threshold effects in price transmission the case of brazilian wheat maize and soya prices recent studies into price transmission have recognized the important role played by transport and transaction costs threshold models are one approach to accommodate such costs we develop a generalized threshold error correction model to test for the presence and form of threshold behavior in price transmission that is symmetric around equilibrium we use monthly wheat maize and soya prices from the united states argentina and brazil to demonstrate this model classical estimation of these generalized models can present challenges but bayesian techniques avoid many of these problems evidence for thresholds is found in three of the five commodity price pairs investigated

new evidence of the impact of dividend taxation and on the identity of the marginal investor this paper examines the impact of a major change in dividend taxation introduced in the united kingdom in july 1997 the reform was structured in such a way that the immediate impact fell almost entirely on the largest investor class in the united kingdom namely pension funds we find significant changes in the valuation of dividend income after the reform in particular for high yielding companies these results provide strong support for the hypothesis that taxation affects the valua tion of companies and that pension funds were the effective marginal investors for high yielding companies

ex day behavior tax or short term trading effects this study examines the behavior of share prices around the ex dividend dates before and after the introduction of the 1988 income and corporation taxes act that reduced substantially the tax differential between dividends and capital gains in the united kingdom we find that in the pre 1988 period when the differential taxation of dividends and capital gains is high ex day returns are positive and significant in contrast in the post 1988 period ex day returns are in most cases negative and insignificant further analysis reveals that while ex day returns are significantly related to dividend yield and to the length of the settlement period they are not affected by the commonly used measures of transaction costs such as the bid ask spread and trading volume or by the day of week month of the year type of dividend distribution or number of days to the actual receipt of the cash dividend we conclude that taxation affects significantly ex day share prices in the previous studies have documented that the risk adjusted abnormal returns on the ex dividend dates are positive and significantly related to the dividend yield the interpretation of these findings is however controversial the question relates to what category of investors sets ex day prices elton and

the turnover of teachers a competing risks explanation in this paper we analyze the decision by teachers to leave the profession in a dependent competing risks framework the econometric model allows for a flexible semiparametric specification of the duration dependence structure and of the unobserved heterogeneity distribution in each exit specific hazard function our results obtained for a large sample of uk teachers affirm the importance of teacher salaries and opportunity wages in the turnover decision of teachers and illustrate the insight gained from differentiating between multiple destinations or exit types

the long run implications of the production smoothing model of inventories an empirical test summary this paper provides an empirical test of the long run implications of the production smoothing model of inventories the dominant framework for inventory investment research in the past intertemporal models of a firm holding inventories of finished goods predict a long run relationship between inventories shipments factor input prices and the real interest rate which is tested here using cointegration test procedures these tests provide little support for the predictions of the production smoothing model in most of the data sets used test statistics indicate that inventories shipments factor input prices the nominal interest rate and the inflation rate maintain a long run equilibrium relationship but parameter estimates of cointegrating vectors are often implausible typically rejecting hypotheses implied by structural models of the production smoothing motive for holding inventories

foreign direct investment heterogeneous workers and employment security evidence from germany we analyze how foreign direct investment fdi affects employment security using administrative microdata for german employees measuring fdi intensity at the industry level enables us to take into account the sum of direct effects at multinationals as well as indirect effects of fdi throughout the affected industry we find that both inward and outward fdi significantly reduce employment security this is particularly the case for inward fdi coming from the western part of the european union as well as for outward fdi going to central and eastern europe the effects are sizeable for older and low skilled workers

opportunity wages classroom characteristics and teacher mobility this article analyzes the impact of classroom characteristics and opportunity wages on four possible labor market choices of teachers in florida remaining at their present school switching schools within a school district changing school districts and leaving teaching discrete time multinomial logit hazard model estimates indicate that classroom characteristics play a larger role than school average student characteristics in determining teacher mobility opportunity wages based on past teacher movements to other competing districts and professions are found to pull teachers away from their initial placements once opportunity wages and working conditions are considered teachers own salaries are found to exert little impact on teacher mobility within the profession although they reduce attrition out of the profession policy simulations indicate that targeted salary increases based on teacher specific working conditions are important to retain teachers at a given school

uncertainty in sales and inventory behaviour in the u s trade sectors this paper investigates uncertainty in sales and inventory behavior for the u s wholesale and retail trade sectors first using a vector error correction model with garch m the authors find that the uncertainty measured by forecast error variance in sales does not affect inventory behavior in both trade sectors second using forecast error variance decomposition and estimated permanent components they observe that the uncertainty may be attributed more to demand shocks than to cost shocks

taxes and dividends the uk evidence abstract this paper provides empirical evidence on the simultaneous effects of both corporation and personal income taxes on dividend payment adjustments and on the behaviour of share prices on the ex dividend dates the results show that companies set their dividend policies to minimise their tax liability and to maximise the after tax return of their shareholders in particular firms that are unable to deduct the advanced corporation tax from their tax liability are found to pay low dividends in addition consistent with the tax hypothesis we find that the differential taxation of dividends and capital gains results in a decrease in ex day share prices by significantly less than the amount of the dividend there is no evidence of a tax induced dividend clientele

would higher salaries keep teachers in high poverty schools evidence from a policy intervention in north carolina abstract for a three year time period beginning in 2001 north carolina awarded an annual bonus of 1800 to certified math science and special education teachers working in public secondary schools with either high poverty rates or low test scores using longitudinal data on teachers we estimate hazard models that identify the impact of this differential pay by comparing turnover patterns before and after the program s implementation across eligible and ineligible categories of teachers and across eligible and barely ineligible schools results suggest that this bonus payment was sufficient to reduce mean turnover rates of the targeted teachers by 17 experienced teachers exhibited the strongest response to the program finally the effect of the program may have been at least partly undermined by the state s failure to fully educate teachers regarding the eligibility criteria our estimates most likely underpredict the potential outcome of a program of permanent salary differentials operating under complete information

leaving teaching in the uk a duration analysis in this paper the authors analyze the decision by teachers to leave the profession their results affirm the importance of relative earnings in the tenure and turnover decisions of teachers the econometric modeling approach used yields important insights into the appropriateness of adopting a flexible semiparametric specification of the duration dependence structure and of the unobserved heterogeneity distribution in duration models copyright 1995 by royal economic society

ex dividend day stock price behavior the case of the 1986 tax reform act this paper analyzes the behavior of stock prices around ex dividend days after the implementation of the 1986 tax reform act that dramatically reduced the difference between the tax treatment of realized long term capital gains and dividend income in 1987 and completely eliminated the differential in 1988 we show that this tax change had no effect on the ex dividend stock price behavior which is consistent with the hypothesis that long term individual investors have no significant effect on ex day stock prices during this time period the results indicate that the activity of short term traders and corporate traders dominates the price determination on the ex day

time variation of ex dividend day stock returns and corporate dividend capture a reexamination this paper documents some empirical facts about ex day abnormal returns to high dividend yield stocks that are potentially subject to corporate dividend capture we find that average abnormal ex dividend day returns are uniformly negative in each year after the introduction of negotiated commission rates and that time variation in ex day returns during the negotiated commission rates era is consistent with corporate tax based dividend capture ex day returns are more negative when the tax advantage to corporate dividend capture is greatest and more positive when increases in transaction costs and risk reduce incentives to engage in corporate tax based dividend capture copyright the american finance association 2000

new evidence that taxes affect the valuation of dividends this paper uses british data to examine the effects of dividend taxes on investors relative valuation of dividends and capital gains british data offer great potential to illuminate the dividends and taxes question since there have been two radical changes and several minor reforms in british dividend tax policy during the last 30 years studying the relationship between dividends and stock price movements during different tax regimes offers an ideal controlled experiment for assessing the effects of taxes on investors valuation of dividends using daily data on a small sample of firms and monthly data on a much broader sample we find clear evidence that taxes affect the equilibrium relationship between dividend yields and market returns these findings suggest that taxes are important determinants of security market equilibrium and deepen the puzzle of why firms pay dividends financial economists have long been puzzled by corporate dividend behavior many individual investors should value a dollar of corporate dividends less than a dollar of corporate retentions because the former gives rise to greater tax liabilities corporations however face equal costs of paying out dividends and retaining earnings miller and modigliani 31 demonstrated that in the absence of taxes dividend policy should have no effect on share valuation if dividends are tax penalized however a value maximizing firm should pay no dividends widespread dividend payments to taxable investors are therefore surprising in 1981 dividend tax revenues in the united states were estimated to exceed 20 billion dollars indeed some have interpreted the large volume of dividends paid as evidence against the rational behavior postulates typically used by economists the dividend question has stimulated a large theoretical and empirical literature concerned with the qluestion of investors valuation of dividends in particular the question of how taxes affect the market valuation of dividends has generated considerable controversy numerous studies including auerbach 2 litzenberger and ramaswamy 24 26 morgan 34 and rosenberg and marathe

an asymmetry generator for error coorection mechanisms with application to bank mortgage rate dynamics empirical evidence supports asymmetries in the adjustment of prices interest rates and other economic variables the asymmetry hypothesis however is often procedurally difficult to set up and test this article shows that a wide variety of such mechanisms can be nested within an asymmetry generator which represents the interactions between the disequilibrium term of an error correction mechanism and an ancillary driver process the asymmetry hypothesis can then be tested in a straightforward extension of linear statistical methods the methods are applied to 10 years of monthly new zealand mortgage rate data

an asymmetric error correction model of uk consumer spending this paper augments the granger and lee journal of applied econometrics 4 1989 non symmetric error equilibrium correction model to assess the possibility that in the aggregate consumers respond differently to different types of disequilibrium error this idea is illustrated using an engle granger implementation of the davidson hendry srba and yeo dhsy economic journal 80 1978 model the disequilibrium error is endogenously determined by the long run empirical model and a binary dummy variable captures two alternative states above and below equilibrium spending interaction of the dummy variable with key variables in a short run dynamic model of uk consumer spending augments the dynamics of the dhsy model income elasticities inflation elasticities and speeds of adjustment are all seen to change significantly depending on whether the disequilibrium error is positive or negative and is suggestive of asymmetric behaviour on the part of consumers moreover the asymmetrically augmented mode

the value of dividend imputation tax credits in australia abstract a dividend imputation tax system provides shareholders with a credit for corporate tax paid that can be used to offset personal tax on dividend income this paper shows how to infer the value of imputation tax credits from the prices of derivative securities that are unique to australian retail markets we also test whether a tax law amendment that was designed to prevent the trading of imputation credits affected their economic value before the amendment tax credits were worth up to 50 of face value in large high yielding companies but subsequently it is difficult to detect any value at all

portfolio rebalancing and the effective taxation of dividends and capital gains following the tax reform act of 1986 abstract the tax reform act tra of 1986 among other things equalized the nominal taxation of dividend and capital gains income the evidence is consistent with the hypothesis that ordinary investors rebalanced their portfolio holdings in response to the new taxes such rebalancing appears to have concentrated on liquid stocks indicating that transaction costs are an important consideration for ordinary investors involved in restructuring their portfolio holdings the tax clientele relationships that existed prior to the new act were distorted temporarily but have reappeared by 1988 interestingly investors post reform effective tax rates still give a preference to capital gains as they did prior to the tax reform

unemployment dynamics in britain we examine the inter related dynamics of the unemployment flows and stock our model allows them to be linked through the standard accounting identity but also through behavioural relationships we find that for the uk the bulk of the correlation between duration and the unemployment stock arises from the dependence of duration on unemployment taking careful account of the inter temporal identity outflow shocks have contributed little to the evolution of unemployment since the late 1960s given that the correlation of duration and unemployment arises from the behavioural relationship we show that unemployment dynamics arise mostly from shocks to the inflow unemployment remains one of europe s more pressing economic and social problems as highlighted in the eu s lisbon declaration of 2000 a dynamic approach to unemployment starts from the recognition that unemployment is a stock and changes through shocks to the outflow and inflow the research and policy focus has generally been on the outflow process or equivalently unemployment duration a glance at figure 1 shows why this might be so it reveals a very strong co movement of the unemployment rate and the proportion of the unemployed out of work for a year or more analysts have used data like this to argue that the source of unemployment fluctuations has been changes in the outflow process 1 possibly as a consequence of this most policies directed at reducing unemployment focus on improving the search effectiveness and employability of the currently unemployed the unemployment flows and stock are related in quite complex ways and in this paper we focus on these inter related dynamics the model we use allows them to be linked in two ways first there is the simple accounting relationship whereby shocks to the flows accumulate in the stock second search and matching models suggest behavioural relationships of the flows depending on unemployment the presence of the nonlinear accounting identity in the model makes the analysis of the joint system problematic so we proceed sequentially investigating first one link and then the other we find that for the uk the bulk of the correlation between duration and the unemployment stock displayed in figure 1 arises from the dependence of the former on the latter we find a strong dependence of the outflow rate on unemployment taking careful account of the inter temporal identity on the other hand outflow shocks have contributed little to the evolution of unem

multicointegration in us consumption data the present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the usa in doing so the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand and the stock of consumers wealth which can be considered as cumulative past discrepancies between the flows of income and expenditure on the other hand can be thought of as a stock flow model in which multicointegration is likely to occur recently developed i 2 techniques are applied for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in us consumption data

trading volume definitions data analysis and implications of portfolio theory we examine the implications of portfolio theory for the cross sectional behavior of equity trading volume two fund separation theorems suggest a natural definition for trading activity share turnover if two fund separation holds share turnover must be identical for all securities if k 1 fund separation holds we show that turnover satisfies an approximately linear k factor structure these implications are examined empirically using individual weekly turnover data for nyse and amex securities from 1962 to 1996 we find strong evidence against two fund separation and a principal components decomposition suggests that turnover is well approximated by a two factor linear model if price and quantity are the fundamental building blocks of any theory of market interactions the importance of trading volume in modeling asset markets is clear although most models of asset markets have focused on the behavior of returns predictability variability and information content their implications for trading volume have received far less attention in this article we derive the implications of various asset market models for volume and quantify their importance using recently available volume data for individual securities from the center for research in security prices crsp although the volume literature is voluminous 1 we hope to add to this literature in two ways first we develop the volume implications of popular asset market models rather than construct more specialized and often stylized models to

investigation of production sales and inventory relationships using multicointegration and non symmetric error correction models the accumulated sum of a stationary series is called integrated if a linear combination of some of the integrated series is stationary it is said to be cointegrated this paper presents empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration which is introduced in granger and lee 1989 a vector integrated series is multicointegrated if the accumulated sum of its stationary cointegrated linear combination is again cointegrated with itself inventory which is the accumulated sum of production minus sales is probably cointegrated with production and sales the empirical results generally support the presence of multicointegration of production and sales in many u s industries and industrial aggregates the results also favour the non symmetric error correction model providing evidence that the strength of attraction is different on both sides of the attractor a modified s s rule for inventory control is investigated in the context of a non symmetric error correction model and the results generally do not support the s s rule sufficient evidence is found to conclude that multicointegration is a useful concept in the area of inventory determination

the ex dividend day behavior of stock prices the case of japan we provide a comprehensive empirical analysis of stock price behavior around the ex dividend day in japan we find that prices rise on the ex day and that dividend related tax effects appear to be secondary returns around ex dividend days are dominated by the proximity of many ex days to the fiscal year end excess returns of 1 percent which are independent of any dividend related considerations are higher than round trip transaction costs on medium sized transactions prices seem to imply selling pressure before and buying pressure at the start of the new fiscal year these trading patterns appear to be motivated by intercorporate manipulative trading around the end of the firms fiscal year which are unrelated to dividends article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

length of stay for low cost tourism abstract awareness of tourists length of stay and the factors which determine that is an essential element for good planning and management at tourist destinations this article analyses to what extent the personal characteristics of the low cost tourist those of the trip and stay and those of the destination itself are significant in determining the duration of a trip to this end an econometric duration model is estimated the results obtained show that the effect of time restrictions seem to be relevant for explaining the observed differences in length of stay as well as the effects of the tourist s spending capacity prices and the differences between urban and sun and sand destinations furthermore the model also allows us to analyse changes in the likelihood of the stay being ended at a specific point in time hazard associated with changes in the explanatory variables and to obtain predicted survival times for different groups of tourists

market valuation of tax timing options evidence from capital gains distributions we examine a distribution that is taxed as a capital gain rather than as a dividend since the distribution induces a realized capital gain while the price change is an unrealized gain ex day return behavior provides evidence of the value of tax timing capital gains we show that investors are compensated 7c in unrealized gains for each dollar of realized capital gains that is 1 of realized capital gains is equivalent to 93c of unrealized gains an investor with a tax rate on realized gains of 15 has an effective tax rate on unrealized capital gains of 8 6 capital gains taxes can be deferred until assets are sold this feature provides the investor who purchases a security with an option regarding the timing of the realization of capital gains and losses this option can be used to lower one s expected tax liability even if capital gains tax rates remain constant for different holding periods an investor who delays the realization of a gain effectively enjoys compound returns on the postponed taxes if capital losses are tax deductible or partially tax deductible tax timing is even more valuable since investors can follow the strategy of selling stocks with capital losses early while postponing the sale of winners recent evidence lends support to the contention that some investors respond to this tax timing option for example odean 1998 shows that u s investors are more likely to sell losers in december than other months similarly grinblatt and keloharju 2002 show that at the end of the tax year finnish investors are more likely to realize losses than gains this type of tax motivated trade seems to affect market returns as shown by poterba and weisbenner 2001 who demonstrate that end of year tax loss selling is related to return variation in the month of january

foreign and domestic investors and tax induced ex dividend day trading abstract this paper reports evidence on the consequences of differential tax treatment for domestic and foreign owners in a market with a high degree of foreign ownership for certain stocks the helsinki stock exchange hse we find that ex dividend day ratios vary with the degree of foreign ownership and detect significantly abnormal ex dividend day trading volumes the average ex dividend price drops for high yield high foreign ownership stocks are likely to lie outside no arbitrage boundaries for domestic taxable investors an investigation of short selling through a derivatives instrument also reveals significant excess trading volumes in ex dividend months the tax heterogeneity of the company s ownership structure seems to play a role in explaining deviations from dividend neutrality more deviations are observed for companies with a more homogeneous ownership structure in terms of taxation

teacher quality in public and private schools under a voucher system the case of chile chile is unusual in having long term experience with nationwide school vouchers a key criticism of school voucher systems is that they make it easier for private schools to attract better teachers to the detriment of public schools this paper uses longitudinal data from chile to estimate a discrete choice dynamic programming dcdp model of teacher and nonteacher labor supply decisions and to explore how wage policies affect the composition of the teacher labor force in public and private schools in the model individuals first decide whether to get a teaching degree and then choose annually from among five work home sector alternatives empirical results show that private voucher schools attract better teachers than public schools however the existence of the private voucher sector also draws higher productivity individuals into the teaching profession

the nobel memorial prize for clive w j granger clive granger developed the econometric foundations for analysing and modelling non stationary macroeconomic time series forging an approach that has become the dominant paradigm in empirical macroeconomic research based on a critique of potential nonsense regressions in applied econometric models of non stationary data granger s concept of cointegration facilitated the merging in a unified framework of economic theory about equilibrium relationships with dynamic econometric models of short run behaviour this provided a remarkable leap forward in the empirical analysis of macroeconomic relationships and in testing macroeconomic theories extending to non stationary macroeconomic time series the formulation by nobel laureate trygve haavelmo of an economy as a system of simultaneous stochastic relationships major policy institutions around the world on a day to day basis now use empirical econometric models in which cointegrated relations determine the long run outcomes his research has spawned an industry veritably opening a door to powerful ideas and procedures that many have followed and helped to extend ever since there are in excess of 2 800 citations to his joint paper on cointegration with robert engle who shared the 2003 prize in recognition of his achievements in developing methods of analysing economic time series with common trends cointegration clive granger was awarded the sveriges riksbank prize in economic science in memory of alfred nobel in october 2003 this article is a complement to frank diebold s fine appreciation of engle s contributions where volatility and factor models including common trends are addressed

why do stock prices drop by less than the value of the dividend evidence from a country without taxes abstract it is well documented that stock prices on ex dividend days drop by less than the value of the dividend on average this has commonly been attributed to the effect of tax clienteles we examine data from the hong kong stock market where neither dividends nor capital gains are taxed as in the u s the average stock price drop is less than the value of the dividend specifically the average dividend for the period 1980 1993 is hk 0 12 and the average price drop is hk 0 06 we are able to account for this both theoretically and empirically through market microstructure arguments

teacher sorting teacher quality and student composition abstract using panel data for norwegian schools we establish a two equation supply and demand model for teachers with approved education taking into account nationally determined teacher pay and a strict teacher appointment rule the data enable us to separately estimate supply and demand functions for certified teachers the results clearly indicate that the student body composition and in particular students belonging to ethnic minorities influences both teacher supply and teacher demand the implied negative relationship between excess demand for certified teachers and the share of minority students is likely to be important for teacher quality

ex dividend stock price behavior and arbitrage opportunities this paper investigates the relation between ex dividend stock price behavior and arbitrage oppor tunities in a continuous trading frictionless economy the authors demonstrate that it is possible for the ex dividend stock price drop to differ from the dividend and still short term traders cannot gene rate arbitrage profits the argument is independent of transactions c osts the relevance of this insight to estimating the marginal tax br acket based on ex dividend stock price drops is explored furthermore this insight is also applied to the area of option pricing in which the special class of escrowed dividend stock price processes is stud ied the authors show that most elements from this class of stock pri ce processes generate invalid option pricing formulas copyright 1988 by the university of chicago

female labour supply and household employment shocks maternity leave as an insurance mechanism this paper investigates the role of unpaid maternity leave in providing household insurance against paternal employment shocks the main outcome is the timing of a mothers return to work after having a child exploiting the us family and medical leave act we find that mothers eligible for maternity leave speed up their return to work in response to a paternal shock with the conditional probability of being in work 49 higher than in households with no unpaid maternity leave further evidence is provided on the insurance role of unpaid maternity leave through i no significant interaction between paid maternity leave and the paternal shock and ii smoothing of consumption effects of the shock for households covered by unpaid leave

the market valuation of cash dividends abstract this paper re examines the case of citizens utilities a firm with one class of common stock which pays stock dividends and one which pays taxable cash dividends john long s 1978 study of the two shares relative prices suggests that investors may prefer cash dividends to equal sized stock dividends this paper finds that the cash dividend share s ex day price decline is less than their dividend payment stock dividend shares fall by nearly their full dividend the disparity between ex day dividend valuation and the observed prices of the two shares is inconsistent with some explanations of the demand for cash dividends

cointegration and unit roots this paper provides an updated survey of a burgeoning literature on testing estimation and model specification in the presence of integrated variables integrated variables are a specific class of non stationary variables which seem to characterise faithfully the properties of many macroeconomic time series the analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories special emphasis is put on the empirical researcher s point of view

ex dividend day stock price behavior discreteness or tax induced clienteles abstract since prices are constrained to discrete tick multiples while dividends are essentially continuous ex day price changes will not equal dividends we argue that the expected price drop is strictly less than the dividend but within one tick of the dividend the price drop to dividend ratio will i be less than one ii increase with dividends generally and iii decline between tick multiples giving a sawtooth pattern in the data since dividends and dividend yields are highly correlated discreteness will give the impression of tax induced dividend clienteles even if there are none taxable cash dividends and nontaxable stock dividends exhibit similar ex day behavior

dividends taxes and common stock prices the ex dividend day behavior of common stock prices before the income tax this study examines the ex dividend day behavior of common stock prices before the enactment of the federal income tax on ex dividend days during the pre tax period stock prices fell on average by the full amount of the dividend the data are consistent with the hypothesis that i investors in the pre tax period value dividends and capital gains as perfect substitutes and ii the differential taxation of dividends and capital gains has since caused investors to discount the value of taxable cash dividends in relation to capital gains

tax induced trading around ex dividend days abstract this paper investigates trading volume around ex dividend days for taxable distributions cash dividends it is found that trading volume increases significantly around the ex dividend day this increase is more pronounced for high yield actively traded stocks and after brokerage commissions became negotiable the results are consistent with the hypothesis that short term traders have an impact on ex day price behavior at least for taxable distributions for non taxable distributions stock splits and stock dividends we find negative abnormal volume around ex day

what are we learning about the long run an attempt is made to link together earlier definitions of the long run found in micro and macro economics with recent developments in econometrics specifically cointegration it is suggested that the links are not strong and that most of the previou s work in econometric theory has been unnecessarily overprecise the possibility of embedding cointegration theory into a very general nonlinear theory is suggested an example uses a nonlinear relationship between u k short and long run interest rates proposed by frank paish 1966 copyright 1993 by royal economic society

school characteristics and teacher turnover assessing the role of preferences and opportunities job characteristics can affect worker turnover through their effect on utility and through their effect on outside job opportunities the aim of this study is to identify and estimate the roles of these two channels separately our method exploits information on job changes and relies on an augmented sample selection correction to illustrate our approach we use an exhaustive register of dutch primary school teachers and show a detailed picture of preferences for school characteristics we also find that the dependence between current and outside job attributes can affect turnover and thus the allocation of teachers across schools

time is money costing the impact of duration misperception in market prices abstract we explore whether and to what extent traders in a real world financial market where participants judgements are reportedly well calibrated are subject to duration misperception to achieve this we examine duration misperception in the horserace betting market we develop a two stage algorithm to predict horses winning probabilities that account for a duration related factor that is known to affect horses winning prospects the algorithm adapts survival analysis and combines it with the conditional logit model using a dataset of 4736 horseraces and the lifetime career statistics of the 53 295 horses running in these races we demonstrate that prices fail to discount fully information related to duration since a horse s last win we show that this failure is extremely costly since a betting strategy based on the predictions arising from the model shows substantial profits 932 5 percent and 16 27 percent with and without reinvestment of winnings respectively we discuss the important implications of duration neglect in the wider economy

tax reform and ex dividend day behavior this paper investigates the effect of a major canadian tax reform on the ex dividend day behavior of companies on the toronto stock exchange the results are inconsistent with the hypothesis that price changes on ex dividend days reflect the relative taxation of dividends and capital gains for the representative investor but are consistent with the hypothesis that ex dividend day price behavior reflects short term trading activities

the effect of tax heterogeneity on prices and volume around the ex dividend day evidence from the milan stock exchange to investigate the effect of taxation on stock price and trading volume around the ex dividend day we use the italian stock market where dividends on two classes of stock are taxed differently we find that the weighted average of investors tax rates is reflected in the ex day prices and the variance of the relative tax rate across investors is reflected in the volume of trades we also show that higher transaction costs result in higher ex dividend day excess returns and lower abnormal volume this finding is consistent with profit elimination activity by institutions and corporations article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

machine replacement and the business cycle lumps and bumps this paper explores investment fluctuations due to discrete changes in a plant s capital stock the resulting aggregate investment dynamics are surprisingly rich reflecting the interaction between a replacement cycle the cross sectional distribution of the age of the capital stock and an aggregate shock using plant level data lumpy investment is procyclical and more likely for older capital further the predicted path of aggregate investment that neglects vintage effects tracks actual aggregate investment reasonably well however ignoring fluctuations in the cross sectional distribution of investment vintages can yield predictable nontrivial errors in forecasting changes in aggregate investment

non linear adjustment of real wages employment and output in the uk we employ the brock dechert and scheinkman statistic to investigate non linearity in conditional mean in uk real wages employment and output and to fit threshould regression models to the series the latter porvide reasonable representations for thenon lineraity in real wages and output but the residuals from the threshold autoregressive model for employment still contain a non linear component in a forecast comparison the tar models performed better than simple autoregressions using the lagged share of wages as an error correction term we find evidence that all three series respond asymmetrically to lagged changes in wage share and other variables fore casts of real wages and employment derived from these models were superior to those derived from standard symmetric ecms

teacher pay and school productivity exploiting wage regulation abstract the impact of teacher pay on school productivity is a central concern for governments worldwide yet evidence is mixed in this paper we exploit a feature of teacher labour markets to determine the impact of teacher wages teacher wages are commonly set in a manner that results in flat wages across heterogeneous labour markets this creates an exogenous gap between the outside labour market and inside regulated wage for teachers we use the centralised wage regulation of teachers in england to examine the effect of pay on school performance we use data on over 3000 schools containing around 200 000 teachers who educate around half a million children per year we find that teachers respond to pay a ten percent shock to the wage gap between local labour market and teacher wages results in an average loss of around 2 in average school performance in the key exams taken at the end of compulsory schooling in england

the economic determinants of young people s household formation the paper derives predictions about the impact of the price of housing young adults income and parental income on the probability that a young adult in the united kingdom lives apart from his her parents it shows that the predicted effect of the price of housing is intimately related to the price elasticity of housing demand it uses longitudinal data on a cohort of britons born in 1958 surveyed in the national child development study to estimate dynamic models of first departure from the parental home and particularly to estimate the impact of housing price on the timing and destination of first departure excerpt

a dynamic model of teacher labor supply the labor supply decisions of certified elementary and high school teachers are examined using data from a general longitudinal survey a significant decrease in the teaching participation rate tak

a microstructure analysis of ex dividend stock price behavior before and after the 1984 and 1986 tax reform acts this article extends ex dividend research by explicitly modeling trading at bid and ask quotations this refinement distinguishes between buying and selling for long term investors and short term dividend capture traders it also explicitly incorporates the bid ask spread and eliminates some potential measurement errors that may bias returns marginal conditions are tested during 1983 and 1988 periods that span the 1984 and 1986 tax reform acts results for long term investors are consistent with the elimination of favorable capital gains tax rates at observed prices tax neutral short term traders cannot profit corporate dividend capture traders face profit opportunities during 1983 that disappear by 1988 copyright 1996 by university of chicago press

an examination of ex dividend day stock price movements the case of nontaxable master limited partnership distributions this study examines the unit stock price and volume behavior of master limited partnerships mlp around the ex dividend day since the dividends of mlps are not taxable to the unitholder tax based hypotheses predict no abnormal unit movements around the ex day significant positive excess returns and volume are found before the ex dividend day and significant negative excess returns are found on the ex dividend day the findings which are not significantly impacted by the tax reform act of 1986 suggest ex day stock movements are not solely a function of investor marginal tax rates or corporate trading behavior elton and gruber s 1970 findings that in 1966 67 stock prices fell on average by less than the amount of the dividend on the ex dividend date and that the ratio of the price decrease to the dividend was correlated with the dividend yield have led to the development of a tax clientele hypothesis relating to investor behavior one puzzling result from their study was the finding that the price decreases for the highest yielding securities were significantly greater than the dividends which in their analysis implied an investor clientele with negative tax rates while michaely 1989 using 1986 87 data was unable to find support for the tax clientele hypothesis across different yield groups he also documented the large price drop for the highest yielding securities michaely 1989 suggested that his results may demonstrate a preference of corporations for dividend over capital gains because of favorable tax treatment corporations receive on dividend income corporate trader hypothesis shefrin and statman 1984 however suggest that preferences for dividends over capital gains may exist for nontax reasons such as self control or a desire to segregate gains and losses the purpose of this paper is to examine the ex dividend day stock price behavior of master limited partnership mlp units during the 1985 88 period dividends from these high yielding securities are not taxable therefore support for either the tax clientele hypothesis or the corporate trader hypothesis would be found only if the average ex day price change on mlps equalled the dividend this result would also be consistent with barclay s 1987 finding that before the enactment of an income tax in 1913 even high

dividend capture in nasdaq stocks abstract we examine the importance of dividend capture trading in nasdaq stocks by testing for cross sectional relations between ex day abnormal returns and bid ask spreads throughout we find that ex day returns and spreads are positively related the relation increases across dividend yield quintiles and is strongest in high yield stocks the relation does not appear in a sample of non ex dividend days these findings indicate that dividend capture trading affects the ex day returns of at least some particularly high yield nasdaq stocks and that dividend capture trading is important for understanding ex dividend day returns

the effect of educational attainment on welfare dependence evidence from canada abstract the impact of educational attainment on the duration of welfare spells is analysed using a unique data set derived from the administration of the social assistance program in canada over the period 1986 1993 the empirical analysis includes controls for demographic characteristics program parameters labour market conditions and unobserved individual characteristics it is found that that educational attainment has a much greater impact on the welfare exit rate for women than for men additionally the welfare exit rate for women is more sensitive to family status and program benefits but less sensitive to the unemployment rate relative to that for men

the dynamics of teacher quality abstract an extensive literature finds that while teachers vary considerably in initial quality there are limited teacher quality dynamics except for the first few years of teaching teacher quality does not improve over the course of a teacher s career this study evaluates the importance of various modeling restrictions to the key findings of this literature using data covering all 5th grade public school teachers from the state of north carolina i replicate the findings of the previous literature using their restrictive experience assumptions however using an unrestricted experience model i find that for mathematics achievement there are high returns to later career teaching experience about twice as much dispersion in initial teacher quality as previously estimated and a pattern of negative selection where high quality teachers are more likely to exit

does it pay to pay teachers more evidence from texas abstract this study presents robust evidence on the relationship between teacher pay and turnover using detailed panel data from texas while controlling for changes in district and local labor market characteristics i estimate an overall turnover elasticity of 1 4 and show that the effect is largest for inexperienced teachers declines with experience and disappears around 19 years of experience combining these results with what we know about the relationship between teacher value added and experience i show that paying teachers more improves student achievement through higher retention rates the results also suggest that adopting a flat salary schedule may be a cheap way to improve student performance i find no evidence that pay effects vary by the teacher s gender or subject taught

teacher mobility and merit pay evidence from a voluntary public award program abstract this paper analyzes the effect on teacher mobility of a program that rewards excellence in teaching practices in chile successful applicants receive a 6 annual wage increase for up to 10 years and an award that publicly recognizes their excellence the paper uses a regression discontinuity design to identify the causal effect of the public merit award the program does not alter transitions out of teaching however it increases the mobility of awardees within the school system this is consistent with the program providing a credible public signal of teacher quality

recruiting and retaining teachers in the uk an analysis of graduate occupation choice from the 1960s to the 1990s this paper examines the market for teachers in the uk from 1960 to 2002 using six graduate cohort data sets we find that while there is no strong evidence that teachers are underpaid the relative wages in teaching compared with alternative professions have a significant impact on the likelihood of graduates choosing to teach this wage effect is strongest at times of low relative teachers wages or following a period of decline in those wages it is also strongest for those individuals who have more recently graduated and for men

rockets and feathers revisited an international comparison on european gasoline markets this paper re examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline relative to the previous literature the distinguishing features of the present paper are i use of updated and comparable data to carry out an international comparison of gasoline markets ii two stage modeling of the transmission of oil price shocks to gasoline prices first refinery stage and second distribution stage in order to assess possible asymmetries at either one or both stages iii use of asymmetric error correction models to distinguish between asymmetries that arise from short run deviations in input prices and from the speed at which the gasoline price reverts to its long run level iv explicit possibly asymmetric role of the exchange rate as crude oil is paid for in dollars whereas gasoline sells for different sums of national currencies v bootstrapping of f tests of asymmetries in order to overcome the lowpower problem of conventional testing procedures in contrast to several previous findings the results generally point to widespread differences in both adjustment speeds and short run responses when input prices rise or fall

compensation policies and teacher decisions a dynamic discrete choice framework with a flexible structure for unobserved heterogeneity is used to model the occupational decisions of individuals who are certified to teach in elementary and secondary schools the model is estimated using data from the national longitudinal study of the high school class of 1972 and is used to examine the effects of possible changes in the compensation policy for teachers

consolidation by merger the uk beer market this paper examines the determinants of market structure in the uk brewing industry over 1949 1969 sutton sunk costs and market structure price competition advertising and the evolution of concentration 1991 points to technology and advertising races as two key drivers of market concentration this study uses an own built longitudinal data set of the population of firms and breweries and reveals the importance of institutional factors in explaining the dynamics of market structure the practice of tying outlets to brewers and legal restrictions on opening retail outlets together with a permissive policy towards mergers made acquisition of medium sized firms and brewery closure shortly after acquisition the main driving mechanism towards industry consolidation during this period the number of firms and plants fell sharply by 74 and 60 respectively and production rose by about 25 with no firm entry and just one new brewery opening as a result concentration increased and the market transformed from a highly fragmented one into a stable oligopoly

offshoring the nature of tasks and occupational stability empirical evidence for germany using a large administrative data set of individual employment histories for germany this paper studies the relationship between offshoring and the individual risk of leaving the occupation moreover a rich data set on tasks performed in occupations is used to better characterise the sources of worker vulnerability both material and service offshoring are on average not associated with an increase in occupational outflow rates however this association depends on the nature of tasks performed in the occupation higher intensities of interactive and in particular non routine tasks are associated with a larger decrease or a smaller increase in the occupational hazard rate