trading rule is applied to six european spot cross rates jy bp dm bp jy dm sf dm sf bp and jy sf to see if opportunities for profitable trading exist the results suggest that ma trading rules are marginally profitable only for the jy dm and the jy sf cross rates while trading rules are not profitable for the other four cross rates bootstrapping and out of sample tests provide similar results examination of subsamples characterized by central bank intervention do not produce different results computation of box pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross rates are serially uncorrelated overall the results suggests that cross rates are sufficiently transparent to eliminate ma trading rule profit

the importance of assumptions in investment evaluation abstract this work illustrates a new method for estimating the importance of assumptions in investment evaluation the most diffused sensitivity analysis schemes present limitations when used to assess the importance of individual parameters and cannot be employed to estimate the importance of groups of assumptions however such problems can be solved by making use of the differential importance measure dim we set forth the framework for the application of dim at the parameter level of investment valuation models we study the relationship between dim and investment marginal behavior we analyze the link between importance of a parameter and risk associated with it we discuss general results for a sample valuation model the numerical application to the valuation of an energy sector investment project follows we rank the factors based on their importance and determine the project risk profile we discuss the importance of groups of assumptions results will show that assumptions relating to revenues are the most influential ones followed by discounting and operating cost assumptions we discuss numerically the relationship between importance and risk analyzing the effect of variable costs hedging through the comparison of the project risk profile in the presence and in the absence of such a hedging

sustainable infrastructure investment with labor only production abstract the purpose of this paper is to consider a partial equilibrium model for a sustainable infrastructure investment in a labor production economy we consider an inter temporal stackelberg game in a capital primitive economy where all capital investments are made by a central agency a government the government is assumed to have a number of objectives including sustainability of the infrastructure investments while firms are assumed to be myopic maximizing only current profits and paying taxes as a function of their returns both open loop and closed loop feedback stackelberg strategies are considered based on the analysis of the investment game some conclusions are drawn regarding the propensity to invest as a function of sustainability constraints the taxation rates and employment levels we then show that investments can tend to a constant level and thus strategic government goals of sustainability and employment growth can be planned only if labor costs and the general price index are steady or characterized by a set of conditions ensuring the attainability of the steady state investment

efficiency in the domesday economy 1086 evidence from wiltshire estates it may surprise some readers that frontier methods such as data envelopment analysis dea can be used to assess the productive efficiency of the estates of eleventh century england this is possible because in 1086 william the conqueror carried out a comprehensive survey the domesday survey of lands he invaded 20 years earlier the survey provides high quality data on the inputs and outputs of most manors in england a previous analysis of the data for essex estates indicated that the average efficiency of the domesday agricultural economy was comparable to if not higher than that for more modern economies that some tenants in chief displayed significantly more entrepreneurial flair than others and that the geographical location the size of the estate and the arable livestock mix all significantly affected estate efficiency in this article analysis of a second domesday county wiltshire confirms the general results for essex but indicates some differences in the factors affecting estate effici

consistency in performance rankings the peru water sector regulators can utilize a number of alternative methodologies for comparing firm efficiency but these approaches need to be robust to be accepted by stakeholders this study evaluates the consistency of water utility performance rankings for peruvian water utilities the results indicate that data envelopment analysis dea and stochastic frontier analysis sfa yield similar rankings in this case in addition the techniques have comparable success for identifying the best and worst performing utilities however these rankings based on sophisticated statistical techniques are not highly correlated with those developed by the peruvian water regulator sunass this result does not invalidate the performance rankings obtained by the regulator since those rankings are based on more dimensions of utility performance however they illustrate the importance of developing sound techniques for identifying weak utilities improvements in sector performance require that benchmarking be given greater attention t

biases in technical efficiency scores caused by intra input aggregation mathematical analysis and a dea application using simulated data in data envelopment analysis dea applications involving multiple inputs and outputs inputs are aggregated into the total amounts of each type of input for example if input types labour and capital are used to produce multiple outputs the total amount of labour used to produce all outputs is treated as one aggregated input and the total amount of capital as another resources are not disaggregated into input variables measuring the amount of labour used to produce the first output the amount of labour used to produce the second output the amount of labour used to produce the third output and so on for both labour and capital it is shown that such intra input aggregation causes downward bias in reported technical efficiency scores with variations in bias unrelated to true technical efficiency therefore with few exceptions any technical efficiency comparisons among dmus are invalid the presence of intra input aggregation bias is demonstrated mathematically simulation is used to exhibit it

international investment location decisions abstract in international location tournaments governments compete for foreign investment with tax and other short run incentives such tournaments can be won if agglomeration economies are sufficiently powerful to overcome investors desire to spread investments as a hedge against risk we focus on manufacturing investments by u s multinationals in the 1980s our econometric results suggest that agglomeration economies are indeed the dominant influence on investor calculations paradoxically short run incentives have limited apparent impact on location choice we conclude that high cost tournament play is unnecessary for countries with good infrastructure development specialized input suppliers and an expanding domestic market

an integrated location production distribution and investment model for a multinational corporation abstract we present a mixed integer linear formulation that extends published models on multinational corporation facility location decisions by including exogenous variables such as exchange rates and tariff rates and incorporating production distribution and investment decisions the model provides insights on production levels facility configurations distribution strategies and levels of investment needed at these facilities and explores factors that influence the facility s configuration decisions several scenarios are considered based on various facility configurations and levels of exchange and tariff rates the results obtained from these show that the model s performance and results are in complete agreement with accepted economic theories

determinants of fdi incentive preferences of mnes in this study managers of u s firms with operations in the caribbean region evaluated the attractiveness of twenty host country incentives multivariate analysis of variance was employed to determine whether incentive preferences were a function of investment characteristics the results indicate that incentive preferences depend on the type of investment market orientation size of investment geographic location year of investment and type of product furthermore exporters considered import duty concessions to be more desirable than did investors oriented toward the local markets these results indicate that government programs waiving import duties such as the free trade zones of the dominican republic and the maquiladora program of northern mexico are providing the incentive deemed most important by their targeted investors

the impact of the 1999 cap reforms on the efficiency of the cop sector in spain the cereal oilseeds and protein crop sector cop occupies a prominent position within the european union s agricultural sector within spain the cop sector accounts for almost a third of total agricultural guidance and guarantee fund expenses and half of the utilized agricultural area uaa the cop sector is not only relevant because of its physical and economic magnitude but also because of the political attention it receives the common agricultural policy cap reforms that occurred during the 1990s paid special attention to this sector this article aims to determine the impacts of agenda 2000 on a sample of spanish cop farmers production decisions by using an output oriented stochastic distance function the distance function allows for an assessment of the reform motivated changes on total output input used input composition and crop mix it also permits an assessment of the impacts of the reform on farms technical efficiency results show that the reform has shifted the production frontier inward and changed output composition in favor of voluntary set aside land with respect to input composition agenda 2000 induced a decrease in land fertilizers pesticides and other inputs in favor of labor in addition agenda 2000 has had a negative impact on technical efficiency

the distribution of dairy farm size in poland a markov approach based on information theory this article sets out to analyse the evolution of the dairy farm structure of poland during the post socialist period after focusing on how the farm structure has changed over time an instrumental variable generalized cross entropy estimator is used to develop and estimate a markov model in order to explore how farm structure will probably develop in the coming decade the estimator exploits both sample data and prior information including general and plausible information on farm mobility and structural adjustments based on independent literature next several statistical indicators are computed for farm mobility and for which farms are likely to survive finally milk projections are made and related to policy scenarios the projections show that the number of dairy farms will continue to decline but the number of medium and large farms will increase in the coming decade subsistence dairy farms are expected to leave the sector slowly milk projections show that under the status quo milk quotas w

measuring technical efficiency in the greek agricultural sector this paper measures the degree of technical efficiency of greek farms at discrete points in time stochastic frontier production functions are estimated from four annual farm accountancy data network fadn surveys of the 1992 1995 period from the results a measure of technical efficiency is calculated for each farm for each year the four distributions of technical efficiency values are examined and compared all four samples show a wide range of farm specific technical efficiency but efficiency is improving over the period the paper also presents frontier estimates for small and large farms classified according to economic size in that case technical efficiency measures are calculated and their distributions are examined and compared the results show that large farms are more efficient than small farms however efficiency is improving in both size farms over the period in general the results of this study indicate that there is substantial scope for improving technical efficiency of greek farms

using panel data analysis to estimate confidence intervals for the dea efficiency of individual decision making units this article demonstrates a methodology using panel data analysis to estimate confidence intervals for the data envelopment analysis efficiency of individual decision making units dmus and the statistical significance of trends in individual dmu efficiency the procedure accounts for stochastic variations of the inputs and outputs of the target dmu as well as stochastic variations of the inputs and outputs of its efficient benchmark peers the procedure is demonstrated using 9 years of data from 34 canadian paratransit agencies

efficiency and its determinants in pharmaceutical industries ownership r d and scale economy the purpose of this article is to measure the efficiency of pharmaceutical firms and identify their determinants using korean and american samples from 1992 to 2004 we document some stylized facts in the patterns and sources of efficiency change in korean and american pharmaceutical firms the evidence shows that ownership structure can substantially influence the efficiency of pharmaceutical firms especially institutional ownership rate affects corporate efficiencies negatively corroborating the myopic institutional investor hypothesis the hypothesis is supported by both korean and american samples however we find evidence that foreign ownership in korea promotes efficiency of pharmaceutical firms it is shown that r d intensity is positively related to contemporaneous largest ownership rate and prior foreign ownership rate in korean pharmaceutical firms in contrast little evidence is found on the relationship between ownership structure and r d intensity in the american pharmaceutical industry

firm differences in perceptions of the facilitating role of foreign trade zones in global marketing and logistics recent research has investigated the internationalization process of the firm this study provides insight into the role that foreign trade zones play in that process it investigates differences between users and non users of foreign trade zones in terms of 1 firm characteristics 2 the awareness of zone benefits and 3 the importance of the benefits to the firms surveyed zone users were found to import significantly more than non users and exported more as well users tended to be smaller in size sales and number of employees than non users users were more aware of the benefits of foreign trade zones and for the most part rated the benefits as being more important in facilitating their global marketing and logistics functions

the location of export oriented foreign direct investment in the caribbean basin this paper analyzes the location of export oriented manufacturing investment the analysis focuses on direct investment in the caribbean basin using micro data for all reported manufacturing plant openings from 1984 87 we test a broad range of influences on country selection and compare the results with the existing literature on foreign direct investment in less developed countries the probability of country selection was estimated with a conditional logit model the estimates were then used to predict the location of caribbean basin investments made in 1988 and 1989 twelve independent variables were tested six variables had a statistically significant positive relationship with plant location per capita gnp exchange rate devaluation the length of income tax holidays the size of free trade zones political stability and manufacturing concentration negative relationships were found for the wage rate inflation rate transportation cost and profit repatriation restrictions

turn of month evaluations of liquid profits and stock returns a common explanation for the monthly and january effects this paper presents and tests a hypothesis that the standardization of payments in the united states at the turn of each calendar month generally induces a surge in stock returns at the turn of each calendar month the hypothesis also asserts that returns generally will be greater following the month of december and will vary inversely with the stringency of monetary policy empirical results using stock index returns for 19691986 support the hypothesis this analysis provides an explanation for the previously documented monthly effect in stock returns and a partial explanation for the january effect in a recent paper ariel 1987 documents an important empirical regularity in stock returns and terms it the monthly effect using value weighted and equally weighted daily stock index returns for the period 1963 1981 ariel shows that virtually all of the cumulative return on these indexes is realized on ten consecutive trading days of the calendar month beginning with the last trading day of the month and extending through the first nine trading days of the following month ariel considers various explanations for this phenomenon but none sufficed to explain the observed empirical regularity p 174 more recently lakonishok and smidt 1988 examine returns on the dow jones industrial average index for the period 1897 1986 and find that significant mean daily returns are realized consistently on only four consecutive trading days of the calendar month beginning with the last trading day of the month these trading days will henceforth be referred to as the turn of month trading days ariel s and lakonishok and smidt s tests indicate that the monthly effect is not merely another manifestation of the previously documented january effect rozeff and kinney 1976 first documented that average stock index returns in january are higher than in any other month keim 1983 and others find that the surge in january returns is largely confined to stocks of small firms and to the first few trading days in january branch 1977 and others have suggested that the surge in january returns is due to year end tax loss selling and subsequent repurchases in january studies by roll 1983 reinganum 1983 ritter 1988 and others provide evidence consistent with the tax loss selling

economic efficiency in polish peasant farming an international perspective one decade following the market transition in poland the agricultural sector still exhibits low productivity policy makers often describe the sector as fragmented and inefficient to understand why small scale farming in poland is inefficient despite longstanding secure property rights a survey of economic efficiency in southern agriculture was conducted and compared with limited studies of efficiency in poland the most important issues particularly related to farm size and efficiency are price risk uncertainty and low rural development comparative studies across regions with varying institutional arrangements and economic organization are powerful but must be made carefully and critically

the day of the week effects on the volatility the role of the asymmetry in this paper we propose to evaluate whether asymmetry influences the day of the week effects on volatility we also investigate empirically the impact of the day of the week effect in major international stock markets using garch family models from a forecast framework indeed the existence of calendar effects might be interesting only if their incorporation in a model results in better volatility forecasts

bayesian efficiency analysis with a flexible form the aim cost function in this article we describe the use of gibbs sampling methods for drawing posterior inferences in a cost frontier model with an asymptotically ideal price aggregator nonconstant returns to scale and composed error an empirical example illustrates the sensitivity of efficiency measures to assumptions made about the functional form of the frontier we also examine the consequences of imposing regularity through parametric restrictions alone

the globalization of service multinationals in the triad regions japan western europe and north america in this study we empirically investigate the determinants of foreign direct investment of service multinationals based in the triad regions japan western europe and north america foreign investment decisions of 168 of the largest service firms in nine service industries over the period 1976 1986 are analyzed and hypotheses that are developed based on findings of manufacturing fdi and studies of single service industries are tested using a logistic regression model the applicability of the mne fdi theories to service mnes is tested empirically over a broad range of mne home countries and service industries differences in the international behavior of service mnes based in different countries are uncovered and analyzed

determinants of technical efficiency of crop and livestock farms in poland la pologne est l un des pays d europe de l est candidats a une accession a l union europeenne qui rencontre de graves problemes de restructuration agricole l article etudie l efficacite technique en 2000 d exploitations agricoles individuelles polonaises specialisees en elevage et en grandes cultures l efficacite est estimee par la methode de frontiere stochastique et sa variabilite statistique evaluee par la construction d intervalles de confiance l article examine egalement les determinants de l efficacite les resultats obtenus pas la methode de frontiere stochastique sont compares avec ceux obtenus par la methode de data envelopment analysis dea en moyenne l efficacite technique des exploitations d elevage est superieure a celle des exploitations de grandes cultures pour les deux specialisations la relation entre l efficacite et la taille des exploitations est positive les grandes exploitations sont les plus efficaces les resultats obtenus par la methode de frontiere stochastique sont generalement confirmes par la methode dea la qualite de la terre et le degre d integration dans les marches d aval sont d importants determinants de l efficacite la faible education est un obstacle majeur a l efficacite en particulier pour les exploitations de grandes cultures de plus celles ci utilisent beaucoup les marches de facteurs terre et travail alors que les exploitations d elevage utilisent plutot leurs propres terres et le travail familial

the effect of unions on productivity u s surface mining of coal the purpose of this paper is to compare the abilities of two competing analytical techniques mathematical programming and statistical regression to shed light on the union nonunion productivity differential in u s surface coal mining the programming approach has the virtues of being nonparametric and thus extremely flexible and of being able to provide a decomposition of productivity differentials into three components differences in technical efficiency differences in scale efficiency and differences in congestion identification of these three components provides an aid to management in its search for the sources of and remedies for productivity gaps the econometric approach on the other hand is neither flexible nor does it provide such a decomposition its chief virtue lies in the fact that being stochastic it allows for the presence of noise and measurement error that plagues most if not all empirical data thus the two approaches have complementary virtues the two techniques are used to investigate productivity in two samples of u s surface coal mines the programming approach finds a large and significant positive union nonunion productivity differential this differential is due primarily to greater congestion occurring in the smaller nonunion mines in one sample and to scale inefficiency in the smaller nonunion mines in the other sample the econometric analysis finds nearly the same union nonunion productivity differential but sheds no light on the composition of and thus the cure for the differential

non linear hybrid exchange rate modeling and trading profitability in the foreign exchange market abstract a neuro fuzzy decision making technology is designed and implemented to obtain the optimal daily currency trading rule it is found that a non linear artificial neural network exchange rate microstructure hybrid model combined with a fuzzy logic controller generates a set of trading strategies that earn a higher rate of return compared to the simple buy and hold strategy after accounting for realistic transaction costs the gains from utilizing a dynamic neuro fuzzy model are still present

sports sentiment and stock returns this paper investigates the stock market reaction to sudden changes in investor mood motivated by psychological evidence of a strong link between soccer outcomes and mood we use international soccer results as our primary mood variable we find a significant market decline after soccer losses for example a loss in the world cup elimination stage leads to a next day abnormal stock return of 49 basis points this loss effect is stronger in small stocks and in more important games and is robust to methodological changes we also document a loss effect after international cricket rugby and basketball games this paper employs a novel mood variable international soccer results to investigate the effect of investor sentiment on asset prices using a cross section of 39 countries we find that losses in soccer matches have an economically and statistically significant negative effect on the losing country s stock market for example elimination from a major international soccer tournament is associated with a next day return on the national stock market index that is 38 basis points lower than average we also document a loss effect after international cricket rugby and basketball games on average the effect is smaller in magnitude for these other sports than for soccer but is still economically and statistically significant we find no evidence of a corresponding effect after wins for any of the sports that we study controlling for the pre game expected outcome we are able to reject the hypothesis that the loss effect after soccer games is driven by economic factors such as reduced productivity or lost revenues we

a variance ratio test of random walks in foreign exchange rates the separate variance ratio tests under homoscedasticity and heteroscedasticity both provide evidence rejecting the random walk hypothesis using five pairs of weekly nominal exchange rate series over the period from august 7 1974 to march 29 1989 the rejections cast doubt on the random walk hypothesis in exchange rates which has received support in the existing literature furthermore since the rejections are robust to heteroscedasticity they suggest autocorelations of weekly increments in the nominal exchange rate series which may be consistent with the exchange rate overshooting or undershooting phenomenon in the past decade there has been a consensus that nominal exchange rates follow a random walk process since a unit root and uncorrelated increments are both required for a random walk process the random walk is usually supported in the existing literature either because a unit root component is detected in the exchange rate series or because the increment in the exchange rate is found to be serially uncorrelated for example meese and singleton 1982 and baillie and bollerslev 1989 both find a unit root component in the exchange rate series and the evidence provided in giddy and dufey 1975 cornell and dietrich 1978 logue sweeney and willett 1978 and hsieh 1988 all suggest that the exchange rate series contains uncorrelated increments in this paper the random walk hypothesis for the nominal exchange rate series is reexamined by applying a variance ratio test developed in lo and mackinlay 1988 to five pairs of weekly nominal exchange rate series over the period from august 7 1974 to march 29 1989 while there are two implications of the random walk unit root and uncorrelated increments this paper focuses on the uncorrelated increments aspect this is not only because there are some important departures from the random walk that unit root test cannot detect but also because the autocorrelation aspect may yield

a tax savings model for the emerging global manufacturing network the emerging global manufacturing network involves nodal location features of tax areas and international logistics zones manufacturing procedures of simple process and deep process as well as transportation arcs since choosing tax savings locations and manufacturing procedures that increase after tax profit is important to global manufacturers this study aims to present several tax savings approaches and to develop a tax savings model for maximizing after tax profit in the emerging network numerical illustration demonstrates that the proposed model is an effective approach for global manufacturers to achieve tax savings the proposed model elucidates the crucial logistics behavior associated with tax savings

patterns in stock market movements tested as random number generators this paper shows that tests of random number generators rngs may be used to test the efficient market hypothesis emh it uses the overlapping serial test ost a standard test in rng research to detect anomalous patterns in the distribution of sequences of stock market movements up and down our results show that most stock markets exhibit idiosyncratic recurrent patterns contrary to the efficient market hypothesis also that ost detects a different kind of non randomness to standard econometric long and short memory tests exposure of these anomalies should contribute to making markets more efficient

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

good day sunshine stock returns and the weather psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood this paper examines the relationship between morning sunshine in the city of a country s leading stock exchange and daily market index returns across 26 countries from 1982 to 1997 sunshine is strongly significantly correlated with stock returns after controlling for sunshine rain and snow are unrelated to returns substantial use of weather based strategies was optimal for a trader with very low transactions costs however because these strategies involve frequent trades fairly modest costs eliminate the gains these findings are difficult to reconcile with fully rational price setting

the empirical identification of heterogeneous technologies and technical change when different technologies are present in an industry we assume that a homogeneous technology will lead to misleading implications about technical change and inefficient policy recommendations in this article a latent class modelling approach and flexible estimation of the production structure is used to distinguish different technologies for a representative sample of eu dairy producers as an industry exhibiting significant structural changes and differences in production systems in the past decades the model uses a transformation function to recognize multiple outputs separate technological classes based on multiple characteristics a flexible generalized linear functional form a variety of inputs and random effects to capture firm heterogeneity and measures of first and second order elasticities to represent technical change and biases we find that if multiple production frontiers are embodied in the data different firms exhibit different output or input intensities and changes associated wi

the asian crisis and calendar effects on stock returns in thailand abstract this paper systematically examines daily returns of the thai stock market index to determine whether there is evidence of calendar effects due to the day of the week the month of the year days before or after holidays and within month effects particular attention is given to the evidence of these anomalies prior to during and after the asian crisis most of the previous empirical evidence examines each of these effects in isolation the approach adopted within this paper is to start with a general model which incorporates a range of different calendar anomalies before estimating the conditional volatility models daily data from 3rd january 1995 to 29th december 2000 are used for estimation providing 1473 observations the final models are tested by comparing their forecast performance for 2001 244 observations with various models which do not include calendar effects the conclusion is that the inclusion of calendar effects improves the forecast accuracy

predicting technical effciency in stochastic production frontier models in the presence of misspecification a monte carlo analysis this paper provides a theoretical explanation for the sensitivity of technical efficiency measures to the choice of functional specification in stochastic production frontier models it is shown that inappropriate functional specifications translate into a misspecification in the conditional mean of the stochastic frontier regression model this misspecification in turn results in estimates of technical efficiency confidence intervals and production elasticities being biased even asymptotically monte carlo simulations reveal that the severity of the bias depends on the functional specification and the percentage contribution of the variance of technical inefficiency to the total variance of the composed errors

approaching the environmental sustainable value in agriculture how factor endowments foster the eco efficiency abstract small and labor intensive farms guarantee a higher degree of environmental sustainability compared to rich capital intensive farms this paper offers a methodological contribution to the value based sustainability approach consisting in computing a modified indicator of environmental sustainable value using this approach the authors test how factor endowments such as capital land and labor contribute to environmental sustainable value using a long term panel of region representative european union farm accountancy data network farms in 2004 2015 the seminal within between specification was employed to control time variant and time in variant space heterogeneity of european regions the articles main finding is that higher capital endowment and lower labor intensity is beneficial for environmental sustainable value the result that farming with higher labor endowment might be less eco efficient contradicts the commonly known perception of this problem in light of our findings we conclude that the pro investment direction of the common agricultural policy should be followed but one size fit all policy is not working

host country reforms and fdi inflows how much difference do they make summary this study examines the effects of various policies on foreign direct investment fdi flows from the perspective of the eclectic theory of international investment and hence the advantages of foreign ownership host country location and internationalization host country policies can influence fdi flows primarily through their influence on the advantages of location in the host country pooled cross section and time series data for 49 less developed countries ldcs over 1970 95 are used to examine the effects of several different types of policy institutional variables including corporate tax rates tariff rates the degree of openness to international capital flows exchange rate distortions contract enforcement nationalization risk bureaucratic delay and corruption a multivariate analysis of the effects on fdi flows of each type of policy with and without controls for other relevant determinants is conducted two different sources of fdi data are employed as well as two different measures of capital controls although there are methodological problems in estimation and especially collinearity problems and relatively severe availability constraints for some of the relevant measures the results demonstrate the relevance and importance for fdi flows of many of the policy institutional variables under study they also indicate that the results from panel methods yield results that differ rather significantly from those obtained from pure cross section analysis because of complementarity between the various elements of a healthy investment climate the effects of some policy reforms estimated from models which do not control for changes in other policies may overstate the effectiveness of individual policy reforms

some evidence of random walk behavior of euro exchange rates using ranks and signs abstract this study utilises recently developed tests based on ranks and signs in addition to the traditional variance ratio test to examine the behavior of euro exchange rates we show that adjustments for multiple tests must be employed in order to avoid size distortions overall such adjustments provide evidence consistent with random walk behavior of euro exchange rates

performance evaluation of the english premier football league with data envelopment analysis this paper uses data envelopment analysis dea to evaluate the performance of english premier league football clubs from 1998 99 to 2002 03 combining sport and financial variables the paper evaluates how close the clubs are relative to the frontier of best practices analysing how they manage sport as well as financial results managerial implications of the research are devised

an evaluation of the investment environment in international logistics zones a taiwanese manufacturer s perspective abstract with the rapid development of international logistics the role of international logistics zones has become increasingly important this study evaluated the importance of investment environment factors namely political infrastructure cost and market factors for firms intention to invest in international logistics zones a structural equation modeling sem approach was employed to analyze respondents foreign direct investment fdi intention results indicated that market cost and infrastructure factors have a positive effect on firms intention to invest in international logistics zones the influence of political factor on firms investment intention was not supported in this study theoretical and practical implications of the findings for firms foreign direct investment in international logistics zones are discussed

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

one and multi directional conditional efficiency measurement efficiency in lithuanian family farms abstract this paper analyses farming efficiency by the means of the partial frontiers and multi directional efficiency analysis mea in particular we apply the idea of the conditional efficiency framework to the mea approach to ensure that observations are compared to their homogeneous counterparts moreover this paper shows that combining the traditional one directional and multi directional efficiency framework yields valuable insights it allows one to identify what factors matter in terms of output production and input consumption the application deals with lithuanian family farms for which we have a rich dataset the results indicate that the output efficiency positively correlates to a time trend and negatively to the subsidy share in the total output the mea based analysis further suggests that the time trend has been positively affecting the productive efficiency due to increase in the labour use efficiency meanwhile the increasing subsidy rate has a negative influence upon mea efficiencies associated with all the inputs

trading off volatility and distortions food policy during price spikes this paper analyses the trade off between price distortions and reduced volatility when governments intervened in agricultural and food markets during the recent food price spikes we develop a model to derive how much distortions a government would introduce when it cares about price stability in a situation with limited policy options we show that there is a trade off and identify the optimal combination of distortions and stability for given international price shocks and interest groups preferences for stability we compare these theoretical findings with empirical indicators on actual government interventions in staple food markets we find that several countries have been able to reduce short run price volatility in the domestic markets while at the same time allowing structural medium and long term price changes to pass through to producers and consumers however this is not the general case for many countries even when explicitly taking into account the trade off and the benefits of reducing volatility government policies appear far removed from the optimal trade off and there appears to be much room for policy improvement

technical efficiency of kansas arable crop farms a local maximum likelihood approach this study uses local maximum likelihood lml methods recently proposed by kumbhakar et al 2007 to assess the technical efficiency of arable crop kansas farms lml techniques overcome the most relevant limitations associated to mainstream parametric stochastic and nonparametric frontier models lml allows deriving farm level frontier parameter estimates the relevance of using localized estimates is evidenced by the observed heterogeneity in production technologies technical efficiency scores derived from the lml approach 0 905 are higher than those of the dea model under crs 0 808 and sfa 0 804 and close to dea vrs 0 917 ratings deriving reliable information about farm efficiency performance is relevant to identify inefficient farms and define adequate policy and management strategies the use of refined methods has thus important implications

inflation targeting in brazil constructing credibility under exchange rate volatility abstract this paper assesses the challenges faced by the inflation targeting regime in brazil the inflation targeting framework has played a critical role in macroeconomic stabilization we stress two important challenges construction of credibility and exchange rate volatility the estimations indicate the following results i the inflation targets have worked as an important coordinator of expectations ii the central bank has reacted strongly to inflation expectations iii there has been a reduction in the degree of inflation persistence and iv the exchange rate pass through for administered or monitored prices is two times higher than for market prices

the use of fundamental and technical analyses by foreign exchange dealers hong kong evidence abstract this article reports the results of a questionnaire survey conducted in february 1995 on the use by foreign exchange dealers in hong kong of fundamental and technical analyses to form their forecasts of exchange rate movements our findings reveal that 85 of respondents rely on both fundamental and technical analyses for predicting future rate movements at different time horizons at shorter horizons there exists a skew towards reliance on technical analysis as opposed to fundamental analysis but the skew becomes steadily reversed as the length of horizon considered is extended technical analysis is considered slightly more useful in forecasting trends than fundamental analysis but significantly more useful in predicting turning points interest rate related news is found to be a relatively important fundamental factor in exchange rate forecasting while moving average and or other trend following systems are the most useful technical technique

have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

a problem with the decomposition of technical inefficiency into scale and congestion components in 1988 byrnes fare grosskopf and lovell define a decomposition of inefficiency differentials into scale and congestion components this note shows that the decomposition may be sensitive to the order in which the two components are calculated and consequently use of the decomposition may result in misleading signals being given to management

allocative efficiency of technically inefficient production units we discuss how to measure allocative efficiency without presuming technical efficiency this is relevant when it is easier to introduce reallocations than improvements of technical efficiency we compare the approach to the traditional one of assuming technical efficiency before measuring allocative efficiency in particular we develop necessary and sufficient conditions in the technology to ensure consistent measures we suggest alternative interpretations of the approaches and we relate them to motivational and organizational change perspectives

livelihoods and farm efficiency in rural georgia this study contributes to the literature on the role of livelihood strategies in rural growth and poverty reduction it distinguishes between livelihood diversity strategies that contribute to sustainable growth in household incomes and those that mainly have a coping function it suggests that typically the contribution of livelihood diversity to growing household income is through relaxing dependence on credit for access to capital in this scenario livelihood diversity would lead to higher technical efficiency in agriculture via investment and thereby to higher household incomes survey data from georgia are introduced and used to test these hypotheses using a bayesian stochastic frontier approach the findings are relevant to defining more clearly the scope and aims of policies to stimulate the rural non farm economy in developing and transition countries

bias and precision in the dea two stage method in data envelopment analysis dea the two stage method is a popular procedure for accounting for exogenous influences on efficiency with the conventional two stage method a dea is first conducted using only traditional endogenous inputs and outputs then the first stage dea scores are regressed on the environmental contextual exogenous inputs of interest the regression outcomes are used to identify exogenous inputs that influence the first stage dea scores to a statistically significant degree and to adjust dea scores to account for these influences herein it is demonstrated empirically that the conventional method exhibits substantial bias and low precision with the degree of bias and precision affected by input variance and correlation a reverse two stage procedure that yields estimates without the bias and precision problems that compromise the validity of the conventional method s estimates is suggested

determinants of international activity evidence from the chemical processing industry abstract this paper empirically investigates two important determinants of international activity through wholly owned operations joint ventures and technology licensing namely country risk and intellectual property rights iprs protection using a comprehensive database on investments in chemical plants during the period 1981 1996 we show that higher levels of country risk are associated with less activity into recipient economies the analysis also suggests that international activity with smaller resource commitment tends to be preferred in countries with higher levels of risk and that multinational investment is more responsive to changes in risk conditions than indigenous investment after controlling for several country characteristics we do not find iprs protection playing a significant role in fostering international activity or conditioning its mode

market efficiency of brazilian exchange rate evidence from variance ratio statistics and technical trading rules abstract this study utilizes the variance ratio test to examine the behavior of brazilian exchange rate we show that adjustments for multiple tests and a bootstrap methodology must be employed in order to avoid size distortions we propose a block bootstrap scheme and show that it has much nicer properties than the traditional chow denning chow k v denning k c 1993 a simple multiple variance ratio test journal of econometrics 58 3 385 401 multiple variance ratio tests overall the method proposed in the paper provides evidence refuting the random walk behavior for the brazilian exchange rate for long investment horizon but consistent with the random walk hypothesis for short run horizon additionally we also test for the predictive power of variable moving average vma and trading range break trb technical rules and find evidence of forecasting ability for these rules nonetheless the excess return that can be obtained from such rules is not significant suggesting that such predictability is not economically significant

technical efficiency of us dairy farms and federal government programs in this article technical efficiency te of dairy farms is estimated and analysed with two methodologies data envelopment analysis dea and stochastic frontier analysis sfa using dea the te scores for different states are determined further logistic regression is applied to te scores to explain how known technical and policy variables affect a farm s probability of being efficient the second methodology employs sfa to estimate and analyse te scores two federal milk policies are considered in this research marketing policy and milk income loss policy federal milk marketing program has shown a significant and negative impact on te with both methods payments under the milk income loss program have shown a positive significant impact in sfa analysis both methodologies produced similar outcomes on regional impacts and on the significance of several considered variables categorical representation of some variables in graphs provided some additional insights of their effects on te

static efficiency decompositions and capacity utilisation integrating economic and technical capacity notions starting from existing static decompositions of overall economic efficiency on nonparametric production and cost frontiers this article proposes more comprehensive decompositions including several cost based notions of capacity utilization furthermore in case prices are lacking we develop additional decompositions of overall technical efficiency integrating a technical concept of capacity utilization these new efficiency decompositions provide a link between short and long run economic analysis and in empirical work avoid conflating inefficiency and differences in capacity utilization an empirical analysis using a monthly panel of chilean hydro electric power plants illustrates the potential of these decomposition proposals

production organization and efficiency during transition an empirical analysis of east german agriculture enterprise restructuring is expected to improve efficiency in transition economies with data from former east germany we compare the efficiency of family farms and partnerships with large scale successor organizations of the collective and state farms lsos using parametric and nonparametric techniques we show that lsos display lower technical efficiency than do family farms and partnerships but that this difference is small and declining during transition mainly as a result of structural changes in agriculture family farms are not as scale efficient as partnerships and lsos and partnerships are superior to all other organizational forms

globalization of production insights from the hard disk drive industry abstract rapid change in the geographical location of production raises important questions regarding the welfare development potential and competitive position of different countries and regions this paper explores in detail the geography of economic activity in a specific industry the hard disk drive hdd component of the computer industry firms in the hdd industry are breaking the production system into ever smaller distinct steps and spreading the physical location of these steps around the world firms from the united states dominate the industry our findings suggest that globalization has enabled us firms to sustain their dominant position in the industry preserve employment in the united states and possibly expand it and increase employment worldwide most notably in southeast asia

the wandering weekday effect in major stock markets this paper reports a wandering weekday effect the pattern of day seasonality in stock market returns is not fixed as assumed in the monday or weekend effects but changes over time analysing daily closing prices in eleven major stock markets during 1993 2007 our results show that the wandering weekday is not conditional on average returns in the previous week the twist in the monday effect nor does it diminish through the period of analysis the results have important implications for market efficiency and help to reconcile mixed findings in previous studies including the reported disappearance of the weekday effect in recent years

high stock returns before holidays existence and evidence on possible causes on the trading day prior to holidays stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year over one third of the total return accruing to the market portfolio over the 1963 1982 period was earned on the eight trading days which each year fall before holiday market closings examination of hourly pre holiday stock returns reveals high returns throughout the day pre holiday stock returns in the post test 1983 1986 period are also examined this paper explores a seeming empirical regularity in the pattern of daily stock index returns surrounding holidays the trading day prior to holidays on average exhibits high positive returns over one third of the return earned by the market over the twenty year test period accrued on the eight trading days which annually fall before holidays intimations of the pre holiday strength have appeared in the academic literature in an examination of the frequency of dow jones industrial average advances on days surrounding weekends during the 1901 to 1932 period fields 1934 finds a disproportionate frequency of advances on trading days preceding long holiday weekends roll 1983a finds high returns accruing to small firms on the trading day prior to new year s day lakonishok and smidt 1984 note that prices also rise in all deciles of market capitalization on the last trading day before christmas and conclude that the high christmas returns of large companies might be considered another mystery a number of stock market advisors have also noted the pre holiday strength merrill 1966 finds a disproportionate frequency of dow jones industrial average advances on days preceding holidays during the 1897 to 1965 period and fosback 1976 has noted high preholiday returns in sp further hourly returns and closing bid ask data are examined to determine when high returns accrue on preholidays tests are also conducted showing that pre holiday strength is not

a within farm efficiency comparison of silvopasture systems with conventional pasture and forestry in northeast argentina agroforestry which has multiple inputs and outputs would benefit from scrutiny of economic efficiency because levels of adoption have not met expectations previous literature estimated the efficiency of agricultural systems using data envelopment analysis however the vast variability between farms makes comparing systems difficult this study uses paired within farm comparisons of silvopasture a combination of planted trees and pasture to conventional cattle ranching and plantation forestry to evaluate the relative technical efficiency silvopasture proves to be more efficient than conventional cattle ranching forestry demonstrated increasing returns to scale cattle raising demonstrated decreasing returns to scale for large scale farmers and silvopasture was intermediate jel d24 o13

market deregulation trade liberalization and productive efficiency in bangladesh agriculture an empirical analysis the impact of trade liberalization and of market deregulation in general on the performance of agriculture remains contentious and empirical issue in the literature following the random coefficient frontier modelling framework this paper attempts to contribute to this debate by computing the farm specific productive efficiency indices in bangladesh agriculture before and after reform it also examines the impact of some farm specific and policy variables on productive efficiency the empirical results show that there are wide variations in productive efficiency across farms and regions and the average efficiency of all regions increased modestly by 8 percentage points from the pre reform to post reform period the efficiency differentials are largely explained by farm size infrastructure households off farm income and the reduction of government anti agricultural bias in relation to trade and domestic policies the implication of these results suggests the need for further policy reform to augment p

linear non linear and essential foreign exchange rate prediction with simple technical trading rules abstract this paper investigates the predictability of spot foreign exchange rate returns from past buy sell signals of the simple technical trading rules by using the nearest neighbors and the feedforward network regressions the optimal choices for nearest neighbors hidden units in a feedforward network and the training set are determined by the cross validation method which minimizes the mean square error although this method is computationally expensive the results indicate that it has the advantage of avoiding overfitting in noisy environments and indicate that simple technical rules provide significant forecast improvements for the current returns over the random walk model

estimating technical efficiency of australian dairy farms using alternative frontier methodologies technical efficiency is estimated and examined for a cross section of australian dairy farms using various frontier methodologies bayesian and classical stochastic frontiers and data envelopment analysis the results indicate technical inefficiency is present in the sample data also identified are statistical differences between the point estimates of technical efficiency generated by the various methodologies however the rank of farm level technical efficiency is statistically invariant to the estimation technique employed finally when confidence credible intervals of technical efficiency are compared significant overlap is found for many of the farms intervals for all frontier methods employed the results indicate that the choice of estimation methodology may matter but the explanatory power of all frontier methods is significantly weaker when interval estimate of technical efficiency is examined

policy and non policy determinants of u s equity foreign direct investment this study examined the effects of policy and non policy variables on the location of new u s direct investment abroad as distinct from reinvested earnings of existing affiliates using 1977 and 1982 benchmark data the data revealed statistically significant effects for investment incentives positive performance requirements negative and host country effective tax rates negative with interesting differences between the two time periods and between developed versus developing countries significance was also found for non policy variables such as political stability cultural distance gdp per capita and infrastructure

measuring technical efficiency and productivity growth a comparison of sfa and dea on norwegian grain production data this article compares data envelopment analysis and stochastic frontier analysis to assess efficiency and productivity growth of norwegian grain producers previous studies have dealt with either one of them and less of both for the assessment of productivity growth or regress malmquist productivity indices are derived from both approaches the data cover a 10 year period we find consistency between the approaches to the extent that 1 there are potentials for efficiency improvements but the magnitudes depends on the model applied and by segmentation of the data set 2 there has been a productivity improvement in the sector on average in the interval 30 38 in the period studied and 3 technical change has had the greatest impact on productivity indicating that producers have a tendency to catch up with the front runners in general policy makers are warned not to be indifferent with respect to the approach used for efficiency and productivity measurement as these may give different results

assessing the impact of economic liberalization across countries a comparison of dairy industry efficiency in canada and the usa this paper examines and compares the technical efficiency measures of ontario and new york dairy producers for the period 1992 to 1998 a nonparametric stochastic frontier model is introduced to estimate technical efficiency the backfitting algorithm of breiman and friedman is used to estimate the frontier empirical results indicate that during the period of study new york dairy farmers produced milk more efficiently than ontario dairy producers but the magnitude of the difference was small the estimated mean technical efficiency for the former group is 0 602 as compared to 0 532 for the latter the results also indicated that over time dairy farms in both regions improved their level of technical efficiency furthermore no correlation was found between farm size and estimated technical efficiency

estimating total factor productivity growth in singapore at sectoral level using data envelopment analysis trends in total factor productivity growth tfpg are examined in the ten major sectors of singapore data are drawn from the yearbook of statistics singapore various issues and economic survey of singapore series ranging from the year 1985 to 2000 due to the heterogeneous characteristic of each sector and non availability of reliable input price data this study uses a non parametric frontier methodology known as data envelopment analysis dea to obtain the malmquist productivity index at the sectoral level the results can help singapore identify the best practice sector and laggards in three aspects efficiency change technical change and tfpg which is the qualitative productivity improvements needed for long term economic growth the three sets of productivity estimates are adjusted for effects of inflation and business cycles so that they are more reliable for policy implications this exercise will provide a platform for more detailed study on the determinants of tfp growth in different s

determinants of export orientation of foreign production by u s multinationals an inter country analysis this paper examines the role of structural and policy factors in explaining a country s attractiveness as a base for export oriented production by u s mnes empirical analysis finds wage rates and industrial capability to be important determinants of export oriented production attracted by a country exports generated by relocation are found to be dependent upon intra firm imports u s mnes are found to be using their hosts as export bases more selectively