performance attribution using an apt with prespecified macrofactors and time varying risk premia and betas this paper assesses the selection and timing abilities of 130 equity mutual funds using a conditional apt model with specified macrofactors and time varying risk premia and betas for all fund categories based on investment objectives a significant proportion of the funds exhibits negative abnormal asset selection performance based on the unconditional jensen 1968 alpha and a reduced proportion of the funds in each category attempts to time the realizations of the macrofactors including those captured by the residual market factor the average selection performance of the mutual funds improves and the proportion of funds attempting to time macrofactor realizations declines when measured using the asset selection and factor timing models with time varying risk premia and betas

discussion of analyst following and institutional ownership beginning with beaver 1968 and ball and brown 1968 researchers have commented on the notion that firms differ in how much information is available to their investors firm size was first conjectured and later shown in several studies to be correlated with the availability of predisclosure information 1 o brien and bhushan extend this literature by examining whether changes in firm size cause changes in the number of analysts following a firm or whether the association between analyst following and firm size is due to the correlation between firm size and other variables they do so by simultaneously modeling analysts decisions concerning which firms to follow and institutions decisions concerning which firms to hold in their portfolios in her presentation o brien emphasized that they are not testing an equilibrium model of analysts and institutions behavior but rather conducting an exploratory investigation into the endogenous and exogenous factors influencing how much information is available about a firm the conference discussion focused primarily on two areas the incentives of analysts and institutions and the empirical procedures and results of the paper my discussion is structured around these two areas as well

mutual fund performance an analysis of quarterly portfolio holdings this article employs the 1975 84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns this sample which is not subject to survivorship bias is used in conjunction with a sample that contains the actual net returns of the mutual funds in addition to allowing the authors to estimate the bias in measured performance that is due to the survival requirement and to estimate total transaction costs the sample is used to test for the existence of abnormal performance the tests indicate that the risk adjusted gross returns of some funds were significantly positive copyright 1989 by the university of chicago

the effect of health savings accounts on group health insurance coverage this paper presents new empirical evidence on the impact of tax subsidies for health savings accounts hsas on group insurance coverage hsas are tax free health care expenditure savings accounts coupled with high deductible health insurance plans hdhps they together represent new health insurance options the tax advantage of hsas expands the group health insurance market by making health care more affordable using individual level data from the current population survey and exploiting policy variation by state and year from 2004 to 2012 i find that hsa tax subsidies increase small group coverage by a statistically significant 2 5 percentage points although not coverage in larger firms moreover if the tax price of hsa contribution decreases by 10 cents small group insurance coverage increases by almost 2 percentage points i also find that for older workers or less educated workers hsa subsidies are associated with 2 3 percentage point increase in their group insurance coverage

grain transport and rural credit in mozambique solving the space time problem this paper shows how credit market failures can lead to large welfare losses in grain markets by inducing increased transport for seasonal storage in locations with low credit costs the burden of these welfare losses falls primarily on rural households these conclusions are obtained from a spatial temporal model solved using a mixed complementarity formulation that easily handles interest rate differentials across space efforts to address credit market failures and to improve the efficiency of rural storage should be given priority as opposed to the creation of large formal sector grain collection centers

alternative models of spatial competition the concept of a spatial price equilibrium underlies most studies of spatial movement and competition however this concept is based upon a notion of perfectly competitive markets that is often unrealistic for many markets such as the markets for oil and coal and ignores the existence of local spatial monopolies this paper presents alternative economic models of spatial competition and shows how all of these models can be solved with essentially the same solution algorithm specifically after reformulating the classical spatial price equilibrium model and two extensions of takayama and judge s monopoly model we state and analyze a cournot nash model and discuss solution algorithms we then generalize these models and algorithms to multiple commodities and networks with transshipment nodes we conclude with a brief discussion of possible extensions of this class of models and associated algorithms

global oil prices and local food prices evidence from east africa it is widely believed that oil prices impact food prices in developing countries yet rigorous evidence on this relationship is scarce using maize and petrol price data from east africa we show that global oil prices do affect food prices but primarily through transport costs rather than through biofuel or production cost channels we find that global oil prices transmit much more rapidly to the pump and then to local maize prices than do global maize prices suggesting that the immediate effects of correlated commodity price shocks on local food prices are driven more by transport costs than by the prices of the grains themselves furthermore we present suggestive evidence that for markets furthest inland changes in world oil prices have larger effects on local maize prices than do changes in world maize prices

the risk in hedge fund strategies theory and evidence from trend followers hedge fund strategies typically generate option like returns linear factor models using benchmark asset indices have difficulty explaining them following the suggestions in glosten and jagannathan 1994 this article shows how to model hedge fund returns by focusing on the popular trend following strategy we use lookback straddles to model trend following strategies and show that they can explain trend following funds returns better than standard asset indices though standard straddles lead to similar empirical results lookback straddles are theoretically closer to the concept of trend following our model should be useful in the design of performance benchmarks for trend following funds

illustrating adverse selection in health insurance markets with a classroom game this paper describes a classroom game that illustrates the effects of asymmetric information and adverse selection in health insurance markets the first part of this game simulates a market in which buyers can purchase insurance from sellers in some periods government regulation prevents sellers from using information about buyer type to determine premiums the results demonstrate the classic prediction that asymmetric information will result in adverse selection here low risk buyers will forego the purchase of insurance at a measurable loss of potential earnings in the second part of the game sellers and buyers can trade two different types of health insurance policies one moderate and another generous under government mandated community rating and limits on premium increases no buyers will purchase the generous plan questions are provided to stimulate discussion of the causes and consequences of adverse selection for consumers and insurers and possible solutions for employer and government sponsored programs

panterritorial versus regional pricing for maize in zimbabwe abstract this paper presents a spatial equilibrium model of zimbabwe s maize market designed to compare the current system of panterritorial prices with the pareto optimal pattern of regional price variation that would occur in a competitive market the model shows that under baseline 1988 conditions competitive pricing would raise aggregate welfare by about us 14 million annually about 4 of producer plus consumer surplus while improving income distribution by favoring the majority of smallholder farmers in southern deficit areas and urban consumers in northern surplus areas thus the model suggests that liberalization could improve both efficiency and equity administered regional prices in a controlled market could yield some of these gains to the extent that production and processing were brought closer to consumers

u s tax policy and health insurance demand can a regressive policy improve welfare abstract the u s tax policy on health insurance is regressive because it subsidizes only those offered group insurance through their employers who also tend to have a relatively high income moreover the subsidy takes the form of deductions from the progressive income tax system giving high income earners a larger subsidy to understand the effect of the policy we construct a dynamic general equilibrium model with heterogenous agents and an endogenous demand for health insurance a complete removal of the subsidy may lead to a partial collapse of the group insurance market reduce the insurance coverage and deteriorate welfare there is however room for improving the coverage and welfare by extending a refundable credit to the individual insurance market

the relation between mean variance efficiency and arbitrage pricing the mean standard deviation diagram has proven to be a valuable tool for understanding equilibrium asset pricing theory first introduced by markowitz 1952 1959 and tobin 1958 the diagram helps students and researchers alike to develop intuition about the capital asset pricing model capm its properties are useful for analyzing the conditions under which the market portfolio is mean variance efficient and for linking the location of the market portfolio in the diagram with the validity of the capm in addition its simple geometry seems to be the critical inspiration for roll s 1977 argument that the capm cannot feasibly be tested because the market portfolio is unobservable and because of a mathematical equivalence between the individual return beta linearity relation and the market portfolio s mean variance efficiency p 129 recent research on equilibrium asset pricing both theoretical and empirical has tended to focus on multibeta pricing models especially the arbitrage pricing theory apt this paper will show that the simple intuition derived from the

did community rating induce an adverse selection death spiral evidence from new york pennsylvania and connecticut using data from the 1987 to 1996 march current population surveys we find no evidence for the dire predictions of some that the imposition of pure community rating leads to a market wide reduction in insurance coverage by setting off an adverse selection death spiral specifically the percentage of individuals in small groups covered by health insurance did not fall in new york which enacted community rating legislation in 1993 relative to either pennsylvania which enacted no insurance reform or connecticut which enacted moderate insurance reforms without imposing community rating consistent with the predictions of the simple rothschild and stiglitz 1976 framework however we find that the new yorkreforms appear to have had a significant impact on the structure of the new yorkinsurance mark et specifically new yorkexperienced a dramatic shift away from indemnity insurance toward hmos while this shift tookplace during a period of nationwide increases in the percentage with managed care the increase in hmo penetration in new york s small group and individual markets was significantly greater than in pennsylvania or connecticut

adverse selection in health insurance markets evidence from state small group health insurance reforms abstract the past decade witnessed major changes in state laws governing the sale of health insurance to small employers states took measures to restrict insurers ability to distinguish between high and low risk customers because of concern about the low rate of coverage among workers in small firms the high prices in the small group market and the absence of federal health reform using both individual level and employer level data i test predictions about the effect of reforms on the employer provided health insurance market i estimate these effects for small firms and their workers using large firms and their workers in the same states as well as large and small firms and their workers in non reform states as comparison groups i find the reforms decreased the rate of employer coverage on average for workers in small firms by less than two percentage points within small firms low expenditure individuals experienced a larger decline in the rate of coverage through their employer while the coverage rate of high expenditure individuals rose slightly in some specifications there is also evidence that comprehensive reforms increased premiums slightly for small employers and that most of this increase was passed on to workers through higher employee contributions

derivative use fund flows and investment manager performance abstract prior literature which examines the use of derivatives by investment managers does not discern between different types of derivative trading strategies this study is the first to examine and gather data on a particular type of derivative trading strategy undertaken by investment managers we examine the extent to which equity fund managers use index futures to manage fund flows and the effect this has on their alpha and market timing measures of performance our results show that funds that do not use derivatives exhibit lower returns and negative market timing skills when they experience fund flow the performance of funds that use derivatives however is independent of investor s liquidity demands in fact the unconditional performance of the average user fund is statistically equivalent to the performance of the average non user fund conditional on zero fund flow our results provide evidence that derivatives can be beneficial for mutual fund holders under certain conditions

redistribution by insurance market regulation analyzing a ban on gender based retirement annuities we illustrate how equilibrium screening models can be used to evaluate the economic consequences of insurance market regulation we calibrate and solve a model of the united kingdom s compulsory annuity market and examine the impact of gender based pricing restrictions we find that the endogenous adjustment of annuity contract menus in response to such restrictions can undo up to half of the redistribution from men to women that would occur with exogenous social security like annuity contracts our findings indicate the importance of endogenous contract responses and illustrate the feasibility of employing theoretical insurance market equilibrium models for quantitative policy analysis

consumer s surplus without apology reply i began my article consumer s surplus without apology henceforth cswa with the words the purpose of this paper is to settle the controversy surrounding consumer s surplus p 589 that is my purpose here as well however george mckenzie s published comments have taught me that if articles and careful analyses settle controversies they only do so very slowly mckenzie makes sweeping and attacking statements about cswa but fails to substantiate them he scatters birdshot criticisms at cswa that are based on misreadings of rather clear material he offers an example in which he miscalculates multiproduct consumer s surplus finally he contends that his own with ivor f pearce approach to welfare analysis is preferable to the consumer s surplus approach in this reply to keep the record straight i show in section i that each of mckenzie s strongly worded attacks is unsubstantiated and invalid and that each of his more technical sounding criticisms rests only on misreadings of cswa more interestingly in section ii i summarize some of the theory of multiproduct consumer s surplus that is needed to understand the calculatiop error in and proper interpretation of the example that mckenzie proffers in section iii i argue that the approach to welfare analysis advocated by mckenzie and pearce is far less useful than the consumer s surplus methodology

performance evaluation of market timers theory and evidence previous investigators have shown that the sharpe measure of the performance of a managed portfolio may be flawed when the portfolio manager has market timing ability herein we develop the exact conditions under which the sharpe measure will completely and correctly order market timers according to ability the derived conditions are neces sary sufficient and observable we compare these derived conditions to empirical esti mates of actual market conditions and find that under typical market conditions the prac tice of using quarterly portfolio return data will frequently result in a failure of the sharpe measure to order timers according to ability we show however that such failures can be greatly reduced by more frequent sampling of managed portfolio returns

incremental universalism for the united states the states move first astandard health policy joke goes like this health policy expert x dies and goes to heaven god himself greets x and the lord says that the health expert can ask one question before entering heaven the health expert asks will we ever have universal health insurance coverage in the united states god answers yes but not in my lifetime this joke summarizes the prospects that policy experts have typically seen for universal health insurance coverage in the united states for senior policymakers this perspective reflects past battle scars most recently with the clinton administration s proposed health security act in 1994 there has been no serious national attempt at universal coverage since that time in the run up to the november 2008 election the tone of the discussion shifted politicians running for office at the national level talked freely about spending tens of billions of dollars on expanding health insurance coverage but perhaps the most intriguing practical developments occurred at the state level most notable has been the health reform plan enacted by massachusetts in april 2006 this sweeping bill altered insurance markets subsidized insurance coverage for a large swath of the population introduced a new health insurance purchasing mechanism the connector and mandated insurance coverage for almost all citizens the massachusetts experience has led to similar proposals in a number of states including a major but ultimately failed effort in california this new wave of health care proposals and laws is marked by what i call

a study of monthly mutual fund returns and performance evaluation techniques this paper empirically contrasts the jensen measure the positive period weighting measure developed in grinblatt and titman 1989b and a measure developed from the treynor mazuy 1966 quadratic regression on a sample of 279 mutual funds and 109 passive portfolios using a variety of benchmark portfolios the study finds that the measures generally yield similar inferences when using the same benchmark and that inferences can vary even from the same measure when using different benchmarks this paper also analyzes the determinants of mutual fund performance tests of fund performance that employ fund characteristics such as net asset value load expenses portfolio turnover and management fee are reported these tests surprisingly suggest that turnover is significantly positively related to the ability of fund managers to earn abnormal returns

of tournaments and temptations an analysis of managerial incentives in the mutual fund industry we test the hypothesis that when their compensation is linked to relative performance managers of investment portfolios likely to end up as losers will manipulate fund risk differently than those managing portfolios likely to be winners an empirical investigation of the performance of 334 growth oriented mutual funds during 1976 to 1991 demonstrates that mid year losers tend to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid year winners furthermore we show that this effect became stronger as industry growth and investor awareness of fund performance increased over time

measuring investment performance in a rational expectations equilibrium model much research has been concerned with evaluating the performance of managed portfolios e g mutual funds and examining whether portfolio managers display in some sense superior performance superior performance would seemingly turn on the possession of superior information that is utilized in managing portfolios in general a fund s asset holdings or portfolio weights might not be observable to an outsider whether they are or not however they are likely to change over time this happens especially when better performance is a result of superior information since managers will change their portfolio composition on obtaining private information since such changes must be taken into account the problem of measuring performance of managed portfolios is inherently different from that of evaluating the performance of individual assets groups of assets or generally portfolios with constant and known composition

portfolio performance evaluation old issues and new insights this article presents a model that provides insights about various measures of portfolio performance the model explores several criticisms of these measures these include the problem of identifying an appropriate benchmark portfolio the possibility of overestimating risk because of market timing ability and the failure of informed investors to earn positive risk adjusted returns because of increasing risk aversion the article argues that these need not be serious impediments to performance evaluation

the seasonal and spatial dimensions of sorghum market liberalization in mexico mexico s attempt to deregulate its sorghum market in 1990 was unsuccessful because policy analysts failed to consider the seasonal and spatial dimensions of trade in this paper i present a detailed seasonal and spatially dissaggregated nonlinear programming model of the mexican sorghum market calibrated with survey data of storage and transport costs in mexico and compare the results obtained with models that ignore these characteristics the comparison demonstrates that the failure to incorporate these costs in trade models may lead to misleading conclusions and inappropriate policies

factor pricing in a finite economy abstract prior theoretical derivations of the arbitrage pricing theory apt bound an aggregate measure of the deviation of mean asset returns from that predicted by a linear pricing equation it is conceivable given this bound that some assets might be badly mispriced by the model in this paper a more intuitive derivation of the factor pricing equation is presented which describes the deviation on an asset by asset basis the deviation is shown to be small for assets in a realistic finite economy and is arbitrarily close to zero for those assets with arbitrarily small size relative to aggregate wealth it follows that the linear pricing equation provides a good approximation for the mean returns of all traded assets

market analysis methods are our enriched toolkits well suited to enlivened markets the past fifteen years have brought historic reduction of government intervention in agricultural markets in the developing world most economists and policy makers believe these reforms enliven markets previously fettered by excessive government authority nonetheless the impact of market oriented reforms on the spatial and intertemporal extent and the competitiveness of markets remains an inherently empirical question meanwhile there also have been major innovations in methods used to analyze markets and prices due largely to the rapidly emerging time series econometric literature agricultural economists toolkits have changed nearly as rapidly and dramatically as have developing economy markets but can these enriched toolkits answer the

understanding index option returns this paper studies the returns from investing in index options previous research documents significant average option returns large capm alphas and high sharpe ratios and concludes that put options are mispriced we propose an alternative approach to evaluate the significance of option returns and obtain different conclusions instead of using these statistical metrics we compare historical option returns to those generated by commonly used option pricing models we find that the most puzzling finding in the existing literature the large returns to writing out of themoney puts is not even inconsistent with the black scholes model moreover simple stochastic volatility models with no risk premia generate put returns across all strikes that are not inconsistent with the observed data at the money straddle returns are more challenging to understand and we find that these returns are not inconsistent with explanations such as jump risk premia peso problems and estimation risk

gain loss and asset pricing we develop an approach to asset pricing in incomplete markets that bridges the gap between the two fundamental approaches in finance model based pricing and pricing by no arbitrage we strengthen the absence of arbtrage assumption by precluding investment opportunities whose attractiveness to a benchmark investor exceeds a specified threshold in our framework the attractiveness of an investment opportunity is measured by the gain loss ratio we show that a restriction on the maximum gain loss ratio is equivalent to a restriction on the ratio of the maximum to minimum values of the pricing kernel by limiting the maximum gainloss ratio we can restrict the admissible set of pricing kernels which in turn allows us to restrict the set of prices that can be assigned to assets we illustrate our methodology by computing price bounds for call options in a black scholes economy without intermediate trading when we vary the maximum permitted gainloss ratio these bounds can range from the exact prices implie

the unequal benefits of fuel subsidies a review of evidence for developing countries summary this paper reviews evidence on the impact of fuel subsidy reform on household welfare in developing countries on average the burden of subsidy reform is substantial and is approximately neutrally distributed across income groups a 0 25 decrease in the per liter subsidy results in a 5 decrease in income for all groups more than half of this impact arises from the indirect impact on prices of other goods and services consumed by households fuel subsidies are a costly approach to protecting the poor due to substantial benefit leakage to higher income groups in absolute terms the top income quintile captures six times more in subsidies than the bottom

efficiency with costly information a reinterpretation of evidence from managed portfolios we investigate the informational efficiency of mutual fund performance for the period 1965 84 results are shown to be sensitive to the measurement of performance chosen we find that returns on s p stocks returns on non s p stocks and returns on bonds are significant factors in performance assessment once we correct for the impact of non s p assets on mutual fund returns we find that mutual funds do not earn returns that justify their information acquisition costs this is consistent with results for prior periods coauthors are martin j gruber sanjiv das and matthew hlavka article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the evolution of medical spending risk how has the economic risk of health spending changed over time for u s households we describe trends in aggregate health spending in the united states and how private insurance markets and public insurance programs have changed over time we then present evidence from consumer expenditure survey microdata on how the distribution of household spending on health that is out of pocket payments for medical care plus the household s share of health insurance premiums has changed over time this distribution has shifted up over time households spend more on medical care and insurance than they used to but for the purposes of measuring change in risk it is not the mean but the dispersion of this distribution that is of interest we consider two measures of dispersion that serve as proxies for household risk the standard deviation of the distribution of household health spending and the ratio of the 90th percentile of spending to the median the so called 90 50 gap we find surprisingly that neither has increased despite the rapid rise in aggregate health spending this conclusion holds true for broad subgroups of the population for example the nonelderly as a group but not for some narrowly defined subgroups for example low income families with children we next consider how much risk households should face from the perspective of economic efficiency household risk may not have changed much over the past several decades but do we have any evidence that this level represents either too much or too little risk finally we discuss implications for public policy in particular for current debates over expanding health insurance coverage to the uninsured

the conditional performance of insider trades this paper estimates the performance of insider trades on the closely held oslo stock exchange ose during a period of lax enforcement of insider trading regulations our data permit construction of a portfolio that tracks all movements of insiders in and out of the ose firms using three alternative performance estimators in a time varying expected return setting we document zero or negative abnormal performance by insiders the results are robust to a variety of trade characteristics applying the performance measures to mutual funds on the ose we also document some evidence that the average mutual fund outperforms the insider portfolio corporate insiders i e individuals closely related to the firm either through direct employment or through participation on supervisory committees and boards will from time to time possess information about the firm s future cash f low which is not yet ref lected in the firm s stock price insiders who trade on the basis of such information tend to purchase stocks just prior to abnormal price increases and to sell just prior to abnormal price declines employing traditional event study techniques in which equal weighted average abnormal stock returns are estimated over a fixed time period following insider trades the extant empirical literature tends to support this buy low and sell high hypothesis for example jaffe 1974 and seyhun 1986 present evidence of significant abnormal stock returns following reported insider trades on the new york and the american stock exchanges similarly baesel and stein 1979 and fowler and rorke 1984 conclude that insiders on the toronto stock exchange earn abnormal profits and pope morris and peel 1990 reach a similar conclusion for firms in the united kingdom eckbo is with the stockholm school of economics and the norwegian school of economics and business administration smith is at the norwegian school of management we are grateful for the comments of mark britten jones oyvind bohren glen donaldson michael cooper thore johnsen kenneth khang lisa kramer ananth madhavan maurizio murgia rene stulz the editor raman uppal and in particular wayne ferson we also thank seminar participants at the central bank of norway concordia university london business school norwe

beyond export led growth abstract in light of the adverse conditions in the current international economic environment this paper reassesses the feasibility of continuing to rely on manufacturing export led growth as the major development dynamic for most ldcs during the next decade this paper argues that after the initial stages of industrial development the emphasis in policy toward agriculture should shift from surplus extraction to surplus creation and to the generation of demand linkages with the rest of the economy the author compares the relative merits of two alternative open development strategies export led industrialization and agricultural demand led industrialization adli by means of several simulation experiments the experiments are performed with a computable general equilibrium model of a small low income semi industrial open economy which is a stylization of south korea of 1963 they are carried out in an international environment assumed to represent the next decade based on a rate of growth of international demand for imports of about half the 1960 1973 rate the results support the adli approach on all counts

pricing regulation and imperfect competition on the massachusetts health insurance exchange abstract we analyze insurance pricing regulation under imperfect competition on the massachusetts health insurance exchange differential markups lead to price variation apart from cost variation coarse insurer pricing strategies identify consumer demand younger consumers are twice as price sensitive as older consumers older consumers thus face higher markups over costs modified community rating links prices for consumers differing in both costs and preferences and changes the marginal consumer firms face stricter regulations transfer resources from low cost to high cost consumers reduce firm profits and increase overall consumer surplus

hot hands in mutual funds short run persistence of relative performance 1974 1988 the relative performance of no load growth oriented mutual funds persists in the near term with the strongest evidence for a one year evaluation horizon portfolios of recent poor performers do significantly worse than standard benchmarks those of recent top performers do better though not significantly so the difference in risk adjusted performance between the top and bottom octile portfolios is six to eight percent per year these results are not attributable to known anomalies or survivorship bias investigations with a different previously used data set and with some post 1988 data confirm the finding of persistence

consumer s surplus without apology the purpose of this paper is to settle the controversy surrounding consumer s surplus and by so doing to validate its use as a tool of welfare economics i will show that observed consumer s surplus can be rigorously utilized to estimate the unobservable compensating and equivalent variations the correct theoretical measures of the welfare impact of changes in prices and income on an individual i derive precise upper and lower bounds on the percentage errors of approximating the compensating and equivalent variations with consumer s surplus these bounds can be explicitly calculated from observable demand data and it is clear that in most applications the error of approximation will be very small in fact the error will often be overshadowed by the errors involved in estimating the demand curve the results in no way depend upon arguments about the constancy of the marginal utility of income consequently this paper supplies specific empirical criteria which can replace the apologetic caveats frequently employed by those who presently apply consumer s surplus moreover the results imply that consumer s surplus is usually a very good approximation to the appropriate welfare measures to preview below i establish the validity of these rules of thumb for a

explaining the evolution of poverty the case of mozambique we provide a comprehensive approach for analyzing the evolution of poverty using mozambique as a case study bringing together data from disparate sources we develop a novel back casting framework that links a dynamic computable general equilibrium model to a micro simulation poverty module this framework provides a new approach to explaining and decomposing the evolution of poverty as well as to examining rigorously the coherence between poverty economic growth and inequality outcomes finally various simple but useful and rarely applied approaches to considering regional changes in poverty rates are presented copyright 2012 oxford university press

where do the sick go health insurance and employment in small and large firms this research was supported by a grant from the economic research initiative on the uninsured at the university of michigan

the impact of biofuels on commodity food prices assessment of findings for years agriculture has provided most of the fuel for vehicular transportation concerns about availability of fuels balance of trade and climate change led to the introduction of biofuel programs in the united states brazil europeanunion eu andothercountries the impacts of these programs and the relationship between the food and fuel markets have become major topics of economic research this paper summarizes the main findings of alternative lines of research on the relationship between the food and fuel markets and identifies gaps and quandaries that warrant further research this is not meant to be a complete survey and it emphasizes several of our studies within the broader literature the paper distinguishes between two bodies of literature one on the relationship between food and fuel prices and another on the impact of the introduction of biofuel on commodity food prices while biofuel prices do not seem to affect food commodity prices we explain why the introduction of biofuel does moreover biofuelshavenotbeenthemostdominant contributor to the recent food price inflation and different biofuels have different impacts

optimal storage and marketing over space and time borrowing from the theory of optimal resource extraction we develop the mechanism guiding efficient commodity storage and marketing over producing regions through the crop year optimal storage occurs at producing areas and time in storage varies directly with distance to market prices grow with interest rates in locations where storage is efficient but more slowly elsewhere which explains why market prices i e prices at the market grow more slowly than interest rates the model is empirically supported by examining storage in the corn belt rates of price growth at various points and quarterly grain marketings

a theory of optimal timing and selectivity abstract we solve an extended optimal portfolio problem in continuous time for any horizon where we allow the mean and variance of returns to be stochastic introduce fund flows to and from the portfolio permit differential investor preferences for dividend versus growth stocks and allow the investor to buy costly information on the random mean and variance of the portfolio to improve his portfolio choice set this model provides analytical results especially useful in understanding the expenditure on timing and selection information a mutual fund undertakes in attempting to improve performance relative to a benchmark we examine this proposition for growth and income funds long and short investment horizons and also account for fund inflows and outflows we also combine our model of costly learning with the traditional model of incomplete information to understand the interaction between costly and costless learning the approach taken is a purely theoretical one and in this regard the paper is normative in spirit we anticipate that the propositions in this paper will provide two byproducts i a framework for fund managers to think about how to allocate information expenses between timing and selection skills and ii give academics especially empirical researchers a theoretical backdrop against which to examine the mutual fund industry

rice prices and income distribution in thailand a non parametric analysis rice is a staple crop in thailand significantly entering both household production and consumption this paper examines the effect of rice prices on the distribution of real income across households taking into account household characteristics and geographical location the data set is a large scale survey of 11 893 households simple nonparametric techniques for regression and density estimation are used these methods depend on few assumptions and generate flexible graphical results that are directly informative about the problem at hand the main results are that higher rice prices should benefit all rural households but the largest benefits accrue to rural households in the middle of the income distribution copyright 1989 by royal economic society

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

ordered mean difference benchmarking utility generators and capital market equilibrium designed as a fund performance measure the ordered mean difference is extended to characterize zero surplus situations such as a capital market equilibrium generated by arbitrary risk preferences this enables nonparametric testing for whether capm applies and the detection of pricing inefficiencies or anomalies from historical data including international capital market segmentation any risk averse utility function can be decomposed into a weighted average of elementary put option profiles gnomic utility functions which collectively generate the omd areas the investor s risk profile can be summarized as a representative gnome so can the market risk premium pricing efficiency turns on whether such a representative gnome exists

community rating and the market for private non group health insurance abstract prior research on adverse selection in health insurance markets has found only mixed evidence for adverse selection in group settings we examine the impact of state community rating regulations enacted in the 1990s which greatly limited insurers ability to risk rate premiums to determine if adverse selection is more evident in non group insurance markets using data from large national surveys we find evidence of a shift to a less healthy pool of non group enrollees as a consequence of community rating community rating made healthy people 20 to 60 less likely to be insured by non group health insurance in addition we found evidence that young and healthy people were 20 to 30 more likely to be uninsured as a result of community rating we also find evidence that individuals in poor health were 35 to 50 more likely to be insured in the non group market but only limited evidence suggesting that persons in poor health were less likely to be uninsured our results are further supported by findings suggesting that non group enrollees were sicker as a result of the community rating laws lastly we find evidence suggesting that hmo penetration in the non group market increased disproportionately in states that implemented community rating relative to states that did not

imperfect competition in agricultural markets evidence from ethiopia abstract drawing upon unique transaction level data from rural ethiopia this paper tests for general forms of imperfect competition among rural wholesale traders these are key to the grain distribution system as they purchase from farmers and perform interregional trade tests show that traders in a typical source market engage in imperfectly competitive behavior in purchasing from farmers driving down the price paid to farmers approximately 3 in contrast there is no conclusive evidence of imperfect competition among traders in the larger more centrally located market studied thus efficiency losses due to market structure are likely to be greatest in markets which also have poor road links and lesser volumes of marketed grain

labor market consequences of state health insurance regulation this study based mainly on the 1989 98 march current population surveys finds that state mandated health insurance benefits and small group health insurance reform had no statistically significant effects on labor market outcomes such as the quantity of work wages and whether an employee worked for a small or large firm the number and type of state mandated health insurance benefits were unrelated to weeks of work wages and the prevalence of private insurance coverage but positively associated with weekly work hours extensive small group health insurance reform was associated with a slight decline in the prevalence of private insurance coverage in small firms and this reform affected both full and part time employees less extensive reforms were not generally related to the prevalence of private insurance coverage overall the authors do not find strong evidence that insurance regulations affected labor market outcomes although they appear to cause a small decrease in private coverage

a structural model of dynamic market timing this paper derives and analyzes dynamic timing strategies of a fund manager with private information endogenous timing strategies generated by various information structures and skills and associated fund styles are identified endogenous fund returns are characterized in the public information of an uninformed observer timing components are identified the paper provides foundations for regression analyses of fund returns and tests of market timing the author 2013 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

transfer costs spatial arbitrage and testing for food market integration conventional tests for food market integration ask often misleadingly whether prices in different locations move together in this paper an alternative methodology the parity bounds model pbm is developed which uses information on transfer costs in addition to food prices to assess the efficiency of spatial arbitrage monte carlo experiments using data generated by a point space spatial price equilibrium model show the pbm to be statistically reliable an application to philippine rice markets demonstrates that the pbm detects efficient arbitrage when other tests do not

the performance of bond mutual funds using linear and nonlinear models the authors examine two samples of bond funds one sample designed to eliminate survivorship bias and a second much larger sample overall and for subcategories of bond funds they find that bond funds underperform relevant indexes postexpenses the authors results are robust across a wide choice of models they find that on average a percentage point increase in expenses leads to a percentage point decrease in performance the nonlinear model weights closely match actual composition weights the authors find no evidence of predictability using past performance to predict future performance for their unbiased sample copyright 1993 by university of chicago press

differential information and performance measurement using a security market line an uninformed observer using the tools of mean variance and security market line analysis to measure the performance of a portfolio manager who has superior information is unlikely to be able to make any reliable inferences while some positive results of a very limited nature are possible e g when there is a riskless asset or when information is restricted to be security specific in general anything is possible in particular a manager with superior information can appear to the observer to be below or above the security market line and inside or outside of the mean variance efficient frontier and any combination of these is possible mean variance theory predicts that if we plot expected returns against beta coefficients all securities plot on a single line known as the security market line sml since fpi the beta coefficient for security i is interpreted as a measure of the riskiness of security i the market line is a graphical representation of the linear relationship between risk and return what are we to make of deviations from the sml i e of securities or managed portfolios that do not plot on such a line if we can retain our intuitive interpretation of fj as the riskiness of asset i and the market line as the appropriate expected return needed to reward agents taking on various degrees of risk then vertical deviations from the market line represent abnormal returns that differ from what is merited this paper and the companion piece dybvig and ross 10 explore in detail the validity of this intuition and the question of what sml deviations really measure the companion piece analyzes sml deviations caused by the choice of an inefficient market or reference portfolio in this paper we analyze sml deviations caused by superior performance based on superior information the intuitive explanation of deviations from the sml has motivated many

international diversification through closed end country funds abstract the primary objectives of this paper are to assess the potential of closed end country funds cecfs as vehicles for achieving international diversification at home and to examine the effect of the closed end status of these funds on their investment characteristics the main findings are first cecfs exhibit significant exposure to the u s market factor and act more like u s securities than do their underlying assets second despite these characteristics cecfs retain significant exposure to their local home market factors and provide u s investors with substantial diversification benefits emerging market funds such as brazil mexico and taiwan receive large weights in optimal international portfolios comprised of cecfs implying that these funds can play a unique role in spanning the opportunity set for u s investors third performance evaluations indicate that our sample cecfs generally did not offer significant overseas alphas fourth fund value and net asset value are found to be co integrated for the majority of cecfs from north america and europe but not for those representing the asian emerging markets

changes in institutional ownership and stock returns assessment and methodology although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies in this study we develop a method to generate estimates of higher frequency covariances when one variable is observed at lower frequencies e g quarterly changes in institutional ownership and monthly stock returns our method provides evidence that institutional trading has both temporary and permanent price effects and that the latter is associated with information effects

on timing and selectivity the dichotomy between timing ability and the ability to select individual assets has been widely used in discussing investment performance measurement this paper discusses the conceptual and econometric problems associated with defining and measuring timing and selectivity in defining these notions we attempt to capture their intuitive interpretation we offer two basic modeling approaches which we term the portfolio approach and the factor approach we show how the quality of timing and selectivity information can be identified statistically in a number of simple models and discuss some of the econometric issues associated with these models in particular a simple quadratic regression is shown to be valid in measuring timing information

health insurance market reform and employee compensation the case of pure community rating in new york abstract pure community rating which was enacted to improve access to health insurance in new york s small group market in 1993 prevents carriers from charging different premiums based on the ages of a firm s workers if small firms were adjusting compensation packages prior to reform to offset higher health care costs of older workers then community rating could lead to greater relative wages for older workers post reform and not necessarily induce adverse selection that results in changes in who is insured i present evidence showing that relative wages of older workers in small firms increased in comparison with other states and with large firms within new york following reform

how has small group market reform affected employee health insurance coverage abstract in the early 1990s over 40 states passed legislation designed to limit a number of exclusionary practices by insurers in the small group market in order to improve the availability and affordability of health insurance to employees in small firms in this paper we address the effects of reform on the likelihood that workers are offered insurance have employment based coverage or are policyholders of an employment based plan we use differences in differences dd and differences in differences in differences ddd estimators to evaluate the differential effects of alternative reform measures on high and low risk workers we generally find little effect of reform on offer rates and find that in states with the most stringent reform employment based coverage and policyholder rates increased for high risk workers relative to low risk workers our results also indicate that the effects of reform varied significantly by the extent to which states adopted guaranteed issue