settlement tax and non synchronous effects in the basis of u k stock index futures abstract the basis in stock index futures markets is analytically and empirically studied in this paper within a no arbitrage cost of carry framework explanatory power improved when the implications of the u k stock exchange settlement system were introduced into the modelling process and until recently with the maturity of the market evidence indicating the presence of non synchronicities between the cash and futures markets was found strong evidence for tax effects upon the basis was not found to be present in the data analysed statistically significant relationships between basis mispricing and volume and volatility were found

trading and valuing depreciable assets abstract optimal policies for selling a risky depreciable asset with proportional taxes and transaction costs are derived for a representative investor who maximizes the market value of his investment also calculated are the market value of his investment and the competitive price of the depreciable asset depending upon the values of various parameters the investor realizes either capital gains and no losses capital losses and no gains or neither gains nor losses additional properties of the solution are derived numerically

return seasonality in stocks and their underlying assets tax loss selling versus information explanations results of tests contrasting tax loss selling with intertemporal information variation as explanations of the january seasonal in stock returns are reported closed end fund shares display the typical size related january seasonal while their net asset values do not interpreting the net asset value return as a proxy for information about underlying assets this result indicates information variation is not a necessary condition for the january effect in stocks the share returns at the turn of the year are negatively related to their mean preceding year returns and positively related to the standard deviations of their preceding year returns these results are consistent with tax loss selling article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

extent and types of small scale wind policies in the u s states adoption and effectiveness abstract renewable energy sources including wind are increasingly promoted by u s state governments using state level data and survey responses from energy officials in 44 states this study catalogs the extent and types of small wind policies adopted by states it examines the factors correlated with policy adoption and perceptions about which policy tools are most effective results indicate that 84 of the states participating in the survey have adopted at least one policy to promote small wind technologies and most have adopted several policies the most frequent policy is net metering and this policy tool was also perceived to be one of the most effective at encouraging businesses and consumers to install small wind technologies however several other policy tools perceived to be most effective at promoting small wind installations have been adopted by relatively few states this identified gap suggests opportunities for improving policy effectiveness in explaining factors associated with adoption of policy tools we find support for variables comprising both the policy diffusion and internal determinants models of policy adoption including state commitment to environmental protection and policy innovations citizen ideology per capita wealth energy policy network communications and desire to be viewed as an environmental leader

the wage and employment effects of the americans with disabilities act the americans with disabilities act of 1990 ada is analyzed in terms of its effects on the employment and wages of disabled men using data from the survey of income and program participation the results indicate that as early as 1990 employment rates of men with disabilities decreased dramatically and continued to decrease through the beginning of 1995 on average over the post ada period employment of men with disabilities was 7 2 percentage points lower than before the act was passed in addition wages of disabled men did not change with the passage of the ada

environmental constituent interest green electricity policies and legislative voting abstract research in political economy has traditionally sought to disentangle the effects of legislative ideology and constituent interest in explaining policy decisions frequently proxy variables are used to measure constituent interest however these measures do not adequately reflect true constituent interest which is based upon the costs and benefits of the policies under consideration incorporating the scope of the policies using haiku a detailed model of the us electricity sector and taf an integrated assessment model of pollution pathways and valuation i construct economic measures of constituent interest at the state level as well as for federal policy i then use these measures to analyze state adoption of more stringent green electricity policies and congressional roll call voting on federal environmental policy previous studies that use proxy measures of constituent interest typically find that the legislator ideology matters more while my study shows that both ideology and constituent interest are significant factors

information sophistication and foreign versus domestic investors performance abstract using an intraday transaction dataset with trader identity we study foreign and domestic investors trading activities and investment performance ahead of open ending events of taiwanese closed end funds simply buying the funds at a discount and holding until open ending generates large abnormal returns all information required to execute this strategy is made public so the events set up natural experiments to examine how investors trade holding constant access to information foreign investors are net buyers ahead of the open endings more than doubling their positions and earning large abnormal returns domestic investors are net sellers while the discounts are still large and forego large abnormal returns the results suggest that investor sophistication in interpreting the same information is potentially an important determinant of investment performance differences across foreign and domestic investors

a theory of wage dynamics a dynamic equilibrium model of long term implicit labour contracts under incomplete but symmetric information is developed workers are assumed to be risk averse and of unknown ability or productivity risk neutral firms learn as do workers about each worker s productivity by observing the worker s output over time it is shown that equilibrium contracts provide for wages which never decline with age and increase only when the worker s market value increases above his current wage in addition to characterizing the equilibrium wage contract we also derive some of its implications for the behaviour of aggregate wages across various groups of workers these implications explain some findings in the recent empirical literature on ageearnings profiles in particular our model can explain why earnings may be positively related to experience even after controlling for productivity as some empirical studies have indicated

accounting for recent declines in employment rates among working aged men and women with disabilities during the 1990s while overall employment rates for working aged men and women either remained roughly constant men or rose women employment rates for people with disabilities fell during the same period the fraction of the working aged population receiving social security disability insurance di benefits increased quite dramatically we present simple time series and cross state evidence suggesting that the growth in the di program can account for much of the decline in the relative employment position of men and women with disabilities

abnormal returns from merger profiles several studies indicate the presence of large abnormal returns accruing to shareholders of merged firms in the period immediately before the merger for example mandelker 18 reports that stockholders of acquired firms earn abnormal returns of approximately 14 percent in the seven months preceding merger franks broyles and hecht 15 find abnormal returns of 26 percent for british firms during the four months prior to merger elgers and clark 11 report 43 percent abnormal returns accruing over two years before merger to shareholders of acquired firms

optimal trading with mean reverting prices switching between foreign stocks and closed end country funds we develop a model based on options theory which shows the optimal trading strategy for switching between two similar assets when the difference in their prices is mean reverting statistical tests indicate that most closed end country funds discounts are mean reverting using empirical estimates of the volatility and rate of mean reversion of these funds we derive the optimal switch points and simulate the trading profits associated with switching between country funds and their foreign equities and vice versa whenever the optimal switch points are reached

is the choice of renewable portfolio standards random this study investigated factors influencing the adoption or intention to adopt renewable portfolio standards rps by individual states in the united states u s theory of adoption of innovation was applied as a conceptual framework a logistic model was used to achieve the task gross state product gsp growth rate of population grp political party dominancy education level natural resources expenditure and share of coal in electricity generation were used as explanatory variables results indicated that the model predicts the dependent variable state s choice of adopting or not adopting rps 82 times correctly out of 100 results also suggested that education followed by political party dominancy gsp and grp are shown to have large impacts on the probability of rps adoption

investigating household purchase timing decisions a conditional hazard function approach the purchase timing decision is an important component of the dynamics of a household s purchase behavior this decision is influenced by marketing and other variables and the modeling of this dependence has recently received attention in the literature in this paper we build on previous studies and develop a comprehensive stochastic model that incorporates the major factors influencing interpurchase times specifically we use a generalized version of cox s proportional hazard model to test among competing probability distributions for the interpurchase times while incorporating effects due to marketing variables observed household characteristics and unobserved heterogeneity across households the empirical finding from analyzing the iri coffee data suggests that the interpurchase times cannot be adequately described by probability distributions such as exponential erlang 2 or weibull the effects of unobserved heterogeneity are significant and they impact the estimates of the effects of the covariates we also find that a nonparametric procedure for estimating the effects of unobserved heterogeneity provides the best overall fit to the data and yields covariate estimates that are more consistent with prior expectations our model is validated by replicating the substantive empirical findings on an additional product category

adoption of green electricity policies investigating the role of environmental attitudes via big data driven search queries despite the rising influence of public opinion on government energy policy formulation and implementation the roles of pro and or anti environmental attitudes among residents have not been empirically examined to quantify time varying environmental attitudes among local residents we exploit geo specific google search query data derived from internet based big data and verify through ordinary least squares regression outcomes regarding environmental behavior for the purpose of drawing policy implications we revisit decisions by state governments of the united states to adopt three well known green electricity policies renewable energy portfolio net metering rules and public benefit funds as some states have not yet adopted some or any of these policies unlike previous studies we handle the issue by examining right censored data and applying a duration based econometric method called the accelerated failure time model we found state residents environmental attitudes to have statistically significant roles after controlling for other traditional time varying policy adoption factors interestingly the extent to which anti environmental attitudes affect a state s policy adoption differs across green energy policies and knowing this can help a local government formulate better tailored environmental policy in particular researchers can use our method of incorporating citizens environmental attitudes to discuss relevant issues in the field of energy policy

tax managed factor strategies we examine the tax efficiency of an indexing strategy and six factor tilts between june 1995 and march 2018 average value added by tax management exceeded 1 50 per year at a 10 year horizon for

closed end fund shares abnormal returns and the information content of discounts and premiums closed end funds discounts contain information in the sense that they can be used to construct portfolios that earn returns exceeding those predicted by the two factor capital asset pricing model the precise nature of the information contained in a discount is not clear however this paper provides evidence that the information contained in a discount is an incomplete prediction of the fund s likelihood of being open ended profitably thompson 18 investigated the extent to which closed end funds share price discounts and premiums relative to net asset value convey useable information about future rates of return on the funds shares he found that an ad hoc strategy of investing in portfolios of stocks selling at discounts significantly outperformed the returns predicted by the black 3 two factor asset pricing model in other words closed end fund discounts and premiums do contain information about future returns in addition to that captured by the benchmark model the precise nature of the information contained in the discounts and premiums is a mystery however this paper presents and tests a model of the information content of closedend fund discounts and premiums based upon the prospects for a form of organizational restructuring known as open ending the term open ending refers to a set of techniques for forcing a closed end fund s share price to its traditionally higher net asset value converting the fund to an open end fund merging the fund with an open end fund or liquidating the fund s assets and distributing the proceeds to the shareholders while both brauer 4 and brickley and schallheim 5 have shown that actual open endings involve significant benefits to shareholders the focus of this paper is on the valuation effects of the potential for open ending the analysis shows that the probability of profitably open ending a fund should affect the fund s market value that the discount is only one element in a larger information structure about the probability of openending and that changes in this probability are not fully and immediately reflected in the share price section i introduces a straightforward model of the effect of open ending potential on closed end fund value the model provides a compact expression for

managerial ability compensation and the closed end fund discount this paper shows that the existence of managerial ability combined with the labor contract prevalent in the industry implies that the closed end fund discount should exhibit many of the primary features documented in the literature we evaluate the model s ability to match the quantitative features of the data and find that it does well although there is some observed behavior that remains to be explained the role of delegated portfolio managers in financial markets has puzzled

optimal stock trading with personal taxes implications for prices and the abnormal january returns abstract the tax law confers upon the investor a timing option to realize capital losses and defer capital gains with the tax rate on long term gains and losses being about half the short term rate the law provides a second timing option to realize losses short term and gains long term if at all our theory and simulation over the 1962 1977 period establish that taxable investors should realize long term gains in high variance stocks and repurchase stock in order to realize potential future losses short term tax trading does not explain the small firm anomaly but predicts a seasonal pattern in trading volume which maps into a seasonal pattern in stock prices the january anomaly only if investors are irrational or ignorant of the price seasonality

the incidence of mandated maternity benefits i consider the labor market effects of mandates which raise the costs of employing a demographically identifiable group the efficiency of these policies will be largely dependent on the extent to which their costs are shifted to group specific wages i study several state and federal mandates which stipulated that childbirth be covered comprehensively in health insurance plans raising the relative cost of insuring women of childbearing age i find substantial shifting of the costs of these mandates to the wages of the targeted group correspondingly i find little effect on total labor input for that group jel 118 j32 h51 in an era of tight fiscal budget constraints mandating employer provision of workplace benefits to employees is an attractive means for a government to finance its policy agenda consequently in recent years there has been a growth of interest in mandated benefits as a tool of social policy for example the centerpiece of president bill clinton s health care proposal is mandated employer provision of health insurance and more than 20 states have man

career concerns of mutual fund managers we examine the labor market for mutual fund managers using data from 1992 1994 we find that termination is more performance sensitive for younger managers we identify possible implicit incentives created by the termination performance relationship the shape of the termination performance relationship may give younger managers an incentive to avoid unsystematic risk direct effects of portfolio composition may also give younger managers an incentive to herd into popular sectors consistent with these incentives we find that younger managers hold less unsystematic risk and have more conventional portfolios promotion incentives and market responses to managerial turnover are also studied

an empirical investigation of the dynamic mcfadden model of purchase timing and brand choice implications for market structure purchase timing and brand choice decisions of households are jointly investigated using the dynamic mcfadden model of heckman and singer the hazard of brand purchase is decomposed into the category purchase hazard and the probability of brand choice conditional on category purchase the former is modeled using the hazard function approach and the latter using a logit model unobserved heterogeneity in brand preferences marketing effects and baseline hazard parameters is accounted for in the empirical analysis the distribution of preference heterogeneity identifies the locations of brands in multiattribute perceptual space and the distribution of attribute importance weights across households

the optimal trading and pricing of securities with asymmetric capital gains taxes and transaction costs this article explores the optimal trading and pricing of taxable securities with asymmetric capital gains taxes and transaction costs in the long term region investors realize all gains below some critical cutoff level which we derive analytically in the short term region investors defer all gains and depending upon the time remaining in the short term region may also defer small losses contrary to common intuition deferral of short term losses can be optimal even without transaction costs the value of tax timing is considerably bigger under the optimal trading strategy than under alternative strategies previously analyzed the impact of offset rules is also explored article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

rewarding trading skills without inducing gambling this paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and attract more funds we show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are impatient their trading skills are scalable and generate higher prot per unit of risk we study investment management contracts that deter this behavior if investors are short lived then the manager must leave rents to investors in order to credibly commit not to gamble if investors are long lived contracts that increase but defer expected bonuses after an outstanding performance implement the rstbest our model can explain a number of observed dierences

identifying the effects of the americans with disabilities act using state law variation preliminary evidence on educational participation effects congress passed the americans with disabilities act of 1990 ada with an unusual degree of political consensus and popular support the ada broadly prohibits discrimination on the basis of disability in employment and other settings given the breadth of the political support for the ada it was perhaps surprising to find early evidence that the law actually worsened rather than improved employment prospects for individuals with disabilities a m gamboa 1995 subsequent papers have closely examined the question of the employment effects of the ada reaching varying conclusions thomas deleire 2000 and daron acemoglu and joshua angrist 2001 some of the earliest papers in what has become a substantial literature offer significant evidence of disabled employment declines resulting from the ada s enactment other authors however have questioned whether the decline in disabled employment in the years following the ada s enactment was actually a consequence of the law or whether instead the decline resulted from other contemporaneous factors such as changes in federal disability benefits levels or changes in health status e g john bound and timothy waidmann 2002 douglas kruse and lisa schur 2003 variation in state level employment discrimination regimes for individuals with disabilities in the period before the ada s enactment provides a helpful means of cutting through the existing thicket and identifying more credibly the effects of the ada on outcomes in terms of both employment and my focus here decisions about educational investments prior to the ada s enactment some states had employment discrimination regimes that closely mirrored the ada in both requiring employers to avoid disability based discrimination in hiring firing and terms and conditions of employment and requiring employers to provide reasonable accommodations such as assistive technology or changes in workplace structures to individuals with disabilities see table 1 column 1 another group of states tracked the ada in prohibiting disability based discrimination in hiring firing and terms and conditions of employment but did not require reasonable accommodations table 1 column 2 a third group of states imposed no limits whatever on the treatment of disabled employees in the preada period table 1 column 3 with respect to the ada s employment effects this state law variation permits inquiry into the relationship between the impact of the ada s employment discrimination provisions on disabled employment and the degree to which these provisions were actually a legal innovation in a given state if disabled employment effects are significantly correlated with the degree to which the employment discrimination provisions of the ada were an innovation in a given state then nonada changes around the time of the ada s passage such as changes in federal disability benefits or health status may not be the best explanations for declining disabled employment after the ada in fact the degree to which the ada s employment discrimination provisions were an innovation relative to pre ada state law is closely connected to the degree to which

trendy solutions why do states adopt sustainable energy portfolio standards abstract thirty four states had adopted sustainable energy portfolio standards seps or similar goals by the end of 2008 with 14 adoptions since 2006 there appears to be something trendy about seps and states may adopt seps when internal variables would indicate otherwise this analysis extends the current discussion of seps adoption beyond internal variables relying on innovation and diffusion theory logistic regression with seps adoption as the dependent variable is used to test internal determinants and diffusion measures for the years 1997 2008 of the internal determinants variables affluence and government ideology were found to be positive and significant the results show that regional and neighbor diffusion variables are significant in seps adoption decisions even when accounting for ideological distance from previous adopters

capital immobility and the reach for yield abstract i build a model in which financial intermediation slows down capital flows investors optimally learn from intermediary performance to allocate capital toward profitable intermediaries intermediaries reach for yield i e they invest in high tail risk assets in an attempt to drive flows and reduce liquidation risk intermediaries with strong opportunities face a trade off between choosing a portfolio that maximizes profitability and choosing one that maximizes the speed at which capital flows in equilibrium reaching for yield is stronger among intermediaries with weak opportunities resulting in a reduction in the informativeness of performance investors thus take longer to learn and capital flows become less responsive to performance capital becomes slow moving because the reach for yield dampens learning the model predicts capital immobility to be stronger when tail risk is high when tail risk is under priced and in asset classes with large cross sectional variation in tail risk exposures