the gender wage gap in three african countries this study examined the size and determinants of the gender wage gap in ethiopia uganda and the ivory coast the analysis includes decomposition of wage differences and sector decomposition by gender using oaxaca and neumark methods data were obtained from the 1990 survey of adolescent fertility reproductive behavior and employment status of youth in urban ethiopia the 1985 1986 and 1987 ivory coast living standards surveys and the 1992 integrated survey of uganda the samples were restricted to urban population the sample population was aged 15 59 in the ivory coast and uganda and 15 30 years in ethiopia the analysis focused on uncorrected estimates index problems that were encountered in uganda suggest caution in drawing inferences decomposition varied widely across the 3 countries there were substantial gender wage differences in uganda and ethiopia which are attributed to wage generating characteristics neumark interpretations suggest that favoritism of men and discrimination against women were equally important in ethiopia while discrimination against women was key in uganda gaps by sector were wider in the private sector in ethiopia comparable in uganda and wider in the public sector in the ivory coast the processes that accounted for sector wage gaps by gender varied between countries the wage gap appears narrower in descriptive statistics which shows that women were overrepresented in the better paid public sector the gender gaps in ethiopia and ivory coast would be 17 and 20 greater respectively if men and women were equally allocated by sector in uganda sector equity would increase the gap by 5

program trading and expiration day effects the arbitrage between index futures and the underlying cash index and the cash settlement feature of index futures contracts which requires arbitrageurs to unwind positions in the stock market are thought to be at the heart of the abnormal stock price movements during the triple witching hour the last hour of trading on days on which index futures index options and options on index futures expire simultaneously during 1984 and 1985 volume was substantially higher than normal in the last hour of trading on those quarterly fridays open interest in the expiring futures contracts on the expiration day amounted to about 40 per cent of the average month end open interest the incremental stock market volume however was approximately one third the volume that would be inmplied if the entire expiration day open interest were traded in the stock market analysis of stock market price changes in the last hour of expiration days and the first halfhour of the following day indicates that the volatility of price changes was significantly higher on expiration days with the stock market tending to fall stocks not in the sp index option expirations themselves did not lead to abnormal market movements when the magnitude of price effects was measured by the degree of reversal in prices on the morning after the expiration day the average magnitude of the price effect in the 10 most recent quarterly futures contract expirations examined was about 0 4 per cent of the closing index value at expiration the average expiration day price effect of 0 4 per cent is not large considering that a price impact of approximately 0 25 per cent of the value of the transaction can be expected on the basis of the bid ask spread once this market impact cost is drawn out the average expiration day price impact falls to about 0 15 per cent of the value of the transaction an amount representing the additional cost of liquidity furthermore price impacts in excess of those found on expiration days are frequently encountered in large block transactions where the cost of providing liquidity also increases on expiration days however transactions in many stocks occur simultaneously so the market as a whole is affected

put call parity and expected returns this study examines the hypothesis that in the presence of market frictions relative put and call prices contain information concerning future returns of the underlying asset a measure of relative prices is derived from the put call parity relationship for index options and applied to a three year sample of oex option transactions the results show that the measure of relative index option prices leads the stock market by at least 15 minutes

option listing and stock returns abstract this article examines the effect of option introductions on the underlying stocks in addition to the price increase and volatility decrease that take place when new options are listed we obtain and explain the following new empirical results i an increase in the value of the market around the listing dates of new options ii an increase in the value of an industry index which excludes the optioned stocks iii the dissipation of the price and volatility effects in recent periods and iv the existence of an announcement effect in one subperiod of our sample and its dissipation in recent periods

why males earn more location and training of brazilian schoolteachers the persistence of a substantial differential between the wages of men and women is a continuing source of interest to economists the fact that much of the differential is not easily explained is perplexing to those who believe that labor markets function reasonably well there is a large literature concerned with explaining what appear to be other anomalies of labor markets in poor countries dealing with geographical segmentation the formal versus the informal sector and the public versus the private sector 1 little however has been written on female employment and on male female wage differentials in poor countries in this analysis we examine the income differential between male and female schoolteachers in brazil using information on their income hours of work educational background and other characteristics from a 1 sample of the 1970 brazil census the issues arising from use of income rather than wage are discussed below data on wage rates were not available the income differential is substantial the mean income of female teachers in brazil is less than one half the mean for men we are particularly concerned with isolating the contribution to the differential of two factors often ignored in similar studies the locational distribution of male and female teachers and differences between males and females in job position due to differences in the types of job training they have pursued both factors appear to favor males location because males are more highly concentrated in highincome regions and because interregional income differences in brazil are substantial possibly reflecting geographical segmentation and job position because males are much more likely to hold secondary school positions rather than primary school positions and there is a substantial income premium associated with secondary school positions by restricting our study to one occupation schoolteachers for whom we have extensive education data we can study carefully the effects of

jump risks and the intertemporal capital asset pricing model the specification of the stochastic process for stock prices is an important assumption underlying most equilibrium and option pricing models in modern finance this is particularly true of the continuous time capital asset pricing models where it is assumed that asset prices follow diffusion processes with continuous sample paths see merton 1973a breeden 1979 grossman and shiller 1982 the extent to which the implications of these models generalize to discontinuous sample paths is an unanswered question in theoretical finance however the answer to this question is of more than just theoretical interest since accumulated empirical evidence appears to be inconsistent with the continuous sample path assumption see rosenberg 1972 oldfield rogalski and jarrow 1977 rosenfeld 1982 one purpose of this paper is to provide some answers to this question we do this by extending merton s 1973a intertemporal asset pricing model in the special case of a constant investment opportunity set to include discontinuous sample paths for asset prices the constant investment opportunity set assumption is imposed because we are interested in obtaining sufficient conditions under which an instantaneous capital asset pricing model capm results the extension of our model to a stochastic opportunity set is discussed briefly in the text this paper investigates an economy where stock prices follow a jump diffusion process the first part of the analysis derives a sufficient condition under which an instantaneous capm will characterize equilibrium expected returns the sufficient condition is that the jump component of a stock s return must be unsystematic and diversifiable in the market portfolio the second part of the paper is an empirical investigation of the satisfaction of this condition the evidence is seen to be inconsistent with the satisfaction of this hypothesis that is the market portfolio appears to contain a jump component

the duality of a dynamic model of equilibrium and an optimal growth model the heterogeneous capital goods case the equivalence between optimal growth solutions and solutions of decentralized models of intertemporal allocation is explored in a one consumer heterogeneous capital goods framework the decentralized economy follows a perfect foresight path the main result is that the decentralized economy will impose on itself a transversality condition this yields the interpretation of equilibrium prices as prices consistent with a certainty version of the efficient markets hypothesis the results rest on the recent contribution by benveniste and scheinkman providing sufficient conditions for infinite horizon concave programs to exhibit capital value transversality as a necessary condition for optimality

forward exchange futures trading and spot price variability a general equilibrium approach we investigate the effect of opening a forward or futures market on spot price or real exchange rate variability in a two agent two good two state general equilibrium model we derive a linear approximation to the change in spot price variability which results from opening such a market this is shown to depend upon such familiar parameters as substitution elasticities marginal propensities to consume and degrees of risk aversion our analysis highlights the importance of the income transfers which occur as a result of capital gains and losses in the forward market we find that there is some presumption in favor of the view that opening a forward market reduces spot price variability the presumption is strengthened the less risk averse are agents the central issue addressed in this paper has long been a subject for debate both practical and academic it concerns the effect of forward and futures trading on the stability of spot prices in the markets for both foreign exchange and for commodities in the real world this issue is of obvious importance some active futures markets have been closed on the grounds of their alleged destabilizing effects on prices 2 thus it is no surprise that this topic has been the subject of extensive empirical research 3 recently moreover a number of theoretical studies on this topic have appeared see peck 1976 turnovsky 1979 1983 sarris 1980 kawai 1983a 1983b 1984 and turnovsky and campbell 1985 the existing studies without exception adopt a partial equilibrium approach as a general consequence of this therefore these studies ignore completely any income effects generated by the creation of forward and futures markets the present paper in contrast takes a general equilibrium approach in order to analyze the question in the context of markets where income effects can be expected to play a significant role we shall argue in section 2 that forward and futures transactions in foreign exchange and in agricultural output may be thought of as dealing in futures contracts for broad commodity aggregates income effects which appear in the spot markets for such aggregates affect futures transactions significantly in order to analyze such general equilibrium effects we develop a rational expectations model with futures and spot markets the effect of opening a forward or futures market is isolated by comparing equilibria in our futures spot market model when the futures market is open and when it is closed the difference

mean variance theory in complete markets two paradigms in the pricing of risky assets are the complete markets model of arrow and debreu and mean variance pricing as embodied in the capital asset pricing model capm the former is primarily of theoretical interest in fact prior to the recent work of banz and miller 1978 and breeden and litzenberger 1978 there was little thought or hope of practical applications on the other hand the hegemony of the capm is due mostly to its apparent ease of applicability and to a lesser extent its empirical justification in a competitive market with no taxes transactions costs or institutional constraints on portfolio holdings the allocation of the available assets will be pareto optimal the end of period distribution of wealth or the consumption goods however will typically be pareto optimal only when there is available an arrow debreu security for each contingency since by definition a pareto superior reallocation is weakly preferred by all investors a complete set of arrow debreu markets should naturally arise provided they are not too costly to establish the complete markets model of arrow and debreu and the meanvariance capital asset pricing model capm are two paradigms of risky asset markets this paper provides an integration of these two theories we prove that the standard meanvariance separation theorem obtains in a complete market only if all investors have quadratic utility in addition the familiar capm pricing relation can hold for all assets in a complete market only if arbitrage opportunities exist on the positive side we show that the validity of this relation for the primary assets in a complete market is unaffected by the distribution of returns on the created financial assets

male female wage differentials in taiwan a human capital approach during the past 3 decades male female wage differentials have attracted much attention in all countries for which there are data the usual approach is to decompose gender wage differentials into two parts one attributable to an individual s characteristics holding reward structure constant and the other attributable to a different reward structure holding characteristics constant the latter part is usually defined to represent discrimination using this approach with data from the 1967 survey of economic opportunity ronald oaxaca found 80 of the observed gender wage differential to be ascribed to labor market discrimination mary corcoran and greg j duncan using the panel study of income dynamics which provides detailed work histories found a 56 discrimination figure implying that productivityrelated characteristics accounted for 44 of the observed male female wage differentials because of inherent biases particularly with regard to measuring human capital solomon w polachek proposed an alternative way to determine one s characteristics 2 he measured expected human capital then embedded this measure in a wage regression on pooled male and female data over 90 of the male female earnings gap was explained by gender differences in human capital claudia goldin and polachek applied polachek s technique to the 1980 u s census data and accounted for about 80 of the male female earnings gap

from farashia to military uniform male female wage differentials in libya introduction discrimination against females has been the subject of hundreds of studies in the west especially in the united states there are only a few studies of note conducted in the less developed world however although the methodology employed in estimating the earnings equations varies from study to study most studies follow a common method of decomposing the earnings differential into a part attributed to different endowments or the explained part and a residual or an unexplained part usually taken to measure discrimination a collection of papers edited by g psacharopoulos and z tzannatos brings to attention the analysis of 15 different latin american countries the unexplained part of the differential in these studies ranges from 22 9 in colombia to 95 in venezuela other studies include that of l christofides and p pashardes who attribute 60 of the male female earnings gap in cyprus to the explained part while b cohen and w house s explained part is 63 for khartoum sudan and m schafgans s is 27 for malaysia in the case of taiwan only 16 of the wage differential is attributed to discrimination while for guinea this percentage is 75 for the public sector and 55 for the self employed sector in three other african countries a significant proportion of the wage gap is unexplained but due to the use of a different methodology it is not strictly comparable with the other studies there are a few other studies in the developing world cited in the work by g r arabsheibani the arab world however has been neglected almost com

the price effect of option introduction this paper examines the price effect of option introduction from 1974 to 1980 the introduction of individual options causes a permanent price increase in the underlying security beginning approximately three days before introduction the price effect appears to be associated with introduction and not announcement throughout the sample period excess returns volatility declines with option introduction systematic risk is unchanged there is a positive relation between the price increase and a measure of activity in the options market copyright 1989 by american finance association

stock and option markets the swiss evidence abstract the interactions between the markets for options and underlying shares are examined for switzerland three topics are investigated first the introduction of traded options in the spring of 1988 lead to a permanent and significant increase in the prices of the underlying shares and a reduction in the volatility of returns second price changes on the stock and options markets are positively related during trading on the exchanges the evidence suggests that the stock leads the options market by about ten minutes some feedback is also present third the stochastic characteristics of stock returns are not affected by the expiration of options

a general equilibrium analysis of option and stock market interactions the traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations this paper demonstrates that when the market is incomplete primary and derivative asset markets generically interact the valuation of derivative and primary security prices depend on the contractual characteristics of the derivative assets available in a version of the mossin mean variance model the authors analyze an equilibrium in which a call option derivative asset is traded and the equilibrium stock price primary asset increases when the options market is opened copyright 1991 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

relative informational efficiency of cash futures and options markets the case of an emerging market we study the lead lag relationships among the spot futures and options markets on hong kong s hang seng index hsi the young options market experiences thin trading and the option returns lag the cash index returns the more mature futures market experiences active trading yet its lead over the cash index appears to be less than the counterparts in other countries a possible reason is the dominance of a few major stocks in the index and these stocks have symmetric lead lag relations with the futures furthermore the informativeness of the non lasting futures and options quotations seems to depend on the market maturity 2001 elsevier science b v all rights reserved

rational expectations and the theory of aggregate investment abstract this paper shows that net aggregate investment satisfies a modified acceleration principle in a neoclassical economy with rational expectations net aggregate investment depends mostly on changes in net national income and in some cases it is also influenced by changes in aggregate consumption

labor market discrimination against hispanic and black men h ispanic american men have lower average wage rates than white non hispanics in 1975 the average white non hispanic male wage earner in the united states earned 5 97 an hour mexican men earned 4 31 72 as much as white non hispanics puerto rican men earned 4 52 76 as much and cuban men earned 5 33 89 as much as white non hispanics by way of comparison black men s average wages in 1975 were 4 65 78 of the white male wage several possible reasons for the hispanics lower wages come to mind among them are age and education geographic location immigration language difficulties and discrimination for example as shown in table 1 mexicans and puerto ricans are younger on average than the white non hispanic population and earnings tend to rise with age hispanics have lower average levels of education than white non hispanics and wages are positively associated with education many mexican americans live in the southwest where prices are relatively low moreover hispanics are more likely to be recent immigrants and to lack fluency in english than white non hispanics and so to be at a disadvantage in the labor market in addition there is a widespread belief that hispanics suffer from employment discrimination and cannot obtain the wages that their human capital would command if they were non hispanic whites how much of the wage differentials described above are due to each of these factors and to other inter group differences in wage related characteristics in particular how much impact does labor market discrimination have on the average hispanic man s wage and how does this compare with discrimination against blacks this paper provides answers to these questions a few other efforts have been made to analyze the relative earnings of hispanic and white nonhispanic men using 1960 and 1970 census data fogel 1966 poston and alvirez 1973 poston alvirez and tienda 1976 long 1977 and gwartney and long 1978 we use more recent data from the 1976 survey of income and education this data set enables us to measure wage rates more accurately and to specify the wage function more completely than does the census unlike previous analysts in estimating the wage function we take account of possible selectivity bias due to the distinction between average wage offers and average observed wages thus we hope to obtain a more accurate and up to date measure of labor market discrimination against hispanic men section ii explains the method used to separate the minority white non hispanic wage differential into the portions due to differences in average characteristics and the portion due to differences in unobserved factors and discrimination taking into account the possibility of selectivity bias in the observed wage sample section iii describes the data used in the study and the specification of the wage equation the breakdown of the observed wage differentials into components due to differences in participation in the wage and salary sector local price levels average characteristics and discrimination are presented in section iv section v summarizes our findings and discusses their implications for efforts to improve the economic situation of hispanics in the united states

on the valuation of american call options on stocks with known dividends both the roll and the geske equations for the valuation of the american call option on a stock with known dividends are incorrectly specified this note presents the corrected valuation formula explains the misspecifications and provides a numerical example

spanning and completeness in markets with contingent claims abstract we characterize financial markets that are complete or that contain portfolios which span all measurable functions of a particular asset payoffs either finite and infinite dimensional these results are then employed to describe the extent to which options trading is sufficient to complete markets to investigate the existence of efficient funds and to establish the extent of market completeness required to ensure the unanimity and irrelevance results of modern corporation finance

intraday price change and trading volume relations in the stock and stock option markets this study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the cboe during the first quarter of 1986 after purging the price change series of the effects of bid ask spreads multivariate time series analysis is used to estimate the lead lag relation between the price changes in the option and stock markets the results indicate that price changes in the stock market lead the option market by as much as fifteen minutes the analysis of trading volume indicates that the stock market lead may be even longer the intense trading activity in and in fact the very existence of organized stock option markets attest to the economic benefits that these financial contracts provide reduced transaction costs and increased financial leverage are two reasons why trading in the stock option market may be more attractive than trading in the market for the underlying stock in addition these cheaper and more flexible trading opportunities attract new and differently informed investors to the marketplace the resulting increase in trading activity together with the inextricable arbitrage linkage between stock and option prices imply an increase in market efficiency this study investigates empirically the intraday price change and trading volume relations between stocks and options for a sample of firms whose options were actively traded on the chicago board options exchange during the first quarter of 1986 in particular intraday call option price changes are translated into implied stock price changes using the american call option pricing model these intraday implied stock price changes are then compared with the actual stock price changes to identify which if either market leads the other in perfectly functioning capital markets there should be complete simultaneity between the series that is new information disseminating into the marketplace should be reflected in the prices and the trading activity of both securities simultaneously institutional factors however may make the stock option market more attractive to information traders this may cause price changes and trading activity due to new information to be observed in the option market first followed by price

differential information monopolistic competition and investment the behavior of investment in a monopolistically competitive industry is investigated under the assumption of imperfect information about the average investment firms profits are affected by productivity shocks these shocks consist of two types of disturbances industry wide and idiosyncratic ones the main results are investment under imperfect information is more volatile than that under perfect information if firms can observe their own productivity conditions but not their components and increased competition always destabilizes investment and raises its volatility the rigidity of rational expectations plays a crucial role copyright 1991 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

price changes of related securities the case of call options and stocks this paper tests the hypothesis that option prices contain information not reflected in con temporaneous stock prices an options transactions data base is used for the purpose the evidence suggests that the magnitude of anticipation of stock prices by option prices is insufficient to overcome the bid ask spread for intra day holding periods implications of the profits in the overnight holding periods are discussed

standard deviations implied in option prices as predictors of future stock price variability abstract standard deviations implied in option prices have recently been introduced as being better than average predictors of future stock price variability this article specifically studies the predictive ability of implicit standard deviations taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock transaction data information was used to study the importance of non simultaneities in observing stock and option prices